【数据建议】【集合竞价表】【cn_stock_bar1m_derived表】

由bqv93dy2创建，最终由bqv93dy2更新于2025-12-09 13:00 被浏览 48 用户

1. 可以增加未匹配的金额吗（9点25分的tick）？2. 这个数据需要早盘更新，不能是下午17点

%%sql
select
    date,
    instrument,
    open_auction_order_volume	as	竞价总委托量,
    open_auction_cancel_volume	as	竞价总撤单量,
    open_auction_trade_volume	as	竞价总成交量,
    open_auction_order_volume-open_auction_cancel_volume-open_auction_trade_volume as 竞价未成交量,
    open_auction_trade_price*竞价未成交量/1e8 as 竞价未成交额亿,
    open_auction_trade_amount,
    open_auction_trade_price,

    from cn_stock_factors_auction
    where date>'2025-08-14' and instrument in ('600208.SH','600737.SH')
    order by open_auction_trade_amount

这样计算出来的结果无法显示价位上究竟是多方占优还是空方占优，而且结果与同花顺提供数据有差别

或者是把这个9点25分的时间增加到cn_stock_bar1m_derived表中，如同cn_stock_bar1m表

import dai
df = dai.query("""
    select 
        date, instrument,
    from cn_stock_bar1m 
    where instrument = '000001.SZ' """,
    filters={"date": ["2024-04-08 00:00:00", "2024-04-08 23:59:59"]}
).df()
df

\