qmt量化交易策略小白学习笔记第46期【qmt编程之期货行情数据--如何获取5档盘口行情、期货结算价与持仓量】

qmt编程之获取期货数据

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获取5档盘口行情

提示

1. 该数据为VIP数据

示例

from xtquant import xtdata
import time
 
symbol_list = ["rb2405.SF","ec2404.INE"] # 五档行情支持上期所，上期能源
 
period = "l2quote" # 获取5档盘口tick
 
for symbol in symbol_list:
    xtdata.subscribe_quote(symbol,period = period,count=-1)
time.sleep(1)
 
data = xtdata.get_market_data_ex(["askPrice","bidPrice"],symbol_list,period = period,count=-1)
 
print(data)
 

五档返回值 

{'ec2404.INE':                                                          askPrice  \
 20240115085900  [2300.0, 2300.2, 2304.0, 2306.0, 2310.0, 0.0, ...   
 20240115090000  [2266.0, 2280.0, 2280.9, 2285.0, 2287.9, 0.0, ...   
 20240115090001  [2261.6000000000004, 2262.0000000000005, 2262....   
 20240115090001  [2253.4, 2253.5, 2253.6, 2254.6, 2255.0, 0.0, ...   
 20240115090002  [2244.6, 2246.6, 2246.7999999999997, 2248.8999...   
 ...                                                           ...   
 20240115140227  [2138.3, 2138.6000000000004, 2138.700000000000...   
 20240115140228  [2138.0, 2138.3, 2138.6000000000004, 2138.7000...   
 20240115140228  [2137.7999999999997, 2137.8999999999996, 2137....   
 20240115140229  [2137.2999999999997, 2137.7999999999997, 2137....   
 20240115140229  [2136.4, 2137.1, 2137.7999999999997, 2137.8999...   
 
                                                          bidPrice  
 20240115085900  [2288.0, 2280.0, 2266.0, 2265.0, 2262.1, 0.0, ...  
 20240115090000  [2222.1, 2222.0, 2220.0, 2219.0, 2216.0, 0.0, ...  
 20240115090001  [2227.0000000000005, 2226.8000000000006, 2226....  
 20240115090001  [2230.2000000000003, 2230.0000000000005, 2229....  
 20240115090002  [2233.2000000000003, 2223.4, 2222.0, 2220.0, 2...  
 ...                                                           ...  
 20240115140227  [2137.1, 2135.2999999999997, 2134.999999999999...  
 20240115140228  [2137.1, 2135.2999999999997, 2134.999999999999...  
 20240115140228  [2137.1, 2135.2999999999997, 2134.999999999999...  
 20240115140229  [2137.1, 2135.2999999999997, 2134.999999999999...  
 20240115140229  [2135.0, 2134.0, 2132.4, 2132.0, 2131.0, 0.0, ...  
 
 [15942 rows x 2 columns],
 'rb2405.SF':                                                          askPrice  \
 20240112205900  [3906.0, 3907.0, 3908.0, 3909.0, 3910.0, 0.0, ...   
 20240112210000  [3904.0, 3905.0, 3906.0, 3907.0, 3908.0, 0.0, ...   
 20240112210001  [3905.0, 3906.0, 3907.0, 3908.0, 3909.0, 0.0, ...   
 20240112210001  [3905.0, 3906.0, 3907.0, 3908.0, 3909.0, 0.0, ...   
 20240112210002  [3905.0, 3906.0, 3907.0, 3908.0, 3909.0, 0.0, ...   
 ...                                                           ...   
 20240115140227  [3911.0, 3912.0, 3913.0, 3914.0, 3915.0, 0.0, ...   
 20240115140227  [3911.0, 3912.0, 3913.0, 3914.0, 3915.0, 0.0, ...   
 20240115140228  [3911.0, 3912.0, 3913.0, 3914.0, 3915.0, 0.0, ...   
 20240115140228  [3911.0, 3912.0, 3913.0, 3914.0, 3915.0, 0.0, ...   
 20240115140229  [3911.0, 3912.0, 3913.0, 3914.0, 3915.0, 0.0, ...   
 
                                                          bidPrice  
 20240112205900  [3905.0, 3904.0, 3903.0, 3902.0, 3901.0, 0.0, ...  
 20240112210000  [3903.0, 3902.0, 3901.0, 3900.0, 3899.0, 0.0, ...  
 20240112210001  [3904.0, 3903.0, 3902.0, 3901.0, 3900.0, 0.0, ...  
 20240112210001  [3904.0, 3903.0, 3902.0, 3901.0, 3900.0, 0.0, ...  
 20240112210002  [3904.0, 3903.0, 3902.0, 3901.0, 3900.0, 0.0, ...  
 ...                                                           ...  
 20240115140227  [3910.0, 3909.0, 3908.0, 3907.0, 3906.0, 0.0, ...  
 20240115140227  [3910.0, 3909.0, 3908.0, 3907.0, 3906.0, 0.0, ...  
 20240115140228  [3910.0, 3909.0, 3908.0, 3907.0, 3906.0, 0.0, ...  
 20240115140228  [3910.0, 3909.0, 3908.0, 3907.0, 3906.0, 0.0, ...  
 20240115140229  [3910.0, 3909.0, 3908.0, 3907.0, 3906.0, 0.0, ...  
 
 [35329 rows x 2 columns]}

期货结算价与持仓量

示例

from xtquant import xtdata
xtdata.get_market_data_ex(['settelementPrice','openInterest'],['rb2401.SF'],period='1d')

 返回值

'rb2401.SF':           settelementPrice  openInterest
 20230117            3996.0           573
 20230118            4036.0           713
 20230119            4066.0           821
 20230120            4065.0           944
 20230130            4123.0          1201
 ...                    ...           ...
 20230922            3773.0       1643925
 20230925            3741.0       1710023
 20230926            3697.0       1772900
 20230927            3684.0       1767758
 20230928            3700.0       1697143
 
 [172 rows x 2 columns]}