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衍生與可轉債

期貨日情境(基差/近月/法人OI)

Name: Futures Daily Context
Creator: TW Market Data
License: https://twmarketdata.com/zh-TW/legal/licensing

期貨日情境:每筆為某契約某日的近月期貨收盤對現貨指數(基差、基差%)、未平倉量與日變動、距結算日與結算旗標、三大法人淨未平倉、賣買權比。衍生自 TAIFEX 期貨日資料+現貨指數。非預測、非建議。

← 期貨日情境(基差/近月/法人OI) 資料集總覽

衍生來源: TAIFEX·方案: starter·計費: 2 點·GET /v2/datasets/futures-daily-context

期貨日情境(基差/近月/法人OI)是台灣市場資料集,來源為 TAIFEX,由 TW Market Data 以 GET /v2/datasets/futures-daily-context 提供,資料日 2026-07-31。

資料日 2026-07-31(trade_date)。

總覽

欄位	型別	說明
`contract`	string
`trade_date`	string
`near_contract_month`	string
`method`	string
`futures_close`	number
`spot_index_code`	string
`spot_close`	number
`basis`	number	futures−spot
`basis_pct`	number
`open_interest`	number
`oi_delta`	number	daily Δ
`settlement_price`	number
`days_to_settlement`	number
`settlement_flag`	boolean
`inst_net_oi_foreign`	null	NULL pre-2023-07
`inst_net_oi_itrust`	null
`inst_net_oi_dealer`	null
`put_call_ratio`	null	NULL where no options data
`grade`	string
`rule_version`	string

涵蓋範圍

列數	6,954
涵蓋起訖	1998-07-21 – 2026-09-03
分級	衍生
量測時間	2026-09-04取自資料集登錄表

範例回應

此為本端點的真實回應。資料列位於 "data" 之下，來源資訊如下方所示；各資料集形狀不盡相同，請以本頁為準。

{
  "dataset_id": "futures_daily_context",
  "request_context": {
    "scope": "taifex_futures_daily_context",
    "coverage_type": "daily_series",
    "filters": {
      "contract": null,
      "trade_date": null,
      "date_from": null,
      "date_to": null,
      "settlement_flag": null,
      "limit": 50
    },
    "min_trade_date": "2026-05-25",
    "max_trade_date": "2026-08-04"
  },
  "quality": {
    "row_count": 50,
    "contract_count": 1,
    "settlement_day_count": 2,
    "rows_missing_basis": 0,
    "sensitive_fields_exposed": false
  },
  "lineage": {
    "methods": [
      "current_month"
    ],
    "rule_versions": [
      "v0"
    ],
    "semantics": "One row per trading session: the futures close against its spot index, the resulting basis (futures minus spot) and basis_pct, open interest and its day-over-day delta, days to settlement, and the three institutional NET OPEN INTEREST legs with the put/call ratio. DERIVED from taifex_futures_daily, so an outage upstream appears here a day later."
  },
  "error": null,
  "data": [
    {
      "contract": "TX",
      "trade_date": "2026-08-04",
      "near_contract_month": "202608",
      "method": "current_month",
      "futures_close": 43357,
      "spot_index_code": "TWSE_TAIEX",
      "spot_close": 43360.66,
      "basis": -3.66,
      "basis_pct": -0.0084,
      "open_interest": 106602,
      "oi_delta": -2987,
      "settlement_price": 43344,
      "days_to_settlement": 15,
      "settlement_flag": false,
      "inst_net_oi_foreign": null,
      "inst_net_oi_itrust": null,
      "inst_net_oi_dealer": null,
      "put_call_ratio": null,
      "grade": "derived",
      "rule_version": "v0"
    },
    {
      "contract": "TX",
      "trade_date": "2026-08-03",
      "near_contract_month": "202608",
      "method": "current_month",
      "futures_close": 43230,
      "spot_index_code": "TWSE_TAIEX",
      "spot_close": 43386.41,
      "basis": -156.41,
      "basis_pct": -0.3605,
      "open_interest": 109589,
      "oi_delta": -1713,
      "settlement_price": 43219,
      "days_to_settlement": 16,
      "settlement_flag": false,
      "inst_net_oi_foreign": null,
      "inst_net_oi_itrust": null,
      "inst_net_oi_dealer": null,
      "put_call_ratio": null,
      "grade": "derived",
      "rule_version": "v0"
    }
  ],
  "data_count": 50,
  "known_gaps": [
    "basis_is_futures_close_minus_spot_close_a_negative_basis_is_backwardation",
    "inst_net_oi_legs_are_net_open_interest_not_traded_volume",
    "days_to_settlement_counts_calendar_days_not_trading_days"
  ],
  "warnings": [
    "not_investment_advice"
  ],
  "envelope": {
    "dataset_id": "futures_daily_context",
    "scope": "taifex_futures_daily_context",
    "row_count": 50
  }
}

擷取自 2026-07-20 的線上 API。

授權與顯名

本服務部分資料取自政府資料開放平臺(data.gov.tw),依「政府資料開放授權條款-第1版」授權利用。資料提供機關:臺灣證券交易所、證券櫃檯買賣中心、臺灣期貨交易所、臺灣集中保管結算所、國家發展委員會、中央銀行、經濟部統計處、財政部關務署。本服務之加值處理、衍生計算與呈現方式由 TWMD 負責,與各資料提供機關無涉。

引用此資料集

TW Market Data. (2026). 期貨日情境(基差/近月/法人OI) (Version 2026-07-31) [Data set]. TW Market Data. Retrieved 2026-09-05, from https://twmarketdata.com/zh-TW/docs/api/derivatives/futures-daily-context

版本取自資料集自己的 as_of，不是這一頁的產生日期。沒有 as_of 的資料集就不列這個欄位，不會補一個看起來合理的值。驗證簽章

可與本資料集對齊的其他資料集。每組都標出可用來 join 的欄位,規劃跨表查詢時不必自己猜。

選擇權每日Delta
可用 contract + trade_date 對齊
期交所最後結算價
可用 contract 對齊
選擇權日線
可用 trade_date 對齊
台指ATM隱含波動率
可用 trade_date 對齊
選擇權結算價
可用 trade_date 對齊

快速開始

把你的金鑰放進 X-API-Key 標頭。
加上查詢參數（symbol、日期區間、limit）。
送出請求並讀取 data 陣列。

curl "https://api.twmarketdata.com/v2/datasets/futures-daily-context" \
  -H "X-API-Key: sk_live_..."

篩選參數

參數	必填	型別	說明
`symbol`	是	string	股票代碼，例如 2330。
`start_date`	否	string (YYYY-MM-DD)	查詢起始日期。
`end_date`	否	string (YYYY-MM-DD)	查詢結束日期。
`limit`	否	integer	回傳筆數上限。

Python 範例

import requests

resp = requests.get(
    "https://api.twmarketdata.com/v2/datasets/futures-daily-context",
    params={},
    headers={"X-API-Key": "sk_live_..."},
)
resp.raise_for_status()
print(resp.json()["data"])

OpenAPI

此端點為 GET /v2/datasets/futures-daily-context。完整機器可讀 schema（參數、認證、回應封裝）見 OpenAPI spec。

請求與回應

請求

curl "https://api.twmarketdata.com/v2/datasets/futures-daily-context?symbol=2330&start_date=2026-01-01&end_date=2026-06-30&limit=5" \
  -H "X-API-Key: $TWMD_API_KEY"

回應

{
  "dataset_id": "futures_daily_context",
  "quality": {
    "row_count": "<number>",
    "contract_count": "<number>",
    "settlement_day_count": "<number>",
    "rows_missing_basis": "<number>",
    "sensitive_fields_exposed": "<boolean>"
  },
  "error": null,
  "data": [
    {
      "contract": "<string>",
      "trade_date": "<string>",
      "near_contract_month": "<string>",
      "method": "<string>",
      "futures_close": "<number>",
      "spot_index_code": "<string>",
      "spot_close": "<number>",
      "basis": "<number>",
      "basis_pct": "<number>",
      "open_interest": "<number>",
      "oi_delta": "<number>",
      "settlement_price": "<number>",
      "days_to_settlement": "<number>",
      "settlement_flag": "<boolean>",
      "inst_net_oi_foreign": "<null>",
      "inst_net_oi_itrust": "<null>",
      "inst_net_oi_dealer": "<null>",
      "put_call_ratio": "<null>",
      "grade": "<string>",
      "rule_version": "<string>"
    }
  ],
  "data_count": 50,
  "known_gaps": [
    "<string>"
  ],
  "warnings": [
    "<string>"
  ],
  "envelope": {
    "dataset_id": "<string>",
    "scope": "<string>",
    "row_count": "<number>"
  }
}