| --- |
| 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 |
|
|
| ```text |
| 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 |
|
|
| ```text |
| 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. |
|
|
