This manual describes the data format and access method for stock options market data in the Shanghai Stock Exchange LDDS system.
The document provides developers and data vendors with detailed instructions on how to receive stock options market data from the Shanghai Stock Exchange LDDS system. It defines the static and real‑time data files, their formats, and the messaging protocol used for delivery.
Key sections cover system access requirements, data definitions (including file names and update schedules), message specifications, and the FAST compression protocol. The specification also explains the market‑status field and how to interpret the various tag values in the data stream. This manual is written in Chinese.
| Real‑time file name | mktdt03.txt |
|---|---|
| Static file names | reff03MMDD.txt, zhcl03MMDD.txt, clpr03MMDD.txt |
| Data transmission hours | 08:30‑15:30 each trading day |
| Real‑time update frequency | Every 15 seconds during call‑auction, twice per second during continuous trading |
| Product category tag | 30 (tag10142) |
During the call‑auction period the data is refreshed every 15 seconds, and during continuous trading it is refreshed twice per second.
The real‑time option data is provided in the file named mktdt03.txt.
The product category is identified by tag10142 with the value 30.