XtData (XtQuant 行情模块)

xtdata is the market data module of XtQuant, providing real-time and historical market data via the local miniQMT client.

⚠️ Requires miniQMT running locally. xtdata communicates with miniQMT via TCP to fetch data.

Install

pip install xtquant

Connect

from xtquant import xtdata

xtdata.connect()  # connects to local miniQMT

Optionally specify data directory:

xtdata.data_dir = r'D:\QMT\userdata_mini'

---

Download historical data

Must download before accessing local data:

# Download daily K-line
xtdata.download_history_data('000001.SZ', '1d', start_time='20240101', end_time='20240630')

# Download 1-minute K-line
xtdata.download_history_data('000001.SZ', '1m', start_time='20240101', end_time='20240630')

# Download tick data
xtdata.download_history_data('000001.SZ', 'tick', start_time='20240601', end_time='20240630')

Get K-line data

# Get market data (returns dict of DataFrames keyed by stock code)
data = xtdata.get_market_data_ex(
    [],                    # field_list, empty = all fields
    ['000001.SZ'],         # stock_list
    period='1d',           # tick, 1m, 5m, 15m, 30m, 1h, 1d, 1w, 1mon
    start_time='20240101',
    end_time='20240630',
    count=-1,              # -1 = all data
    dividend_type='front',  # none, front, back, front_ratio, back_ratio
    fill_data=True
)
df = data['000001.SZ']
# columns: open, high, low, close, volume, amount, settelementPrice, openInterest, preClose, suspendFlag

Get local data (no download needed if already cached)

data = xtdata.get_local_data(
    field_list=[],
    stock_list=['000001.SZ'],
    period='1d',
    start_time='20240101',
    end_time='20240630'
)

Real-time subscription

Subscribe single stock

def on_data(datas):
    for stock_code, data in datas.items():
        print(stock_code, data)

xtdata.subscribe_quote('000001.SZ', period='tick', callback=on_data)
xtdata.run()  # block and receive callbacks

Subscribe all stocks (全推)

xtdata.subscribe_whole_quote(['SH', 'SZ'], callback=on_data)
# Markets: 'SH' (Shanghai), 'SZ' (Shenzhen), 'BJ' (Beijing)
xtdata.run()

Get full snapshot

data = xtdata.get_full_tick(['SH', 'SZ'])
# Returns dict: {stock_code: tick_data, ...}

Financial data

# Download financial data first
xtdata.download_financial_data(['000001.SZ'])

# Get financial data
data = xtdata.get_financial_data(['000001.SZ'])

Available tables: Balance (资产负债表), Income (利润表), CashFlow (现金流量表), PershareIndex (主要指标), Capital (股本表), Top10holder, Top10flowholder, Holdernum

Ex-rights data (除权数据)

data = xtdata.get_divid_factors('000001.SZ')

Basic info

# Get contract info
info = xtdata.get_instrument_detail('000001.SZ')
# Returns: InstrumentName, ExchangeID, ProductID, UpStopPrice, DownStopPrice, ...

# Get instrument type
itype = xtdata.get_instrument_type('000001.SZ')  # 'stock', 'index', 'fund', 'bond', etc.

# Trading days
days = xtdata.get_trading_dates('SH', start_time='20240101', end_time='20240630')

# Sector/block lists
blocks = xtdata.get_stock_list_in_sector('沪深A股')

Index constituents

# Download first
xtdata.download_index_weight()

# Get weights
weights = xtdata.get_index_weight('000300.SH')
# Returns: {stock_code: weight, ...}

Convertible bond info

xtdata.download_cb_data()
data = xtdata.get_cb_data()

Available periods

tick, 1m, 5m, 15m, 30m, 1h, 1d, 1w, 1mon

Level2 data fields

If your broker supports Level2:

• l2quote — Level2 实时行情快照
• l2order — Level2 逐笔委托
• l2transaction — Level2 逐笔成交
• l2quoteaux — 总买总卖
• l2orderqueue — 委买委卖队列

Tips

• Always call xtdata.download_history_data() before get_market_data_ex() for first-time data access.
• Data is cached locally after download — subsequent reads are fast.
• xtdata.run() blocks the thread — use in a separate thread if combining with trading.
• Docs: http://dict.thinktrader.net/nativeApi/xtdata.html