China Stock Market Open Benchmark Datasets
The FinTech Lab at GSAS provides many open benchmark data sets on China’s financial markets. Researchers are welcome to download and utilize the data as described in the following table. Please acknowledge the data source and GSAS’ publications as appropriate. If you would like to cooperate with our lab on more in-depth research projects, please drop us an email at fintechlab@gsas.edu.hk
| File/Directory link | Time period And Update Frequency | Content and Instrument Coverage | Data Field Headings (data in csv format) |
|---|---|---|---|
| 1min-Bar | 2010-2019; Quarterly update | Minute bar for all instruments traded on Chinese stock exchanges ( including A-Shares, B-Shares, Indices, Funds, and Bonds) | Date,Time, Open, High, Low, Close, Volume(multiple of 100), Amount |
| DailyBar | All history (1991.2-2020.3); Quarterly update | Daily bar for all instruments traded on Chinese stock exchanges (including A-Shares, B-Shares, and Funds) | Date, Open, High, Low, Close, Volume, Amount |
| Dividend | All history (1991.2-2020.3); Quarterly update | All A-Shares traded on Chinese stock exchanges | StockSymbol, RecordDate(股份登记日), Ex-DiviendDate(除权日), ReceivalDate(到账日),DividendCashAmt(每股现金分红), DividendShareNum(每股红股), DividendConvertedShareNum(每股转增股), RightsOfferShareNum(每股配股量), RightsOfferPrice(配股价) |
| Trading Halt(停牌) | All history (1991.2-2020.3); Quarterly update | All A-Shares traded on Chinese stock exchanges | StockSymbol,Time,Started or Halt Canceled |
| Order Info (Level-2) | 2013.2-2014.2 2020.4; |
More than 300 actively traded stocks and funds on Chinese stock exchanges | Timestamp, Symbol, OrderId, OrderSide[1], OrderType[2], OrderPrice, OrderSize, ChannelNo |
| Transaction Info (Level-2) | 2013.2-2014.2 2020.4; |
More than 300 actively traded stocks and funds on Chinese stock exchanges | Timestamp,Symbol, TradeNo, BuyOrderId, SellOrderId,TradePrice, TradeQty, TradeSide,TradeType[3], ChannelNo |
| [1]:1=Buy,2=Sell,3=Borrow,4=Lend [2]:1=MarketOrder, 2=LimitOrder, 3=Our best price(本方最优) [3]:0=Filled,1=Canceled | |||
