Handling Close Offsets for SHFE Instruments in Backtests

Summary

The forum exchange addresses whether a backtest for Shanghai Futures Exchange instruments needs to distinguish between closing a position opened the same day and closing one opened earlier. The question comes from a trader analyzing fill prices in a trade callback, where offset values can represent open, close, close-today, or close-yesterday.

The reply says that the backtest can use a general close instruction, with the live system handling the venue-specific conversion. This is a brief platform-specific answer, not a detailed explanation of exchange rules or backtest implementation. It gives no examples or evidence, so users should treat it as guidance about the referenced platform rather than a general rule for all trading systems or venues.

Key ideas

• The forum question concerns whether SHFE backtests must distinguish same-day closes from prior-day closes.
• The reply recommends using a general close instruction in the backtest.
• The reply says the live system performs the required conversion.
• The exchange offers no implementation details or evidence beyond this short platform-specific guidance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.