Friends Data API独立数据服务

DATASET · research

Daybreak 实时因子账本

research.rt_factor_ledger
研究成品

这是已经产出的研究信号与市场状态中的“Daybreak 实时因子账本”数据集;一行由 session_date、instrument_id、snapshot_ts 定位,主要字段包括 underlying、opt_vol_surge、opt_call_vol_surge、opt_putcall_imbalance、opt_os_dollar。

字段58
关键字段3
更新口径producer_schedule
时间列snapshot_ts
单页上限5000
分页Cursor
PIT不支持
规模1M-9M

WHAT IT ANSWERS

这张表适合回答什么

  • 读取已完成的研究信号和市场状态
  • 复盘信号随行情变化的结果

GRAIN & TIME

一行代表什么

业务粒度
每行代表“Daybreak 实时因子账本”的一条记录;逻辑粒度由 session_date × instrument_id × snapshot_ts 共同确定。
时间口径
以 snapshot_ts 为主要查询时间轴;除下方限制特别说明外,时间戳按 UTC、日期按来源市场日历解释。
更新节奏
由对应生产任务或事件触发更新,不承诺固定日历频率;查询前先检查最新时间。

KEY FIELDS

先看这些字段

session_date
session date 对应的日历日期。
instrument_id
WarrenHub 统一证券标识;跨证券数据集优先用它联接。
snapshot_ts
生成该快照的时间。

RECOMMENDED JOINS

怎样和其他表关联

ref.instrumenton instrument_id

用 instrument_id 补充证券代码、名称、市场、交易所和资产类型。

HOW TO QUERY SAFELY

查询方法与已知限制

先用 catalog 确认当前契约;可按 catalog 中列出的 filters 进一步缩小范围;单页最多 5000 行,响应有 has_more 时原样传回 next_cursor 继续分页。

MACHINE CONTRACT

筛选、排序与分页

UNVERSIONED
默认排序
session_date, instrument_id, snapshot_ts
唯一键
session_date, instrument_id, snapshot_ts
读取模式
canonical_final_active
最大时间窗
未单独限制

可用 filters

instrument_id→ instrument_id · integer
underlying→ underlying · string

POINT IN TIME

可复现读取

NOT AVAILABLE

该资产没有 PIT 契约。普通 rows 端点仍按当前公开读模式返回数据;不要把它表述成历史时点快照。

COPY-READY CALLS

怎么调用

同一数据集可用 HTTP、Python SDK、CLI 或 MCP;Key 始终只通过环境变量/Bearer Header 传递。

READ ONLY
HTTP
curl --fail-with-body -H "Authorization: Bearer $FRIENDS_DATA_API_KEY" "https://api.alphahubs.uk/api/v1/data/datasets/research/rt_factor_ledger/rows?limit=100&instrument_id=1"

FIELD DICTIONARY

58 个返回字段

descriptionSource 可在 JSON 中区分仓库注释、标准术语表和名称推导说明。

#字段ClickHouse 类型JSON可空角色说明
1session_datedateDatestring / datenodefault_order, warehouse_primary_key, contract_unique_keyCalendar date for session date (YYYY-MM-DD).名称推导
2instrument_idUInt64integernofilter, default_order, warehouse_primary_key, contract_unique_keyWarrenHub canonical instrument identifier; use it for cross-dataset joins.标准术语表
3snapshot_tsUTC_datetimeDateTime64(3, 'America/New_York')string / date-timenotime, default_order, warehouse_primary_key, contract_unique_keyUTC timestamp for snapshot ts.名称推导
4underlyingLowCardinality(String)stringnofilterSource-normalized field: underlying.名称推导
5opt_vol_surgeNullable(Float64)numberyesvalueSource-normalized field: opt vol surge.名称推导
6opt_call_vol_surgeNullable(Float64)numberyesvalueSource-normalized field: opt call vol surge.名称推导
7opt_putcall_imbalanceNullable(Float64)numberyesvalueSource-normalized field: opt putcall imbalance.名称推导
8opt_os_dollarNullable(Float64)numberyesvalueSource-normalized field: opt os dollar.名称推导
9opt_stock_vol_ratioratioNullable(Float64)numberyesvalueRatio value for opt stock vol ratio.名称推导
10opt_iv_rampNullable(Float64)numberyesvalueSource-normalized field: opt iv ramp.名称推导
11opt_skewNullable(Float64)numberyesvalueSource-normalized field: opt skew.名称推导
12opt_negative_skewNullable(Float64)numberyesvalueSource-normalized field: opt negative skew.名称推导
13rvolNullable(Float64)numberyesvalueSource-normalized field: rvol.名称推导
14volume_structure_breakNullable(Float64)numberyesvalueSource-normalized field: volume structure break.名称推导
15price_breakdownNullable(Float64)numberyesvalueSource-normalized field: price breakdown.名称推导
16opt_vol_surge_firedUInt8integernovalueSource-normalized field: opt vol surge fired.名称推导
17opt_call_vol_surge_firedUInt8integernovalueSource-normalized field: opt call vol surge fired.名称推导
18opt_putcall_imbalance_firedUInt8integernovalueSource-normalized field: opt putcall imbalance fired.名称推导
19opt_os_dollar_firedUInt8integernovalueSource-normalized field: opt os dollar fired.名称推导
20opt_stock_vol_ratio_firedUInt8integernovalueSource-normalized field: opt stock vol ratio fired.名称推导
21opt_iv_ramp_firedUInt8integernovalueSource-normalized field: opt iv ramp fired.名称推导
22opt_skew_firedUInt8integernovalueSource-normalized field: opt skew fired.名称推导
23opt_negative_skew_firedUInt8integernovalueSource-normalized field: opt negative skew fired.名称推导
24rvol_firedUInt8integernovalueSource-normalized field: rvol fired.名称推导
25volume_structure_break_firedUInt8integernovalueSource-normalized field: volume structure break fired.名称推导
26price_breakdown_firedUInt8integernovalueSource-normalized field: price breakdown fired.名称推导
27n_firedUInt8integernovalueCount of fired.名称推导
28opt_putcall_imbalance_bearish_firedUInt8integernovalueSource-normalized field: opt putcall imbalance bearish fired.名称推导
29n_fired_bearishUInt8integernovalueCount of fired bearish.名称推导
30und_last_priceNullable(Float64)numberyesvaluePrice value for und last price.名称推导
31und_move_pctpercentNullable(Float64)numberyesvaluePercentage value for und move pct.名称推导
32gap_pctpercentNullable(Float64)numberyesvaluePercentage value for gap pct.名称推导
33option_contractsUInt64integernovalueSource-normalized field: option contracts.名称推导
34option_notionalNullable(Float64)numberyesvalueSource-normalized field: option notional.名称推导
35stock_dollar_volumeNullable(Float64)numberyesvalueQuantity for stock dollar volume.名称推导
36stock_share_volumeNullable(Float64)numberyesvalueQuantity for stock share volume.名称推导
37classified_shareNullable(Float64)numberyesvalueSource-normalized field: classified share.名称推导
38atm_ivNullable(Float64)numberyesvalueSource-normalized field: atm iv.名称推导
39atm_call_ivNullable(Float64)numberyesvalueSource-normalized field: atm call iv.名称推导
40atm_put_ivNullable(Float64)numberyesvalueSource-normalized field: atm put iv.名称推导
41iv_snapshotsUInt32integernovalueSource-normalized field: iv snapshots.名称推导
42adj_factorNullable(Float64)numberyesvalueSource-normalized field: adj factor.名称推导
43prior20d_highNullable(Float64)numberyesvalueSource-normalized field: prior20d high.名称推导
44prior20d_lowNullable(Float64)numberyesvalueSource-normalized field: prior20d low.名称推导
45adv20Nullable(Float64)numberyesvalueSource-normalized field: adv20.名称推导
46fwd_ret_1dNullable(Float64)numberyesvalueSource-normalized field: fwd ret 1d.名称推导
47fwd_max_ret_5dNullable(Float64)numberyesvalueSource-normalized field: fwd max ret 5d.名称推导
48outcome_asofNullable(Date)string / dateyesvalueSource-normalized field: outcome asof.名称推导
49producer_versionLowCardinality(String)stringnovalueSource-normalized field: producer version.名称推导
50ingest_run_idStringstringnoprovenanceIdentifier of the ingestion run that produced the row.标准术语表
51versionUInt64integernoprovenanceMonotonic row version used for correction-aware reads.标准术语表
52is_deletedUInt8integernovalueSoft-delete marker; public serving excludes current tombstones.标准术语表
53quality_statusLowCardinality(String)stringnoprovenanceMachine-readable data-quality classification.标准术语表
54degraded_reasonStringstringnovalueSource-normalized field: degraded reason.名称推导
55coverage_n_underlyingsUInt32integernovalueSource-normalized field: coverage n underlyings.名称推导
56coverage_floorUInt32integernovalueSource-normalized field: coverage floor.名称推导
57maturity_statusLowCardinality(String)stringnovalueSource-normalized field: maturity status.名称推导
58matured_atUTC_datetimeNullable(DateTime64(3, 'UTC'))string / date-timeyesvalueUTC timestamp for matured at.名称推导
字典口径

结构来自 Friends 只读身份可见的真实 serving relation;权限、过滤、排序、PIT 与分页来自可执行 DatasetSpec。Schema observed at 2026-10-06T18:08:52Z。