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题主提供的数据是深交所的。上交所的逐笔数据并不是完备的,不能完整恢复订单簿,题主对于这个问题有解决思路吗 #3
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上交所数据不完备,比如说:
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等上交实装新的竞价逐笔合并数据(UA5803)就没有bizIndex了(也不需要了),参考现在的债券竞价逐笔合并数据(UA3901)。 |
@fpga2u 对于上交所,举例来说 因此,深交所恢复出来的数据,如果当天交易所数据完整,则交易所发布的所有tick数据都可以在恢复出来的tick中找到;而上交所无论用何种方式恢复,都无法和深交所一样,因为信息是不完备的(缺少严格的顺序信息) see also: https://www.zhihu.com/question/53079335 |
也有可能,上交所各种机制确实挺迷的,等有空了深入分析一下。 |
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