Multi-Asset Backtesting Configuration

The backtesting engine supports backtesting multiple assets simultaneously, including stocks, options, futures, bonds, and general assets.

Engine Configuration

Configurations for config in createBacktester and createBacktestEngine:


Key	Description	Note
"startDate"	Start date	Required. DATE type (e.g., 2020.01.01).
"endDate"	End date	Required. DATE type (e.g., 2020.01.01).
"strategyGroup"	Strategy type	Required, must be "multiAsset"
"cash"	Initial cash	Required. A Dictionary. You can use one or more accounts to manage funds. If several assets share the same account, separate their names with a comma (",") to indicate that they share the same account. For example: Multi-Asset Shared Funds: `cashDict["futures, options"]=100000000. cashDict["futures, options, stock, bond"]=100000000.` Separate Funds for Each Asset: `cashDict["futures"]=100000000. cashDict["options"]=100000000. cashDict["stock"]=100000000. cashDict["bonds"]=100000000.` When initial cash is configured with bonds/bond, dataType must be 1, multiAssetQuoteUnifiedInput must be false, and JIT is not supported.
"commission"	Commissions on spot instruments such as stocks	DOUBLE type. Default is 0.0.
"tax"	Stamp duty for spot instruments such as stocks	DOUBLE type. Default is 0.0.
"frequency"	Aggregate snapshot data into OHLC bars at the frequency specified by frequency and trigger `onBar`	INT type. Default is 0.
"callbackForSnapshot"	Callback mode triggered for snapshot	INT type. Default is 0. Available values are: 0: Only the `onSnapshot` callback is triggered. 1: Both the `onSnapshot` and `onBar` callbacks are triggered. 2: Only the `onBar` callback is triggered.
"dataType"	Market data type: 1: Snapshot 3: Minute frequency 4: Daily frequency	When `frequency>0` and `dataType=1 or 2`, the market data are snapshots; the engine internally aggregates snapshot data at the frequency specified by frequency to trigger `onBar`.
"matchingMode"	Order matching mode	INT type. Available values are: 1: Daily: Orders are matched at the closing price. Minute frequency: Orders are matched when market time > order time. 2: Daily: Orders are matched at the opening price. Minute frequency: Orders are matched with the closing price when market time = order time and unfilled orders are matched with mode 1. 3: Orders are matched at the order price.
"benchmark"	Benchmark instrument	STRING type
"latency"	Order latency	INT type, in milliseconds. Simulates the latency between the time an user order is submitted and the time order matching begins. The default is 0, which means no latency.
"orderBookMatchingRatio"	Fill ratio against the market order book	DOUBLE type. Default is 1.0, valid range: [0-1.0].
"matchingRatio"	Order matching ratio	DOUBLE type. Default is 1.0, valid range: [0-1.0]. By default, it equals orderBookMatchingRatio.
"maintenanceMargin"	Maintenance margin ratio	DOUBLE type.
"stockDividend"	Dividend and Ex-Rights Basic Information Table	A table. See field descriptions below for details.
"multiAssetQuoteUnifiedInput"	Specifies whether the input market data for multi-asset backtesting is provided in a single table combining multiple assets or separately for each asset.	BOOL type. Default is true. In this case, the input market data multiAsset is a table combining different assets.
"msgAsPiecesOnSnapshot"	Specifies whether the `onSnapshot` callback function is triggered sequentially for each data record or simultaneously for all data records with the same timestamp.	BOOL type. The default value is false and `onSnapshot` is triggered sequentially for each data record. When set to true, all records with the same timestamp trigger `onSnapshot` simultaneously.

Field descriptions of the stockDividend table:


Field Name	Description
symbol	Stock symbol
endDate	Dividend year
annDate	Announcement date
recordDate	Record date
exDate	Ex-rights/ex-dividend date
payDate	Dividend payment date
divListDate	Listing date for bonus shares
bonusRatio	Bonus share ratio per share
capitalConversion	Capital conversion ratio per share
afterTaxCashDiv	Dividend per share (after tax)
allotPrice	Rights issue price
allotRatio	Rights issue ratio per share

Basic Information Table

The createBacktester and setSecurityReference methods take a securityReference parameter. The fields of its basic information table are listed in the following table:

For futures assets (assetType=1), securityReference supports the following two modes:

Static mode: The table does not contain a tradeDate column. The configured basic information table is used throughout the backtesting.
Trading-date mode: The table contains a tradeDate column. Before the market opens on each trading day, the engine reads the basic information table for each futures contract according to the following rules:
- If a record with a tradeDate equal to the current trading day exists, use that record.
- Otherwise, use the latest record whose tradeDate is less than or equal to the current trading day.

Static mode and trading-date mode cannot be mixed within the same engine. Whether the securityReference passed when creating the engine contains tradeDate must be consistent with the basic information table subsequently passed through Backtest::setSecurityReference.


Field Name	Data Type	Description
symbol	SYMBOL or STRING	Asset symbol
assetType	INT	Asset type 0: Stock 1: Futures 2: Commodity options 3: Stock index options 4: ETF options 5: General assets 6: Bonds
tradeDate	DATE	Trading date. Only used for futures assets and must not contain null values.
underlyingCode	STRING	Underlying code; only supported for options assets.
optType	INT	Option type; only supported for options assets. 1: Call 2: Put
strikePrice	DOUBLE	Option strike price; only supported for options assets.
multiplier	DOUBLE	Contract multiplier
marginRatio	DOUBLE	Margin ratio
tradeUnit	DOUBLE	Contract unit
priceUnit	DOUBLE	Quote unit
priceTick	DOUBLE	Minimum price increment
commission	DOUBLE	Commission
deliveryCommissionMode	INT	1: commission per lot 2: Trading value * commission
lastTradingDay	DATE	Last trading day of the contract; only supported for options assets.
exerciseDate	DATE	Option exercise date; only supported for options assets.
exerciseSettlementDate	DATE	Exercise settlement date; only supported for options assets.

In trading-date mode, you can update basic information for futures assets, such as marginRatio and commission, using records with different tradeDate values. For the same futures contract, multiplier and tradeUnit always use the values loaded initially. Subsequent changes do not take effect, and the system does not report an error.

Market Data

When you insert data into the engine through the appendQuotationMsg method, msg must be a dictionary:

When multiAssetQuoteUnifiedInput is true, the available key values for msg are:
- "indicator": Historical indicator table.
- "multiAsset": A table of market data for multiple asset classes. Different asset classes are distinguished by the assetType field.
When multiAssetQuoteUnifiedInput is false, the available key values for msg are:
- "indicator": Historical indicator table.
- "stock": Stock market data table.
- "futures": Futures market data table.
- "options": Options market data table.

Snapshot Data

The fields are described below:


Field Name	Data Type	Description
symbol	SYMBOL	Asset symbol SSE symbols end with ".XSHG". SZSE symbols end with ".XSHE".
symbolSource	STRING	"XSHG" (Shanghai Stock Exchange) or "XSHE" (Shenzhen Stock Exchange)
timestamp	TIMESTAMP	Timestamp
tradingDay	DATE	Trading date/settlement date
lastPrice	DOUBLE	Latest traded price
upLimitPrice	DOUBLE	Limit-up price
downLimitPrice	DOUBLE	Limit-down price
totalBidQty	LONG	Total bid quantity
totalOfferQty	LONG	Total offer quantity
bidPrice	DOUBLE[]	Bid price list
bidQty	LONG[]	Bid quantity list
offerPrice	DOUBLE[]	Ask price list
offerQty	LONG[]	Ask quantity list
highPrice	DOUBLE	High price
lowPrice	DOUBLE	Low price
underlyingPrice	DOUBLE	Underlying price (required only for options instruments)
assetType	INT	Asset type: 0: Stock 1: Futures 2: Options 5: General assets 6: Bonds

The following are the table creation codes for different assets. See the table above for field descriptions.

The table creation statement is as follows:

stock

colName=["symbol","symbolSource","timestamp","lastPrice","upLimitPrice",
        "downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty",
        "offerPrice","offerQty","highPrice","lowPrice"]
colType= ["STRING","STRING","TIMESTAMP","DOUBLE","DOUBLE","DOUBLE","DOUBLE",
          "DOUBLE","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE","DOUBLE"]

futures

colName=["symbol","symbolSource","timestamp","tradingDay","lastPrice",
         "upLimitPrice","downLimitPrice","totalBidQty","totalOfferQty",
         "bidPrice","bidQty","offerPrice","offerQty","highPrice","lowPrice"]
colType= ["STRING","STRING","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE",
          "DOUBLE","DOUBLE","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE",
          "DOUBLE"]

options

colName=["symbol","symbolSource","timestamp","tradingDay","lastPrice",
         "upLimitPrice","downLimitPrice","totalBidQty","totalOfferQty",
         "bidPrice","bidQty","offerPrice","offerQty","highPrice",
         "lowPrice","underlyingPrice"]
colType= ["STRING","STRING","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE",
          "DOUBLE","DOUBLE","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE",
          "DOUBLE", "DOUBLE"]

multiAsset

colName=["symbol","symbolSource","timestamp","tradingDay","lastPrice","upLimitPrice",
        "downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty","offerPrice",
        "offerQty","highPrice","lowPrice","assetType"]
colType= ["STRING","STRING","TIMESTAMP","DATE","DOUBLE","DOUBLE","DOUBLE","DOUBLE","DOUBLE",
        "DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE","DOUBLE", "INT"]
messageTable=table(10000000:0, colName, colType)

Note:

If option assets exist, you must add a DOUBLE field underlyingPrice.
Field names must exactly match those in the table. The first column must be the symbol column. In addition, columns of type INT, DOUBLE, and STRING, or a column named signal of type DOUBLE ARRAY VECTOR, are supported as extension fields.

Minute-Level or Daily Market Data