Market Data Content
Level 1 Real-time Market Data(L1 data)
Coverage All securities listed on Shenzhen Stock Exchange (SZSE), including equities, bonds, funds and indices, except for options.
Content Trading information of the above mentioned securities generated and collected by Shenzhen Stock Exchange (SZSE). Content in details contains previous day’s closing price, current day’s opening price, highest / lowest price, latest price, 5 best bid/offer prices and quantities of orders, transaction volume & value, as well as all SZSE branded indices.
Snapshot Frequency Every 3 seconds.
Delivery

Direct connection:

Co-location at SSCC Dongguan center, mainland China

6M leased line connection to SSCC L1 node at WTT Chaiwan HK

Indirect connection via an authorized third party

Specification STEP or BINARY
Please refer to /cpfw/overseas/market/technical/ for the latest Technical Specifications.
Level 2 Real-time Market Data(L2 data)
Coverage All securities listed on Shenzhen Stock Exchange, including equities, bonds, funds, and indices, except for options.
Content Contents include previous day’s closing price, current day’s opening price, highest / lowest price, latest price, 10 best bid/offer prices and quantities of orders, top 50 orders at the best bid/offer price, accumulated transaction volume & order, tick-by-tick order and tick-by-tick trade, as well as all SZSE branded indices.
Snapshot Frequency Every 3 seconds.
Delivery

Direct connection:

Co-location at SSCC Dongguan center, mainland China

50M leased line connection with SSCC L2 node at SkyExchange@IAC in HK

Indirect connection via an authorized third party

Specification STEP or BINARY
Please refer to /cpfw/overseas/market/technical/ for the latest Technical Specifications.
Options Data
Coverage Options listed on SZSE.
Content Pre close price, open, high/low price, latest price, 5 best bid/offer prices and quantities of orders, transaction volume & value.
Snapshot Frequency Every 0.5 second.
Delivery Delivered in the Level 1 real-time market datafeed but subject to different Market Data Issuance Channel.
Specification Please refer to /cpfw/overseas/market/technical/ for the latest Technical Specifications.
Ddelayed Data
At least 15-min delayed Level 1 or Level 2 market data of all securities on SZSE.
EOD Data
End-of-day market data mean the closing price information after the market closes at 3pm, specifically including security code, short name, closing price, high/low, share outstanding.

Note: There is only Level 1 data (as defined above) available for options, which is only available in the Level 1 raw datafeed delivered by SZSE at the moment.