qmt编程之获取期货数据
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获取5档盘口行情
提示
- 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
| 字段 | 数据类型 | 含义 |
|---|---|---|
settelementPrice |
float |
结算价 |
openInterest |
float |
持仓量 |
| 示例 |
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]}