Tick数据20241224

embedded/2025/3/6 6:57:03/

Tick数据20241224

商品和金融期货level2高频数据(一秒四次)下载
链接: https://pan.baidu.com/s/144ewl4T0dQvrAedhLz8uJw?pwd=c33h 提取码: c33h
通过历史Level2一秒四次高频数据深层次分析交易可以分析出比较活跃的品种一:m2505

(1)在11:12:36.158的瞬间,一笔引人注目的大单投入市场,3606份订单被安排在买一价,买一与卖一的量差达到了3523手。买二至买五的挂单量分别是877手、1338手、735手和1131手,勾勒出市场的动态轮廓。(2)据Level-2数据显示,14:02:54.550时段卖盘突现异常,3562手大单封堵卖一价位,1375手、2004手、1735手及1503手卖单梯次布局于S2至S5档位,盘面呈现典型压盘特征,建议关注主力资金动向。

(3)市场于10:55:44.905时刻达到高点,258手的买单与2071手的卖单形成对峙。持仓量维持在2580237手,四档挂单的分析揭示此处为潜在的转折点

(4)市场在21:31:36.576时刻录得日内最低价,此时2609.0价位上有2254手买单挂出,2610.0价位上则有830手卖单。通过持仓量2586467手的变动和四档挂单的分析,可以推测市场在此处存在大单的意图,但买方的介入使得价格得以暂时回升。

ActionDayTradDayUpdateTimeInstruIDLastPriceHighPriceLowPriceOpenPriceLastVolumeVolumeTurnoverOpenIntPreOpenIntOpenIntChgAveragePriceClosePriceSetPricePreSetPricePreCloPriceBuyVolumeSellVolumeAvgBuyPriceAvgSellPriceBidPrice1BidVolume1DerBidVolume1BidPrice2BidVolume2DerBidVolume2BidPrice3BidVolume3DerBidVolume3BidPrice4BidVolume4DerBidVolume4BidPrice5BidVolume5DerBidVolume5AskPrice1AskVolume1DerAskVolume1AskPrice2AskVolume2DerAskVolume2AskPrice3AskVolume3DerAskVolume3AskPrice4AskVolume4DerAskVolume4AskPrice5AskVolume5DerAskVolume5ULimitPriceLLimitPriceLifeHighPriceLifeLowPrice
202412242024122411:12:35.409m2505262126322609261717495121.96428e+1025757032581872-61692620nannan2627261655841569902588.32660.49262148113262034326522619875026181338026177340262212633526239942226241036120262583702626136002784247032852549
202412242024122411:12:35.625m2505262126322609261717495141.96428e+1025757032581872-61692620nannan2627261655850569882588.312660.49262148213262034326522619875026181338026177340262212933526239942226241036120262583702626136002784247032852549
202412242024122411:12:35.887m2505262226322609261717495261.96431e+1025757042581872-61682620nannan2627261655852570192588.312660.47262150313262034316512619876026181338026177350262212833526239942226241036120262583702626136002784247032852549
202412242024122411:12:36.158m2505262126322609261717500351.96565e+1025759872581872-58852620nannan2627261655875570092588.322660.482620360682826198770261813380261773502616113102621830262212863526239942226241036120262583702784247032852549
202412242024122411:12:36.410m2505262126322609261727500831.96577e+1025759802581872-58922620nannan2627261655384570952588.032660.422620354373626199185261813390261775002616117102621378026221332422623972026241031118262580602784247032852549
202412242024122411:12:36.650m2505262126322609261717500841.96578e+1025759802581872-58922620nannan2627261655532571552588.112660.3426203431634261997138261813390261775002616118402621421026221395572623963026241054141262582102784247032852549
202412242024122411:12:36.909m2505262126322609261717500861.96578e+1025759822581872-58902620nannan2627261655555572462588.122660.28262034326342619104738261813390261775002616118402621420026221395572623948026241065152262582102784247032852549
通过历史Level2一秒四次高频数据深层次分析交易可以分析出比较活跃的品种一:p2505

(1)在21:24:41.877时刻,市场迎来了一笔规模庞大的订单,其性质尚不明确,可能是新开买入或卖出平仓。通过分析期货Level2的持仓变化数据,我们可以进行进一步的推断。(2)在22:03:41.309时间出现了大单卖单,这些卖单大单该合约,挂了1085手在卖一价,后面又分别挂了331手、294手、262手、160手在S2价、S3价、S4价、S5价

(3)在21:00:00.629时刻,市场攀升至当日最高价位,此时多头以8手的买单占据优势,空头则以250手的卖单对峙。持仓量显示为461343手,结合后续四档挂单的分布,可判定此点为市场的转折关键。

(4)在09:12:35.154时间点,出现了今日最低价,此时在8736.0价位上有377手大单的单子,在8738.0价位上有107手大单的单子,通过持仓量468604手变化和后续四档挂单分析出这里有人想要大单,但是后续买单继续拉了一下

ActionDayTradDayUpdateTimeInstruIDLastPriceHighPriceLowPriceOpenPriceLastVolumeVolumeTurnoverOpenIntPreOpenIntOpenIntChgAveragePriceClosePriceSetPricePreSetPricePreCloPriceBuyVolumeSellVolumeAvgBuyPriceAvgSellPriceBidPrice1BidVolume1DerBidVolume1BidPrice2BidVolume2DerBidVolume2BidPrice3BidVolume3DerBidVolume3BidPrice4BidVolume4DerBidVolume4BidPrice5BidVolume5DerBidVolume5AskPrice1AskVolume1DerAskVolume1AskPrice2AskVolume2DerAskVolume2AskPrice3AskVolume3DerAskVolume3AskPrice4AskVolume4DerAskVolume4AskPrice5AskVolume5DerAskVolume5ULimitPriceLLimitPriceLifeHighPriceLifeLowPrice
202412232024122421:24:41.123p250588068848880488441977778.62696e+09472082461142109408822nannan8694881222530173218636.758911.688041191988022472088008862879822008796188088062810880822258810256488121601881417309302808696647214
202412232024122421:24:41.366p250588048848880488445978268.63127e+09472066461142109248822nannan8694881222537174998636.88910.238804567880224316880089712879822008796188088062890880824258810261788121891881417209302808696647214
202412232024122421:24:41.618p250588028848880288441978918.637e+09472031461142108898822nannan8694881222487175648636.438909.868802250248800904198798220087961880879410708804410880639108808443688102572881218519302808696647214
202412232024122421:24:41.877p250588008848880088441982578.66921e+09471891461142107498822nannan8694881222437179028636.068907.928800913398798226587961890879412408792171088024088041608806411588084374881025529302808696647214
202412232024122421:24:42.121p250588048848880088447984498.68611e+09471875461142107338822nannan8694881222177177468634.138908.488804147088021608800875238798235138796190088064038880844308810257388121860881417309302808696647214
202412232024122421:24:42.375p250588048848880088441987168.70962e+09471894461142107528822nannan8694881222349176428635.418908.818802578880088126879822318796190087941260880480880631558808463288102535881218919302808696647214
202412232024122421:24:42.621p250588048848880088441987888.71596e+09471879461142107378822nannan8694881222258175788634.698909.17880411088021918880088727879822318796190088062945880846428810250788121890881417309302808696647214
通过分析这个历史期货品种,看Level2五档一秒4笔的推送数据分析出一些特点:v2505

(1)当09:44:01.868时间点到来,一笔重量级订单悄然入场,1701份买单被布置在买一价位,买一与卖一的量差显示为1615手。买二到买五的挂单量分别为326手、486手、634手和252手,描绘出市场的丰富层次。(2)实时行情显示,22:57:30.621时段卖盘突增,1324手大单封压卖一价位,825手、753手、649手及415手卖单梯次分布于S2至S5档位,盘口呈现典型压盘特征,建议投资者密切关注后续资金流向

(3)市场在21:01:16.877时间达到最高价位,65手的买单与128手的卖单在此对峙。持仓量记录为779370手,通过四档挂单的全面分析,此处被识别为趋势反转的敏感区域

(4)当市场在13:31:05.424时间达到当日最低价时,5308.0价位上显示了426手买盘订单,而5310.0价位上则记录了112手卖盘订单。通过分析持仓量的799894手变动及后续挂单,我们可以辨识出市场在此处有大单的倾向,然而买方的力量再次推动了价格的回升。

ActionDayTradDayUpdateTimeInstruIDLastPriceHighPriceLowPriceOpenPriceLastVolumeVolumeTurnoverOpenIntPreOpenIntOpenIntChgAveragePriceClosePriceSetPricePreSetPricePreCloPriceBuyVolumeSellVolumeAvgBuyPriceAvgSellPriceBidPrice1BidVolume1DerBidVolume1BidPrice2BidVolume2DerBidVolume2BidPrice3BidVolume3DerBidVolume3BidPrice4BidVolume4DerBidVolume4BidPrice5BidVolume5DerBidVolume5AskPrice1AskVolume1DerAskVolume1AskPrice2AskVolume2DerAskVolume2AskPrice3AskVolume3DerAskVolume3AskPrice4AskVolume4DerAskVolume4AskPrice5AskVolume5DerAskVolume5ULimitPriceLLimitPriceLifeHighPriceLifeLowPrice
202412242024122409:44:01.152v2505532153635321534813099868.27849e+0978751478196155535341nannan5324535919264348765262.895380.645320163013531932615318478185317629053162500532216305323173495324656053256978532679165643500570355222
202412242024122409:44:01.393v2505532253635321534813100258.27953e+0978753578196155745341nannan5324535919226348685262.775380.6553213153201631195319326153184802053176290532216225323149255324665953256890532679165643500570355222
202412242024122409:44:01.645v2505532153635321534853100568.28035e+0978751978196155585341nannan5324535919248348665262.825380.65532151532016342153193261531848020531763405322219053231543053246661053256901532678505643500570355222
202412242024122409:44:01.868v2505532153635321534813100728.28078e+0978751578196155545341nannan5324535919257349155262.855380.515320170188531932615318486265317634053162520532186053222161532314925532466610532569235643500570355222
202412242024122409:44:02.120v2505532053635320534813100748.28083e+0978751778196155565341nannan5324535919254349965262.835380.3753201695835319336105318488265317634053162520532175053222214532315025532467013532569235643500570355222
202412242024122409:44:02.401v25055320536353205348503108438.30129e+0978744378196154825341nannan5324535919207349135262.975380.48532097681531933595318488265317634053162570532140053222226532315225532467013532569235643500570355222
202412242024122409:44:02.615v2505532053635320534813112288.31153e+0978748678196155255341nannan5324535918546348865260.925380.5353205081153193765053184882653176350531625705321234053222253153231270532467013532569235643500570355222
通过期货tick的0.25秒的五档成交数据分析出今日表现较好的品种之一:c2505

(1)在21:02:46.356时间有一笔大单买入进场,但不能确定是买开还是卖平,可以根据期货level2的仓差判断,将4044笔单子挂在买一价,导致买一和卖一价的挂单量差是3191手,后面买二、买三、买四、买五的出现挂单的个数分别是1996手,1130手,1949手,907手

(2)这个品种又在21:53:52.757时间出现了大单卖单,有故意大单的嫌疑,看历史行情是挂了3942手在卖一价,后面的单子又分别挂了2109手、1489手、1147手、1490手在S2价、S3价、S4价、S5价

(3)当14:50:35.427时刻市场价格达到顶峰,633手的买单与2800手的卖单在此交汇。持仓量保持在1063871手,四档挂单的详细审查揭示此处为市场的转折标志

(4)市场在13:31:25.160时刻录得日内最低价,此时2173.0价位上有3006手买单挂出,2174.0价位上则有290手卖单。通过持仓量1061760手的变动和四档挂单的分析,可以推测市场在此处存在大单的意图,但买方的介入使得价格得以暂时回升。

ActionDayTradDayUpdateTimeInstruIDLastPriceHighPriceLowPriceOpenPriceLastVolumeVolumeTurnoverOpenIntPreOpenIntOpenIntChgAveragePriceClosePriceSetPricePreSetPricePreCloPriceBuyVolumeSellVolumeAvgBuyPriceAvgSellPriceBidPrice1BidVolume1DerBidVolume1BidPrice2BidVolume2DerBidVolume2BidPrice3BidVolume3DerBidVolume3BidPrice4BidVolume4DerBidVolume4BidPrice5BidVolume5DerBidVolume5AskPrice1AskVolume1DerAskVolume1AskPrice2AskVolume2DerAskVolume2AskPrice3AskVolume3DerAskVolume3AskPrice4AskVolume4DerAskVolume4AskPrice5AskVolume5DerAskVolume5ULimitPriceLLimitPriceLifeHighPriceLifeLowPrice
202412232024122421:02:45.560c250521792183217921823172793.76894e+081030138102641437242181nannan2186218256685372802157.682206.56217930895217819935621771129342176194902175907021808567021811863992182120522183119402184122302317205524832120
202412232024122421:02:45.840c250521792183217921821173203.77787e+081030136102641437222181nannan2186218256687372802157.682206.56217930495217819935621771129342176194902175907021808597021811862992182120522183119402184122302317205524832120
202412232024122421:02:46.088c250521792183217921821173213.77809e+081030137102641437232181nannan2186218256647372822157.672206.56217935485217819935621771130342176194902175907021808617021811862992182120522183119402184122302317205524832120
202412232024122421:02:46.356c250521792183217921821173263.77918e+081030142102641437282181nannan2186218257147372842157.862206.56217940445217819965921771130342176194902175907021808537021811862992182120522183119402184124802317205524832120
202412232024122421:02:46.603c250521792183217921821173263.77918e+081030142102641437282181nannan2186218257643373012158.042206.55217940445217819905321771130342176194902175907021808587021811861982182121072183119402184124802317205524832120
202412232024122421:02:46.865c250521792183217921821173593.78637e+081030132102641437182181nannan2186218257643373062158.042206.5521794042521782004542177109602176194902175907021808307021811862992182120422183119402184124802317205524832120
202412232024122421:02:47.096c250521802183217921821173643.78746e+081030135102641437212181nannan2186218257654372772158.042206.5721794038521782006562177109602176194902175907021808297021811857992182120422183119402184124802317205524832120
通过期货ctp高频交易所历史tick可以看到很多细节比如品种之一:y2505

(1)在09:41:06.613时刻,一笔显著的大单悄然进入市场,724份订单被精准地挂在买一价,买一与卖一的量差此时为615手。买二至买五的挂单量依次是254手、260手、166手和180手,展现了市场的复杂结构(2)这个品种又在21:00:12.372时间出现了大单卖单,有故意大单的嫌疑,看历史行情是挂了1117手在卖一价,后面的单子又分别挂了125手、65手、99手、68手在S2价、S3价、S4价、S5价

(3)在11:03:57.622时间点,市场攀升至当日最高,29手的买单与268手的卖单在此形成对比。持仓量为672176手,结合四档挂单的周密分析,此处被认定为趋势变化的关键转折点

(4)市场在21:32:54.601时刻录得日内最低价,此时7572.0价位上有274手买单挂出,7574.0价位上则有35手卖单。通过持仓量678682手的变动和四档挂单的分析,可以推测市场在此处存在大单的意图,但买方的介入使得价格得以暂时回升。

ActionDayTradDayUpdateTimeInstruIDLastPriceHighPriceLowPriceOpenPriceLastVolumeVolumeTurnoverOpenIntPreOpenIntOpenIntChgAveragePriceClosePriceSetPricePreSetPricePreCloPriceBuyVolumeSellVolumeAvgBuyPriceAvgSellPriceBidPrice1BidVolume1DerBidVolume1BidPrice2BidVolume2DerBidVolume2BidPrice3BidVolume3DerBidVolume3BidPrice4BidVolume4DerBidVolume4BidPrice5BidVolume5DerBidVolume5AskPrice1AskVolume1DerAskVolume1AskPrice2AskVolume2DerAskVolume2AskPrice3AskVolume3DerAskVolume3AskPrice4AskVolume4DerAskVolume4AskPrice5AskVolume5DerAskVolume5ULimitPriceLLimitPriceLifeHighPriceLifeLowPrice
202412242024122409:41:05.885y2505763476347572761221945641.47816e+10672994675030-20367596nannan755475781290885607552.357725.927632314076302551576287161576261660762418007634152737636490737638200076401870764225508006710285607048
202412242024122409:41:06.130y2505763476347572761211945651.47816e+10672994675030-20367596nannan755475781291485387552.387726.157632314076302551576287161576261660762418007634154737636490737638200076401870764225508006710285607048
202412242024122409:41:06.408y2505763276347572761211946161.47855e+10673011675030-20197596nannan755475781291585467552.397726.087632265076302551576287151576261660762418007634118237636489727638200076401870764225508006710285607048
202412242024122409:41:06.613y2505763476347572761241946451.47877e+10672994675030-20367596nannan755475781286585607552.087725.937632724076302541376282601776261660762418007634109347636427117638205076401870764225508006710285607048
202412242024122409:41:06.876y2505763476347572761211947791.4798e+10673042675030-19887596nannan755475781286885347552.247725.86763415207632736976302443762824527626166076365951397638219147640187076422550764414608006710285607048
202412242024122409:41:07.124y2505763476367572761211947861.47985e+10673043675030-19877596nannan755475781301184997553.187726.24763418507632750207630243276282452762616807636594139763821277640187076422550764415908006710285607048
202412242024122409:41:07.385y2505763476367572761211947931.4799e+10673049675030-19817596nannan755475781293185137553.17726.11763418207632733147630243376282452762616807636591136763821277640188076422550764415308006710285607048

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