README.md

metadata

license: other
pretty_name: China A-share Level 2 Trades
tags:
  - finance
  - market-data
  - parquet

China A-share Level 2 Trades

Canonical Level 2 trade records for China A-shares, stored as one fact table.

Coverage

• Date range: 2026-04-01 to 2026-08-07
• Trading days: 85
• Rows: 13933261910
• Parquet files: 614
• Compressed local size: 111.20 GiB

Layout

data/l2_trades/
  trade_date=YYYY-MM-DD/
    code_prefix=00/
      part-00000.parquet

code_prefix is ticker[:2]. For example, 000001 -> 00, 300750 -> 30, 600519 -> 60, and 688981 -> 68.

Files are sorted by ticker, time_s, and tran_id. Row groups are written with row_group_size=2000000 rows and zstd compression.

Columns

• ticker: string
• time_s: int32
• tran_id: int64
• price_x10000: int64
• volume: int64
• sale_order_volume: int64
• buy_order_volume: int64
• side: string
• sale_order_id: int64
• sale_order_price_x10000: int64
• buy_order_id: int64
• buy_order_price_x10000: int64

trade_date and code_prefix are Hive partition columns from the path.

Metadata

metadata/daily_manifest.parquet
metadata/ticker_calendar.parquet
metadata/schema.json

ticker_calendar.parquet contains trade_date, ticker, code_prefix, row_count, min_time_s, and max_time_s.

Notes

The source data is Level 2 market data. Users are responsible for confirming that their use complies with the applicable data vendor, exchange, and redistribution terms.