高频Tick数据:五档期货Level2深度解析20241224

高频Tick数据:五档期货Level2深度解析20241224

高频Tick五档期货Level2数据,作为一种先进的金融市场分析工具,以其一秒四次的高频更新,为投资者揭示了市场的微观结构。本文将深入探讨这一数据如何帮助投资者洞察市场动态,优化交易策略,实现投资收益的最大化。

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
通过期货Level2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:m2505

(1)在11:12:36.158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3606笔单子挂在买一价,导致买一和卖一价的挂单量差是3523手,后面买二、买三、买四、买五的出现挂单的个数分别是877手,1338手,735手,1131手

(2)在14:02:54.550时间出现了大单卖单,这些卖单做空该合约,挂了3562手在卖一价,后面又分别挂了1375手、2004手、1735手、1503手在卖二价、卖三价、卖四价、卖五价

(3)在10:55:44.905时间点,出现了今日最高价,此时有258手做多的单子,有2071手做空的单子,通过持仓量2580237手和后续四档挂单分析出这里是一个转折点

(4)在21:31:36.576时间点,出现了今日最低价,此时在2609.0价位上有2254手做多的单子,在2610.0价位上有830手做空的单子,通过持仓量2586467手变化和后续四档挂单分析出这里有人想要做空,但是后续买单继续拉了一下

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
观察期货Level2五档金融和商品历史行情过滤出一个异动较大的品种:p2505

(1)在21:24:41.877时间有一笔大单进场,将913笔单子挂在买一价,此时买一价和卖一价的量差是909手,后面买二到买四的挂单量分别是226,189,124,171手

(2)在22:03:41.309时间出现了大单卖单,这些卖单做空该合约,挂了1085手在卖一价,后面又分别挂了331手、294手、262手、160手在卖二价、卖三价、卖四价、卖五价

(3)在21:00:00.629时间点,出现了今日最高价,此时有8手做多的单子,有250手做空的单子,通过持仓量461343手和后续四档挂单分析出这里是一个转折点

(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手做多的单子,在8738.0价位上有107手做空的单子,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做空,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
观察期货Level2五档金融和商品历史行情过滤出一个异动较大的品种:v2505

(1)可以通过分析仓差时间判断09:44:01.868时间有大户进场,将1701笔单子买入,拉升量差是1615手,然后同一时刻分析后面买二、买三、买四的挂单量分别是326,486,634,252手

(2)在22:57:30.621时间出现了大单卖单,这些卖单做空该合约,挂了1324手在卖一价,后面又分别挂了825手、753手、649手、415手在卖二价、卖三价、卖四价、卖五价

(3)在21:01:16.877时间点,出现了今日最高价,此时有65手做多的单子,有128手做空的单子,通过持仓量779370手和后续四档挂单分析出这里是一个转折点

(4)在13:31:05.424时间点,出现了今日最低价,此时在5308.0价位上有426手做多的单子,在5310.0价位上有112手做空的单子,通过持仓量799894手变化和后续四档挂单分析出这里有人想要做空,但是后续买单继续拉了一下

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Level2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)可以通过分析仓差时间判断21:02:46.356时间有大户进场,将4044笔单子买入,拉升量差是3191手,然后同一时刻分析后面买二、买三、买四的挂单量分别是1996,1130,1949,907手

(2)在21:53:52.757时间出现了大单卖单,这些卖单做空该合约,挂了3942手在卖一价,后面又分别挂了2109手、1489手、1147手、1490手在卖二价、卖三价、卖四价、卖五价

(3)在14:50:35.427时间点,出现了今日最高价,此时有633手做多的单子,有2800手做空的单子,通过持仓量1063871手和后续四档挂单分析出这里是一个转折点

(4)在13:31:25.160时间点,出现了今日最低价,此时在2173.0价位上有3006手做多的单子,在2174.0价位上有290手做空的单子,通过持仓量1061760手变化和后续四档挂单分析出这里有人想要做空,但是后续买单继续拉了一下

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Level2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:y2505

(1)在09:41:06.613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724笔单子挂在买一价,导致买一和卖一价的挂单量差是615手,后面买二、买三、买四、买五的出现挂单的个数分别是254手,260手,166手,180手

(2)在21:00:12.372时间出现了大单卖单,这些卖单做空该合约,挂了1117手在卖一价,后面又分别挂了125手、65手、99手、68手在卖二价、卖三价、卖四价、卖五价

(3)在11:03:57.622时间点,出现了今日最高价,此时有29手做多的单子,有268手做空的单子,通过持仓量672176手和后续四档挂单分析出这里是一个转折点

(4)在21:32:54.601时间点,出现了今日最低价,此时在7572.0价位上有274手做多的单子,在7574.0价位上有35手做空的单子,通过持仓量678682手变化和后续四档挂单分析出这里有人想要做空,但是后续买单继续拉了一下

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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