High-frequency Futures Data

该数据集涵盖了从2023年5月4日至2023年5月29日的20个交易日的高频期货数据，数据频率为每0.5秒一次。包含六个期货品种：螺纹钢、白银、燃料油、镍、锡和黄金，这些品种的数据样本量和交易时间各不相同。数据集中还包含了交易时间、日价格、累计成交金额和成交量，以及多个交易位的买卖订单价格和数量信息。这些数据已被用于构建预测变量，以分析高频交易中的回报率。该数据集的规模覆盖了20个交易日，不同品种的数据样本量有所差异。任务目标是进行高频交易中的回报预测。

This dataset comprises high-frequency futures trading data covering 20 trading days between May 4, 2023 and May 29, 2023, with a sampling interval of 0.5 seconds. It encompasses six futures contracts: rebar, silver, fuel oil, nickel, tin, and gold, each with distinct sample sizes and trading sessions. The dataset further includes trading timestamps, daily prices, cumulative trading turnover, cumulative trading volume, as well as bid and ask order prices and volumes for multiple order book price levels. This dataset has been utilized to develop predictive variables for analyzing returns in high-frequency trading contexts. With a total coverage of 20 trading days, the dataset exhibits varying sample sizes across different futures commodities. The primary task objective for this dataset is return prediction in high-frequency trading.