A-share market analysis covering Shanghai and Shenzhen exchanges
Most quantitative developers who venture into A-share trading face the same wall: Level-2 market data—order book depth, tick-by-tick trades, Level-2 order queue—costs anywhere from ¥5,000 to ¥50,000 p
--- "Execution is not guaranteed just because the signal fires." On September 24, 2024, a broad stimulus announcement sent Chinese A-share markets into parabolic moves. Dozens of stocks hit their dail
"Quote 20,000 RMB per year. No historical depth data. Polling only." That was the response from a prominent A-share data vendor when I asked about Level-2 quote access. The price was for a single user
--- "Shanghai's East Yan'an Road branch liquidated its entire position in [-0.03 seconds]." That timestamp matters. On March 14, 2024, the China Securities Journal published the daily Dragon Tiger Lis
--- On September 25, 2023, a single brokerage branch in Shenzhen bought ¥187 million worth of a small-cap tech stock. Within 72 hours, that stock surged 34%. Three weeks later, the same branch appeare
--- "Price is the effect. The data feed is the cause." On a Tuesday afternoon in March, a quantitative developer we'll call Chen spent four hours debugging a mean-reversion strategy that kept failing
--- The Backtest That Lied to You Your strategy returned 34.7% annualized over three years. Sharpe ratio of 1.82. Max drawdown of −11.3%. You deployed capital. On live trading day 12, you tried to buy