The returned format must be one of the following two formats (which will be recognized by the system automatically):
Simulation level Tick, the following is an example of JSON data:
{
"detail": {
"eid": "Binance",
"symbol": "BTC_USDT",
"alias": "BTCUSDT",
"baseCurrency": "BTC",
"quoteCurrency": "USDT",
"marginCurrency": "USDT",
"basePrecision": 5,
"quotePrecision": 2,
"minQty": 0.00001,
"maxQty": 9000,
"minNotional": 5,
"maxNotional": 9000000,
"priceTick": 0.01,
"volumeTick": 0.00001,
"marginLevel": 10
},
"schema":["time", "open", "high", "low", "close", "vol"],
"data":[
[1564315200000, 9531300, 9531300, 9497060, 9497060, 787],
[1564316100000, 9495160, 9495160, 9474260, 9489460, 338]
]
}
Bot level tick, the following is an example of JSON data:
Tick-level backtest data (contains information on the depth of the market, and the depth format is an array of [price, volume]. It can have multiple levels of depth, asks for price ascending order, bids for price descending order).
{
"detail": {
"eid": "Binance",
"symbol": "BTC_USDT",
"alias": "BTCUSDT",
"baseCurrency": "BTC",
"quoteCurrency": "USDT",
"marginCurrency": "USDT",
"basePrecision": 5,
"quotePrecision": 2,
"minQty": 0.00001,
"maxQty": 9000,
"minNotional": 5,
"maxNotional": 9000000,
"priceTick": 0.01,
"volumeTick": 0.00001,
"marginLevel": 10
},
"schema":["time", "asks", "bids", "trades", "close", "vol"],
"data":[
[1564315200000, [[9531300, 10]], [[9531300, 10]], [[1564315200000, 0, 9531300, 10]], 9497060, 787],
[1564316100000, [[9531300, 10]], [[9531300, 10]], [[1564316100000, 0, 9531300, 10]], 9497060, 787]
]
}
| Field | Description |
|---|---|
| detail | Detailed information on the requested data type, |
including the name of the denominated currency, the name of the trading currency, the precision, the minimum order quantity, etc. | | schema | It specifies the attributes of the columns in the data array, which is case sensitive and is only limited to time, open, high, low, close, vol, asks, bids, trades| | data | The column structure, recorded data according to the schema settings.|
detail field
| Field | Description |
|---|---|
| eid | Exchange Id, please note that the spot and futures of a |
| certain exchange have different eids. | |
| symbol | Trading product code |
| alias | The symbol in the exchange corresponding to the current |
| trading product code | |
| baseCurrency | Trading Currency |
| quoteCurrency | Denominated Currency |
| marginCurrency | Margin Currency |
| basePrecision | Transaction Currency Accuracy |
| quotePrecision | Pricing Currency Accuracy |
| minQty | Minimum Order Quantity |
| maxQty | Maximum Order Quantity |
| minNotional | Minimum Order Amount |
| maxNotional | Maximum Order Amount |
| priceTick | Price Jump |
| volumeTick | Minimum change value of order quantity (one jump in |
| order quantity) | |
| marginLevel | Futures Leverage Value |
| contractType | For perpetual contracts set to: swap, the |
backtest system will continue to send funding rate and price index requests |
Special column attributes asks, bids, trades:
| Field | Description | Remarks |
|---|---|---|
| asks / bids | [[price, volume], …] | For example, the data in |
the Live Trading Level Tick data example: [[9531300, 10]] |
| trades | [[time,direction(0:buy,1:sell),price,volume], …] | For
example, the data in the Live Trading Level Tick data example:
[[1564315200000, 0, 9531300, 10]] |
When backtesting perpetual contracts on futures exchanges, custom
data sources also require additional funding rate data and price
index data. The backtesting system will continue to send requests
for funding rates only when the requested market data is returned
and the detail field in the returned structure contains the
"contractType": "swap" key-value pair.
When the backtesting system receives funding rate data, it will continue to send requests for price index data.
The funding rate data structure is as follows:
{
"detail": {
"eid": "Futures_Binance",
"symbol": "BTC_USDT.funding",
"alias": "BTC_USDT.funding",
"baseCurrency": "BTC",
"quoteCurrency": "USDT",
"marginCurrency": "",
"basePrecision": 8,
"quotePrecision": 8,
"minQty": 1,
"maxQty": 10000,
"minNotional": 1,
"maxNotional": 100000000,
"priceTick": 1e-8,
"volumeTick": 1e-8,
"marginLevel": 10
},
"schema": [
"time",
"open",
"high",
"low",
"close",
"vol"
],
"data": [
[
1584921600000,
-16795,
-16795,
-16795,
-16795,
0
],
[
1584950400000,
-16294,
-16294,
-16294,
-16294,
0
]
// ...
]
}
An example of a funding rate data request from the backtesting system is:
http://customserver:9090/data?custom=0&depth=20&detail=true&eid=Futures_Binance&from=1351641600&period=86400000&round=true&symbol=BTC_USDT.funding&to=1611244800&trades=0
The price index data structure is as follows:
{
"detail": {
"eid": "Futures_Binance",
"symbol": "BTC_USDT.index",
"alias": "BTCUSDT",
"baseCurrency": "BTC",
"quoteCurrency": "USDT",
"contractType": "index",
"marginCurrency": "USDT",
"basePrecision": 3,
"quotePrecision": 1,
"minQty": 0.001,
"maxQty": 1000,
"minNotional": 0,
"maxNotional": 1.7976931348623157e+308,
"priceTick": 0.1,
"volumeTick": 0.001,
"marginLevel": 10,
"volumeMultiple": 1
},
"schema": [
"time",
"open",
"high",
"low",
"close",
"vol"
],
"data": [
[1584921600000, 58172, 59167, 56902, 58962, 0],
[1584922500000, 58975, 59428, 58581, 59154, 0],
// ...
]
}
An example of a price index data request sent by the backtesting system is:
http://customserver:9090/data?custom=0&depth=20&detail=true&eid=Futures_Binance&from=1351641600&period=86400000&round=true&symbol=BTC_USDT.index&to=1611244800&trades=0