qmt量化交易策略小白学习笔记第45期【qmt编程之期货行情数据--如何获取日线行情、tick行情】

qmt编程之获取期货行情数据

qmt更加详细的教程方法，会持续慢慢梳理。

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获取日线行情数据

示例

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

返回值 

# 返回结果
{'rb2401.SF':                    time    open    high     low   close   volume  \20230117  1673884800000  4001.0  4027.0  3973.0  4011.0     1038   20230118  1673971200000  4027.0  4051.0  4014.0  4037.0      314   20230119  1674057600000  4043.0  4085.0  4043.0  4080.0      352   20230120  1674144000000  4075.0  4076.0  4050.0  4070.0      502   20230130  1675008000000  4127.0  4157.0  4080.0  4084.0      992   ...                 ...     ...     ...     ...     ...      ...   20231017  1697472000000  3658.0  3672.0  3637.0  3647.0  1068036   20231018  1697558400000  3652.0  3660.0  3605.0  3615.0  1361935   20231019  1697644800000  3615.0  3650.0  3595.0  3644.0  1313338   20231020  1697731200000  3650.0  3659.0  3601.0  3610.0  1418587   20231023  1697990400000  3600.0  3616.0  3558.0  3573.0  1513440   amount  settelementPrice  openInterest  preClose  suspendFlag  20230117  4.148817e+07            3996.0           573    4061.0            0  20230118  1.267393e+07            4036.0           713    4011.0            0  20230119  1.431537e+07            4066.0           821    4037.0            0  20230120  2.040859e+07            4065.0           944    4080.0            0  20230130  4.090941e+07            4123.0          1201    4070.0            0  ...                ...               ...           ...       ...          ...  20231017  3.900789e+10            3652.0       1870289    3657.0            0  20231018  4.950385e+10            3634.0       1951142    3647.0            0  20231019  4.759753e+10            3624.0       1886883    3615.0            0  20231020  5.149242e+10            3629.0       1880167    3644.0            0  20231023  5.423026e+10               0.0       1961524    3610.0            0  [183 rows x 11 columns]}

获取tick行情

示例

from xtquant import xtdata
xtdata.get_market_data_ex([],['rb2401.SF'],period='tick')

返回值 

time	lastPrice	open	high	low	lastClose	amount	volume	pvolume	stockStatus	openInt	lastSettlementPrice	askPrice	bidPrice	askVol	bidVol	settlementPrice	transactionNum
20230925085900	1695603540500	3778.0	3786.0	3787.0	3766.0	3779.0	1.291532e+10	341961	0	0	1651554	3773.0	[3779.0, 3780.0, 3781.0, 3782.0, 3783.0]	[3777.0, 3776.0, 3775.0, 3774.0, 3773.0]	[635, 0, 0, 0, 0]	[138, 0, 0, 0, 0]	0.0	0
20230925090000	1695603600500	3779.0	3786.0	3787.0	3766.0	3779.0	1.296989e+10	343405	0	0	1652373	3773.0	[3780.0, 3781.0, 3782.0, 3783.0, 3784.0]	[3778.0, 3777.0, 3776.0, 3775.0, 3774.0]	[916, 0, 0, 0, 0]	[168, 0, 0, 0, 0]	0.0	0
20230925090001	1695603601000	3780.0	3786.0	3787.0	3766.0	3779.0	1.307600e+10	346211	0	0	1651646	3773.0	[3787.0, 3788.0, 3789.0, 3790.0, 3791.0]	[3779.0, 3778.0, 3777.0, 3776.0, 3775.0]	[420, 0, 0, 0, 0]	[20, 0, 0, 0, 0]	0.0	0
20230925090001	1695603601500	3783.0	3786.0	3787.0	3766.0	3779.0	1.309460e+10	346703	0	0	1651496	3773.0	[3784.0, 3785.0, 3786.0, 3787.0, 3788.0]	[3776.0, 3775.0, 3774.0, 3773.0, 3772.0]	[46, 0, 0, 0, 0]	[89, 0, 0, 0, 0]	0.0	0
20230925090002	1695603602000	3783.0	3786.0	3787.0	3766.0	3779.0	1.312842e+10	347597	0	0	1651258	3773.0	[3784.0, 3785.0, 3786.0, 3787.0, 3788.0]	[3782.0, 3781.0, 3780.0, 3779.0, 3778.0]	[41, 0, 0, 0, 0]	[7, 0, 0, 0, 0]	0.0	0
...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...	...
20230928145958	1695884398500	3690.0	3690.0	3717.0	3684.0	3682.0	3.781059e+10	1021634	0	0	1697198	3684.0	[3690.0, 0.0, 0.0, 0.0, 0.0]	[3690.0, 0.0, 0.0, 0.0, 0.0]	[54, 0, 0, 0, 0]	[126, 0, 0, 0, 0]	0.0	0
20230928145959	1695884399000	3690.0	3690.0	3717.0	3684.0	3682.0	3.781148e+10	1021658	0	0	1697179	3684.0	[3690.0, 0.0, 0.0, 0.0, 0.0]	[3690.0, 0.0, 0.0, 0.0, 0.0]	[20, 0, 0, 0, 0]	[112, 0, 0, 0, 0]	0.0	0
20230928145959	1695884399500	3690.0	3690.0	3717.0	3684.0	3682.0	3.781395e+10	1021725	0	0	1697158	3684.0	[3690.0, 0.0, 0.0, 0.0, 0.0]	[3690.0, 0.0, 0.0, 0.0, 0.0]	[20, 0, 0, 0, 0]	[46, 0, 0, 0, 0]	0.0	0
20230928150000	1695884400000	3690.0	3690.0	3717.0	3684.0	3682.0	3.781502e+10	1021754	0	0	1697143	3684.0	[3690.0, 0.0, 0.0, 0.0, 0.0]	[3690.0, 0.0, 0.0, 0.0, 0.0]	[10, 0, 0, 0, 0]	[63, 0, 0, 0, 0]	0.0	0
20230928150000	1695884400500	3690.0	3690.0	3717.0	3684.0	3682.0	3.781502e+10	1021754	0	0	1697143	3684.0	[3690.0, 0.0, 0.0, 0.0, 0.0]	[3690.0, 0.0, 0.0, 0.0, 0.0]	[10, 0, 0, 0, 0]	[63, 0, 0, 0, 0]	3700.0	0
149943 rows × 18 columns