Account#

class swordfish.plugins.backtest.Account(account_type, engine)#

Parameters:

account_type (AccountType)
engine (BacktesterBase)

account_type: AccountType#

engine: BacktesterBase#

property cash#: Query available cash in the account.

property trade_details#

Retrieve order trade details.

Returns:

Return a table with the following structure:

Field	Description
orderId	Order ID
symbol	Security code
direction	Order direction: 1: Buy open 2: Sell open 3: Sell close 4: Buy close
sendTime	Order submission time
orderPrice	Order submission price
orderQty	Order quantity
tradeTime	Trade time
tradePrice	Trade price
tradeQty	Trade quantity
orderStatus	Order status: 4: Submitted 2: Cancel successful 1: Filled 0: Partially filled -1: Approval rejected -2: Cancel rejected -3: Unfilled order
label	Label
outputOrderInfo	Risk control log, included only if engine parameter outputOrderInfo=true
seqNum	Sequence number column, included only if engine parameter outputSeqNum=true

Return type:

Table

get_position(symbol=None)#

Retrieve position information.

If symbol is not specified, a table is returned.
If symbol is specified, a dictionary is returned.
When JIT optimization is enabled, symbol must be specified.

Parameters:

symbol (str, optional) – A STRING scalar indicating the symbol code.

Returns:

For assets other than SSE bonds, the returned structure is as follows:

Field	Description
symbol	Stock symbol
lastDayLongPosition	Long position at previous close
lastDayShortPosition	Short position at previous close
longPosition	Current long position
longPositionAvgPrice	Average price of long position
shortPosition	Current short position
shortPositionAvgPrice	Average price of short position
todayBuyVolume	Buy volume today
todayBuyValue	Buy value today
todaySellVolume	Sell volume today
todaySellValue	Sell value today

For SSE bonds, the returned structure is as follows:

Field	Description
symbol	Bond symbol
lastDayLongPosition \| Long position at previous close
longPosition	Current long position
longPositionAvgPrice \| Average price of long position
todayBuyVolume	Buy volume today
todayBuyValue	Buy value today
totalValue	Total position value
accruedInterest	Accrued interest
fullBondPrice	Full bond price
lastPrice	Bond clean price
yield	Yield
interestIncome	Interest income
floatingProfit	Floating profit/loss
realizedProfit	Realized profit/loss
totalProfit	Total profit/loss
duration	Duration
convexity	Convexity
DV01	DV01

Return type:

Table

set_position(symbol, qty, order_price, last_price=None)#

Set the initial position. This function must be called before “append_data” is used to insert market data, and it is typically invoked within the initialize callback function.

Unlike set_last_day_position config, which defines base positions that do not occupy initial capital, set_position defines initial positions whose cost does occupy initial capital.

Parameters:

symbol (str) – A STRING scalar indicating the security code.
qty (int) –
An INT scalar indicating the position quantity:
- qty > 0: indicates a long (buy) position.
- qty < 0: indicates a short (sell) position. Short selling is not supported for stocks and bonds.
order_price (float) – A DOUBLE scalar indicating the cost price of the position.
last_price (float, optional) – A DOUBLE scalar indicating the latest price of the security (i.e., the previous closing price). If omitted or set to 0, the default value is orderPrice.

get_daily_position(symbol=None)#

This function is typically called after the backtest completes to retrieve detailed end-of-day position data.

If it is called during the trading session, the current day’s data will be unavailable, and only the previous day’s position data will be returned.

When the asset type is stocks, futures, or options, the structure of the returned position detail table is as follows:

Field	Description
symbol	Symbol code
tradeDate	Trading date
lastDayLongPosition	Long position from the previous day
lastDayShortPosition	Short position from the previous day
longPosition	Current long position
longPositionAvgPrice	Average long trade price
shortPosition	Current short position
shortPositionAvgPrice	Average short trade price
todayBuyVolume	Today’s total buy volume
todayBuyValue	Today’s total buy amount
todaySellVolume	Today’s total sell volume
todaySellValue	Today’s total sell amount

When in margin trading mode, the detailed position table has the following structure:

Field	Description
symbol	Symbol code
tradeDate	Trading date
lastDayMarginSecuPosition	Collateral buy position at previous close
lastDayMarginDebt	Margin loan debt at previous close
lastDaySecuLendingDebt	Securities lending debt at previous close
marginSecuPosition	Collateral buy position
marginSecuAvgPrice	Average price of collateral buy position
marginBuyPosition	Margin buy position
marginBuyValue	Margin buy value
secuLendingPosition	Securities lending (short sell) position
secuLendingSellValue	Securities lending (short sell) value
closePrice	Closing price
longPositionConcentration	Long position concentration ratio
shortPositionConcentration	Net short position concentration ratio
marginBuyProfit	Profit/loss from margin buying
financialFee	Margin interest fee
secuLendingProfit	Profit/loss from securities lending
secuLendingFee	Securities lending fee

When the asset type is a bond, the detailed position table has the following structure:

Field	Description
symbol	Symbol code
tradeDate	Trading date
lastDayLongPosition	Long position quantity at previous close
longPosition	Long position quantity
longPositionAvgPrice	Average buy price
todayBuyVolume	Buy volume of the day
todayBuyValue	Buy value of the day
totalValue	Total position value
accruedInterest	Accrued interest
fullBondPrice	Full bond price
lastPrice	Net bond price
yield	Yield
interestIncome	Interest income
floatingProfit	Unrealized profit/loss
realizedProfit	Realized profit/loss
totalProfit	Total profit/loss
duration	Duration
convexity	Convexity
DV01	DV01 (Dollar Value of 1 Basis Point)

Parameters:: symbol (str, optional) – A STRING scalar indicating the target instrument to query. The default is empty, in which case the function returns position data for all instruments.

property total_portfolios#

Retrieve the current strategy equity metrics.

Returns:

A dictionary is returned with the following structure:

For stocks:

Field Name	Description
tradeDate	Trading date
cash	Available cash
totalMarketValue	Total market value of the account
totalEquity	Total equity of the account
netValue	Unit net value of the account
totalReturn	Cumulative return up to the day
ratio	Daily return of the account
pnl	Daily profit and loss of the account
frozenFunds	Frozen funds
totalFee	Total fees
floatingPnl	Floating profit and loss
realizedPnl	Realized profit and loss
totalPnl	Total profit and loss

For Margin Trading and Securities Lending:

Field Name	Description
tradeDate	Trading date
lineOfCredit	Credit line
availableCash	Available cash
lastDayMarginDebt	Margin debt at previous close
lastDaySecuLendingDebt	Securities lending debt at previous close
marginSecuMarketValue	Market value of collateral purchased
marginDebt	Margin debt
secuLendingSellValue	Securities lending sell value
marginBalance	Margin trading balance
secuLendingDebt	Securities lending debt
financialFee	Financing interest
secuLendingFee	Securities lending fee
maintenanceMargin	Maintenance margin ratio
availableMarginBalance	Available margin balance
totalMarketValue	Total market value of the account
totalEquity	Total equity of the account
netValue	Unit net value of the account
totalReturn	Cumulative return up to the day
yield	Daily return of the account
pnl	Daily profit and loss of the account
frozenFunds	Frozen funds

For Futures/Options:

Field Name	Description
tradeDate	Trading date
margin	Margin used
floatingPnl	Floating PnL
realizedPnl	Realized cumulative PnL
totalPnl	Total PnL
cash	Available cash
totalEquity	Total equity of the account
marginRatio	Margin usage ratio
pnl	Daily profit and loss
netValue	Account unit net value
totalReturn	Cumulative return up to the day
ratio	Daily return of the account
totalFee	Total fees

For Bonds:

Field Name	Description
tradeDate	Trading date
cash	Available cash
totalMarketValue	Total market value of account
totalEquity	Total equity of account
netValue	Account unit net value
totalReturn	Cumulative return up to date
ratio	Daily return
pnl	Daily profit and loss
totalProfit	Total profit and loss

Return type:

Dictionary

property daily_total_portfolios#

Called at the end of a backtest to obtain the strategy’s daily equity metrics table.

Returns:

Return a table. The structure of the returned table varies depending on the asset type of the backtest.

For Stocks:

Field Name	Description
tradeDate	Date
cash	Available cash
totalMarketValue	Total market value of the account
totalEquity	Total equity of the account
netValue	Unit net value of the account
totalReturn	Cumulative return up to the current day
ratio	Daily return of the account
pnl	Daily P&L of the account
frozenFunds	Frozen funds
totalFee	Total fees
floatingPnl	Floating P&L
realizedPnl	Realized P&L
totalPnl	Total P&L
benchmarkClosePrice	Benchmark daily closing price; returned only if benchmark is set
benchmarkNetValue	Benchmark daily net value; returned only if benchmark is set

For Margin Trading and Securities Lending:

Field Name	Description
tradeDate	Date
lineOfCredit	Line of credit
availableCash	Available cash
lastDayMarginDebt	Previous day’s closing margin debt
lastDaySecuLendingDebt	Previous day’s closing securities lending debt
marginSecuMarketValue	Market value of collateral purchased
marginDebt	Margin debt
secuLendingSellValue	Amount from securities lending sell (lending liability)
marginBalance	Margin trading and securities lending balance
secuLendingDebt	Securities lending debt
financialFee	Financing interest
secuLendingFee	Securities lending fee
maintenanceMargin	Maintenance margin ratio
availableMarginBalance	Available margin balance
totalMarketValue	Total market value of the account
totalEquity	Total equity of the account
netValue	Unit net value of the account
totalReturn	Cumulative return up to the current day
yield	Daily return of the account
pnl	Daily P&L of the account
benchmarkClosePrice	Benchmark daily closing price; returned only if benchmark is set
benchmarkNetValue	Benchmark daily net value; returned only if benchmark is set

For Futures/Options:

Field Name	Description
tradeDate	Date
margin	Margin used
floatingPnl	Floating P&L
realizedPnl	Realized cumulative P&L
totalPnl	Total P&L
totalMarketValue	Total market value (options only)
cash	Available cash
totalEquity	Total equity of the account
marginRatio	Margin usage ratio
pnl	Daily P&L of the account
netValue	Unit net value of the account
totalReturn	Cumulative return up to the current day
ratio	Daily return of the account
benchmarkClosePrice	Benchmark daily closing price; returned only if benchmark is set
benchmarkNetValue	Benchmark daily net value; returned only if benchmark is set

For Bonds:

Field Name	Description
tradeDate	Date
cash	Available cash
totalMarketValue	Total market value of the account
totalEquity	Total equity of the account
netValue	Unit net value of the account
totalReturn	Cumulative return up to the current day
ratio	Daily return of the account
pnl	Daily P&L of the account
totalProfit	Total profit/loss
benchmarkClosePrice	Benchmark daily closing price; returned only if benchmark is set
benchmarkNetValue	Benchmark daily net value; returned only if benchmark is set

Return type:

Table

property return_summary#

Used to calculate the strategy’s performance summary at the end of backtesting.

Returns:

A table is returned with the following structure:

For Stocks/Futures/Options/Bonds:

Field Name	Description
totalReturn	Total return
annualReturn	Annualized return
annualVolatility	Annualized volatility
annualSkew	Return skewness
annualKur	Return kurtosis
sharpeRatio	Sharpe ratio
maxDrawdown	Maximum drawdown
drawdownRatio	Drawdown-to-return ratio
beta	Beta coefficient
alpha	Alpha coefficient
benchmarkReturn	Benchmark return
annualExcessReturn	Annualized excess return
turnoverRate	Turnover rate
dailyWinningRate	Daily winning rate
maxMarginRatio	Maximum margin usage (field unique to futures/options)

In Margin Trading and Securities Lending mode, the returned table contains the above fields as well as the following additional fields:

Field Name	Description
totalFee	Total commission and fees
financialFee	Financing interest
secuLendingFee	Securities lending fee
bottomRet	Base position return
bottomExcessRet	Base position excess return

Return type:

Table