SHFE Notice Event & Risk-Parameter Database

上海期货交易所公告标签与风险参数事件数据库。项目基于上海期货交易所公开公告，构建可按“调整原因、调整参数、时间、品种/合约”组合查询的SQLite数据库，并提供Excel入口、Python查询工具、参数事件候选和人工复核机制。

Independent research project. This repository is not affiliated with or endorsed by the Shanghai Futures Exchange (SHFE). It does not constitute investment advice.

Project snapshot

  • Coverage: 2000-10-08 to 2026-08-10
  • Notices indexed: 4,963
  • Automatically generated parameter-event candidates: 6,473
  • Products identified: 25
  • Reason taxonomy: 8 adjustment categories plus code 00
  • Parameter taxonomy: 13 parameter types
  • Priority review queue: P0 372, P1 580, P2 748, P3 3,263
  • Five priority products: gold (AU), silver (AG), copper (CU), rebar (RB), fuel oil (FU)

The database is not limited to the five priority products. Other SHFE/INE products can also be queried; the five-product list only determines the current manual-review priority.

Repository contents

database/
  SHFE_notice_event_database_v2.2.sqlite3
  SHFE_notice_query_v2.1.xlsx
  five_products_P0_review_queue.csv
docs/
  SHFE公告标签与参数事件数据库使用说明_v2.1.docx
scripts/
  query_shfe_notices.py
  query_shfe_parameter_events.py
  upgrade_shfe_notice_db.py
  upgrade_notice_event_layer.py
  preserve_notice_manual_work.py
data_dictionary/
  REASON_CODES.md
  PARAMETER_CODES.md
  DATABASE_SCHEMA.md
examples/
  example_queries.sql
audits/

The original HTML pages, attachments and large archive packages are intentionally excluded from Git history. Versioned full-data packages should be distributed through GitHub Releases.

Quick start with DB Browser for SQLite

  1. Install DB Browser for SQLite.
  2. Open database/SHFE_notice_event_database_v2.2.sqlite3.
  3. Select Browse Data.
  4. Choose v_notice_query for notice-level search, or parameter_events for event candidates.
  5. Filter product_codes, parameter_codes, primary_reason_code or date fields.

Example: query fuel-oil price-limit events.

SELECT *
FROM parameter_events
WHERE product_code = 'FU'
  AND parameter_code = 'price_limit'
ORDER BY announcement_date DESC;

More examples are available in examples/example_queries.sql.

Four query dimensions

Question Main fields Meaning
Why was it adjusted? primary_reason_code, reason_code Holiday, temporary risk control, consecutive limit moves, listing, delivery, limits, rule change, other special handling
What was adjusted? parameter_code, parameter_name Price limit, margin, trading/position/opening limits, hours, listing, delivery, fees, options
When was it adjusted? publish_date, announcement_date, effective_date_candidate Publication date is confirmed; effective/restore dates remain candidates until reviewed
Which product/contract? product_code, contract_codes Product-level and contract-level identification

Key tables and views

  • notices: all notice metadata and extracted text.
  • notice_products: product and contract tags with evidence.
  • notice_parameters: parameter tags, candidate values and evidence.
  • notice_dates: dates extracted from notice text.
  • parameter_events: product-by-parameter event candidates.
  • review_tasks: P0-P3 manual-review queue.
  • manual_overrides: persistent manual corrections.
  • v_notice_query: recommended notice-level query view.
  • v_final_products, v_final_parameters: automatic tags merged with manual overrides.
  • v_event_research_ready: manually confirmed events with effective dates.

Python usage

The query scripts use only the Python standard library.

python scripts/query_shfe_notices.py `
  --db database/SHFE_notice_event_database_v2.2.sqlite3 `
  --product FU --parameter price_limit `
  --from-date 2020-01-01 --to-date 2026-12-31 `
  --out fuel_oil_notices.csv

python scripts/query_shfe_parameter_events.py `
  --db database/SHFE_notice_event_database_v2.2.sqlite3 `
  --product FU --parameter price_limit `
  --out fuel_oil_events.csv

Quality boundary

Automatic labels and parameter_events are research-screening candidates, not verified facts. Before an event is used in formal analysis, users should verify:

  1. the official notice and attachment;
  2. the affected product and contract range;
  3. effective and restoration dates;
  4. old/new parameter values and units;
  5. monthly and daily parameter records;
  6. whether a limit expansion was rule-triggered or separately announced.

At this release, v_event_research_ready contains no records because formal manual confirmation has not yet been completed.

Data source and rights

Source notices originate from the official SHFE website: https://www.shfe.com.cn/publicnotice/notice/. Official notice text, attachments, trademarks and website content remain the property of their respective rights holders. See DATA_NOTICE.md.

The MIT license in this repository applies to the original source code and project documentation, not to third-party official notices or attachments.

Citation

If you use this project, please cite the repository and record the database version and access date. A formal citation file can be added after the first public release and DOI assignment.

Disclaimer

This project is for academic and technical research only. It is not an official SHFE database, and no warranty is provided regarding completeness, classification accuracy or fitness for trading and investment decisions.

Version 2.2 completeness update

Version 2.2 adds notice-body recovery, source provenance, body-resource archiving, and reproducible completeness checks.

  • Notices: 4,963
  • Coverage: 2000-10-08 to 2026-08-10
  • Parameter-event candidates: 6,473
  • Research-ready events: 0
  • Remaining empty notice bodies: 40
  • Empty bodies individually classified: 40
  • Early official-boundary parameter gaps: 27
  • Body-resource coverage: 97.88%
  • SQLite integrity check: ok
  • Completeness gate: PASS_WITH_DOCUMENTED_GAPS

The 27 research-relevant empty-body records are monthly settlement-parameter notices from 2003-05 through 2005-08. They precede the confirmed starting boundary of the parallel official monthly structured dataset. Parameter-value analyses should therefore use 2005-09 as the recommended starting boundary unless independent primary-source validation is completed.

All 6,473 parameter events remain automatically generated candidates. The v_event_research_ready view remains empty until event-level manual validation is completed.

See:

  • audits/v22_completeness_gate.json
  • audits/v22_completeness_gate_full_hash.json
  • audits/remaining_empty_body_gap_classification.csv
  • audits/v2.2_body_gap_classification.md