用户指南 | 发明者量化

自定义数据源

发明者量化交易平台的回测系统支持自定义数据源，回测系统使用GET方法请求自定义的URL（可公开访问的网址）来获取外部数据源进行回测，附加的请求参数如下：

参数	意义	说明
symbol	品种名称	现货行情数据示例：`BTC_USDT`，期货行情数据示例：`BTC_USDT.swap`，期货永续合约资金费率数据示例：`BTC_USDT.funding`，期货永续合约价格指数数据示例：`BTC_USDT.index`
eid	交易所	例如：OKX、Futures_OKX
round	数据精度	为true时，表示由自定义数据源返回的数据中定义具体精度。发明者量化交易平台回测系统向自定义数据源发送的请求固定为：`round=true`
period	K线数据的周期（毫秒）	例如：`60000`表示1分钟周期
depth	深度档数	1-20
trades	是否需要逐笔成交数据	真（1）/假（0）
from	开始时间	unix时间戳
to	结束时间	unix时间戳
detail	请求品种的详细信息	为true时，表示需要由自定义数据源提供。发明者量化交易平台回测系统向自定义数据源发送的请求固定为：`detail=true`
custom	--	可忽略此参数

现货交易所、期货交易所对象的数据源设置为自定义数据源（feeder）时，回测系统向自定义数据源服务发送请求的示例：


            url
            
            
http://customserver:9090/data?custom=0&depth=20&detail=true&eid=Bitget&from=1351641600&period=86400000&round=true&symbol=BTC_USDT&to=1611244800&trades=1
http://customserver:9090/data?custom=0&depth=20&detail=true&eid=Futures_OKX&from=1351641600&period=86400000&round=true&symbol=BTC_USDT.swap&to=1611244800&trades=1

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：


            json
            
            
{
    "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]
    ]
}

实盘级Tick，以下是JSON数据示例：
Tick级回测数据（包含盘口深度信息，深度格式为[价格, 数量]的数组。可包含多级深度，asks按价格升序排列，bids按价格降序排列）。


            json
            
            
{
    "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]
    ]
}

字段	说明
detail	请求数据的品种详细信息，包含计价币名称、交易币名称、精度、最小下单量等
schema	指定data数组中列的属性，区分大小写。仅限于 time, open, high, low, close, vol, asks, bids, trades
data	按照schema设置的列结构记录的数据

detail字段

字段	说明
eid	交易所ID，注意同一交易所的现货与期货使用不同的eid
symbol	交易品种代码
alias	当前交易品种代码在交易所中对应的symbol
baseCurrency	交易币种
quoteCurrency	计价币种
marginCurrency	保证金币种
basePrecision	交易币种精度
quotePrecision	计价币种精度
minQty	最小下单量
maxQty	最大下单量
minNotional	最小下单金额
maxNotional	最大下单金额
priceTick	价格最小变动单位
volumeTick	下单量最小变动单位
marginLevel	期货杠杆倍数
contractType	对于永续合约设置为：`swap`，回测系统将继续发送资金费率、价格指数请求

特殊列属性asks、bids、trades说明：

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]]`

期货交易所的永续合约回测时，自定义数据源还需要提供额外的资金费率数据和价格指数数据。只有当请求的行情数据返回时，返回结构中的detail字段包含"contractType": "swap"键值对，回测系统才会继续发送资金费率请求。
当回测系统收到资金费率数据后，才会继续发送价格指数数据请求。

资金费率数据结构如下：


            json
            
            
{
    "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
        ]
        // ...
    ]
}

相邻周期间隔为8小时
例如币安资金费率每8小时更新一次，资金费率数据为何是 -16795？
这是因为与K线数据一样，为避免网络传输过程中浮点数精度丢失，数据采用整型表示；资金费率数据也可能为负值。

回测系统发出的资金费率数据请求示例：


            url
            
            
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

价格指数数据结构如下：


            json
            
            
{
    "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],
        // ...
    ]
}

回测系统发出的价格指数数据请求示例：


            url
            
            
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

自定义数据源范例

指定数据源地址，例如：http://120.24.2.20:9090/data。自定义数据源服务程序使用Golang编写：


            golang
            
            
package main

import (
    "fmt"
    "net/http"
    "encoding/json"
)

func Handle (w http.ResponseWriter, r *http.Request) {
    // e.g. set on backtest DataSourse: http://xxx.xx.x.xx:9090/data

    // request: GET http://xxx.xx.x.xx:9090/data?custom=0&depth=20&detail=true&eid=OKX&from=1584921600&period=86400000&round=true&symbol=BTC_USDT&to=1611244800&trades=1
    //              http://xxx.xx.x.xx:9090/data?custom=0&depth=20&detail=true&eid=Futures_Binance&from=1599958800&period=3600000&round=true&symbol=BTC_USDT.swap&to=1611244800&trades=0
    fmt.Println("request:", r)

    // response
    defer func() {
        // response data
        /* e.g. 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": [
                [1610755200000, 3673743, 3795000, 3535780, 3599498, 8634843151],
                [1610841600000, 3599498, 3685250, 3385000, 3582861, 8015772738],
                [1610928000000, 3582499, 3746983, 3480000, 3663127, 7069811875],
                [1611014400000, 3662246, 3785000, 3584406, 3589149, 7961130777],
                [1611100800000, 3590194, 3641531, 3340000, 3546823, 8936842292],
                [1611187200000, 3546823, 3560000, 3007100, 3085013, 13500407666],
                [1611273600000, 3085199, 3382653, 2885000, 3294517, 14297168405],
                [1611360000000, 3295000, 3345600, 3139016, 3207800, 6459528768],
                [1611446400000, 3207800, 3307100, 3090000, 3225990, 5797803797],
                [1611532800000, 3225945, 3487500, 3191000, 3225420, 8849922692]
            ]
        }
        */

        // /* 模拟级Tick
        ret := map[string]interface{}{
            "detail": map[string]interface{}{
                "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": []string{"time","open","high","low","close","vol"},
            "data": []interface{}{
                []int64{1610755200000, 3673743, 3795000, 3535780, 3599498, 8634843151},  // 1610755200000 : 2021-01-16 08:00:00
                []int64{1610841600000, 3599498, 3685250, 3385000, 3582861, 8015772738},  // 1610841600000 : 2021-01-17 08:00:00
                []int64{1610928000000, 3582499, 3746983, 3480000, 3663127, 7069811875},
                []int64{1611014400000, 3662246, 3785000, 3584406, 3589149, 7961130777},
                []int64{1611100800000, 3590194, 3641531, 3340000, 3546823, 8936842292},
                []int64{1611187200000, 3546823, 3560000, 3007100, 3085013, 13500407666},
                []int64{1611273600000, 3085199, 3382653, 2885000, 3294517, 14297168405},
                []int64{1611360000000, 3295000, 3345600, 3139016, 3207800, 6459528768},
                []int64{1611446400000, 3207800, 3307100, 3090000, 3225990, 5797803797},
                []int64{1611532800000, 3225945, 3487500, 3191000, 3225420, 8849922692},
            },
        }
        // */

        /* 实盘级Tick
        ret := map[string]interface{}{
            "detail": map[string]interface{}{
                "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": []string{"time", "asks", "bids", "trades", "close", "vol"},
            "data": []interface{}{
                []interface{}{1610755200000, []interface{}{[]int64{9531300, 10}}, []interface{}{[]int64{9531300, 10}}, []interface{}{[]int64{1610755200000, 0, 9531300, 10}}, 9497060, 787},
                []interface{}{1610841600000, []interface{}{[]int64{9531300, 15}}, []interface{}{[]int64{9531300, 15}}, []interface{}{[]int64{1610841600000, 0, 9531300, 11}}, 9497061, 789},
            },
        }
        */

        b, _ := json.Marshal(ret)
        w.Write(b)
    }()
}

func main () {
    fmt.Println("listen http://localhost:9090")
    http.HandleFunc("/data", Handle)
    http.ListenAndServe(":9090", nil)
}

测试策略，JavaScript示例：


            javascript
            
            
/*backtest
start: 2021-01-16 08:00:00
end: 2021-01-22 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"OKX","currency":"BTC_USDT","feeder":"http://120.24.2.20:9090/data"}]
args: [["number",2]]
*/

function main() {
    var ticker = exchange.GetTicker()
    var records = exchange.GetRecords()
    Log(exchange.GetName(), exchange.GetCurrency())
    Log(ticker)
    Log(records)
}