Datasets:

phields
/

a-share-l2-market-depth

ticker stringlengths 6 6	exchange stringclasses 2 values	time_ms int32 33.3M 54M	source_time int32 91.5M 150M	event_type stringclasses 3 values	order_type stringclasses 7 values	side stringclasses 5 values	order_id int64 0 49M	source_event_id int64 0 48.9M	price_x10000 int64 0 20B	volume int64 0 1M	source_table stringclasses 2 values
000008	SZ	34,962,820	94,242,820	ADD	0	S	9,089,330	0	35,600	2,000	orders
000008	SZ	34,962,820	94,242,820	ADD	0	S	9,089,341	0	35,600	200	orders
000008	SZ	34,962,850	94,242,850	ADD	0	B	9,089,586	0	35,700	500	orders
000008	SZ	34,962,860	94,242,860	ADD	0	S	9,089,637	0	35,700	500	orders
000008	SZ	34,962,870	94,242,870	ADD	0	S	9,089,653	0	35,700	500	orders
000008	SZ	34,962,870	94,242,870	CANCEL	C	S	8,997,780	9,089,662	0	2,000	trades_cancel
000008	SZ	34,962,880	94,242,880	ADD	0	B	9,089,734	0	35,500	400	orders
000008	SZ	34,962,890	94,242,890	ADD	0	B	9,089,866	0	35,700	3,300	orders
000008	SZ	34,962,890	94,242,890	CANCEL	C	B	8,503,771	9,089,876	0	500	trades_cancel
000008	SZ	34,962,900	94,242,900	ADD	0	S	9,089,880	0	36,000	4,000	orders
000008	SZ	34,962,900	94,242,900	ADD	0	S	9,089,896	0	35,700	200	orders
000008	SZ	34,962,900	94,242,900	ADD	0	S	9,089,898	0	36,000	200	orders
000008	SZ	34,962,900	94,242,900	ADD	0	S	9,089,905	0	36,000	3,600	orders
000008	SZ	34,962,900	94,242,900	ADD	0	S	9,089,915	0	35,700	200	orders
000008	SZ	34,962,900	94,242,900	CANCEL	C	B	8,773,252	9,089,878	0	512,000	trades_cancel
000008	SZ	34,962,910	94,242,910	ADD	0	S	9,089,930	0	35,900	1,100	orders
000008	SZ	34,962,920	94,242,920	ADD	0	B	9,089,985	0	35,700	200	orders
000008	SZ	34,962,920	94,242,920	ADD	0	S	9,089,996	0	35,700	200	orders
000008	SZ	34,962,920	94,242,920	ADD	0	B	9,090,035	0	34,400	1,000	orders
000008	SZ	34,962,930	94,242,930	ADD	0	S	9,090,045	0	35,800	2,400	orders
000008	SZ	34,962,930	94,242,930	ADD	0	S	9,090,056	0	35,700	2,400	orders
000008	SZ	34,962,930	94,242,930	ADD	0	B	9,090,062	0	35,500	300	orders
000008	SZ	34,962,930	94,242,930	ADD	0	S	9,090,064	0	35,700	200	orders
000008	SZ	34,962,940	94,242,940	ADD	0	B	9,090,124	0	35,600	100	orders
000008	SZ	34,962,950	94,242,950	ADD	0	S	9,090,139	0	36,000	41,100	orders
000008	SZ	34,962,990	94,242,990	ADD	0	S	9,090,396	0	36,000	100	orders
000008	SZ	34,963,000	94,243,000	ADD	0	S	9,090,399	0	35,600	1,000	orders
000008	SZ	34,963,000	94,243,000	ADD	0	B	9,090,411	0	35,700	1,800	orders
000008	SZ	34,963,000	94,243,000	ADD	0	S	9,090,424	0	35,300	5,600	orders
000008	SZ	34,963,010	94,243,010	ADD	0	B	9,090,475	0	35,800	200	orders
000008	SZ	34,963,010	94,243,010	ADD	0	B	9,090,509	0	35,700	500	orders
000008	SZ	34,963,030	94,243,030	ADD	0	S	9,090,567	0	35,700	500	orders
000008	SZ	34,963,040	94,243,040	ADD	0	S	9,090,623	0	35,600	4,600	orders
000008	SZ	34,963,040	94,243,040	ADD	0	B	9,090,633	0	35,700	500	orders
000008	SZ	34,963,040	94,243,040	ADD	0	S	9,090,655	0	36,000	20,100	orders
000008	SZ	34,963,040	94,243,040	ADD	0	S	9,090,681	0	35,600	14,500	orders
000008	SZ	34,963,050	94,243,050	ADD	0	S	9,090,709	0	35,700	500	orders
000008	SZ	34,963,050	94,243,050	ADD	0	S	9,090,746	0	36,000	3,200	orders
000008	SZ	34,963,060	94,243,060	ADD	0	S	9,090,907	0	36,000	400	orders
000008	SZ	34,963,060	94,243,060	CANCEL	C	B	7,809,261	9,090,913	0	6,400	trades_cancel
000008	SZ	34,963,070	94,243,070	ADD	0	B	9,090,984	0	35,600	100	orders
000008	SZ	34,963,080	94,243,080	ADD	0	B	9,090,994	0	35,500	400	orders
000008	SZ	34,963,080	94,243,080	ADD	0	B	9,091,034	0	35,700	400	orders
000008	SZ	34,963,080	94,243,080	ADD	0	S	9,091,049	0	36,000	100	orders
000008	SZ	34,963,090	94,243,090	ADD	0	B	9,091,103	0	35,500	1,600	orders
000008	SZ	34,963,090	94,243,090	ADD	0	B	9,091,107	0	35,600	200	orders
000008	SZ	34,963,090	94,243,090	ADD	0	S	9,091,155	0	36,000	2,000	orders
000008	SZ	34,963,110	94,243,110	ADD	0	S	9,091,250	0	34,600	800	orders
000008	SZ	34,963,110	94,243,110	ADD	0	S	9,091,253	0	36,000	1,200	orders
000008	SZ	34,963,110	94,243,110	ADD	0	S	9,091,257	0	34,700	200	orders
000008	SZ	34,963,110	94,243,110	ADD	0	B	9,091,281	0	35,700	8,200	orders
000008	SZ	34,963,120	94,243,120	ADD	0	B	9,091,318	0	35,900	138,300	orders
000008	SZ	34,963,120	94,243,120	ADD	0	S	9,091,357	0	35,700	200	orders
000008	SZ	34,963,120	94,243,120	ADD	0	S	9,091,359	0	35,700	200	orders
000008	SZ	34,963,120	94,243,120	ADD	0	S	9,091,361	0	35,700	200	orders
000008	SZ	34,963,120	94,243,120	ADD	0	S	9,091,363	0	35,700	300	orders
000008	SZ	34,963,120	94,243,120	ADD	0	S	9,091,365	0	35,700	700	orders
000008	SZ	34,963,120	94,243,120	CANCEL	C	B	9,055,803	9,091,300	0	3,500	trades_cancel
000008	SZ	34,963,130	94,243,130	ADD	0	B	9,091,369	0	32,700	200	orders
000008	SZ	34,963,130	94,243,130	ADD	0	S	9,091,388	0	35,600	1,000	orders
000008	SZ	34,963,130	94,243,130	ADD	0	S	9,091,396	0	35,700	7,900	orders
000008	SZ	34,963,130	94,243,130	ADD	0	S	9,091,408	0	35,700	200	orders
000008	SZ	34,963,130	94,243,130	ADD	0	S	9,091,409	0	35,700	600	orders
000008	SZ	34,963,130	94,243,130	ADD	0	S	9,091,426	0	35,700	200	orders
000008	SZ	34,963,150	94,243,150	ADD	0	S	9,091,518	0	35,700	200	orders
000008	SZ	34,963,150	94,243,150	ADD	0	B	9,091,533	0	35,700	1,000	orders
000008	SZ	34,963,150	94,243,150	ADD	0	B	9,091,549	0	35,600	5,000	orders
000008	SZ	34,963,170	94,243,170	ADD	0	S	9,091,614	0	34,800	6,400	orders
000008	SZ	34,963,180	94,243,180	ADD	0	S	9,091,646	0	35,800	7,500	orders
000008	SZ	34,963,180	94,243,180	ADD	0	S	9,091,672	0	35,800	4,000	orders
000008	SZ	34,963,200	94,243,200	ADD	0	B	9,091,747	0	35,700	1,300	orders
000008	SZ	34,963,210	94,243,210	ADD	0	B	9,091,778	0	36,000	1,600	orders
000008	SZ	34,963,210	94,243,210	ADD	0	S	9,091,788	0	35,600	10,000	orders
000008	SZ	34,963,210	94,243,210	ADD	0	B	9,091,810	0	35,700	400	orders
000008	SZ	34,963,210	94,243,210	ADD	0	B	9,091,819	0	35,700	100	orders
000008	SZ	34,963,240	94,243,240	ADD	0	B	9,091,924	0	35,500	1,600	orders
000008	SZ	34,963,240	94,243,240	ADD	0	S	9,091,967	0	35,600	15,000	orders
000008	SZ	34,963,250	94,243,250	ADD	0	B	9,092,036	0	36,000	2,600	orders
000008	SZ	34,963,250	94,243,250	ADD	0	B	9,092,044	0	35,700	6,700	orders
000008	SZ	34,963,250	94,243,250	ADD	0	B	9,092,067	0	35,700	1,500	orders
000008	SZ	34,963,250	94,243,250	CANCEL	C	B	127,331	9,092,007	0	100	trades_cancel
000008	SZ	34,963,260	94,243,260	ADD	0	S	9,092,080	0	36,000	4,000	orders
000008	SZ	34,963,260	94,243,260	ADD	0	B	9,092,131	0	35,800	200	orders
000008	SZ	34,963,270	94,243,270	ADD	0	B	9,092,176	0	35,100	10,000	orders
000008	SZ	34,963,280	94,243,280	ADD	0	B	9,092,196	0	35,700	100	orders
000008	SZ	34,963,280	94,243,280	ADD	0	B	9,092,235	0	35,600	100	orders
000008	SZ	34,963,280	94,243,280	ADD	0	B	9,092,269	0	35,600	4,000	orders
000008	SZ	34,963,290	94,243,290	ADD	0	B	9,092,281	0	35,600	800	orders
000008	SZ	34,963,290	94,243,290	ADD	0	S	9,092,283	0	35,600	1,000	orders
000008	SZ	34,963,290	94,243,290	ADD	0	B	9,092,300	0	36,000	100	orders
000008	SZ	34,963,300	94,243,300	ADD	0	S	9,092,383	0	34,700	2,700	orders
000008	SZ	34,963,310	94,243,310	ADD	0	B	9,092,423	0	35,700	1,400	orders
000008	SZ	34,963,310	94,243,310	ADD	0	B	9,092,443	0	35,600	5,800	orders
000008	SZ	34,963,310	94,243,310	ADD	0	S	9,092,460	0	35,700	1,000	orders
000008	SZ	34,963,320	94,243,320	ADD	0	S	9,092,581	0	35,800	3,000	orders
000008	SZ	34,963,320	94,243,320	ADD	0	S	9,092,600	0	35,600	20,000	orders
000008	SZ	34,963,330	94,243,330	ADD	0	B	9,092,656	0	35,000	27,000	orders
000008	SZ	34,963,330	94,243,330	ADD	0	S	9,092,659	0	36,000	80,000	orders
000008	SZ	34,963,350	94,243,350	ADD	0	S	9,092,751	0	35,800	3,000	orders
000008	SZ	34,963,360	94,243,360	ADD	0	B	9,092,870	0	35,600	1,500	orders

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China A-share Level 2 Market Depth

Canonical order-event and ten-level snapshot data for China A-shares. Canonical trade records remain in the separate phields/a-share-l2-trades dataset.

Coverage

Date range: 2026-07-24 to 2026-07-24
Trading days: 1

Table	Rows	Parquet files	Compressed size
`l2_orders`	249,705,486	10	2.14 GiB
`l2_snapshots`	20,279,887	4	0.91 GiB

Layout

data/l2_orders/trade_date=YYYY-MM-DD/code_prefix=XX/part-00000.parquet
data/l2_snapshots/trade_date=YYYY-MM-DD/code_prefix=XX/part-00000.parquet
metadata/l2_orders/
metadata/l2_snapshots/

l2_orders contains SH add/delete events and SZ order submissions. SZ cancellation records (成交代码=C) are normalized into the same table with source_table=trades_cancel; they are not duplicated into the trades dataset.

l2_snapshots contains millisecond timestamps, session statistics, aggregate buy/sell totals, and ten levels of bid/ask prices and volumes.

Each table has an independent schema, manifest, daily manifest, and ticker calendar under metadata/<table>/. The default universe follows the A-share prefixes used by the companion trades dataset: 00, 30, 60, and 68.

Limitations

The normalized vendor files do not retain exchange channel sequence numbers, per-level order counts, or the best-level top-50 queue. Users are responsible for confirming that their use complies with the applicable vendor, exchange, and redistribution terms.

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