Data Format

The returned format must be one of the following two formats (automatically recognized by the system):

• Simulated-level Tick, here is a JSON data example:

  
              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]
      ]
  }
  

• Live-level Tick, here is a JSON data example:
  Tick-level backtest data (includes order book depth information, depth format is an array of [price, quantity]. Can include multiple levels of depth, asks sorted in ascending order by price, bids sorted in descending order by price).

  
              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]
      ]
  }
  

detail field

Special column attributes asks, bids, trades description:

When backtesting perpetual contracts on futures exchanges, custom data sources also need to provide additional funding rate data and price index data. Only when the requested market data is returned and the detail field in the return structure contains the "contractType": "swap" key-value pair, will the backtest system continue to send funding rate requests.
After the backtest system receives the funding rate data, it will continue to send price index data requests.

Funding rate data structure is as follows:

            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
        ]
        // ...
    ]
}

• Adjacent period interval is 8 hours
• For example, Binance funding rate updates every 8 hours, why is the funding rate data -16795?
  This is because, like K-line data, to avoid floating-point precision loss during network transmission, data is represented as integers; funding rate data can also be negative.

Example of funding rate data request sent by the backtest system:

            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

Price index data structure is as follows:

            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],
        // ...
    ]
}

Example of price index data request sent by the backtest system:

            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