Historical Market Data

Ticks Data

Ticks Schema

In

from shioaji.data import Ticks
Ticks??

Out

Init signature: Ticks(**data:Any) -> None
Docstring:      <no docstring>
Source:        
class Ticks(BaseModel):
    ts: typing.List[int]
    close: typing.List[float]
    volume: typing.List[int]
    bid_price: typing.List[float]
    bid_volume: typing.List[int]
    ask_price: typing.List[float]
    ask_volume: typing.List[int]

File:           shioaji/data.py
Type:           ModelMetaclass

ticks function api

In

ticks = api.ticks(api.Contracts.Stocks["2330"], "2020-03-04")
ticks

Out

Ticks(
    ts=[1583312400821000000, 1583312405836000000, 1583312410849000000, 1583312415864000000, 1583312420877000000], 
    close=[322.0, 321.5, 321.0, 321.0, 321.0],
    volume=[5098, 91, 126, 59, 90],
    bid_price=[321.5, 321.0, 321.0, 321.0, 321.0],
    bid_volume=[5, 100, 94, 78, 20],
    ask_price=[322.0, 321.5, 321.5, 321.5, 321.5],
    ask_volume=[646, 13, 31, 86, 199]
)

Ticks to DataFrame

In

import pandas as pd
df = pd.DataFrame({**ticks})
df.ts = pd.to_datetime(df.ts)
df.head()

Out

	ts	ask_volume	ask_price	close	bid_price	bid_volume	volume
0	2020-03-04 09:00:00.821	646	322.0	322.0	321.5	5	5098
1	2020-03-04 09:00:05.836	13	321.5	321.5	321.0	100	91
2	2020-03-04 09:00:10.849	31	321.5	321.0	321.0	94	126
3	2020-03-04 09:00:15.864	86	321.5	321.0	321.0	78	59
4	2020-03-04 09:00:20.877	199	321.5	321.0	321.0	20	90

KBar Data

In

from shioaji.data import Kbars
Kbars??

Out

Init signature: Kbars(**data: Any) -> None
Docstring:      <no docstring>
Source:        
class Kbars(BaseMapping):
    ts: typing.List[int]
    Open: typing.List[float]
    High: typing.List[float]
    Low: typing.List[float]
    Close: typing.List[float]
    Volume: typing.List[int]

In

kbars = api.kbars(api.Contracts.Stocks["2330"], start="2020-06-01", end="2020-07-01")
df = pd.DataFrame({**kbars})
df.ts = pd.to_datetime(df.ts)
df

Out

	ts	Close	Open	High	Volume	Low
0	2020-06-01 09:01:00	294.0	294.0	294.0	3187	293.5
1	2020-06-01 09:02:00	293.5	293.5	294.0	201	293.5
2	2020-06-01 09:03:00	294.0	293.5	294.0	267	293.5
3	2020-06-01 09:04:00	294.5	294.0	294.5	624	293.5
4	2020-06-01 09:05:00	294.0	294.0	294.5	419	293.5