StrategyInterface

class swordfish.plugins.backtest.StrategyInterface

initialize(context)

Strategy initialization callback function, triggered when the backtester is created. It is used for preparatory tasks such as loading parameters, initializing states, and registering indicators.

Parameters:

context (_type_) –

A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

• context.tradeTime — Returns the latest market timestamp.

• context.tradeDate — Returns the current trading date.

• context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

• context.engine — Returns the internal instance handle of the backtesting engine.

before_trading(context)

The daily callback function is triggered before the market opens each trading day.

Parameters:

context (_type_) –

A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

• context.tradeTime — Returns the latest market timestamp.

• context.tradeDate — Returns the current trading date.

• context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

• context.engine — Returns the internal instance handle of the backtesting engine.

on_tick(context, msg, indicator)

The callback function is triggered whenever the latest tick-by-tick order or trade data is received.

Parameters:

• context (_type_) –

  A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

  • context.tradeTime — Returns the latest market timestamp.

  • context.tradeDate — Returns the current trading date.

  • context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

  • context.engine — Returns the internal instance handle of the backtesting engine.

• msg (_type_) – Represents the tick-level market data. Each record is provided as either a dictionary object or a table (depending on the msg_as_table configuration). The specific fields vary by asset type. For details, refer to the msg data section below.

• indicator (_type_) – A dictionary or nested dictionary with a structure consistent with the corresponding msg, containing the data subscribed to by the strategy.

Msg data

• Stock Tick / Margin Trading

  Field	Type	Description
  symbol	SYMBOL	Stock code: - Ends with “.XSHG” for Shanghai Stock Exchange - Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	“.XSHG” (Shanghai Stock Exchange) or “.XSHE” (Shenzhen Stock Exchange)
  timestamp	TIMESTAMP	Timestamp
  sourceType	INT	0 represents entrust data; 1 represents trade data
  orderType	INT	entrust: 1: Market order 2: Limit order 3: Best own side price 10: Cancel order (Shanghai only, cancel records are in entrust) trade: 0: Trade 1: Cancel order (Shenzhen only, cancel records are in trade)
  price	DOUBLE	Order price
  qty	LONG	Order quantity
  buyNo	LONG	Original buy order number in trade; filled for entrust orders
  sellNo	LONG	Original sell order number in trade; filled for entrust orders
  direction	INT	1 (Buy) or 2 (Sell)
  channelNo	INT	Channel number
  seqNum	LONG	Tick data sequence number

• Stock Tick or Tick + Snapshot

  Field	Type	Description
  symbol	SYMBOL	Stock code: Ends with “.XSHG” for Shanghai Stock Exchange Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	“.XSHG” (Shanghai Stock Exchange) or “.XSHE” (Shenzhen Stock Exchange)
  timestamp	TIMESTAMP	Timestamp
  sourceType	INT	0 represents entrust data; 1 represents trade data
  orderType	INT	entrust: 1: Market order 2: Limit order 3: Best own side price 10: Cancel order (Shanghai only; cancel records are in entrust) trade: 0: Trade 1: Cancel order (Shenzhen only; cancel records are in trade)
  price	DOUBLE	Order price
  qty	LONG	Order quantity
  buyNo	LONG	Original buy order number in trade; filled for entrust orders
  sellNo	LONG	Original sell order number in trade; filled for entrust orders
  direction	INT	1 (Buy) or 2 (Sell)
  channelNo	INT	Channel number
  seqNum	LONG	Tick data sequence number

• Stock Tick (Wide Table)

  Field	Type	Description
  symbol	SYMBOL	Stock code: Ends with “.XSHG” for Shanghai Stock Exchange Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	“.XSHG” (Shanghai Stock Exchange) or “.XSHE” (Shenzhen Stock Exchange)
  timestamp	TIMESTAMP	Timestamp
  sourceType	INT	0 represents entrust data; 1 represents trade data
  orderType	INT	entrust: 1: Market order 2: Limit order 3: Best own side price 10: Cancel order (Shanghai only; cancel records are in entrust) trade: 0: Trade 1: Cancel order (Shenzhen only; cancel records are in trade)
  price	DOUBLE	Order price
  qty	LONG	Order quantity
  buyNo	LONG	Original buy order number in trade; filled for entrust orders
  sellNo	LONG	Original sell order number in trade; filled for entrust orders
  direction	INT	1 (Buy) or 2 (Sell)
  channelNo	INT	Channel number
  seqNum	LONG	Tick data sequence number
  reserve1	DOUBLE	Reserved field 1 (for wide table)

• Stock Tick + Snapshot (Wide Table)

  Field	Type	Description
  symbol	SYMBOL	Stock code: Ends with “.XSHG” for Shanghai Stock Exchange Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	“.XSHG” (Shanghai Stock Exchange) or “.XSHE” (Shenzhen Stock Exchange)
  timestamp	TIMESTAMP	Timestamp
  sourceType	INT	0 represents entrust data; 1 represents trade; 2 represents snapshot
  orderType	INT	entrust: 1: Market order 2: Limit order 3: Best own side price 10: Cancel order (Shanghai only; cancel records are in entrust) trade: 0: Trade 1: Cancel order (Shenzhen only; cancel records are in trade)
  price	DOUBLE	Order price
  qty	LONG	Order quantity
  buyNo	LONG	Original buy order number in trade; filled for entrust orders
  sellNo	LONG	Original sell order number in trade; filled for entrust orders
  direction	INT	1 (Buy) or 2 (Sell)
  channelNo	INT	Channel number
  seqNum	LONG	Tick data sequence number
  lastPrice	DOUBLE	Latest trade price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Interval buy quantity
  totalOfferQty	LONG	Interval sell quantity
  bidPrice	DOUBLE[]	List of buy prices
  bidQty	LONG[]	List of buy quantities
  offerPrice	DOUBLE[]	List of sell prices
  offerQty	LONG[]	List of sell quantities
  prevClosePrice	DOUBLE	Previous close price
  reserve1	DOUBLE	Reserved field 1 (for wide table)
  reserve2	DOUBLE	Reserved field 2 (for wide table)

on_snapshot(context, msg, indicator)

The callback function is triggered upon receiving snapshot market data.

Parameters:

• context (_type_) –

  A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

  • context.tradeTime — Returns the latest market timestamp.

  • context.tradeDate — Returns the current trading date.

  • context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

  • context.engine — Returns the internal instance handle of the backtesting engine.

• msg (_type_) – Represents the tick-level market data. Each record is provided as either a dictionary object or a table (depending on the msg_as_table configuration). The specific fields vary by asset type. For details, refer to the msg data section below.

• indicator (_type_) – A dictionary or nested dictionary with a structure consistent with the corresponding msg, containing the data subscribed to by the strategy.

Msg data

• Stock Tick / Margin Trading

  Field	Type	Description
  symbol	SYMBOL	Stock code - Ends with “.XSHG” for Shanghai Stock Exchange - Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	SYMBOL	Stock market “.XSHG”: Shanghai Stock Exchange “.XSHE”: Shenzhen Stock Exchange
  timestamp	TIMESTAMP	Timestamp
  lastPrice	DOUBLE	Latest trade price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Total bid quantity
  totalOfferQty	LONG	Total offer quantity
  bidPrice	DOUBLE[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of offer prices
  offerQty	LONG[]	List of offer quantities
  signal	DOUBLE[]	List of indicators

• Stock tick or tick + snapshot

  Name	Type	Description
  symbol	SYMBOL	Stock code Ends with “.XSHG” for Shanghai Stock Exchange Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	Stock market “.XSHG”: Shanghai Stock Exchange “.XSHE”: Shenzhen Stock Exchange
  timestamp	TIMESTAMP	Timestamp
  lastPrice	DOUBLE	Latest trade price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Total bid quantity
  totalOfferQty	LONG	Total offer quantity
  bidPrice	DOUBLE[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of offer prices
  offerQty	LONG[]	List of offer quantities
  signal	DOUBLE[]	Other indicators
  open	DOUBLE	Open price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  close	DOUBLE	Close price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  low	DOUBLE	Lowest price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  high	DOUBLE	Highest price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  volume	LONG	Trading volume of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)

• Stock Snapshot + Tick

  Field	Type	Description
  symbol	SYMBOL	Stock code Ends with “.XSHG” for Shanghai Stock Exchange Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	Stock market identifier “.XSHG”: Shanghai Stock Exchange “.XSHE”: Shenzhen Stock Exchange
  timestamp	TIMESTAMP	Timestamp
  lastPrice	DOUBLE	Latest traded price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Total bid quantity executed
  totalOfferQty	LONG	Total offer quantity executed
  bidPrice	DOUBLE[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of offer prices
  offerQty	LONG[]	List of offer quantities
  signal	DOUBLE[]	Other indicators
  open	DOUBLE	Open price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  close	DOUBLE	Close price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  low	DOUBLE	Lowest price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  high	DOUBLE	Highest price of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  volume	LONG	Trading volume of the aggregated bar data (Available only when data_type = 1 or 2, and callback_for_snapshot = 1 or 2)

• Stock Tick (Wide Table)

  Field	Type	Description
  symbol	SYMBOL	Stock code Ends with “.XSHG” for Shanghai Stock Exchange Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	Stock market identifier “.XSHG”: Shanghai Stock Exchange “.XSHE”: Shenzhen Stock Exchange
  timestamp	TIMESTAMP	Timestamp
  sourceType	INT	Source type indicator 0: Entrust data (entrust) 1: Trade data (trade)
  orderType	INT	Order type For entrust: 1 = Market order; 2 = Limit order; 3 = Best bid/ask; 10 = Cancel order (only for SSE, since cancellations are recorded in `entrust`) For trade: 0 = Trade; 1 = Cancel order (only for SZSE, since cancellations are recorded in `trade`)
  price	DOUBLE	Order price
  qty	LONG	Order quantity
  buyNo	LONG	For trade: Corresponds to the original data. For entrust: Populated with the entrust order number.
  sellNo	LONG	For trade: Corresponds to the original data. For entrust: Populated with the entrust order number.
  direction	INT	Trade direction: 1 = Buy, 2 = Sell
  channelNo	INT	Channel number
  seqNum	LONG	Tick-by-tick data sequence number
  reserve1	DOUBLE	Reserved field 1 (for wide table)

• Stock Tick + Snapshot (Wide Table)

  Field	Type	Description
  symbol	SYMBOL	Stock code Ends with “.XSHG” for Shanghai Stock Exchange Ends with “.XSHE” for Shenzhen Stock Exchange
  symbolSource	STRING	Stock market identifier “.XSHG”: Shanghai Stock Exchange “.XSHE”: Shenzhen Stock Exchange
  timestamp	TIMESTAMP	Timestamp
  sourceType	INT	Source type indicator 0: Entrust data (entrust) 1: Trade data (trade) 2: Snapshot data (snapshot)
  orderType	INT	Order type For entrust: 1 = Market order; 2 = Limit order; 3 = Best bid/ask; 10 = Cancel order (only for SSE, cancellations recorded in `entrust`) For trade: 0 = Trade; 1 = Cancel order (only for SZSE, cancellations recorded in `trade`)
  price	DOUBLE	Order price
  qty	LONG	Order quantity
  buyNo	LONG	For trade: corresponds to the original data For entrust: populated with the entrust order number
  sellNo	LONG	For trade: corresponds to the original data For entrust: populated with the entrust order number
  direction	INT	Trade direction: 1 = Buy, 2 = Sell
  channelNo	INT	Channel number
  seqNum	LONG	Tick-by-tick data sequence number
  lastPrice	DOUBLE	Last traded price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Total bid quantity in the interval
  totalOfferQty	LONG	Total ask quantity in the interval
  bidPrice	DOUBLE[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of ask prices
  offerQty	LONG[]	List of ask quantities
  prevClosePrice	DOUBLE	Previous closing price
  reserve1	DOUBLE	Reserved field 1 (for wide table)
  reserve2	DOUBLE	Reserved field 2 (for wide table)

• Options snapshot

  Name	Type	Description
  symbol	SYMBOL	Option code
  symbolSource	STRING	Exchange
  timestamp	TIMESTAMP	Timestamp
  tradingDay	DATE	Trading day / Settlement date
  lastPrice	DOUBLE	Latest trade price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Interval total buy quantity
  totalOfferQty	LONG	Interval total sell quantity
  bidPrice	DOUBLE[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of ask prices
  offerQty	LONG[]	List of ask quantities
  highPrice	DOUBLE	Highest price
  lowPrice	DOUBLE	Lowest price
  signal	DOUBLE[]	List of other fields
  prevClosePrice	DOUBLE	Previous closing price
  settlementPrice	DOUBLE	Settlement price
  prevSettlementPrice | DOUBLE		Previous settlement price
  underlyingPrice	DOUBLE	Underlying asset price
  Theta	DOUBLE	/
  Vega	DOUBLE	/
  Gamma	DOUBLE	/
  Delta	DOUBLE	/
  IV	DOUBLE	/
  open	DOUBLE	Open price of synthetic bar (available only if data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  close	DOUBLE	Close price of synthetic bar (available only if data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  low	DOUBLE	Lowest price of synthetic bar (available only if data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  high	DOUBLE	Highest price of synthetic bar (available only if data_type = 1 or 2, and callback_for_snapshot = 1 or 2)
  volume	LONG	Volume of synthetic bar (available only if data_type = 1 or 2, and callback_for_snapshot = 1 or 2)

Note

When generating bar data from snapshots (frequency > 0 and callback_for_snapshot = 1 or 2), the input parameter msg should additionally include five fields: “open”, “close”, “low”, “high”, “volume”.

• Futures Snapshot

  Field	Type	Description
  symbol	SYMBOL	Futures contract code
  symbolSource	STRING	Exchange
  timestamp	TIMESTAMP	Timestamp
  tradingDay	DATE	Trading day / 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[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of ask prices
  offerQty	LONG[]	List of ask quantities
  highPrice	DOUBLE	Highest price
  lowPrice	DOUBLE	Lowest price
  signal	DOUBLE[]	List of other fields
  prevClosePrice	DOUBLE	Previous closing price
  settlementPrice	DOUBLE	Settlement price
  prevSettlementPrice	DOUBLE	Previous settlement price
  open	DOUBLE	Open price of the synthesized bar (available only when dataType = 1 or 2 and callbackForSnapshot = 1 or 2)
  close	DOUBLE	Close price of the synthesized bar (available only when dataType = 1 or 2 and callbackForSnapshot = 1 or 2)
  low	DOUBLE	Lowest price of the synthesized bar (available only when dataType = 1 or 2 and callbackForSnapshot = 1 or 2)
  high	DOUBLE	Highest price of the synthesized bar (available only when dataType = 1 or 2 and callbackForSnapshot = 1 or 2)
  volume	LONG	Volume of the synthesized bar (available only when dataType = 1 or 2 and callbackForSnapshot = 1 or 2)

Note

When generating bar data from snapshots (frequency > 0 and callbackForSnapshot = 1 or 2), the input parameter msg should additionally include five fields: “open”, “close”, “low”, “high”, “volume”.

• Interbank Bond Snapshot

  Field	Type	Description
  symbol	SYMBOL	Instrument code
  messageSource	SYMBOL	Market: Interbank “X_BOND”
  byield	TIMESTAMP	Timestamp
  ayield	DOUBLE[]	Bid yields
  bmdEntryPrice	DOUBLE[]	Bid net price (CNY)
  amdEntryPrice	DOUBLE[]	Ask net price (CNY)
  bmdEntrySize	LONG[]	Bid quantity (CNY)
  amdEntrySize	LONG[]	Ask quantity (CNY)
  bsettlType	LONG[]	Buy settlement speed
  asettlType	LONG[]	Sell settlement speed
  settlType	LONG[]	Interval settlement speed
  tradePrice	DOUBLE[]	List of interval trade prices
  tradeYield	DOUBLE[]	Yield to maturity
  tradeQty	LONG[]	List of interval trade quantities

• Cryptocurrency Snapshot

  Field	Type	Description
  symbol	STRING	Instrument code
  symbolSource	STRING	Exchange
  timestamp	TIMESTAMP	Timestamp
  tradingDay	DATE	Trading day / settlement date
  lastPrice	DECIMAL128(8)	Last traded price
  upLimitPrice	DECIMAL128(8)	Upper limit price
  downLimitPrice	DECIMAL128(8)	Lower limit price
  totalBidQty	DECIMAL128(8)	Interval bid quantity
  totalOfferQty	DECIMAL128(8)	Interval ask quantity
  bidPrice	DECIMAL128(8)[]	List of bid prices
  bidQty	DECIMAL128(8)[]	List of bid quantities
  offerPrice	DECIMAL128(8)[]	List of ask prices
  offerQty	DECIMAL128(8)[]	List of ask quantities
  highPrice	DECIMAL128(8)	Highest price
  lowPrice	DECIMAL128(8)	Lowest price
  signal	DOUBLE[]	Other indicator fields
  prevClosePrice	DECIMAL128(8)	Previous closing price
  settlementPrice	DECIMAL128(8)	Settlement price
  prevSettlementPrice	DECIMAL128(8)	Previous settlement price
  contractType	INT	Instrument type: 0: Spot 1: Delivery contract 2: Perpetual contract 3: Option

on_bar(context, msg, indicator)

The callback function (minute or daily frequency) is triggered when subscribed snapshot data is aggregated into bar data.

Parameters:

• context (_type_) –

  A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

  • context.tradeTime — Returns the latest market timestamp.

  • context.tradeDate — Returns the current trading date.

  • context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

  • context.engine — Returns the internal instance handle of the backtesting engine.

• msg (_type_) – Represents the tick-level market data. Each record is provided as either a dictionary object or a table (depending on the msg_as_table configuration). The specific fields vary by asset type. For details, refer to the msg data section below.

• indicator (_type_) – A dictionary or nested dictionary with a structure consistent with the corresponding msg, containing the data subscribed to by the strategy.

Msg data

• Stock snapshot / Snapshot + tick trade details / Minute or daily frequency

  Field	Type	Description
  symbol	SYMBOL	Stock code Ends with “.XSHG” for SSE Ends with “.XSHE” for SZSE
  tradeTime	TIMESTAMP	Trading day
  open	DOUBLE	Opening price
  low	DOUBLE	Lowest price
  high	DOUBLE	Highest price
  close	DOUBLE	Closing price
  volume	LONG	Trading volume
  amount	DOUBLE	Trading amount
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  prevClosePrice	DOUBLE	Previous closing price
  signal	DOUBLE[]	Other indicators / metrics

• Option snapshot

  When callback_for_snapshot = 1 or 2 is configured in the backtesting engine, the callback function on_bar will be triggered. The input parameter msg represents a K-line bar, with each K-line containing 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	Trading amount
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  signal	DOUBLE[]	Other indicators / metrics
  prevClosePrice	DOUBLE	Previous closing price
  settlementPrice	DOUBLE	Settlement price
  prevSettlementPrice	DOUBLE	Previous settlement price
  underlyingPrice	DOUBLE	Underlying asset price
  Theta	DOUBLE	/
  Vega	DOUBLE	/
  Gamma	DOUBLE	/
  Delta	DOUBLE	/
  IV	DOUBLE	/

• Option minute or daily frequency

  The input parameter msg represents a K-line bar, with each K-line containing 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	Trading amount
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  signal	DOUBLE[]	Other fields list
  prevClosePrice	DOUBLE	Previous closing price
  settlementPrice	DOUBLE	Settlement price
  prevSettlementPrice	DOUBLE	Previous settlement price
  underlyingPrice	DOUBLE	Underlying asset price
  Theta	DOUBLE	/
  Vega	DOUBLE	/
  Gamma	DOUBLE	/
  Delta	DOUBLE	/
  IV	DOUBLE	/

• Futures snapshot

  When callbackForSnapshot = 1, the callback function on_bar will be triggered. The input parameter msg represents a K-line bar, with each K-line containing the following fields:

  Field	Type	Description
  symbol	SYMBOL	Futures code
  symbolSource	STRING	Exchange
  timestamp	TIMESTAMP	Timestamp
  tradingDay	DATE	Trading day / settlement date
  lastPrice	DOUBLE	Latest traded price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Interval buy quantity
  totalOfferQty	LONG	Interval sell quantity
  bidPrice	DOUBLE[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of ask prices
  offerQty	LONG[]	List of ask quantities
  highPrice	DOUBLE	Highest price
  lowPrice	DOUBLE	Lowest price
  signal	DOUBLE[]	Other fields list
  prevClosePrice	DOUBLE	Previous closing price
  settlementPrice	DOUBLE	Settlement price
  prevSettlementPrice	DOUBLE	Previous settlement price

• Futures minute or daily frequency

  The input parameter msg represents a K-line bar, with each K-line containing the following fields:

  Field	Type	Description
  symbol	SYMBOL	Futures code
  symbolSource	STRING	Exchange
  timestamp	TIMESTAMP	Timestamp
  tradingDay	DATE	Trading day / settlement date
  lastPrice	DOUBLE	Latest traded price
  upLimitPrice	DOUBLE	Upper limit price
  downLimitPrice	DOUBLE	Lower limit price
  totalBidQty	LONG	Interval buy quantity
  totalOfferQty	LONG	Interval sell quantity
  bidPrice	DOUBLE[]	List of bid prices
  bidQty	LONG[]	List of bid quantities
  offerPrice	DOUBLE[]	List of ask prices
  offerQty	LONG[]	List of ask quantities
  highPrice	DOUBLE	Highest price
  lowPrice	DOUBLE	Lowest price
  signal	DOUBLE[]	Other fields list
  prevClosePrice	DOUBLE	Previous closing price
  settlementPrice	DOUBLE	Settlement price
  prevSettlementPrice	DOUBLE	Previous settlement price

• Digital currency minute or daily frequency

  Field	Type	Description
  symbol	SYMBOL	Instrument code
  symbolSource	SYMBOL	Exchange
  tradeTime	TIMESTAMP	Timestamp
  tradingDay	DATE	Trading day / settlement date
  open	DECIMAL128(8)	Opening price
  low	DECIMAL128(8)	Lowest price
  high	DECIMAL128(8)	Highest price
  close	DECIMAL128(8)	Closing price
  volume	DECIMAL128(8)	Trading volume
  amount	DECIMAL128(8)	Trading amount
  upLimitPrice	DECIMAL128(8)	Upper limit price
  downLimitPrice	DECIMAL128(8)	Lower limit price
  signal	DOUBLE[]	Other fields list
  prevClosePrice	DECIMAL128(8)	Previous closing price
  settlementPrice	DECIMAL128(8)	Settlement price
  prevSettlementPrice	DECIMAL128(8)	Previous settlement price
  contractType	INT	Instrument type 0: Spot 1: Delivery contract 2: Perpetual contract 3: Option

on_transaction(context, msg, indicator)

The callback function is triggered upon receiving tick-level trade details. It is supported only for bonds traded on the Shanghai Stock Exchange.

Parameters:

• context (_type_) –

  A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

  • context.tradeTime — Returns the latest market timestamp.

  • context.tradeDate — Returns the current trading date.

  • context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

  • context.engine — Returns the internal instance handle of the backtesting engine.

• msg (_type_) – Represents the market data. Each record is provided as either a dictionary object or a table (depending on the msg_as_table configuration).

• indicator (_type_) – A dictionary or nested dictionary with a structure consistent with the corresponding msg, containing the data subscribed to by the strategy.

on_order(context, orders)

The order update notification function is triggered when an order status changes.

Parameters:

• context (_type_) –

  A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

  • context.tradeTime — Returns the latest market timestamp.

  • context.tradeDate — Returns the current trading date.

  • context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

  • context.engine — Returns the internal instance handle of the backtesting engine.

• orders (_type_) –

  A dictionary containing order information. The field structure varies depending on the asset type (for example, Shanghai Stock Exchange bonds have a different order field structure than other asset classes).

  • Shanghai Stock Exchange Bonds

    Field	Type	Description
    orderId	LONG	Order ID
    symbol	STRING	Security code
    timestamp	TIMESTAMP	Order timestamp
    bidQty	LONG	Bid quantity
    bidPrice	DOUBLE	Bid price
    bidTotalVolume	LONG	Executed bid quantity
    askQty	LONG	Ask quantity
    askPrice	DOUBLE	Ask price
    askTotalVolume	LONG	Executed ask quantity
    status	INT	Order status. Possible values: 4: Reported 0: Partially filled 1: Fully filled 2: Cancelled -1: Rejected -2: Cancel reject -3: Unfilled
    direction	INT	Order direction. Possible values: 1: Buy 2: Sell 3: Two-sided
    bidTradeValue	DOUBLE	Executed buy value
    askTradeValue	DOUBLE	Executed sell value
    label	STRING	Label, used to add remarks to the order
    updateTime	TIMESTAMP	Update time

  • Other Assets (excluding SSE Bonds)

    Field	Type	Description
    orderId	LONG	Order ID
    symbol	STRING	Security code
    symbolSource	STRING	Exchange (futures only)
    timestamp	TIMESTAMP	Order timestamp
    qty	LONG	Order quantity
    price	DOUBLE	Order price
    status	INT	Order status. Possible values: 4: Reported 0: Partially filled 1: Fully filled 2: Cancelled -1: Rejected -2: Cancel reject
    direction	INT	Order direction. Possible values: 1: Open long 2: Open short 3: Close short 4: Close long
    tradeQty	LONG	Total executed quantity
    tradeValue	DOUBLE	Total executed value
    label	STRING	Label, used to add remarks to the order
    updateTime	TIMESTAMP	Update time

on_trade(context, trades)

The trade update notification function is triggered when an order is executed.

Parameters:

• context (_type_) –

  A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

  • context.tradeTime — Returns the latest market timestamp.

  • context.tradeDate — Returns the current trading date.

  • context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

  • context.engine — Returns the internal instance handle of the backtesting engine.

• trades (_type_) –

  A dictionary containing trade information. The field definitions are as follows:

  Field	Type	Description
  orderId	LONG	Order ID
  symbol	STRING	Security code
  tradePrice	DOUBLE	Trade price of the current execution
  tradeQty	LONG	Trade quantity of the current execution
  tradeValue	DOUBLE	Trade value of the current execution
  totalFee	DOUBLE	Total transaction fee
  bidTotalQty	LONG	Cumulative buy quantity
  bidTotalValue	DOUBLE	Cumulative buy value
  askTotalQty	LONG	Cumulative sell quantity
  askTotalValue	DOUBLE	Cumulative sell value
  direction	INT	Order direction. Possible values: 1: Open long 2: Open short 3: Close short 4: Close long
  tradeTime	TIMESTAMP	Trade time
  orderPrice	DOUBLE	Order price
  label	STRING	Label, used to add remarks to the order

after_trading(context)

The callback function is triggered at the end of each trading day. It can be used to summarize the day’s trades, positions, and other statistics.

Note: This function is not required for cryptocurrency strategies.

Parameters:

context (_type_) –

A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

• context.tradeTime — Returns the latest market timestamp.

• context.tradeDate — Returns the current trading date.

• context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

• context.engine — Returns the internal instance handle of the backtesting engine.

finalize(context)

The strategy termination callback function is triggered when the backtest completes.

Parameters:

context (_type_) –

A dictionary representing the global context of the strategy. It is used to store and manage all user-defined variables within the strategy. In addition, the backtesting engine maintains four internal variables within the context:

• context.tradeTime — Returns the latest market timestamp.

• context.tradeDate — Returns the current trading date.

• context.BarTime — Returns the current bar timestamp when market snapshots are aggregated into lower-frequency bars.

• context.engine — Returns the internal instance handle of the backtesting engine.