数据格式
返回的格式必须为以下两种格式之一（系统自动识别）：
-
模拟级 Tick，以下是JSON数据示例：
普通的Bar级别回测，以下是数据示例：json{ "detail": { "alias": "MA501", "baseCurrency": "FUTURES", "basePrecision": 1, "contractType": "MA501", "eid": "Futures_CTP", "info": { "CombinationType": 48, "CreateDate": 20240116, "DeliveryMonth": 1, "DeliveryYear": 1501, "EndDelivDate": 20250114, "ExchangeID": "CZCE", "ExchangeInstID": "MA501", "ExpireDate": 20250114, "InstLifePhase": 49, "InstrumentID": "MA501", "InstrumentName": "甲醇1月", "IsTrading": 1, "LongMarginRatio": 0.08, "MaxLimitOrderVolume": 1000, "MaxMarginSideAlgorithm": 48, "MaxMarketOrderVolume": 200, "MinLimitOrderVolume": 1, "MinMarketOrderVolume": 1, "OpenDate": 20240116, "OptionsType": 0, "PositionDateType": 50, "PositionType": 50, "PriceTick": 1, "ProductClass": 49, "ProductID": "MA", "ShortMarginRatio": 0.08, "StartDelivDate": 0, "StrikePrice": 0, "UnderlyingInstrID": "", "UnderlyingMultiple": 1, "VolumeMultiple": 10 }, "marginCurrency": "CNY", "marginLevel": 12, "maxNotional": 10000000, "maxQty": 1000, "minNotional": 1, "minQty": 1, "priceTick": 1, "quoteCurrency": "CNY", "quotePrecision": 0, "symbol": "MA501", "volumeTick": 1 }, "schema": ["time", "open", "high", "low", "close", "vol", "position"], "data": [ [1719795600000, 2632, 2633, 2621, 2625, 13070, 1720510], // 2024-07-01 09:00:00 [1719795660000, 2625, 2625, 2621, 2623, 4280, 1720940], // 2024-07-01 09:01:00 [1719795720000, 2623, 2626, 2622, 2622, 5320, 1722310], // 2024-07-01 09:02:00 [1719795780000, 2622, 2625, 2620, 2625, 3480, 1722160], [1719795840000, 2624, 2624, 2622, 2623, 2220, 1723150], [1719795900000, 2623, 2624, 2620, 2620, 3080, 1722840], [1719795960000, 2621, 2622, 2620, 2620, 3090, 1723850] ] } -
实盘级 Tick，以下是JSON数据示例：
Tick级回测的数据（包含盘口深度信息，深度格式为[价格, 量]的数组。可有多级深度，asks为价格升序，bids为价格降序）。json// 不含分笔数据 { "detail": { "alias": "MA501", "baseCurrency": "FUTURES", "basePrecision": 1, "contractType": "MA501", "eid": "Futures_CTP", "info": { "CombinationType": 48, "CreateDate": 20240116, "DeliveryMonth": 1, "DeliveryYear": 1501, "EndDelivDate": 20250114, "ExchangeID": "CZCE", "ExchangeInstID": "MA501", "ExpireDate": 20250114, "InstLifePhase": 49, "InstrumentID": "MA501", "InstrumentName": "甲醇1月", "IsTrading": 1, "LongMarginRatio": 0.08, "MaxLimitOrderVolume": 1000, "MaxMarginSideAlgorithm": 48, "MaxMarketOrderVolume": 200, "MinLimitOrderVolume": 1, "MinMarketOrderVolume": 1, "OpenDate": 20240116, "OptionsType": 0, "PositionDateType": 50, "PositionType": 50, "PriceTick": 1, "ProductClass": 49, "ProductID": "MA", "ShortMarginRatio": 0.08, "StartDelivDate": 0, "StrikePrice": 0, "UnderlyingInstrID": "", "UnderlyingMultiple": 1, "VolumeMultiple": 10 }, "marginCurrency": "CNY", "marginLevel": 12, "maxNotional": 10000000, "maxQty": 1000, "minNotional": 1, "minQty": 1, "priceTick": 1, "quoteCurrency": "CNY", "quotePrecision": 0, "symbol": "MA501", "volumeTick": 1 }, "schema": ["time", "asks", "bids", "close", "vol", "position"], "data": [ [1719795601778, [[2633, 50]], [[2631, 50]], 2632, 110410, 1718490], [1719795602192, [[2632, 120]], [[2631, 50]], 2632, 110410, 1718490], [1719795603873, [[2631, 20]], [[2630, 600]], 2631, 110780, 1718790], [1719795604769, [[2633, 120]], [[2630, 490]], 2631, 111300, 1718860], [1719795605661, [[2632, 200]], [[2631, 30]], 2632, 111750, 1718880] ] }
| 字段 | 说明 |
|---|---|
| schema | 指定data数组中各列的属性，区分大小写，仅限于 time, open, high, low, close, vol, asks, bids, trades |
| data | 按schema指定的列顺序保存数据的数组 |
| detail | 商品期货品种需要提供的属性信息 |
detail字段
| 字段 | 说明 | 例子 |
|---|---|---|
| alias | 合约代码 | rb2501 |
| baseCurrency | 交易品种 | FUTURES |
| basePrecision | 交易品种精度 | 1 |
| contractType | 合约代码 | rb2501 |
| eid | 交易所对象Id | Futures_CTP |
| info | 合约详细信息 | 其中记录了合约的上市日期、交割日期、合约乘数、价格跳动单位等信息。 |
| marginCurrency | 保证金币种 | CNY |
| marginLevel | 杠杆倍数 | 该数据与合约具体的保证金率相关，一般不可修改 |
| maxNotional | 单笔最大下单金额 | 10000000 |
| maxQty | 单笔最大下单数量 | 1000 |
| minNotional | 单笔最小下单金额 | 1 |
| minQty | 单笔最小下单数量 | 1 |
| priceTick | 价格跳动单位 | -- |
| quoteCurrency | 计价货币 | CNY |
| quotePrecision | 计价货币精度 | 0 |
| symbol | 合约代码 | rb2501 |
| volumeTick | 下单量最小变动单位 | 1 |
特殊的列属性asks、bids、trades：
| 字段 | 说明 | 备注 |
|---|---|---|
| asks / bids | [[价格, 数量], ...] | 例如实盘级 Tick数据示例中的数据：[[9531300, 10]] |
| trades | [[时间, 方向(0:买,1:卖), 价格, 数量], ...] | 例如实盘级 Tick数据示例中的数据：[[1564315200000, 0, 9531300, 10]] |
detail字段中info字段值内容与exchange.SetContractType()函数返回的数据Info字段一致。
detail字段中timeLine字段说明：
当策略代码中设置的合约代码为主力连续合约（例如：MA888）或指数合约（例如：MA000）时，自定义数据源响应的数据的detail中还需要增加一个timeLine字段。
json
// timeLine字段值
[
{
"begin": 1451836800000,
"end": 1460013300000,
"symbol": "MA605"
}, {
"begin": 1460034000000,
"end": 1470640500000,
"symbol": "MA609"
}
// ...
]