衍生性金融商品
在台股衍生性商品資料，我們擁有 7 種資料集，如下:
- 期貨、選擇權即時報價總覽 TaiwanFutOptTickInfo
- 期貨、選擇權即時報價 TaiwanFutOptTick
- 期貨、選擇權日成交資訊總覽 TaiwanOptionFutureInfo
- 期貨日成交資訊 TaiwanFuturesDaily
- 選擇權日成交資訊 TaiwanOptionDaily
- 期貨交易明細表 TaiwanFuturesTick
- 選擇權交易明細表 TaiwanOptionTIck
期貨、選擇權即時報價總覽 TaiwanFutOptTickInfo¶
Example
import requests
import pandas as pd
url = "https://api.finmindtrade.com/api/v3/data"
parameter = {
"dataset": "TaiwanFutOptTickInfo",
}
data = requests.get(url, params=parameter)
data = data.json()
data = pd.DataFrame(data['data'])
print(data.head())
code callput date name listing_date update_date expire_price
0 TGO05200N1 賣權 2021/02 黃金選擇權 2020-03-17 2020-05-27 52000.0
1 TGO05400N1 賣權 2021/02 黃金選擇權 2020-03-03 2020-05-27 54000.0
2 TGO05600N1 賣權 2021/02 黃金選擇權 2020-02-26 2020-05-27 56000.0
3 TGO06300N1 賣權 2021/02 黃金選擇權 2020-02-26 2020-05-27 63000.0
4 CAO00600O1 賣權 2021/03 南亞股票選擇權 2020-04-16 2020-05-27 600.0
library(httr)
library(data.table)
library(dplyr)
url = 'https://api.finmindtrade.com/api/v3/data'
response = httr::GET(
url = url,
query = list(
dataset="TaiwanFutOptTickInfo"
)
)
data = content(response)
df = data$data %>%
do.call('rbind',.) %>%
data.table
head(df)
code callput date name listing_date update_date expire_price
1: TGO05200N1 賣權 2021/02 黃金選擇權 2020-03-17 2020-05-27 52000
2: TGO05400N1 賣權 2021/02 黃金選擇權 2020-03-03 2020-05-27 54000
3: TGO05600N1 賣權 2021/02 黃金選擇權 2020-02-26 2020-05-27 56000
4: TGO06300N1 賣權 2021/02 黃金選擇權 2020-02-26 2020-05-27 63000
5: CAO00600O1 賣權 2021/03 南亞股票選擇權 2020-04-16 2020-05-27 600
6: CAO00700O1 賣權 2021/03 南亞股票選擇權 2020-04-16 2020-05-27 700
期貨、選擇權即時報價 TaiwanFutOptTick¶
(由於資料量過大，只提供 date 當天 data)
Example
import requests
import pandas as pd
url = "https://api.finmindtrade.com/api/v3/data"
parameter = {
"dataset": "TaiwanFutOptTick",
"data_id":"TXFE0"
}
data = requests.get(url, params=parameter)
data = data.json()
data = pd.DataFrame(data['data'])
print(data.head())
date Time Close Volume futopt_id TickType
0 2020/05/16 04:58:01.867000 [10737.0] [1] TXFE0 1
1 2020/05/16 00:57:21.057000 [10714.0] [1] TXFE0 2
2 2020/05/16 00:44:44.173000 [10724.0] [1] TXFE0 2
3 2020/05/16 00:02:05.424000 [10727.0] [1] TXFE0 1
4 2020/05/16 00:04:48.422000 [10729.0] [1] TXFE0 2
library(httr)
library(data.table)
library(dplyr)
url = 'https://api.finmindtrade.com/api/v3/data'
response = httr::GET(url = url,
query = list(
dataset="TaiwanFutOptTick",
data_id="TXFE0"
)
)
data = response %>% content
df = do.call('cbind',data$data) %>%data.table
head(df)
date Time Close Volume futopt_id TickType
1: 2020/05/16 04:58:01.867000 <list> <list> TXFE0 1
2: 2020/05/16 00:57:21.057000 <list> <list> TXFE0 2
3: 2020/05/16 00:44:44.173000 <list> <list> TXFE0 2
4: 2020/05/16 00:02:05.424000 <list> <list> TXFE0 1
5: 2020/05/16 00:04:48.422000 <list> <list> TXFE0 2
6: 2020/05/16 00:00:38.929000 <list> <list> TXFE0 2
期貨、選擇權日成交資訊總覽 TaiwanOptionFutureInfo¶
Example
import requests
import pandas as pd
url = "https://api.finmindtrade.com/api/v3/data"
parameter = {
"dataset": "TaiwanOptionFutureInfo",
}
data = requests.get(url, params=parameter)
data = data.json()
data = pd.DataFrame(data['data'])
print(data.head())
code type
0 AAA TaiwanOptionDaily
1 AAB TaiwanOptionDaily
2 AAO TaiwanOptionDaily
3 ABA TaiwanOptionDaily
4 ABO TaiwanOptionDaily
library(httr)
library(data.table)
library(dplyr)
url = 'https://api.finmindtrade.com/api/v3/data'
response = httr::GET(url = url,
query = list(
dataset="TaiwanOptionFutureInfo"
)
)
data = response %>% content
df = do.call('cbind',data$data) %>%data.table
head(df)
code type
1: AAA TaiwanOptionDaily
2: AAB TaiwanOptionDaily
3: AAO TaiwanOptionDaily
4: ABA TaiwanOptionDaily
5: ABO TaiwanOptionDaily
6: ACA TaiwanOptionDaily
期貨日成交資訊 TaiwanFuturesDaily¶
Example
import requests
import pandas as pd
url = "https://api.finmindtrade.com/api/v3/data"
parameter = {
"dataset": "TaiwanFuturesDaily",
"data_id":"TX",
"date": "2020-04-01"
}
data = requests.get(url, params=parameter)
data = data.json()
data = pd.DataFrame(data['data'])
print(data.head())
date future_id contract_date open max min close spread spread_per volume settlement_price open_interest trading_session
0 2020-04-01 TX 202004 9630.0 9665.0 9551.0 9575.0 -20.0 -0.21 73771 0.0 0 after_market
1 2020-04-01 TX 202004 9588.0 9650.0 9551.0 9552.0 -43.0 -0.45 116273 9555.0 83725 position
2 2020-04-01 TX 202004/202005 0.0 0.0 0.0 0.0 0.0 0.0 0 0.0 0 after_market
3 2020-04-01 TX 202004/202005 -68.0 -68.0 -70.0 -69.0 0.0 0.0 381 0.0 0 position
4 2020-04-01 TX 202004/202006 -137.0 -137.0 -137.0 -137.0 0.0 0.0 10 0.0 0 after_market
library(httr)
library(data.table)
library(dplyr)
url = 'https://api.finmindtrade.com/api/v3/data'
response = httr::GET(url = url,
query = list(
dataset="TaiwanFuturesDaily",
data_id="TX",
date= "2020-04-01"
)
)
data = response %>% content
df = do.call('cbind',data$data) %>%data.table
head(df)
date future_id contract_date open max min close spread spread_per volume
1: 2020-04-01 TX 202004 9630.0 9665.0 9551.0 9575.0 -20.0 -0.21 73771
2: 2020-04-01 TX 202004 9588.0 9650.0 9551.0 9552.0 -43.0 -0.45 116273
3: 2020-04-01 TX 202004/202005 0.0 0.0 0.0 0.0 0.0 0.0 0
4: 2020-04-01 TX 202004/202005 -68.0 -68.0 -70.0 -69.0 0.0 0.0 381
5: 2020-04-01 TX 202004/202006 -137.0 -137.0 -137.0 -137.0 0.0 0.0 10
6: 2020-04-01 TX 202004/202006 -139.0 -139.0 -139.0 -139.0 0.0 0.0 5
settlement_price open_interest trading_session
1: 0.0 0 after_market
2: 9555.0 83725 position
3: 0.0 0 after_market
4: 0.0 0 position
5: 0.0 0 after_market
6: 0.0 0 position
選擇權日成交資訊 TaiwanOptionDaily¶
Example
import requests
import pandas as pd
url = "https://api.finmindtrade.com/api/v3/data"
parameter = {
"dataset": "TaiwanOptionDaily",
"data_id":"TXO",
"date": "2020-04-01"
}
data = requests.get(url, params=parameter)
data = data.json()
data = pd.DataFrame(data['data'])
print(data.head())
date option_id contract_date strike_price call_put open max min close volume settlement_price open_interest trading_session
0 2020-04-01 TXO 202004 7300.0 call 0.0 0.0 0.0 0.0 0 0.0 0 after_market
1 2020-04-01 TXO 202004 7300.0 call 0.0 0.0 0.0 0.0 0 2270.0 26 position
2 2020-04-01 TXO 202004 7400.0 call 0.0 0.0 0.0 0.0 0 0.0 0 after_market
3 2020-04-01 TXO 202004 7400.0 call 0.0 0.0 0.0 0.0 0 2170.0 0 position
4 2020-04-01 TXO 202004 7500.0 call 0.0 0.0 0.0 0.0 0 0.0 0 after_market
library(httr)
library(data.table)
library(dplyr)
url = 'https://api.finmindtrade.com/api/v3/data'
response = httr::GET(url = url,
query = list(
dataset="TaiwanOptionDaily",
data_id="TXO",
date= "2020-04-01"
)
)
data = response %>% content
df = do.call('cbind',data$data) %>%data.table
head(df)
date option_id contract_date strike_price call_put open max min close volume
1: 2020-04-01 TXO 202004 7300.0 call 0.0 0.0 0.0 0.0 0
2: 2020-04-01 TXO 202004 7300.0 call 0.0 0.0 0.0 0.0 0
3: 2020-04-01 TXO 202004 7400.0 call 0.0 0.0 0.0 0.0 0
4: 2020-04-01 TXO 202004 7400.0 call 0.0 0.0 0.0 0.0 0
5: 2020-04-01 TXO 202004 7500.0 call 0.0 0.0 0.0 0.0 0
6: 2020-04-01 TXO 202004 7500.0 call 0.0 0.0 0.0 0.0 0
settlement_price open_interest trading_session
1: 0.0 0 after_market
2: 2270.0 26 position
3: 0.0 0 after_market
4: 2170.0 0 position
5: 0.0 0 after_market
6: 2080.0 4 position
期貨交易明細表 TaiwanFuturesTick¶
(由於資料量過大，只提供 date 當天 data)
Example
import requests
import pandas as pd
url = "https://api.finmindtrade.com/api/v3/data"
parameter = {
"dataset": "TaiwanFuturesTick",
"stock_id": "MTX",
"date": "2020-04-01",
}
data = requests.get(url, params=parameter)
data = data.json()
data = pd.DataFrame(data['data'])
print(data.head())
contract_date date futures_id price volume
0 202004 2020-04-01 00:00:01 MTX 9641.0 2
1 202004 2020-04-01 00:00:01 MTX 9641.0 2
2 202004 2020-04-01 00:00:01 MTX 9641.0 6
3 202004 2020-04-01 00:00:02 MTX 9640.0 2
4 202004 2020-04-01 00:00:02 MTX 9640.0 2
library(httr)
library(data.table)
library(dplyr)
url = 'https://api.finmindtrade.com/api/v3/data'
response = httr::GET(
url = url,
query = list(
dataset="TaiwanFuturesTick",
stock_id="MTX",
date= "2020-01-02"
)
)
data = content(response)
df = data$data %>%
do.call('rbind',.) %>%
data.table
head(df)
contract_date date futures_id price volume
1: 202001 2020-01-02 08:45:00 MTX 12045.0 852
2: 202001 2020-01-02 08:45:00 MTX 12045.0 2
3: 202001 2020-01-02 08:45:00 MTX 12045.0 2
4: 202001 2020-01-02 08:45:00 MTX 12045.0 2
5: 202001 2020-01-02 08:45:00 MTX 12045.0 2
6: 202001 2020-01-02 08:45:00 MTX 12045.0 2
選擇權交易明細表 TaiwanOptionTick¶
(由於資料量過大，只提供 date 當天 data)
Example
import requests
import pandas as pd
url = "https://api.finmindtrade.com/api/v3/data"
parameter = {
"dataset": "TaiwanOptionTick",
"stock_id": "OCO",
"date": "2019-09-05",
}
data = requests.get(url, params=parameter)
data = data.json()
data = pd.DataFrame(data['data'])
print(data.head())
library(httr)
library(data.table)
library(dplyr)
url = 'https://api.finmindtrade.com/api/v3/data'
response = httr::GET(
url = url,
query = list(
dataset="TaiwanOptionTick",
stock_id="OCO",
date= "2019-09-05"
)
)
data = content(response)
df = data$data %>%
do.call('rbind',.) %>%
data.table
head(df)