Level-2 Real time Products(Data)
The market data products of the Shanghai Stock Exchange (SSE) include real-time Level-1 market data and Level-2 market data. Only qualified vendors are authorized to redistribute or use the above data. Eligible organizations in non Mainland China regions could submit application for license to China Investment Information Services Limited (CIIS).
SSE Level-2 market data is a value-added securities market data service launched by SSE InfoNet Ltd., a wholly owned subsidiary of SSE,. SSE InfoNet drew on the experiences of foreign securities market data services, pooled the collective wisdom of securities professionals and information service providers.
Level-2 market data is targeted on institutional investors, by increasing market transparency, reducing irrational price fluctuations, and enhancing market activity. It will also satisfy diversified demands of various investors, help create the securities information service industry chain and facilitate the implementation of state policies on strengthening exploitation and utilization of information resources.
The launch of Level-2 market data is of great significance. It was a concrete move taken by SSE to serve the market and also an important step to raise the market service level and move towards internationalization. Compared with the existing real-time Level-1 market data provided by SSE for the market, Level-2 contains far more rich information and is distinctively different in transmission and dissemination.
1. Information content
Compared with the existing real-time Level-1 market data, SSE Level-2 market data has the following additional information:
| Value-added information | Description |
|---|---|
| Transaction details | Dynamic number of transactions |
| Tick by tick data | |
| Order information | Total instructed quantities |
| Weighted average bid/offer price | |
| Quantity of each of the top 50 orders at the best bid/offer price | |
| Quantities of orders at the 10 best prices | |
| Each order data | |
| Order cancellation information | Top 10 stocks in terms of cancelled order quantities |
| Ranking | Real-time trading value of each sector |
| Real-time ranking of top 5 stocks of each sector in terms of traded value | |
| Percentage of trading value of each sector in the total turnover value. | |
| Yield rate on bonds | Real-time yield-to-maturity of bonds |
2.Significance
(1) Promoting the implementation of SSE's development strategy: accelerating SSE's implementation of internationalization strategy, boosting its core competitiveness, and providing diversified products and services.
(2) Satisfying market demands: meeting business needs, increasing market transparency, reducing irrational price fluctuations, and enhancing market activity.
(3) Carrying out state policies on information resources: the state has given policy support to the development of the information industry and the creation of securities information industry chain.
3.Transmission
SSE Level-2 market data is transmitted through the international standard data interface (FIX-based STEP protocol) with excellent flexibility and scalability. It supports data resending mechanisms and ensures the completeness of information. It also employs security certification mechanisms such as user authority control and encryption.
4. Dissemination
SSE Level-2 market data is modeled on the international securities information industry chain of "stock exchange - information vendor - user". SSE InfoNet produces Level-2 market data and provides it to licensed professional information vendors, which, in turn, develop a wide range of products and deliver them to the market. End-users can choose appropriate products according to the value of information and their needs.
SSE Level-2 market data will be upgraded simultaneously when the SSE's new generation trading system goes live.
Historical Data
SSE historical data covers Shanghai A-share、Shanghai B-share and Indices (including SSE Indices, SHSE-SZSE 300 Index and CSI Indices).This data is available for research and market analysis.
| Day-end Closing Data | Coverage: | Shanghai A Share, Shanghai B Share and China Index. |
|---|---|---|
| Content: | Level-1 Historical Data,Level-2 Intra-Day Snapshot Historical Data, Level-2 Historical Tick Data, SSE Level-2 Historical Order Book Data (excluding Stock Options),Stock Options Intra-Day Snapshot Historical Data,China Indices* Intra-Day Snapshot Historical Data,China Financial Futures Exchange Level-2 Intra-Day Snapshot Historical Data,SSE and China Indices End of Day Historical Data (excluding Stock Options) | |
| Earliest date available: | 19 December 1990 | |
| Issue Basis: | Daily | |
| Subscription Basis: | Yearly | |
| Data Format: | Text(.csv) |
For overseas subscribers, if you are interested in SSE historical data, please go to CIIS website (www.ciis.com.hk) to download Historical Data Order Form, Technical Specification and Sample Data.If you have any enquiries, please contact CIIS at marketing@ciis.com.hk.
Contact Us in Overseas
| China Investment Information Services Limited | Suite 2501-2503 Great Eagle Centre, 23 Harbour Road, Wanchai, Hong Kong |
|---|---|
| Tel | 852 2501 0600 |
| Website | www.ciis.com.hk |
| marketing@ciis.com.hk |
Contact Us in Mainland (for local clients only)
| SSE InfoNet Ltd. | 528 SouthPudongRoad, Shanghai 200120, China |
|---|---|
| Tel | 021-68800098 |
| market@sseinfo.com |