股票

股票分红除权基本信息表“stockDividend”字段说明如下：

通过接口 appendQuotationMsg 向引擎中插入数据时，msg 结构

colName=`msgTime`msgType`msgBody`symbol`channelNo`seqNum
colType= [TIMESTAMP, SYMBOL, BLOB,STRING,INT,LONG]
messageTable=streamTable(10000000:0, colName, colType)

带有逐笔行情时，msgType 有 "entrust", "trade", "snapshot", "END" 四种类型，当使用逐笔数据合成指定频率的快照数据时，可以不使用 msgType 为 "snapshot" 的行情数据。在这种情况下，系统将根据逐笔交易数据和委托单数据生成对应频率的快照数据。不同 msgType 类型的逐笔数据表通过回放函数 replayDS 以及 replay输出得到回测所需的表messageTable。下面为各类逐笔数据表的结构说明：

逐笔数据 entrust 和 trade 表结构：

snapshot 表结构：

回测行情回放结束时，增加一条 msgType 为”END“的消息。如下示例：

messageTable=select top 1* from messageTable where msgTime=max(msgTime) 
update messageTable set msgType="END" 
update messageTable set msgTime=concatDateTime(msgTime.date(),16:00:00) 
Backtest::appendQuotationMsg(engine,messageTable)

逐笔行情回调函数 onTick ：输入参数 msg

msg 为字典时，是以 symbol 为 key 的 tick 数据字典。其中 value 为这支股票对应的行情信息以及 initialize 中定义的指标计算结果。每个 tick 对象包含字段如下：

快照行情回调函数 onSnapshot ：输入参数 msg

msg 为字典时，是以 symbol 为 key 的 snapShot 数据字典。其中 value 为这支股票对应的行情信息以及initialize 中定义的指标计算结果。每个 snapShot 对象包含字段如下：

colName=["symbol","symbolSource","timestamp","lastPrice","upLimitPrice","downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty",
"offerPrice","offerQty","prevClosePrice"]
colType= ["SYMBOL","SYMBOL","TIMESTAMP","DOUBLE","DOUBLE","DOUBLE","LONG",
"LONG","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]", "DOUBLE"]
messageTable=table(10000:0, colName, colType)

快照行情（frequency>0，callbackForSnapshot=1或者2）表结构：

colName=["symbol","symbolSource","timestamp","lastPrice","upLimitPrice",
"downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty",
"offerPrice","offerQty","prevClosePrice","open", "close","low","high","volume"]
colType= ["STRING","STRING","TIMESTAMP","DOUBLE","DOUBLE","DOUBLE","LONG",
"LONG","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE",DOUBLE, DOUBLE,DOUBLE,DOUBLE,LONG]
messageTable=table(10000000:0, colName, colType)

快照行情数据表（使用快照合成 bar 行情）必需字段如下所示：

回测行情回放结束时，发送一条 symbol 为 “END” 的消息:

messageTable=select top 1 * from messageTable
update messageTable set symbol="END" 
Backtest::appendQuotationMsg(engine,messageTable)

快照行情回调函数 onSnapshot ：输入参数 msg

msg 为字典时，是以 symbol为 key 的 snapShot 数据字典。其中 value 为这支股票对应的行情信息。每个 snapShot 对象包含字段如下：

k线行情回调函数 onBar：输入参数 msg

msg 为字典时，是以 symbol 为 key 的分钟频率的 K 线数据字典。每个 K 线包含字段如下：

快照+逐笔成交明细行情（frequency=0，callbackForSnapshot=0）时的表结构：

colName=["symbol","symbolSource","timestamp","lastPrice","upLimitPrice",
                "downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty",
                "offerPrice","offerQty","tradePrice","tradeQty","prevClosePrice"]
colType= ["STRING","STRING","TIMESTAMP","DOUBLE","DOUBLE","DOUBLE","LONG",
                "LONG","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE"]
messageTable=table(10000000:0, colName, colType)

具体字段说明如下：（与快照行情比增加tradePrice 和 tradeQty 两个字段）

快照+逐笔成交明细行情（frequency>0，callbackForSnapshot=1或者2）时的表结构：

colName=["symbol","symbolSource","timestamp","lastPrice","upLimitPrice",
                "downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty",
                "offerPrice","offerQty","tradePrice","tradeQty","prevClosePrice","open", "close","low","high","volume"]
colType= ["STRING","STRING","TIMESTAMP","DOUBLE","DOUBLE","DOUBLE","LONG",
                "LONG","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE","DOUBLE", "DOUBLE","DOUBLE","DOUBLE","LONG"]
messageTable=table(10000000:0, colName, colType)

具体字段说明如下：（与快照行情比增加tradePrice 和 tradeQty 两个字段）

回测行情回放结束时，发送一条symbol为“END”的消息:

messageTable=select top 1 * from messageTable
update messageTable set symbol="END" 
Backtest::appendQuotationMsg(engine, messageTable)

快照行情回调函数 onSnapshot：输入参数 msg

msg 为字典时，是以 symbol 为 key 的 snapShot数据字典。其中 value 为这支股票对应的行情信息。每个 snapShot 对象包含字段如下：

k线行情回调函数 onBar：输入参数 msg

msg 为字典时，是以 symbol 为 key 的分钟频率的 K 线数据字典。每个 K 线包含字段如下：

colName=`symbol`tradeTime`open`low`high`close`volume`amount`upLimitPrice`downLimitPrice`prevClosePrice
colType=[SYMBOL,TIMESTAMP,DOUBLE,DOUBLE,DOUBLE,DOUBLE,LONG,DOUBLE,DOUBLE,DOUBLE,DOUBLE]
messageTable=table(10000000:0, colName, colType)

回测行情回放结束时，发送一条 symbol 为“END”的消息:

messageTable=select top 1 * from messageTable 
update messageTable set symbol="END" 
Backtest::appendQuotationMsg(engine,messageTable)

K 线行情回调函数 onBar：输入参数 msg

msg 为字典时，是以 symbol 为 key 的分钟频率的 K 线数据字典。每个 K 线包含字段如下：

执行回测时输入表 messageTable 结构: Backtest::appendQuotationMsg(engine,messageTable)

colName=[`symbol,`symbolSource,`timestamp,`sourceType,`orderType,`price,`qty,`buyNo,
    `sellNo,`direction,`channelNo,`seqNum,`reserve1]
colType=["SYMBOL","INT","TIMESTAMP","INT","INT","DOUBLE","LONG","LONG",
    "LONG","INT","INT","LONG","DOUBLE"]
messageTable=table(1000:0,colName,colType)

逐笔（宽表）行情数据表结构：

与逐笔数据相比，逐笔（宽表）增加了”reserve1“ 这个预留字段。

回测行情回放结束时，增加一条 symbol 为”END“的消息。如下示例：

messageTable=select top 1 * from messageTable
update messageTable set symbol="END" 
Backtest::appendQuotationMsg(engine,messageTable)

逐笔行情回调函数 onTick ：输入参数 msg

msg 为字典时，是以 symbol 为 key 的 tick 数据字典。其中 value 为这支股票对应的行情信息以及initialize 中定义的指标计算结果。每个 tick 对象包含字段如下：

快照行情回调函数 onSnapshot ：输入参数 msg

msg 为字典时，是以 symbol 为 key 的 snapShot 数据字典。其中 value 为这支股票对应的行情信息以及initialize 中定义的指标计算结果。每个 snapShot 对象包含字段如下：

执行回测时输入表messageTable的数据结构：Backtest::appendQuotationMsg(engine,messageTable)

colName=[`symbol,`symbolSource,`timestamp,`sourceType,`orderType,`price,`qty,`buyNo,
`sellNo,`direction,`channelNo,`seqNum,"lastPrice","upLimitPrice",
"downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty",
"offerPrice","offerQty","prevClosePrice"]
colType=["SYMBOL","STRING","TIMESTAMP","INT","INT","DOUBLE","LONG","LONG",
"LONG","INT","INT","LONG","DOUBLE","DOUBLE","DOUBLE","LONG",
"LONG","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]","DOUBLE"]
messageTable=table(1000:0,colName,colType)

逐笔+快照（宽表）行情数据表结构：

回测行情回放结束时，发送一条 symbol 为 “END” 的消息:

messageTable=select top 1* from messageTable
update messageTable set symbol="END" 
Backtest::appendQuotationMsg(engine,messageTable)

逐笔行情回调函数 onTick ：输入参数 msg

msg 为字典时，是以 symbol 为 key 的 tick 数据字典。其中 value 为这支股票对应的行情信息以及initialize 中定义的指标计算结果。每个 tick 对象包含字段如下：

快照行情回调函数 onSnapshot ：输入参数 msg

msg 为字典时，是以 symbol 为 key 的 snapShot 数据字典。其中 value 为这支股票对应的行情信息以及initialize 中定义的指标计算结果。每个 snapShot 对象包含字段如下：

通过接口 appendQuotationMsg 向引擎中插入数据时，msg 为一个字典，key 支持 'ohlc'，'snapshot' 或 'indicator' 三种：

• 'ohlc' 为分钟频行情表，结构如下：

  colName=`symbol`tradeTime`open`low`high`close`volume`amount`upLimitPrice`downLimitPrice`prevClosePrice
  colType=[SYMBOL,TIMESTAMP,DOUBLE,DOUBLE,DOUBLE,DOUBLE,LONG,DOUBLE,DOUBLE,DOUBLE,DOUBLE]
  messageTable=table(10000000:0, colName, colType)

  注：

  字段名须严格与下表一致，字段顺序除首列必须为 symbol 列外，无其它要求，此外还支持 INT，DOUBLE，STRING 类型的列，或名为 signal 的 DOUBLE ARRAY VECTOR 类型的列作为扩展字段。

• 'snapshot' 为快照行情表，结构如下：

  colName=["symbol","symbolSource","timestamp","lastPrice","upLimitPrice","downLimitPrice","totalBidQty","totalOfferQty","bidPrice","bidQty",
  "offerPrice","offerQty","prevClosePrice"]
  colType= ["SYMBOL","SYMBOL","TIMESTAMP","DOUBLE","DOUBLE","DOUBLE","LONG",
  "LONG","DOUBLE[]","LONG[]","DOUBLE[]","LONG[]", "DOUBLE"]
  messageTable=table(10000:0, colName, colType)

  注：

  • 标的代码 symbol 必须带有交易所标识（".XSHG",".XSHE"）结尾，如 600000.XSHG，不然报错。

  • 上述为快照行情（frequency=0，callbackForSnapshot=0），即非快照合成 bar 行情的输入表结构。

  • 字段名须严格与下表一致，字段顺序除首列必须为 symbol 列外，无其它要求，此外还支持 INT，DOUBLE，STRING 类型的列，或名为 signal 的 DOUBLE ARRAY VECTOR 类型的列作为扩展字段。

  快照行情数据表必需字段如下所示：

  字段	类型	备注
  symbol	SYMBOL	股票代码 上交所以".XSHG"结尾 深交所以".XSHE"结尾
  symbolSource	STRING	"XSHG"（上交所）或者"XSHE"（深交所）
  timestamp	TIMESTAMP	时间戳
  lastPrice	DOUBLE	最新成交价
  upLimitPrice	DOUBLE	涨停价
  downLimitPrice	DOUBLE	跌停价
  totalBidQty	LONG	区间买量
  totalOfferQty	LONG	区间卖量
  bidPrice	DOUBLE[]	委买价格列表
  bidQty	LONG[]	委买量列表
  offerPrice	DOUBLE[]	委卖价格列表
  offerQty	LONG[]	委卖量列表
  signal	DOUBLE[]	指标列表
  prevClosePrice	DOUBLE	前收盘价

  分钟频行情数据表必需字段如下所示：

  字段	类型	备注
  symbol	SYMBOL	股票代码
  tradeTime	TIMESTAMP	时间戳
  open	DOUBLE	开盘价
  low	DOUBLE	最低价
  high	DOUBLE	最高价
  close	DOUBLE	收盘价
  volume	LONG	成交量
  amount	DOUBLE	成交金额
  upLimitPrice	DOUBLE	涨停价
  downLimitPrice	DOUBLE	跌停价
  prevClosePrice	DOUBLE	前收盘价
  signal	DOUBLE[]	其他字段列表

• 'indicator' 为对应 onBar 回调的历史指标数据表。设置该表时，不能同时使用 subscribeIndicator 订阅 ohlc/kline 类型的指标。该表的字段必须包含 symbol 和 timestamp，其后可以是 INT、DOUBLE 或 STRING 类型的扩展字段。