TFtaq: Treasury Future's TAQ data in 2015-12-25

In chenhaotian/High-Frequency-Trading-Simulation-System: High-Frequency Trading Simulation System

Description

A dataset containing all the TAQ informations. The variables are as follows:

Usage

TFtaq

Format

A data frame with 19178 rows and 55 variables

Details

• CONTRACTID. instrument id

• TDATETIME. trade time

• OPENPRICE. open price

• LASTPRICE. last price

• HIGHPRICE. high price

• LOWPRICE. low price

• SETTLEPRICE. settle price

• PRESETTLE. previous settle price

• CLOSEPRICE. close price

• PRECLOSE. previous close

• CQ. current trade volume

• VOLUME. total volume

• CM. cm

• AMOUNT. amount

• PREPOSITION. preposition

• POSITION. position

• POSITIONCHANGE. positionchange

• LIMITUP. limitup

• LIMITDOWN. limitdown

• SIDE. side

• OC. oc

• B01. bid price 01

• B02. bid price 02

• B03. bid price 03

• B04. bid price 04

• B05. bid price 05

• S01. ask price 01

• S02. ask price 02

• S03. ask price 03

• S04. ask price 04

• S05. ask price 05

• BV01. bid volume 01

• BV02. bid volume 02

• BV03. bid volume 03

• BV04. bid volume 04

• BV05. bid volume 05

• SV01. ask volume 01

• SV02. ask volume 02

• SV03. ask volume 03

• SV04. ask volume 04

• SV05. ask volume 05

• CURRDELTA. currdelta

• PREDELTA. predelta

• SETTLEMENTGROUPID. settlementgroupid

• SETTLEMENTID. settlementid

• CHANGE. change

• CHANGERATIO. changeratio

• CONTINUESIGN. continuesign

• TRADINGDATE. tradingdate

• LOCALTIME. localtime

• RECTIME. rectime

• EXCHANGECODE. exchange code

• ID. id

• UNIX. unix time stamp

• DATE. date, (

chenhaotian/High-Frequency-Trading-Simulation-System documentation built on May 13, 2019, 3:52 p.m.