返回的格式必须为以下两种格式其中之一（系统自动识别）： - 模拟级 Tick，以下是JSON数据范例： 普通的Bar级别回测，以下是数据范例：
{
"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]
]
}
[价格, 量]的数组。可有多级深度，asks为价格升序，bids为价格倒序）。 // 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数组里列的属性,区分大小写, 仅限于 time, open, high, low, close, vol, asks, bids, trades |
| data | 一个按schema指一列保存数据的数组 |
| detail | 商品期货的品种需要提供的属性 |
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、价格一跳等信息。 |
| marginCurrency | 保证金币种 | CNY |
| marginLevel | 杠杆倍数 | 该数据和合约具体的保证金率有关，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 | 价格一跳 | – |
| quoteCurrency | 计价货币 | CNY |
| quotePrecision | 计价货币精度 | 0 |
| symbol | 合约代码 | rb2501 |
| volumeTick | 下单量最小变动幅度 | 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数据范例中的数据：[[9531300, 10]] |
| trades | [[时间, 方向(0:买,1:卖), 价格, 数量], …] | 例如实盘级 Tick数据范例中的数据：[[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）、指数合约（例如：MA000）时，自定义数据源应答的数据的detail中还需要增加一个timeLine字段。
// timeLine字段值
[
{
"begin": 1451836800000,
"end": 1460013300000,
"symbol": "MA605"
}, {
"begin": 1460034000000,
"end": 1470640500000,
"symbol": "MA609"
}
// ...
]