High-Quality Intraday Transaction Data from ChinaTickData
Discover comprehensive datasets from ChinaTickData, featuring high-quality intraday transactions for all securities listed on Chinese stock exchanges. Our data is meticulously compiled to support quantitative trading, backtesting, machine learning, and a variety of advanced applications.
Important Note: In China, stock tick data is captured as one snapshot every 3 seconds.
Snapshot Prices
Every trade occurring between snapshots contributes to the overall volume change, which is reflected in both RMB amounts and traded volume. Even if no changes are detected from the last snapshot, a new snapshot will still be recorded, with the only update being the timestamp.
Timestamps
All timestamps are provided in China Standard Time (CST).
Excel automatically attempts to convert millisecond timestamps into its time format, which may result in errors. To avoid this, ensure you convert the millisecond timestamps to text during the import process.
Data Organisations and File Format
ChinaTickData provides market data in plain-text CSV files. The first row of the CSV file is a fixed header, and then rows of data correspond to individual events. By default, data is organized into one file per symbol per trading day.
Due to the large data size, CSV files are gzip-compressed (having a csv.gz extension) with a compression ratio of about 8:1.
Table 1 below provides the name, base event, default value, brief description, and data type for each data field (column) in the Chinese tick data CSV file. Table column “Missing” indicates a default behavior in case the data field value is not present or cannot be calculated. The column value “Never” means that the data field value is always present.
| Field | Type (Format) | Missing | Description |
| Ticker | String | Never | Symbol name for an equity |
| Datetime | String (YYYY-MM-DD hh:mm:ss:fff) | Never | Local date and time in China Standard Time including daylight saving
time changes |
| Last_Price | decimal | Blank | Price of the last trade |
| Volume | integer | Blank | Accumulated Trade Volume for the trading day |
| rmb_volume | integer | Blank | Accumulated Trade Volume in RMB for the trading day |
| bid_price1 | decimal | Blank | Highest Bid Price at the time of snapshot |
| bid_volume1 | integer | 0 | Number of contracts at the highest bid price at the time of snapshot |
| ask_price1 | decimal | Blank | Lowest Ask Price at the time of snapshot |
| ask_volume1 | integer | 0 | Number of contracts at the lowest ask price at the time of snapshot |
| bid_price2 | decimal | Blank | 2nd Highest Bid Price at the time of snapshot |
| bid_volume2 | integer | 0 | Number of contracts at the highest bid price at the time of snapshot |
| ask_price2 | decimal | Blank | 2nd Lowest Ask Price at the time of snapshot |
| ask_volume2 | integer | 0 | Number of contracts at the lowest ask price at the time of snapshot |
| bid_price3 | decimal | Blank | 3rd Highest Bid Price at the time of snapshot |
| bid_volume3 | integer | 0 | Number of contracts at the highest bid price at the time of snapshot |
| ask_price3 | decimal | Blank | 3rd Lowest Ask Price at the time of snapshot |
| ask_volume3 | integer | 0 | Number of contracts at the lowest ask price at the time of snapshot |
| bid_price4 | decimal | Blank | 4th Highest Bid Price at the time of snapshot |
| bid_volume4 | integer | 0 | Number of contracts at the highest bid price at the time of snapshot |
| ask_price4 | decimal | Blank | 4th Lowest Ask Price at the time of snapshot |
| ask_volume4 | integer | 0 | Number of contracts at the lowest ask price at the time of snapshot |
| bid_price5 | decimal | Blank | 5th Highest Bid Price at the time of snapshot |
| bid_volume5 | integer | 0 | Number of contracts at the highest bid price at the time of snapshot |
| ask_price5 | decimal | Blank | 5th Lowest Ask Price at the time of snapshot |
| ask_volume5 | integer | 0 | Number of contracts at the lowest ask price at the time of snapshot |
