StrategyTemplate

class swordfish.plugins.backtest.StrategyTemplate(engine)

Parameters:

engine (BacktesterBase)

property accounts

Get the corresponding account based on the account type, and perform operations or retrieve information using this account.

final submit_order(msg, label='', order_type=0, account_type=AccountType.DEFAULT)

This function can be called within callback functions to submit an order and returns the order ID.

Parameters:

• msg (_type_) – A tuple representing the order information. The format varies depending on the asset type. Please see details in “Order Format by Asset Type”

• label (str, optional) – A STRING scalar, used to assign a label to the order for categorization.

• order_type (int, optional) –

  An INT scalar. Optional values:

  • 0: Default, general order

  • 5: Limit stop-loss/take-profit order

  • 6: Market stop-loss/take-profit order

  • 8: Two-sided quote order (supported only for futures and options)

  Note: Types 5, 6, and 8 are algorithmic orders. Types 5 and 6 are supported for stocks, futures, and options. Type 8 is supported only for futures and options and can be enabled via the enableAlgoOrder configuration.

• account_type (AccountType, optional) – A STRING scalar, indicating the account type. Optional values: “spot”, “futures”, “option”, representing spot, futures/perpetual, and option accounts, respectively. This parameter is applicable only for cryptocurrency strategies.

Order Format by Asset Type

• For orderType = 0, the format is:

  Asset Type	Format	Description
  Stock (including convertible bonds, funds)	(Stock Code, Order Time, Order Type, Order Price, Order Quantity, Buy/Sell Direction)	Buy/Sell Direction: 1: Buy Open; 2: Sell Open; 3: Sell Close; 4: Buy Close Order Type: Shanghai Stock Exchange: 0: Market order - best 5 levels immediate or cancel 1: Market order - best 5 levels immediate and remaining as limit order 2: Market order - best price on own side 3: Market order - best price on opposite side 5: Limit order 6: Cancel order Shenzhen Stock Exchange: 0: Market order - best 5 levels immediate or cancel 1: Market order - immediate or cancel remaining order 2: Market order - best price on own side 3: Market order - best price on opposite side 4: Market order - fill or kill order 5: Limit order 6: Cancel order
  Futures / Options	(Symbol, Exchange Code, Time, Order Type, Order Price, Stop Loss/Take Profit Price, Order Quantity, Buy/Sell Direction, Order Validity)	Buy/Sell Direction: 1: Buy Open; 2: Sell Open; 3: Sell Close; 4: Buy Close; 5: Option Exercise (only supported in multi-asset backtesting mode; underlyingCode must be configured in the instrument info table) Order Type: 0: Market order - submitted at limit up/down price, time priority 1: Market stop-loss order 2: Market take-profit order 3: Limit stop-loss order 4: Limit take-profit order 5: Limit order (default) 6: Cancel order 9: Auto-trading mode (only Buy Open=1 or Sell Open=2 supported): If Buy Open (1): If order quantity > longPosition, submit a Buy Open order. If order quantity ≤ longPosition, submit a Sell Close (3) order. If Sell Open (2): If order quantity > shortPosition, submit a Sell Open order. If order quantity ≤ shortPosition, submit a Buy Close (4) order. Order Validity: 0: Good for the day (default) 1: Fill or Kill (FOK) 2: Fill and Kill (FAK) Stop loss/take profit prices are currently not supported and default to 0.
  Margin Trading / Securities Lending	(Stock Code, Order Time, Order Type, Order Price, Order Quantity, Buy/Sell Flag)	Order Type: 0: Market order 5: Limit order Buy/Sell Flag: 1: Collateral purchase 2: Collateral sale 3: Margin purchase 4: Short selling 5: Direct repayment 6: Sell-to-repay 7: Direct stock return 8: Buy-to-return
  Bond	(Symbol, Order Time, Order Type, Clearing Speed, Bid Price, Bid Volume, Ask Price, Ask Volume, Buy/Sell Direction, User Order ID, Channel)	Buy/Sell Flag: 1: Buy Open 2: Sell Close 3: Two-way quote Order Type: 1: Limit order 3: Market-to-cancel order 4: Market-to-limit order 5: Elastic order 7: FAK - execute immediately, cancel unfilled portion 8: FOK - execute immediately in full, cancel otherwise
  Cryptocurrency / Multi-Asset	(Symbol, Exchange Code, Time, Order Type, Order Price, Stop Loss Price, Take Profit Price, Order Quantity, Buy/Sell Direction, Slippage, Order Validity, Expiration Time)	Buy/Sell Direction: 1: Buy Open; 2: Sell Open; 3: Sell Close; 4: Buy Close Order Type: 5: Limit order (default) 0: Market order - submitted at limit up/down price, time priority Order Validity: 0: Good for the day (default) 1: Fill or Kill (FOK) 2: Fill and Kill (FAK)

• For orderType = 5 or 6, the tuple format is: (Symbol, Exchange Code, Time, Order Type, Order Price, Stop Loss Price, Take Profit Price, Order Quantity, Buy/Sell Direction, Slippage, Order Validity, Expiration Time).

• For orderType = 8, the format is:

  Asset Type	Format	Description
  Futures / Options	(Contract Code, Exchange Code, Time, Order Type, Buy Open/Close Flag, Buy Price, Buy Quantity, Sell Open/Close Flag, Sell Price, Sell Quantity, bidDifftolerance, askDifftolerance, quantityAllowed)	Notes: The fields bidDifftolerance, askDifftolerance, and quantityAllowed are reserved. Buy/Sell Direction: 1: Buy open 2: Sell open 3: Sell close 4: Buy close 5: Option exercise (only supported in multi-asset backtesting mode; the underlyingCode field in the basic information table must be configured) Order Type: 0: Market order — submitted at limit up or limit down price, following time priority 1: Market stop-loss order 2: Market take-profit order 3: Limit stop-loss order 4: Limit take-profit order 5: Limit order (default) 6: Cancel order Order Validity: 0: Good for the day (default) 1: Fill or kill (FOK) — execute fully immediately or cancel 2: Fill-and-kill (FAK) — execute immediately, cancel any unfilled portion Stop-loss and take-profit prices are currently not supported (default value: 0).

final cancel_order(*, symbol=None, orders=None, label=None)

Cancel orders.

Parameters:

• symbol (_type_, optional) – A STRING scalar, indicating the security code of the orders to be canceled. The default value is None.

• orders (_type_, optional) – An INTEGRAL vector, indicating the list of order IDs to be canceled. The default value is None.

• label (_type_, optional) – A STRING scalar, indicating the label or remark associated with the orders to be canceled. The default value is None.

final get_open_orders(symbol=None, orders=None, label=None, output_queue_position=False)

Query the information of unfilled orders.

• If symbol is specified, queries unfilled orders for that security.

• If symbol is empty but orders is specified, queries unfilled orders in the provided orders list.

• If both symbol and orders are empty, queries unfilled orders specified by label.

Parameters:

• symbol (_type_, optional) – A STRING scalar, indicating the security code. The default value is None.

• orders (_type_, optional) – An INTEGRAL vector, indicating a list of order IDs. The default value is None.

• label (_type_, optional) – A STRING scalar, indicating a remark or label. The default value is None.

• output_queue_position (bool, optional) – A BOOL scalar, indicating whether to output detailed information, including openVolumeWithBetterPrice, openVolumeWithWorsePrice, openVolumeAtOrderPrice, priorOpenVolumeAtOrderPrice, and depthWithBetterPrice. Default is false, indicating no detailed output. This parameter is supported only for stocks and futures.

Returns:

Returns a dictionary or table.

For all asset types except Shanghai Stock Exchange bonds, the table structure is as follows:

Key	Value Type	Description
orderId	LONG	Order ID
timestamp	TIMESTAMP	Time
symbol	STRING	Symbol code
price	DOUBLE	Order price
totalQty	LONG	Total quantity of the order
openQty	LONG	Remaining quantity of the order
direction	INT	1: Buy open; 2: Sell open; 3: Sell close; 4: Buy close
isMacthing	INT	Indicates whether the order has reached the matching time
openVolumeWithBetterPrice	LONG	Total quantity of unfilled orders with better prices (returned only when outputQueuePosition = true)
openVolumeWithWorsePrice	LONG	Total quantity of unfilled orders with worse prices (returned only when outputQueuePosition = true)
openVolumeAtOrderPrice	LONG	Total quantity of unfilled orders at the same price (returned only when outputQueuePosition = true)
priorOpenVolumeAtOrderPrice	LONG	Total quantity of unfilled orders at the same price placed earlier (returned only when outputQueuePosition = true)
depthVolumeWithBetterPrice	INT	Depth level of unfilled quotes with better prices (returned only when outputQueuePosition = true)
updateTime	TIMESTAMP	Last update time

For Shanghai Stock Exchange bonds, the table structure is as follows:

Name	Type	Description
orderId	LONG	Order ID
time	TIMESTAMP	Timestamp
symbol	STRING	Security code
bidPrice	DOUBLE	Bid price
bidTotalQty	LONG	Total bid quantity placed by the user
bidRemainQty	LONG	Remaining bid quantity of the user order
askPrice	DOUBLE	Ask price
askTotalQty	LONG	Total ask quantity placed by the user
askRemainQty	LONG	Remaining ask quantity of the user order
direction	INT	Trade direction: 1: Buy 2: Sell 3: Two-way
label	STRING	Remarks

Return type:

Dictionary

property universe

Set the symbol pool for the engine.

final subscribe_indicator(market_data_type, metrics, account_type=AccountType.DEFAULT)

Set the market data indicators to subscribe.

Parameters:

• market_data_type (MarketDataType) –

  The type of market data to subscribe to. Optional values:

  • SNAPSHOT: Snapshot

  • TICK: Tick-by-tick order data

  • KLINE / OHLC: K-line data

  • TRADE: Tick-by-tick trade details

  • SNAPSHOT_KLINE / SNAPSHOT_OHLC: Snapshot-based K-line data

• metrics (_type_) – Metaprogramming object, can be generated using sf.meta_code.

• account_type (AccountType, optional) – A STRING scalar, indicating the account type.