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Interpreting Market Data and Futures and Stock Trading Fields

Article TqSdk

Summary

This reference explains commonly used fields in market data objects and in futures and stock trading objects. For quotes, K-lines, and ticks, it identifies prices, timestamps, volume, open interest, and other session or contract details. Separate tables describe account balances, positions, orders, and trades for futures and stocks, including how to interpret prices, quantities, status, profit, fees, and timestamps.

It also gives practical guidance for selecting a small set of fields to display, distinguishing human-readable market-data times from generally nanosecond order and trade times, and accessing related orders or trade records. These definitions are a usage reference, not a trading method or performance analysis. Field meanings may depend on whether the object represents market data, futures, or stocks, and the source notes indicate that the explanations derive from a particular software repository.

Key ideas

  • Quote fields include current prices, best bid and ask, top-of-book volumes, and cumulative activity data.
  • K-line and tick rows provide time-stamped market observations with prices, volume, and, where applicable, open interest.
  • Futures account and position fields describe equity, available funds, margin, profit, and long or short holdings.
  • Order and trade objects distinguish requested quantities from fills and include identifiers, prices, directions, and status details.
  • Stock trading objects use their own account, position, order, and trade fields, including share quantities and cash amounts.
  • Market-data timestamps are generally readable strings, while order and trade timestamps are generally nanoseconds since the Unix epoch.

Tags

FuturesEquitiesExecutionMarket microstructure
Full text
# Object Fields


# Object Fields

## Table Of Contents

- How to use this reference
- Quote, K-line, and Tick
- Futures `Account`, `Position`, `Order`, `Trade`
- Stock `SecurityAccount`, `SecurityPosition`, `SecurityOrder`, `SecurityTrade`
- Practical answering rules

## How To Use This Reference

Use this file when the user asks what object fields mean.

Rules:

1. Identify whether the object is market data, futures trading, or stock trading.
2. Explain the smallest relevant field set first.
3. Mention whether the object is a live reference updated by `wait_update()`.
4. Mention when a field is only meaningful for futures or only for stock.

## Quote, K-line, And Tick

`Quote` common fields:

| Field | Meaning | Typical use |
| --- | --- | --- |
| `datetime` | exchange timestamp string | confirm freshness |
| `last_price` | latest traded price | current price display |
| `ask_price1`, `bid_price1` | best ask and best bid | spread, order pricing |
| `ask_volume1`, `bid_volume1` | top-of-book volume | liquidity checks |
| `volume` | cumulative traded volume | activity checks |
| `open_interest` | open interest | futures participation |
| `highest`, `lowest`, `open`, `close`, `average` | session statistics | intraday analysis |
| `price_tick` | minimum price increment | order price calculation |
| `volume_multiple` | contract multiplier | PnL and sizing |
| `open_min_market_order_volume`, `open_min_limit_order_volume` | minimum opening order size for market or limit orders | decide whether `TargetPosTask(..., support_open_min_volume=True)` is needed |
| `instrument_name`, `instrument_id`, `exchange_id`, `ins_class` | contract identity | explain what the symbol is |
| `underlying_symbol` | underlying for main contracts and options | map derived contracts |
| `expired` | whether the contract is expired | avoid stale examples |

K-line row common fields:

- `datetime`
- `open`
- `high`
- `low`
- `close`
- `volume`
- `open_oi`
- `close_oi`

Tick row common fields:

- `datetime`
- `last_price`
- `ask_price1`, `bid_price1`
- `highest`, `lowest`
- `volume`
- `amount`
- `open_interest`

## Futures `Account`

Most useful fields:

| Field | Meaning |
| --- | --- |
| `balance` | dynamic account equity |
| `available` | available funds |
| `margin` | margin in use |
| `float_profit` | floating PnL versus open price |
| `position_profit` | position PnL versus prior settlement |
| `close_profit` | realized close PnL today |
| `commission` | fees paid today |
| `deposit`, `withdraw` | today's cash movement |
| `risk_ratio` | margin divided by equity |
| `market_value` | option market value |

## Futures `Position`

Most useful fields:

| Field | Meaning |
| --- | --- |
| `pos` | net position |
| `pos_long`, `pos_short` | long and short total lots |
| `pos_long_today`, `pos_short_today` | today's long and short lots |
| `pos_long_his`, `pos_short_his` | yesterday's long and short lots |
| `float_profit` | floating PnL |
| `position_profit` | position PnL |
| `margin` | margin used by this position |
| `open_price_long`, `open_price_short` | average open price |
| `position_price_long`, `position_price_short` | average holding cost basis |

Less preferred compatibility fields from the broker side:

- `volume_long*`
- `volume_short*`

Prefer the `pos_*` fields in explanations unless the user explicitly needs the broker-returned compatibility values.

## Futures `Order`

| Field | Meaning |
| --- | --- |
| `order_id` | client order id |
| `exchange_order_id` | exchange order id |
| `direction` | `BUY` or `SELL` |
| `offset` | `OPEN`, `CLOSE`, `CLOSETODAY` |
| `volume_orign` | original order size |
| `volume_left` | unfilled size |
| `limit_price` | order limit price |
| `price_type` | `ANY`, `LIMIT`, `BEST`, or `FIVELEVEL` depending on exchange behavior |
| `volume_condition` | quantity condition |
| `time_condition` | time condition |
| `insert_date_time` | order timestamp in nanoseconds |
| `status` | `ALIVE` or `FINISHED` |
| `last_msg` | latest order-state message |
| `is_dead` | definitely cannot trade anymore |
| `is_online` | definitely accepted by exchange and waiting |
| `is_error` | definitely a bad order |
| `trade_price` | average traded price |

Useful related property:

- `order.trade_records`

## Futures `Trade`

| Field | Meaning |
| --- | --- |
| `trade_id` | trade id |
| `order_id` | parent order id |
| `price` | trade price |
| `volume` | filled lots |
| `direction` | `BUY` or `SELL` |
| `offset` | open or close action |
| `trade_date_time` | trade timestamp in nanoseconds |

## Stock `SecurityAccount`

| Field | Meaning |
| --- | --- |
| `asset` | total current assets |
| `available` | current available cash |
| `drawable` | cash that can be withdrawn |
| `market_value` | current stock market value |
| `cost` | current total buy cost |
| `hold_profit` | holding profit |
| `float_profit_today` | today's floating profit |
| `real_profit_today` | today's realized profit |
| `profit_today` | today's total profit |
| `profit_rate_today` | today's profit rate |
| `buy_frozen_balance`, `buy_frozen_fee` | cash and fee frozen by pending buy orders |

## Stock `SecurityPosition`

| Field | Meaning |
| --- | --- |
| `volume` | current shares |
| `volume_his` | prior-day shares |
| `last_price` | latest price |
| `market_value` | current market value |
| `cost` | current cost |
| `hold_profit` | holding profit |
| `profit_today` | today's total profit |
| `profit_rate_today` | today's profit rate |
| `real_profit_total` | accumulated realized profit |
| `profit_total` | total profit |

## Stock `SecurityOrder`

| Field | Meaning |
| --- | --- |
| `order_id` | client order id |
| `exchange_order_id` | exchange order id |
| `direction` | `BUY` or `SELL` |
| `volume_orign` | requested shares |
| `volume_left` | unfilled shares |
| `price_type` | price type |
| `limit_price` | limit price |
| `frozen_fee` | frozen fee |
| `status` | current order state |
| `last_msg` | latest order-state message |

## Stock `SecurityTrade`

| Field | Meaning |
| --- | --- |
| `trade_id` | trade id |
| `order_id` | parent order id |
| `direction` | `BUY`, `SELL`, `SHARED`, or `DEVIDEND` |
| `volume` | shares or granted shares |
| `price` | trade price |
| `balance` | cash amount or dividend amount |
| `fee` | fee |
| `trade_date_time` | trade timestamp in nanoseconds |

## Practical Answering Rules

- Futures timestamps and stock timestamps are generally nanoseconds since Unix epoch on order and trade objects.
- Market-data `datetime` is usually a human-readable string.
- When the user asks "what fields should I print", prefer 4 to 8 fields, not the full object.
- For "all orders" or "all trades", explain that the getter returns a dict-like collection keyed by id.
- For "what traded under this order", prefer `order.trade_records`.
- For "what orders belong to this position", mention `position.orders`.

## Repository Sources

- `tqsdk/objs.py`
- `tqsdk/api.py`
- `tqsdk/tradeable/mixin.py`

Shown in full with attribution under the source's licence. Licence: Apache-2.0

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.