Tick by tick marketdata about qlib

[you-n-g]

Hi,
The high-frequency trading is in development and will be released in the future. It is not available now.
In our design, we have a module named Executor for intraday high-frequency trading.

Thanks

[dcrash9]

What about minute data? thank you.

[you-n-g]

@dcrash9 minute data query and processing are supported by Qlib
But we have no public data to demonstrate the usage for minute data.
You can follow this tutorial to manage your minute data.

[pan-cai]

@you-n-g Can you give an example about minute data in getting data, backtesting and reporting with qlib?

I have minute and high-frequency data, but do not known how to use it with qlib.

Thank you !

[dcrash9]

i'm in the same bucket... if possible, an example would be great, thank you @you-n-g

my files look like this:

MINUTE DATA: (dd/mm/yyyy,HH:mm:ss,....)
date,time,open,high,low,close,volume
16/12/2011,12:40:00,65.92,65.93,65.91,65.91,1939
16/12/2011,12:41:00,65.93,65.94,65.91,65.91,448
16/12/2011,12:42:00,65.90,65.91,65.88,65.91,1675
....

TICK DATA: (dd/mm/yyyy,HH:mm:ss.mmm,..)
date,time,price,volume
01/09/2020,09:16:59.000,140.15,100
01/09/2020,09:16:59.000,140.25,132
01/09/2020,09:16:59.000,140.25,103
01/09/2020,09:16:59.000,140.30,0
....

[you-n-g]

hi, we will work on giving a example of managing high-freq data.

We will notify you when it is done. Thanks

[qingtiandalaoye]

Tick数据最方便的可以找这个资料（上期技术官网，**期货CTP数据接口文档）： http://www.sfit.com.cn/5_2_DocumentDown_2.htm

数据格式定义：
pDepthMarketData：深度行情

struct CThostFtdcDepthMarketDataField
{
///交易日
TThostFtdcDateType TradingDay;
///合约代码
TThostFtdcInstrumentIDType InstrumentID;
///交易所代码
TThostFtdcExchangeIDType ExchangeID;
///合约在交易所的代码
TThostFtdcExchangeInstIDType ExchangeInstID;
///最新价
TThostFtdcPriceType LastPrice;
///上次结算价
TThostFtdcPriceType PreSettlementPrice;
///昨收盘
TThostFtdcPriceType PreClosePrice;
///昨持仓量
TThostFtdcLargeVolumeType PreOpenInterest;
///今开盘
TThostFtdcPriceType OpenPrice;
///最高价
TThostFtdcPriceType HighestPrice;
///最低价
TThostFtdcPriceType LowestPrice;
///数量
TThostFtdcVolumeType Volume;
///成交金额
TThostFtdcMoneyType Turnover;
///持仓量
TThostFtdcLargeVolumeType OpenInterest;
///今收盘
TThostFtdcPriceType ClosePrice;
///本次结算价
TThostFtdcPriceType SettlementPrice;
///涨停板价
TThostFtdcPriceType UpperLimitPrice;
///跌停板价
TThostFtdcPriceType LowerLimitPrice;
///昨虚实度
TThostFtdcRatioType PreDelta;
///今虚实度
TThostFtdcRatioType CurrDelta;
///最后修改时间
TThostFtdcTimeType UpdateTime;
///最后修改毫秒
TThostFtdcMillisecType UpdateMillisec;
///申买价一
TThostFtdcPriceType BidPrice1;
///申买量一
TThostFtdcVolumeType BidVolume1;
///申卖价一
TThostFtdcPriceType AskPrice1;
///申卖量一
TThostFtdcVolumeType AskVolume1;
///申买价二
TThostFtdcPriceType BidPrice2;
///申买量二
TThostFtdcVolumeType BidVolume2;
///申卖价二
TThostFtdcPriceType AskPrice2;
///申卖量二
TThostFtdcVolumeType AskVolume2;
///申买价三
TThostFtdcPriceType BidPrice3;
///申买量三
TThostFtdcVolumeType BidVolume3;
///申卖价三
TThostFtdcPriceType AskPrice3;
///申卖量三
TThostFtdcVolumeType AskVolume3;
///申买价四
TThostFtdcPriceType BidPrice4;
///申买量四
TThostFtdcVolumeType BidVolume4;
///申卖价四
TThostFtdcPriceType AskPrice4;
///申卖量四
TThostFtdcVolumeType AskVolume4;
///申买价五
TThostFtdcPriceType BidPrice5;
///申买量五
TThostFtdcVolumeType BidVolume5;
///申卖价五
TThostFtdcPriceType AskPrice5;
///申卖量五
TThostFtdcVolumeType AskVolume5;
///当日均价
TThostFtdcPriceType AveragePrice;
///业务日期
TThostFtdcDateType ActionDay;
};

实际数据的Tick例子，参考一下：

logtime,InstrumentID,TradingDay,UpdateTime,UpdateMillisec,OpenPrice,HighestPrice,LowestPrice,LastPrice,Volume,Turnover,OpenInterest,AveragePrice,LowerLimitPrice,UpperLimitPrice,BidPrice1,BidVolume1,AskPrice1,AskVolume1
20190409125024047,rb1905,20190409,11:30:00,500,4030.0,4087.0,4026.0,4061.0,646860,26227060500.0,937408.0,40545.19,3740.0,4217.0,4060.0,1,4062.0,64
20190409133000908,rb1905,20190409,13:30:00,500,4030.0,4087.0,4026.0,4060.0,646920,26229496960.0,937444.0,40545.19,3740.0,4217.0,4060.0,5,4061.0,4
20190409133002239,rb1905,20190409,13:30:01,0,4030.0,4087.0,4026.0,4061.0,647028,26233881120.0,937484.0,40545.2,3740.0,4217.0,4058.0,60,4061.0,10
20190409133002279,rb1905,20190409,13:30:01,500,4030.0,4087.0,4026.0,4057.0,647148,26238750920.0,937380.0,40545.21,3740.0,4217.0,4058.0,1,4059.0,20
20190409133002318,rb1905,20190409,13:30:02,0,4030.0,4087.0,4026.0,4059.0,647180,26240049740.0,937368.0,40545.21,3740.0,4217.0,4057.0,110,4058.0,236
20190409133003300,rb1905,20190409,13:30:02,500,4030.0,4087.0,4026.0,4058.0,647312,26245405100.0,937340.0,40545.22,3740.0,4217.0,4056.0,43,4058.0,241
20190409133003331,rb1905,20190409,13:30:03,0,4030.0,4087.0,4026.0,4058.0,647386,26248407780.0,937290.0,40545.22,3740.0,4217.0,4056.0,39,4058.0,217
20190409133003721,rb1905,20190409,13:30:03,500,4030.0,4087.0,4026.0,4058.0,647386,26248407780.0,937290.0,40545.22,3740.0,4217.0,4056.0,39,4058.0,217
20190409133004370,rb1905,20190409,13:30:04,0,4030.0,4087.0,4026.0,4056.0,647388,26248488900.0,937290.0,40545.22,3740.0,4217.0,4056.0,49,4058.0,217
20190409133004881,rb1905,20190409,13:30:04,500,4030.0,4087.0,4026.0,4058.0,647398,26248894660.0,937282.0,40545.22,3740.0,4217.0,4056.0,49,4058.0,213
20190409133005380,rb1905,20190409,13:30:05,0,4030.0,4087.0,4026.0,4058.0,647398,26248894660.0,937282.0,40545.22,3740.0,4217.0,4056.0,69,4058.0,213
20190409133005887,rb1905,20190409,13:30:05,500,4030.0,4087.0,4026.0,4058.0,647400,26248975820.0,937282.0,40545.22,3740.0,4217.0,4057.0,1,4058.0,213
20190409133006401,rb1905,20190409,13:30:06,0,4030.0,4087.0,4026.0,4057.0,647404,26249138100.0,937284.0,40545.22,3740.0,4217.0,4056.0,69,4057.0,1
.............

多了一列logtime，记录数据达到本地服务器的时间，在做模拟撮合时候可以参考。

[rspadim]

it's a notification?

[kolamanlee]

hi, we will work on giving a example of managing high-freq data.

We will notify you when it is done. Thanks

Around when will be avaible?