Mapping Tick Data Fields for Backtesting Import

Summary

This Chinese-language forum post asks how to import tick data into vn.py for backtesting when the graphical import interface appears to support only minute-level or coarser data. The author considers loading records into the database with custom code and refers to an existing community guide, then compares the expected field mapping with a sample futures tick record.

The key distinction is between cumulative traded quantity and open interest: the author suggests mapping the data’s quantity field to volume, transaction amount to turnover, open interest to open interest, and latest price to last price. The post is a question rather than a confirmed implementation, so it does not establish that the proposed mapping is correct for every vn.py version or data source. It also does not explain timestamp conversion, contract identifiers, tick aggregation, or validation of imported records.

Key ideas

• The post concerns importing tick records into vn.py for backtesting when the user interface lacks a tick import option.
• The author proposes mapping cumulative traded quantity to volume and transaction amount to turnover.
• Open interest and latest price are treated as separate fields in the suggested mapping.
• The field mapping is presented as a question and is not validated with a completed import or backtest.

Tags

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