30 knowledge points that must be mastered in quantitative development [what is level-2 data]

In many games , The fog of war / Vision is a very important element , By mastering the opponent's movements , Hide your intentions , Realization “ Enemy and know yourself , you can fight a hundred battles with no danger of defeat ”. In the stock market ,Level-2 Market data have the same characteristics .

Basic overview

Usually when we use mobile phones to speculate in stocks , There will be a message like this ：

buy 9 There are 7890 Hanging list ？ Why can I only see buy 5？

Level-2？Level-2 What is it? , Membership grade ？

Actually ,Level-1 and Level-2 It is a visual expression of the basic market and enhanced market by the exchange , As early as 2006 year , The Shanghai Stock Exchange has launched Level-2 The market , Then again Level-2 The market has been optimized and updated for many times .

Level-2 The market （ Strengthen the market ） Compare with Level-1（ Basic market ） It provides lower transmission delay and richer data content , Let's meet Level-2, Skill Level-up！

Market Snapshot
The market conditions revealed by the Shanghai and Shenzhen exchanges , It is a slice of the current state of the market at a fixed time interval , It's like constantly taking screenshots in a video , This cross-sectional data is called Market Snapshot （Snapshot/Tick）.

As you can see from the picture below ,Level-1 The market mainly includes the high opening and low closing prices of the day 、 Front price 、 The latest price 、 The cumulative transaction volume and amount of the day 、 As well as the real-time purchase and sale of five price quotations and quantities .

Level-1 Market chart
Level-2 Market and Level-1 The most intuitive difference of the market is reflected in the snapshot of the market .Level-2 stay Level-1 On the basis of the fifth gear opening, it is expanded to the tenth gear opening , The number of declarations in each gear is also provided . And the top of the optimal price is revealed in the buy one price and sell one price 50 Order quantity details .

Level-2 Pankou diagram
Level-2 The market shows that a stock is 11:29:57 Sell at a price at any time 20.79 In all 5 Orders , total 1100 stocks . By 100、200、500、100、200 Composed of . Before passing 50 The number of orders entrusted, the number of orders entrusted , You can know the clearer trading intention in the market .

Buy, sell, and entrust the queue diagram
Besides Level-2 The market also provides the cumulative number of transactions on that day 、 The total amount of buying and selling orders in the market order 、 Weighted average price of buying and selling 、 The amount and number of purchase and sale cancellation 、 The number of trading orders 、 Of the fund IOPV And real-time application and redemption data . This seems to open the fog of war in the game , Gain a greater vision , Naturally, we can seize the opportunity .

Data by data
Level-1 Market and Level-2 The deeper difference of the market is Level-2 Market provides transaction by transaction data .

many App Will be based on Level-1 Market calculation time-sharing transaction data ：

Level-1 Time sharing transaction record chart
Time sharing shows the change between two market snapshots , It is reflected in the trading price of the stock and the trading direction obtained from the analysis of internal and external markets . But what are the trading details between the two market snapshots ？ Transaction by transaction data can let you know every real-time transaction record , It reflects the most real trading situation .

Level-2 Transaction by transaction record chart
Through transaction by transaction data , It can be seen that the time-sharing transaction record in the above figure 11:27:57 to 11:30:00 Time sharing transaction between ,4 Composition of stocks 、 The trading direction is composed of two 20.8 Of 100 Share and sum 20.79 Of 200 Composed of , The details of the transaction are clear at a glance , And higher real-time .

Level-2 One by one entrustment chart
besides , The exchange also provides real-time consignment by consignment data , With the entrustment data one by one , It can restore all the real-time state of the market together with the transaction by transaction data , It seems to gain a global vision ！ And because the transaction by transaction data of the exchange will reveal each consignment and transaction , The order book thus constructed can reflect market changes more comprehensively and deeply , Help investors better grasp investment opportunities .

Level-2Plus Order book chart
On a technical level ,Level-2 The data adopts the communication protocol with higher transmission efficiency 、 Technical system with lower delay and more reliable transmission mechanism , The overall data quality has been achieved Level-Up The effect of , Please pay attention to the details INSIGHT Introduction to the future column of shushuo .

Other markets ¶
In addition to the Shanghai and Shenzhen stock exchanges , Other domestic exchanges also offer Level-1/Level-2 The market , For example, CICC . Zhongjin Institute Level-1 The market is 1 Buying and selling price ,Level-2 It is 5 Buying and selling price , There is no difference between other fields .

How to obtain market data

Huatai Securities is recommended INSIGHT Financial data services , It can push the market in real time Level-2 Stocks 、 bond 、 fund 、 option 、 Raw data of futures market , And the derived index data calculated based on the original market data .

Shanghai and Shenzhen level1 The market is completely free , Compared with the payment data provided by other data providers , Not only free, but also fast and stable , It is highly recommended that you use

Application see ：
https://findata-insight.htsc.com:9151/help/sdk/SDKDownload/