China Stock Connect: the net-flow series is gone, and where the real data lives

Context

WorldMonitor's China equity coverage was two Yahoo symbols. Issue #6155 asked for "Stock Connect northbound flows + margin balance", naming northbound net flow as "arguably the single most valuable China market series we don't have".

Two things had to be settled before any code: whether that series still exists (it does not), and where the data that does exist actually lives (four endpoints, none of them documented).

Guidance

1. Northbound NET flow has not existed since 2024-08-16

Both exchanges stopped publishing the northbound buy/sell split on that date. Only gross turnover (buy + sell, one combined number) survives. There is no primary source for net inflow — any vendor advertising it post-2024 is modelling or reconstructing it.

The exchanges say so themselves. SZSE's own SGT_SGTJYRB report footer links a separate archive for the pre-cutoff series:

备注：查看2024年08月16日前的数据，请点击此处  ->  CATALOGID=SGT_SGTJYRB_BEFORE

This is the load-bearing fact. Turnover is two-way trading activity. Labelling it "flows" tells a reader that ¥296bn entered the mainland market when it means ¥296bn changed hands in both directions. Ship it as turnover, and say in the payload that net flow is unavailable rather than leaving the reader to assume:

// scripts/china-stock-connect/adapters.mjs
export const NORTHBOUND_NET_FLOW_DISCONTINUED_ON = '2024-08-16';
export const NORTHBOUND_NET_FLOW_UNAVAILABLE_REASON =
  'EXCHANGE_STOPPED_PUBLISHING_BUY_SELL_SPLIT';

The seeder's publish gate rejects any snapshot that drops the marker, so the caveat cannot be lost by a later refactor.

2. The four endpoints (verified live 2026-08-05)

All on hosts already covered by the existing china-corporate-disclosures terms review — no new vendor, no new terms question.

Both require Referer (https://www.sse.com.cn/ / https://www.szse.cn/) and a User-Agent. Publication timing: northbound lands after each session closes; margin is T+1 on both exchanges.

3. Units are inconsistent — one endpoint breaks the pattern

SSE's margin endpoint is the only one quoting yuan. Getting this wrong is a 100× error that still looks plausible. Two invariants catch a slipped mapping: each exchange's own total = financing + lending, and A-share margin balance sits around ¥2.5tn — a number three orders out is obviously wrong.

4. Endpoint discovery: read the network tab, not the HTML

Both sites are JS-driven; the endpoints appear in no HTML and no public docs. Fetching the page and grepping for sqlId returns nothing. What works:

chrome-devtools-axi open 'https://www.sse.com.cn/services/hkexsc/hgtscsj/hgtcjgk/'
chrome-devtools-axi eval 'performance.getEntriesByType("resource").map(e=>e.name).filter(n=>/query\.sse/.test(n)).join("\n")'

That prints the sqlIds directly. Two traps:

• commonQuery.do fails open. An unknown sqlId returns HTTP 200 with result: null — indistinguishable from "no data" unless you check for the null. The northbound endpoints are on commonSoaQuery.do, a different path.
• Southbound looks like northbound. SSE publishes 港股通 (southbound, mainland money into HK) far more prominently. Northbound is 沪股通 under /services/hkexsc/hgtscsj/, southbound is 港股通 under /ggtscsj/. Southbound does still carry BUY_AMOUNT/SELL_AMOUNT, which makes it very easy to grab the wrong series and think net flow is still available.

5. SZSE reports are date-keyed and dump everything without a date

Omitting txtDate returns the entire series since 2010 (~438 KiB observed for margin). Always pin the date, and set a response ceiling so a regression fails loudly instead of parsing:

const EXCHANGE_MAX_RESPONSE_BYTES = 65_536;
url.searchParams.set('txtDate', tradeDate);   // never optional

Because the date is required, the seeder must find a published date: fetch the exchange trading calendar (monthList, jybz: "1" = trading day) and probe back a bounded number of trading days. An empty data: [] with a blank subname is SZSE saying "not published yet" — normal for margin before the T+1 release, and distinct from a malformed payload, which must be reported separately or an upstream schema change reads as a market holiday.

6. Do not reach for BaoStock / AKShare / EastMoney

• BaoStock and AKShare are Python libraries, not APIs. The seeder fleet is Node ESM; the only .py under scripts/ is a one-off converter. Adding a Python runtime to the Railway containers is a real cost for data reachable another way.
• EastMoney is undocumented private JSON with no published terms. That breaks a bar this repo already holds for Chinese sources specifically: scripts/china-macro/source-contracts.mjs checks robots.txt for NBS/SAFE/PBOC/GACC, and scripts/china-corporate-disclosures/adapters.mjs carries a termsUrl for SSE/SZSE/HKEX. EastMoney would be the first Chinese source with neither.

Why This Matters

The 2024-08-16 fact is the expensive one. Without it, the obvious reading of "Stock Connect flows" leads to either building a panel from a series that no longer exists, or — worse — shipping gross turnover under a "net flow" label, which is not a missing feature but a wrong number presented confidently.

The endpoint list is the second-most expensive: none of it is documented, and the browser network-capture step is the only reliable way to find it.

When to Apply

Reach for this before adding any China A-share market series, and immediately when an issue, panel, or stakeholder asks for northbound "flows", "net buy", or "foreign inflow" — the answer is that the series was discontinued, and the honest substitutes are gross turnover (participation intensity) and margin balance (leverage / risk appetite).

Examples

Live values on 2026-08-05, as a sanity anchor for a future integration:

northbound turnover  2026-08-04   SSE ¥135.449bn + SZSE ¥160.909bn = ¥296.358bn
margin balance       2026-08-03   SSE ¥1.337tn  + SZSE ¥1.257tn    = ¥2.594tn

Reachability differs sharply by environment, which is why the direct → proxy ladder in scripts/_china-exchange-transport.mjs is load-bearing rather than defensive:

A seeder that only did direct fetches would pass every local check and fail in production. Verify China-source reachability against the Railway decision log of an existing seeder on the same host, not against a laptop.

The ladder stops at the proxy deliberately. A seeder fetches upstream data and writes it to Redis; the web tier reads Redis and serves it. Routing an exchange fetch through an edge function to borrow its egress inverts that — the web tier becomes a hop in data acquisition. A sibling seeder does have such a hop, added as defence in depth for an outage that its own change record says had already recovered without it; in production it is the hop that answers with a gateway error while the proxy works.

Related

• docs/china-data-coverage.mdx — the source table, terms, and unit rules (EN + zh)
• docs/solutions/integration-issues/merged-is-not-ran-long-cron-seeders.md — a merged seeder is not live until its cron fires
• docs/solutions/integration-issues/railway-seeder-watch-paths-can-skip-deployments.md — the registry is documentation; live watch paths are separate
• Shipped in PR #6190 (Closes #6155), unmerged as of this writing