Bond Backtesting Configurations

The backtesting platform supports bond assets, including interbank bonds and Shanghai Stock Exchange bonds.

Interbank Bonds

Engine Configuration

Configurations for config in the createBacktester and createBacktestEngine methods:


Key	Description	Notes
"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. The following values are supported: "CFETSBond": Interbank bonds "XSHGBond": Shanghai Stock Exchange bonds
"cash"	Initial cash	Required. DOUBLE type.
"dataType"	Market data type	Required. INT type. Possible values are: 2: Snapshot data + tick-by-tick trade details 3: Minute-level data (matchingMode must be set to 3) 4: Daily data
"matchingMode"	Order matching mode	INT type. Orders are matched using the order matching simulator by default. When set to 3, trades are executed at the order price. Setting it to 1 or 2 has no effect.
"msgAsTable"	Market data format	BOOL type. Default is false. false: A dictionary. true: A table (the engine can only be created via the `createBacktestEngine` method)
"benchmark"	Benchmark instrument	STRING type, e.g., "000300.XSHG". Used in the `getReturnSummary` method.
"latency"	The latency from order submission to execution	DOUBLE type, in milliseconds, this simulates the delay between the time a user submits an order and the time it is processed. The default is 0, which means no delay.
"enableIndicatorOptimize"	Whether to enable indicator calculation optimization	BOOL type. Default is false. true: Enabled. false: Disabled.
"addTimeColumnInIndicator"	Whether to add a time column to the indicator subscription results.	BOOL type. Default is false. true: Adds the time column. false: Omits time column.
"isBacktestMode"	Backtesting or matching mode.	BOOL type. Default is true. true: Backtesting false: Matching
"dataRetentionWindow"	Data retention policy for indicator optimization	STRING type. Effective only when `enableIndicatorOptimize = true` and `isBacktestMode = true`: "ALL": Retain all data. "None" (default): Retain no 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.
"context"	Strategy logic context structure	A dictionary consisting of global strategy variables, for example: `context=dict(STRING,ANY) context["sellSignalRSI"]=70. context["buySignalRSI"]=30. userConfig["context"]=context`
"orderBookMatchingRatio"	The proportion of an order that gets filled	DOUBLE type. Default is 1.0, valid range: [0-1.0].
"matchingRatio"	The matching ratio within price intervals	DOUBLE type, with a value ranging from 0 to 1.0. If not specified, it takes the value of "orderBookMatchingRatio". If both are unspecified, the default is 1.0.
"immediateOrderConfirmation"	Whether to return order confirmation immediately.	The default is false. When set to true, the order confirmation is returned immediately. Currently, only snapshots (`dataType = 2`) are supported.
"immediateCancel"	Whether to cancel the order immediately	The default is false. When set to true, the order is canceled immediately.
"msgAsPiecesOnSnapshot"	Whether each data record triggers the `onSnapshot` callback in sequence, or all records with the same timestamp trigger it at the same time.	BOOL type. The default value is false, and `onSnapshot` is triggered sequentially for each data record.
"tradeInLots"	Sets the minimum trading volume for interbank bonds.	true (default): The minimum order or trading volume is 100,000, and the trading volume must be a multiple of 50,000. false: The minimum order or trading volume is 10 million, and the trading volume must be an integer multiple of 10 million.

Basic Information Table

See the following table for the fields in the security reference information table specified by the securityReference parameter of the createBacktester method:


Field	Type	Description
symbol	STRING	Bond.
couponRate	DOUBLE	Coupon rate.
frequency	INT	Coupon payment frequency.
valueDate	DATE	Interest accrual start date.
maturityDate	DATE	Maturity date.
bondLendingRate	DOUBLE	Securities lending rate (optional, this field may be omitted if securities lending and short selling are not available).
marginRatio	DOUBLE	Margin ratio (optional, this field may be omitted if securities lending and short selling are not available).
bondType	STRING	Choose one of the following options: "FixedRateBond" (default): A fixed-rate bond that pays interest periodically at the coupon rate. "Discount": A discount bond with no interest payments, issued at a discount. "ZeroCouponBond": A zero-coupon bond that pays the interest and principal in a single payment at maturity.
issuePrice	DOUBLE	Issue price. The default value is 100.

Market Data Schema

When appending data into the backtesting engine via appendQuotationMsg, the msg is:

colName=[`symbol,`symbolSource,`timestamp,`bidSettlType,`bidQty,`bidPrice,
`bidYield,`askSettlType,`askQty,`askPrice,`askYield,`tradePrice,
`tradeQty,`settlType,`yield]
colType=["SYMBOL","SYMBOL","TIMESTAMP","INT[]","LONG[]","DOUBLE[]","DOUBLE[]",
"INT[]","LONG[]","DOUBLE[]","DOUBLE[]","DOUBLE[]","LONG[]","INT[]","DOUBLE[]"]
messageTable=table(10000000:0, colName, colType)

Snapshot and tick-by-tick trade detail table schema:


Name	Type	Description
symbol	STRING/SYMBOL	Bond symbol.
symbolSource	STRING/SYMBOL	Market: interbank "X_BOND".
timestamp	TIMESTAMP	Timestamp.
bidSettlType	INT[]	Bid settlement cycle.
bidQty	LONG[]	Bid volume.
bidPrice	DOUBLE[]	Bid clean price (yuan).
bidYield	DOUBLE[]	Bid yield to maturity (YTM).
askSettlType	INT[]	Ask settlement cycle.
askQty	LONG[]	Ask volume.
askPrice	DOUBLE[]	Ask clean price (yuan).
askYield	DOUBLE[]	Ask yield to maturity (YTM).
tradePrice	DOUBLE[]	List of trade prices for the interval.
tradeQty	LONG[]	List of trade volumes for the interval.
settlType	INT[]	Settlement cycle.
yield	DOUBLE[]	Yield to maturity.

Minute-level data table schema:


Name	Type	Description
symbol	STRING/SYMBOL	Bond symbol.
symbolName	STRING/SYMBOL	Bond short name.
tradeDate	TIMESTAMP	Timestamp.
tradeClean	DOUBLE	Closing clean price.
tradeDirty	DOUBLE	Closing dirty price.
tradeAccruedInterest	DOUBLE	Accrued interest.
yield	DOUBLE	Yield to maturity at close.
tradeVolume	DOUBLE	Filled quantity.

When market data replay ends during backtesting, send an end marker to the engine through Backtest::appendEndMarker(engine) to notify the engine that all market data has been sent.

messageTable=select top 1* from messageTable where timestamp=max(timestamp)
Backtest::appendQuotationMsg(engine,messageTable)
Backtest::appendEndMarker(engine)

Snapshot Callback Function

Snapshot data callback function onSnapshot: input parameter msg

msg is a dictionary. Each key represents a symbol, and the corresponding value contains snapshot data for that symbol. Each snapshot data contains the following fields:


Field	Type	Description
symbol	SYMBOL	Bond symbol.
messageSource	SYMBOL	Market: interbank "X_BOND".
timestamp	TIMESTAMP	Timestamp.
byield	DOUBLE[]	Bid yield to maturity (YTM).
ayield	DOUBLE[]	Ask yield to maturity (YTM).
bmdEntryPrice	DOUBLE[]	Bid clean price (yuan).
amdEntryPrice	DOUBLE[]	Ask clean price (yuan).
bmdEntrySize	LONG[]	Bid volume.
amdEntrySize	LONG[]	Ask volume.
bsettlType	LONG[]	Bid settlement cycle.
asettlType	LONG[]	Ask settlement cycle.
settlType	LONG[]	Interval settlement cycle.
tradePrice	DOUBLE[]	List of trade prices for the interval.
tradeYield	DOUBLE[]	Yield to maturity.
tradeQty	LONG[]	List of trade volumes for the interval.

Shanghai Stock Exchange Bonds

Engine Configuration

The config parameter of the createBacktester method:


Key	Description	Notes
"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 "XSHGBond".
"cash"	Initial cash	Required. DOUBLE type.
"commission"	Commission	Required. DOUBLE type.
"tax"	Stamp duty	Required. DOUBLE type.
"dataType"	Market data type	Required. INT type. Possible values are: 2: Snapshot data + tick-by-tick trade details 4: Daily data
"orderBookMatchingRatio"	The proportion of an order that gets filled	DOUBLE type. Defaults to 1.0. Valid values range from 0 to 1.0.
"matchingRatio"	The matching ratio within price intervals	DOUBLE type, with a value between 0 and 1.0. If unspecified, this configuration uses the value of "orderBookMatchingRatio". If both are unspecified, the default is 1.0.
"setLastDayPosition"	Initial position	Initial position information table; see the table below for its schema.
"msgAsPiecesOnSnapshot"	Whether each data record triggers the `onSnapshot` callback in sequence, or all records with the same timestamp trigger it at the same time.	BOOL type. The default value is false, and `onSnapshot` is triggered sequentially for each data record.

The schema of the initial position information table is as follows:


Field	Type	Description
symbol	SYMBOL	Bond symbol.
longPosition	LONG or INT	Long position quantity.
costPrice	DOUBLE	Cost price.

Basic Information Table

See the following table for the fields in the security reference information table specified by the securityReference parameter of the createBacktester method:


Field	Type	Description
symbol	STRING	Bond.
couponRate	DOUBLE	Coupon rate.
frequency	INT	Coupon payment frequency.
valueDate	DATE	Interest accrual start date.
maturityDate	DATE	Maturity date.

Market Data Schema

The input market data can be provided in a wide table that includes firm-quote market data and trade details. Its schema is as follows:


Field	Data Type	Description
symbol	STRING/SYMBOL	Security symbol.
timestamp	TIMESTAMP	Timestamp.
msgType	INT	Market data type. Valid values are: 0: Firm-quote market data 1: Trade details
symbolName	STRING/SYMBOL	Security name.
bidId	INT	Bid order ID.
bidTime	TIMESTAMP	Bid quote time.
bidParty	STRING/SYMBOL	Bid quoting party.
bidClean	DOUBLE	Bid clean price.
bidQty	LONG	Bid quantity.
bidDirty	DOUBLE	Bid dirty price.
bidYield	DOUBLE	Bid yield to maturity (YTM).
askId	INT	Ask order ID.
askTime	TIMESTAMP	Ask quote time.
askParty	STRING/SYMBOL	Ask quoting party.
askClean	DOUBLE	Ask clean price.
askQty	LONG	Ask quantity.
askDirty	DOUBLE	Ask dirty price.
askYield	DOUBLE	Ask yield to maturity (YTM).
accruedInterest	DOUBLE	Accrued interest.
tradeTime	TIMESTAMP	Execution time.
tradeClean	DOUBLE	Trade clean price.
tradeAccruedInterest	DOUBLE	Accrued interest.
tradeDirty	DOUBLE	Trade dirty price.
yield	DOUBLE	Yield to maturity.
tradeVolume	INT	Filled quantity.
tradeValue	DOUBLE	Trading value (Turnover).
tradeType	INT	Trade method. Valid values are: 1: Firm-quote trade 2: Indicative-quote trade 3: Inquiry trade 4: Agreed trade 6: Negotiated trade, including combined orders 7: Auction