Options Backtesting Configuration

The backtesting plugin supports backtesting the following types of options data: snapshot, minute-level data, and daily data.

Engine Configuration

You can create a backtesting engine using createBacktester or createBacktestEngine. The config parameter is used to configure the engine. config is a dictionary. See the following table for the supported key-value pairs:

Table 1. Table 1-1 Description of *config* Parameter
Key	Value Type	Required	Description
"startDate"	DATE	Yes	The date on which backtesting starts, for example, 2020.01.01.
"endDate"	DATE	Yes	The date on which backtesting ends, for example, 2020.06.01.
"strategyGroup"	STRING	Yes	The strategy type. For options backtesting, set this to "option".
"cash"	DOUBLE	Yes	Initial capital.
"dataType"	INT	Yes	The market data type. Valid values: 1: Snapshot 3: Minute-level data 4: Daily data
"frequency"	INT	No	The frequency at which snapshot data is aggregated into OHLC bars. The default is 0, in milliseconds. This configuration is effective only when `dataType = 1`. This configuration is ineffective when `frequency = 0`. When `frequency > 0`, the OHLC bars aggregated at the specified frequency trigger the onBar callback function.
"msgAsTable"	BOOL	No	The market data format. The default is false. false: dictionary. true: table. In this case, the engine must be created using `createBacktestEngine`.
"matchingMode"	INT	No	The order matching mode. Valid values: 1: Daily data: Matches orders at the closing price. Minute-level data: Matches orders when the market data timestamp is later than the order timestamp. 2: Daily data: Matches orders at the opening price. Minute-level data: When the market data timestamp equals the order timestamp, the order is matched at the closing price of the current market data. Subsequent matching of unfilled orders follows `matchingMode = 1`. 3: Orders are matched at the order price. Note:When `dataType = 1`, setting this configuration to 1 or 2 has no effect. The order matching simulator is always used to match orders according to price priority and time priority.
"enableSettlementPrice"	BOOL	No	Specifies whether to use the settlement price to calculate the equity after each trading day. true: When `getDailyTotalPortfolios` is called, or when `getTotalPortfolios` is called from the `afterTrading` callback function, the settlement price is used instead of the latest price to calculate metrics. When getTotalPortfolios is called from other callback functions, it continues to use the latest price. false: Use the latest price to calculate metrics. Note:The settlement price is taken from the latest settlementPrice field value for the instrument in the market data table. After this configuration is enabled, the snapshot, minute-level data, and daily data tables must all contain this field; otherwise, an error is returned.
"benchmark"	STRING	No	The benchmark instrument used by `getReturnSummary` to compare return performance. For example, "A2305".
"latency"	INT	No	The latency between submitting an order and processing it, in milliseconds. The default is 0, which indicates no latency.
"maintenanceMargin"	DOUBLE	No	The maintenance margin ratio. Valid Range: [0, 1.0]. The default is 1.0.
"enableAlgoOrder"	BOOL	No	Specifies whether to enable algorithmic orders. The default is false. true: Enables the feature. false: Disables the feature.
"enableIndicatorOptimize"	BOOL	No	Specifies whether to enable indicator optimization. The default is false. true: Enables the feature. false: Disables the feature.
"isBacktestMode"	BOOL	No	Specifies whether to enable backtesting mode. The default is true. true: Backtesting false: Simulated trading
"dataRetentionWindow"	STRING	No	The data retention window. This configuration is effective only when `enableIndicatorOptimize = true`. When `isBacktestMode = true`, the valid values are as follows: "None" (default): Does not retain data. "ALL": Retains all data. "{num}d": Retains data by number of trading days. {num} must be a positive integer. For example, "20d" retains 20 trading days of data. "{num}": Retains data by number of records. {num} must be a positive integer. For example, "20" retains the latest 20 records for each symbol. This configuration does not need to be set when `isBacktestMode = false`.
"addTimeColumnInIndicator"	BOOL	No	Specifies whether to add a time column to the indicator data table when subscribing to indicators. The default is false. true: Adds the time column. false: Omits the time column.
"context"	DICT	No	Global strategy variables, for example: `context=dict(STRING,ANY) context["buySignalRSI"]=70. userConfig["context"]=context`
"callbackForSnapshot"	INT	No	The callback trigger mode for snapshot data. This configuration is effective only when `dataType = 1`. Valid values: 0 (default): Triggers only `onSnapshot`. 1: Triggers both `onSnapshot` and `onBar`. 2: Triggers only `onBar`. Note:When `frequency > 0`, `onBar` must be triggered. Set callbackForSnapshot to 1 or 2.
"orderBookMatchingRatio"	DOUBLE	No	The fill ratio against the market order book. This configuration is effective only when `dataType = 1`. Valid range:[0, 1.0]. The default is 1.0.
"matchingRatio"	DOUBLE	No	The order matching ratio. This configuration is effective only when `dataType = 1`. Valid range:[0, 1.0]. If not specified, it takes the value of orderBookMatchingRatio. If both are unspecified, the default is 1.0.
"msgAsPiecesOnSnapshot"	BOOL	No	How the `onSnapshot` callback is triggered. The default is false. false: Each record triggers `onSnapshot` in sequence. true: All records with the same timestamp trigger `onSnapshot` simultaneously.

Note:

The engine configuration varies depending on the option market data type (dataType). frequency, callbackForSnapshot, orderBookMatchingRatio, and matchingRatio take effect only when dataType = 1.

Basic Information Table Description

The securityReference parameter of createBacktester specifies the contract's basic information table. Its schema is as follows:

Table 2. Table 1-2 Basic Information Table
Column Name	Data Type	Description
symbol	SYMBOL	Contract symbol
underlyingAssetType	INT	Option category. Valid values: 1: Commodity option 2: Stock index option 3: ETF option
multiplier	DOUBLE	Contract multiplier
type	INT	Option type. Valid values: 1: Call 2: Put
strikePrice	DOUBLE	Strike price
marginRatio	DOUBLE	Margin ratio
tradeUnit	DOUBLE	Contract unit
priceUnit	DOUBLE	Quote unit
priceTick	DOUBLE	Minimum price increment
commission	DOUBLE	Commission rate or commission per lot, depending on the value of deliveryCommissionMode.
deliveryCommissionMode	INT	Commission calculation method. Valid values: 1: Calculated per lot: commission = commission * number of lots 2: Calculated as a percentage of the trading value: commission = commission * trading value
lastTradingDay	DATE	Last trading date of the contract
exerciseDate	DATE	Option exercise date
exerciseSettlementDate	DATE	Exercise settlement date
exDate	DATE	exDate: Dividend or interest payment date adjStrikePrice: Adjusted strike price adjMultiplier: Adjusted contract multiplier Note:When the trading date is on or after exDate, use adjStrikePrice and adjMultiplier for the strike price and contract multiplier.
adjStrikePrice	DOUBLE
adjMultiplier	DOUBLE
intradayClosingFee	DOUBLE	Intraday position-closing fee

Snapshot

Market Data Table Schema

The table schema for snapshot data (dataType = 1) is as follows:

Note:

The column names must match those in the table below exactly. The first column must be symbol; the remaining columns may appear in any order. You can also add columns of type INT, DOUBLE, or STRING, or a column named signal with type DOUBLE ARRAY VECTOR.

Table 3. Table 1-3 Table Schema of Snapshot Data
Column Name	Data Type	Description
symbol	STRING/SYMBOL	Option symbol
symbolSource	STRING/SYMBOL	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 during the interval
totalOfferQty	LONG	Total offer quantity during the interval
bidPrice	DOUBLE[]	Bid price
bidQty	LONG[]	Bid volume
offerPrice	DOUBLE[]	Ask price
offerQty	LONG[]	Ask volume
highPrice	DOUBLE	High price
lowPrice	DOUBLE	Low price
underlyingPrice	DOUBLE	Underlying price
open	DOUBLE	When `callbackForSnapshot = 1` or `callbackForSnapshot = 2`, add the following five columns for the OHLC bars generated from snapshot data: open: opening price close: closing price low: low price high: high price volume: trading volume
close	DOUBLE
low	DOUBLE
high	DOUBLE
volume	LONG
settlementPrice	DOUBLE	Optional. When `enableSettlementPrice = true` and the settlement price is used for valuation or output, this column is required and its values must be positive.
amount	DOUBLE	Optional. Trading value
prevClosePrice	DOUBLE	Optional. Previous closing price
prevSettlementPrice	DOUBLE	Optional. Previous settlement price
Theta	DOUBLE	Sensitivity of the option price to changes in time
Vega	DOUBLE	Sensitivity of the option price to the volatility of the underlying asset
Gamma	DOUBLE	Sensitivity of the option Delta to the price of the underlying asset
Delta	DOUBLE	Sensitivity of the option price to the price of the underlying asset
IV	DOUBLE	Implied volatility

Callback Function Description

Snapshot data callback function onSnapshot: input parameter msg. When msg is a dictionary, each key is a symbol and its value is the corresponding snapshot data (snapShot). For the fields in each snapShot object, see Table 1-3 Table Schema of Snapshot Data.
When callbackForSnapshot = 1 or callbackForSnapshot = 2, the onBar callback function is also required.
OHLC bar callback function onBar: input parameter msg. When msg is a dictionary, each key is a symbol and its value is the corresponding OHLC bar data. Each OHLC bar contains the following fields:

Table 4. Table 1-4 OHLC Data Fields
Field Name	Data Type	Description
symbol	STRING/SYMBOL	Option symbol
symbolSource	STRING/SYMBOL	Exchange
tradeTime	TIMESTAMP	Timestamp
tradingDay	DATE	Trading date/settlement date
open	DOUBLE	Opening price
low	DOUBLE	Low price
high	DOUBLE	High price
close	DOUBLE	Closing price
volume	LONG	Trading volume
amount	DOUBLE	Trading value
upLimitPrice	DOUBLE	Limit-up price
downLimitPrice	DOUBLE	Limit-down price
signal	DOUBLE[]	Other fields
prevClosePrice	DOUBLE	Previous closing price
settlementPrice	DOUBLE	Settlement price
prevSettlementPrice	DOUBLE	Previous settlement price
underlyingPrice	DOUBLE	Underlying price

Minute-Level and Daily Data

Market Data Table Schema

The table schema for minute-level (dataType = 3) and daily (dataType = 4) market data is as follows:

Note:

Table 5. Table 1-5 Table Schema of Minute-Level and Daily Data
Column Name	Data Type	Description
symbol	STRING/SYMBOL	Option symbol
symbolSource	STRING/SYMBOL	Exchange
tradeTime	TIMESTAMP	Timestamp
tradingDay	DATE	Trading date/settlement date
open	DOUBLE	Opening price
low	DOUBLE	Low price
high	DOUBLE	High price
close	DOUBLE	Closing price
volume	LONG	Trading volume
upLimitPrice	DOUBLE	Limit-up price
downLimitPrice	DOUBLE	Limit-down price
underlyingPrice	DOUBLE	Underlying price
settlementPrice	DOUBLE	Optional. When `enableSettlementPrice = true` and the settlement price is used for valuation or output, this column is required and its values must be positive.
amount	DOUBLE	Optional. Trading value
prevClosePrice	DOUBLE	Optional. Previous closing price
prevSettlementPrice	DOUBLE	Optional. Previous settlement price
Theta	DOUBLE	Sensitivity of the option price to changes in time
Vega	DOUBLE	Sensitivity of the option price to the volatility of the underlying asset
Gamma	DOUBLE	Sensitivity of the option Delta to the price of the underlying asset
Delta	DOUBLE	Sensitivity of the option price to the price of the underlying asset
IV	DOUBLE	Implied volatility

Callback Function Description

OHLC bar callback function onBar: input parameter msg. When msg is a dictionary, each key is a symbol and its value is the corresponding OHLC bar data. For details about the fields in each OHLC bar, see Table 1-4 OHLC Data Fields.