Options#

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

Engine Configuration#

The following table describes the config parameter in createBacktester and the userConfig parameter in createBacktestEngine.

Key	Description	Remarks
startDate	start date	DATE type, required. e.g. “2020.01.01”.
endDate	end date	DATE type, required. e.g. “2020.01.01”.
strategyGroup	strategy type	required, must be “option”.
cash	initial capital	DOUBLE type, required.
dataType	market data type	INT type, required. Options: 1: snapshot; 3: minute-level; 4: daily data.
frequency	bar frequency for snapshot data	INT type, default = 0. Applicable only when `dataType = 1`. When `frequency = 0`, this parameter is ignored. When `dataType = 1` and `frequency > 0`, the engine internally calculates bars at the specified frequency and triggers the `onBar` callback.
msgAsTable	market data format	BOOL type, default = `false`. false: dictionary format true: table format (only supported when creating the engine via `createBacktestEngine`).
matchingMode	order matching mode	INT type, options: 1: daily data: match at close minute-level data: orders will be matched with market data whose time is later than the order time 2: daily data: match at open. minute-level data: match when data time = order time, using the close price 3: match orders at the order price. Note: When `dataType = 1`, values 1 and 2 are invalid; orders are matched by the simulated matching engine by default.
benchmark	benchmark instrument	STRING or SYMBOL type, e.g. “A2305”.
latency	order latency (ms)	INT type, the latency from order submission to execution.
maintenanceMargin	maintenance margin ratio	DOUBLE type, default = 1.0. value range: 0–1.0.
enableAlgoOrder	enable algorithmic orders	true: enable; false: disable.
enableIndicatorOptimize	enable indicator optimization	true: enable; false (default): disable.
isBacktestMode	backtest mode flag	true (default): backtest mode; false: simulated trading mode.
dataRetentionWindow	data retention policy for indicator optimization	STRING/INT type. Effective only when both enableIndicatorOptimize = true and isBacktestMode = true: ”None”(default): Retain no data. ”ALL”: Retain all data. Retain data by trading days, e.g., “20d” retains 20 trading days. Retain data by row count, e.g., “20” retains the latest 20 rows per symbol.
addTimeColumnInIndicator	add time column to indicator subscription results	false (default): omit time column true: add time column
context	strategy context structure	A dictionary consisting of global strategy variables, for example: `context = {} context[“buySignalRSI”] = 30.0 config[“context”] = context`
callbackForSnapshot	snapshot callback mode	Available only for `dataType=1`. INT type, default `0`. 0: trigger `onSnapshot` only 1: trigger both `onSnapshot` and `onBar` 2: trigger `onBar` only If `frequency > 0`, must trigger `onBar` (`callbackForSnapshot = 1 or 2`).
orderBookMatchingRatio	the proportion of an order that gets filled	DOUBLE type, default = 1.0, value range: 0–1.0. Applicable only when `dataType = 1`.
matchingRatio	matching ratio within price intervals	DOUBLE type, default 1.0, value range: 0–1.0. Applicable only when `dataType = 1`.

Note: The available engine configuration parameters differ depending on the data type (dataType).

The parameters callbackForSnapshot, orderBookMatchingRatio, and matchingRatio are only applicable when dataType = 1.

Reference Table Description#

The securityReference parameter in both the createBacktester and createBacktestEngine interfaces should follow the field definitions below:

Field	Type	Description
symbol	SYMBOL or STRING	contract code.
underlyingAssetType	INT	option category: 1: commodity option; 2: stock index option; 3: etf option
multiplier	DOUBLE	contract multiplier.
type	INT	option type: 1: call; 2: put.
strikePrice	DOUBLE	strike price.
marginRatio	DOUBLE	margin ratio.
tradeUnit	DOUBLE	contract unit.
priceUnit	DOUBLE	quotation unit.
priceTick	DOUBLE	minimum price fluctuation.
commission	DOUBLE	commission fee.
deliveryCommissionMode	INT	commission calculation mode: 1: commission × number of contracts traded 2: commission × trade value.
lastTradingDay	DATE	contract’s last trading day.
exerciseDate	DATE	option exercise date.
exerciseSettlementDate	DATE	option settlement date.
exDate	DATE	ex-dividend or interest payment date. when the trading date ≥ `exDate`, use `adjStrikePrice` and `adjMultiplier`.
adjStrikePrice	DOUBLE	adjusted strike price (used when trading date ≥ `exDate`).
adjMultiplier	DOUBLE	adjusted contract multiplier (used when trading date ≥ `exDate`).

Snapshot#

Market Data Structure#

The structure of the quotation table written by Backtest::appendQuotationMsg is as follows:

message_table = sf.table(
    types={
        "symbol": "STRING",
        "symbolSource": "STRING",
        "timestamp": "TIMESTAMP",
        "tradingDay": "DATE",
        "lastPrice": "DOUBLE",
        "upLimitPrice": "DOUBLE",
        "downLimitPrice": "DOUBLE",
        "totalBidQty": "LONG",
        "totalOfferQty": "LONG",
        "bidPrice": "DOUBLE[]",
        "bidQty": "LONG[]",
        "offerPrice": "DOUBLE[]",
        "offerQty": "LONG[]",
        "highPrice": "DOUBLE",
        "lowPrice": "DOUBLE",
        "signal": "DOUBLE",
        "prevClosePrice": "DOUBLE",
        "settlementPrice": "DOUBLE",
        "prevSettlementPrice": "DOUBLE",
        "underlyingPrice": "DOUBLE",
        "Theta": "DOUBLE",
        "Vega": "DOUBLE",
        "Gamma": "DOUBLE",
        "Delta": "DOUBLE",
        "IV": "DOUBLE"
    },
    size=0,
    capacity=10000000
)

Note:

The above structure applies to snapshot data (callbackForSnapshot = 0), i.e., input structure for non-bar snapshot data.
Field names must exactly match those listed below. Except for the first column symbol, the field order is not restricted. Additional columns of type INT, DOUBLE, STRING, or a DOUBLE ARRAY VECTOR field named signal are supported as extensions.

The required fields for snapshot data are as follows:

Field	Type	Description
symbol	SYMBOL	option code
symbolSource	STRING	exchange
timestamp	TIMESTAMP	timestamp
tradingDay	DATE	trading/settlement date
lastPrice	DOUBLE	last traded price
upLimitPrice	DOUBLE	upper limit price
downLimitPrice	DOUBLE	lower limit price
totalBidQty	LONG	total buy quantity in the interval
totalOfferQty	LONG	total sell quantity in the interval
bidPrice	DOUBLE[]	bid prices
bidQty	LONG[]	bid quantities
offerPrice	DOUBLE[]	offer prices
offerQty	LONG[]	offer quantities
highPrice	DOUBLE	highest price
lowPrice	DOUBLE	lowest price
signal	DOUBLE[]	other field list (required only in JIT mode)
prevClosePrice	DOUBLE	previous close price (required only in JIT mode)
settlementPrice	DOUBLE	settlement price (required only in JIT mode)
prevSettlementPrice	DOUBLE	previous settlement price (required only in JIT mode)
underlyingPrice	DOUBLE	underlying price
Theta	DOUBLE	/
Vega	DOUBLE	/
Gamma	DOUBLE	/
Delta	DOUBLE	/
IV	DOUBLE	/

When snapshot data is aggregated into bars (frequency > 0 and callbackForSnapshot = 1 or 2), the structure is as follows:

message_table = sf.table(
    types={
        "symbol": "STRING",
        "symbolSource": "STRING",
        "timestamp": "TIMESTAMP",
        "tradingDay": "DATE",
        "lastPrice": "DOUBLE",
        "upLimitPrice": "DOUBLE",
        "downLimitPrice": "DOUBLE",
        "totalBidQty": "LONG",
        "totalOfferQty": "LONG",
        "bidPrice": "DOUBLE[]",
        "bidQty": "LONG[]",
        "offerPrice": "DOUBLE[]",
        "offerQty": "LONG[]",
        "highPrice": "DOUBLE",
        "lowPrice": "DOUBLE",
        "prevClosePrice": "DOUBLE",
        "settlementPrice": "DOUBLE",
        "prevSettlementPrice": "DOUBLE",
        "underlyingPrice": "DOUBLE",
        "Theta": "DOUBLE",
        "Vega": "DOUBLE",
        "Gamma": "DOUBLE",
        "Delta": "DOUBLE",
        "IV": "DOUBLE",
        "open": "DOUBLE",
        "close": "DOUBLE",
        "low": "DOUBLE",
        "high": "DOUBLE",
        "volume": "LONG"
    },
    size=0,
    capacity=10000000
)

Note:

When snapshot bars are synthesized (frequency > 0 and callbackForSnapshot = 1 or 2), five additional fields must be included: "open", "close", "low", "high", and "volume".
Field names must exactly match those below. except for the first column symbol, the field order is not restricted. additional columns of type INT, DOUBLE, STRING, or a DOUBLE ARRAY VECTOR field named signal are supported as extensions.

Required fields for snapshot bar data:

Field	Type	Description
symbol	SYMBOL	option code
symbolSource	STRING	exchange
timestamp	TIMESTAMP	timestamp
tradingDay	DATE	trading/settlement date
lastPrice	DOUBLE	last traded price
upLimitPrice	DOUBLE	upper limit price
downLimitPrice	DOUBLE	lower limit price
totalBidQty	LONG	total buy quantity in the interval
totalOfferQty	LONG	total sell quantity in the interval
bidPrice	DOUBLE[]	bid prices
bidQty	LONG[]	bid quantities
offerPrice	DOUBLE[]	offer prices
offerQty	LONG[]	offer quantities
highPrice	DOUBLE	highest price
lowPrice	DOUBLE	lowest price
signal	DOUBLE[]	other field list (required only in JIT mode)
prevClosePrice	DOUBLE	previous close price (required only in JIT mode)
settlementPrice	DOUBLE	settlement price (required only in JIT mode)
prevSettlementPrice	DOUBLE	previous settlement price (required only in JIT mode)
underlyingPrice	DOUBLE	underlying price
Theta	DOUBLE	/
Vega	DOUBLE	/
Gamma	DOUBLE	/
Delta	DOUBLE	/
IV	DOUBLE	/
open	DOUBLE	open price of the synthesized bar
close	DOUBLE	close price of the synthesized bar
low	DOUBLE	lowest price of the synthesized bar
high	DOUBLE	highest price of the synthesized bar
volume	LONG	trading volume of the synthesized bar

At the end of backtest replay, a message with symbol = "END" must be sent:

message_table = sf.sql(
    "SELECT TOP 1 * FROM messageTable WHERE timestamp = max(timestamp)",
    vars={
        'messageTable': message_table
    }
)

# demo of signal field generation
# sf.sql(
#     "UPDATE messageTable SET signal = fixedLengthArrayVector([close])",
#     vars={'messageTable': message_table, 'fixedLengthArrayVector': F.fixedLengthArrayVector}
# )

sf.sql(
    "UPDATE messageTable SET symbol = `END",
    vars={'messageTable': message_table}
)

backtester.append_data(message_table)

Callback Function#

Snapshot callback function onSnapshot: input parameter msg

When msg is a dictionary, it uses symbol as the key and stores snapshot data for each symbol. Each snapshot object includes the following fields:

Field	Type	Description
symbol	SYMBOL	option code
symbolSource	STRING	exchange
timestamp	TIMESTAMP	timestamp
tradingDay	DATE	trading/settlement date
lastPrice	DOUBLE	last traded price
upLimitPrice	DOUBLE	upper limit price
downLimitPrice	DOUBLE	lower limit price
totalBidQty	LONG	total buy quantity in the interval
totalOfferQty	LONG	total sell quantity in the interval
bidPrice	DOUBLE[]	bid prices
bidQty	LONG[]	bid quantities
offerPrice	DOUBLE[]	offer prices
offerQty	LONG[]	offer quantities
highPrice	DOUBLE	highest price
lowPrice	DOUBLE	lowest price
signal	DOUBLE[]	other field list
prevClosePrice	DOUBLE	previous close price
settlementPrice	DOUBLE	settlement price
prevSettlementPrice	DOUBLE	previous settlement price
underlyingPrice	DOUBLE	underlying price
Theta	DOUBLE	/
Vega	DOUBLE	/
Gamma	DOUBLE	/
Delta	DOUBLE	/
IV	DOUBLE	/
open	DOUBLE	open price of synthesized bar (available only when `dataType = 1 or 2` and `callbackForSnapshot = 1 or 2`)
close	DOUBLE	close price of synthesized bar (available only when `dataType = 1 or 2` and `callbackForSnapshot = 1 or 2`)
low	DOUBLE	lowest price of synthesized bar (available only when `dataType = 1 or 2` and `callbackForSnapshot = 1 or 2`)
high	DOUBLE	highest price of synthesized bar (available only when `dataType = 1 or 2` and `callbackForSnapshot = 1 or 2`)
volume	LONG	trading volume of synthesized bar (available only when `dataType = 1 or 2` and `callbackForSnapshot = 1 or 2`)

Note:

When snapshot bars are synthesized (frequency > 0 and callbackForSnapshot = 1 or 2), five additional fields "open", "close", "low", "high", and "volume" must be included in msg.
When callbackForSnapshot = 1 or 2, the onBar callback function will also be triggered. the structure of its msg parameter is described below.

Callback Function#

Callback function onBar: input parameter msg

When msg is a dictionary, it uses symbol as the key and stores minute-level bar data for each symbol. Each bar object includes the following fields:

Field	Type	Description
symbol	SYMBOL	option code
symbolSource	STRING	exchange
tradeTime	TIMESTAMP	timestamp
tradingDay	DATE	trading/settlement date
open	DOUBLE	open price
low	DOUBLE	the lowest price
high	DOUBLE	the highest price
close	DOUBLE	close price
volume	LONG	trading volume
amount	DOUBLE	trading amount
upLimitPrice	DOUBLE	limit-up price
downLimitPrice	DOUBLE	limit-down price
signal	DOUBLE[]	other field list
prevClosePrice	DOUBLE	previous close price
settlementPrice	DOUBLE	settlement price
prevSettlementPrice	DOUBLE	previous settlement price
underlyingPrice	DOUBLE	underlying price
Theta	DOUBLE	/
Vega	DOUBLE	/
Gamma	DOUBLE	/
Delta	DOUBLE	/
IV	DOUBLE	/

Minute-level or daily data#

Market data structure description#

The market data table structure written by Backtest::appendQuotationMsg is as follows:

message_table = sf.table(
    types={
        "symbol": "SYMBOL",
        "symbolSource": "SYMBOL",
        "tradeTime": "TIMESTAMP",
        "tradingDay": "DATE",
        "open": "DOUBLE",
        "low": "DOUBLE",
        "high": "DOUBLE",
        "close": "DOUBLE",
        "volume": "LONG",
        "amount": "DOUBLE",
        "upLimitPrice": "DOUBLE",
        "downLimitPrice": "DOUBLE",
        "prevClosePrice": "DOUBLE",
        "settlementPrice": "DOUBLE",
        "prevSettlementPrice": "DOUBLE",
        "underlyingPrice": "DOUBLE",
        "Theta": "DOUBLE",
        "Vega": "DOUBLE",
        "Gamma": "DOUBLE",
        "Delta": "DOUBLE",
        "IV": "DOUBLE"
    },
    size=0,
    capacity=10000000
)

Note:

The column names must exactly match the table below. Apart from the first column, which must be symbol, the order of other columns is not required. Additionally, columns of type INT, DOUBLE, or STRING, or a DOUBLE ARRAY VECTOR column named signal, are supported as extension fields.

The required fields for the minute-level data table are as follows:

Field	Type	Description
symbol	SYMBOL	option code
symbolSource	STRING	exchange
tradeTime	TIMESTAMP	timestamp
tradingDay	DATE	trading day / settlement date
open	DOUBLE	opening price
low	DOUBLE	lowest price
high	DOUBLE	highest price
close	DOUBLE	closing price
volume	LONG	trading volume
amount	DOUBLE	transaction amount (required only in JIT mode)
upLimitPrice	DOUBLE	upper limit price
downLimitPrice	DOUBLE	lower limit price
signal	DOUBLE[]	additional field list (required only in JIT mode)
prevClosePrice	DOUBLE	previous closing price (required only in JIT mode)
settlementPrice	DOUBLE	settlement price (required only in JIT mode)
prevSettlementPrice	DOUBLE	previous settlement price (required only in JIT mode)
underlyingPrice	DOUBLE	underlying asset price
Theta	DOUBLE	/
Vega	DOUBLE	/
Gamma	DOUBLE	/
Delta	DOUBLE	/
IV	DOUBLE	/

When the backtest market data playback ends, send a message with symbol = “END”:

message_table = sf.sql(
    "SELECT TOP 1 * FROM messageTable",
    vars={
        'messageTable': message_table
    }
)

# demo for generating signal field 
# sf.sql(
#     "UPDATE messageTable SET signal = fixedLengthArrayVector([close])",
#     vars={'messageTable': message_table, 'fixedLengthArrayVector': F.fixedLengthArrayVector}
# )

sf.sql(
    "UPDATE messageTable SET symbol = `END",
    vars={'messageTable': message_table}
)

backtester.append_data(message_table)

Callback Function#

OHLC callback function onBar: input parameter msg

When msg is a dictionary, it uses symbol as the key for minute-level snapshot data. Each bar contains the following fields:

Field	Type	Description
symbol	SYMBOL	option code
symbolSource	STRING	exchange
tradeTime	TIMESTAMP	timestamp
tradingDay	DATE	trading day / settlement date
open	DOUBLE	opening price
low	DOUBLE	lowest price
high	DOUBLE	highest price
close	DOUBLE	closing price
volume	LONG	trading volume
amount	DOUBLE	transaction amount
upLimitPrice	DOUBLE	upper limit price
downLimitPrice	DOUBLE	lower limit price
signal	DOUBLE[]	additional field list (required only in JIT mode)
prevClosePrice	DOUBLE	previous closing price (required only in JIT mode)
settlementPrice	DOUBLE	settlement price (required only in JIT mode)
prevSettlementPrice	DOUBLE	previous settlement price (required only in JIT mode)
underlyingPrice	DOUBLE	underlying asset price
Theta	DOUBLE	/
Vega	DOUBLE	/
Gamma	DOUBLE	/
Delta	DOUBLE	/
IV	DOUBLE	/