Backtest

Loads historical candles, runs a script over the window, and returns candles, per-bar chart outputs, and strategy reports when applicable.

Service: dxscript.backtesting.v1.BacktestingService
Method: backtest
Interaction: request / response

HTTP

POST /dxscript.backtesting.v1.backtestingservice/backtest
Content-Type: application/json

Request

Field	Type	Required	Description
lang	string	yes	Must be dxscript-js
content	string	yes	Full script source
symbol	string	yes	Candle symbol (e.g. AAPL{=d})
fromTime	string	yes	Range start as RFC 3339 timestamp
toTime	string	yes	Range end as RFC 3339 timestamp

fromTime must be before or equal to toTime. Invalid symbols return a validation error without loading candles.

Examples

Strategy backtest (success)

curl -sS -X POST 'https://dxlink-dxscript-http-demo.dxkube.com/dxscript.backtesting.v1.backtestingservice/backtest' \
  -H 'Content-Type: application/json' \
  -d '{
    "lang": "dxscript-js",
    "content": "strategy({ initialCapital: 10000, title: \"MA Crossover\" });\nconst fast = input.double(\"Fast\", 10);\nconst slow = input.double(\"Slow\", 20);\nfunction onTick() {\n  const f = ta.sma(close, fast);\n  const s = ta.sma(close, slow);\n  if (bar.isConfirmed()) {\n    if (ta.crossover(f, s)) strategy.entry(\"long\", strategy.LONG);\n    if (ta.crossunder(f, s)) strategy.close(\"long\");\n  }\n  spline(f, { title: \"Fast\" });\n  spline(s, { title: \"Slow\" });\n}",
    "symbol": "AAPL{=d}",
    "fromTime": "2024-01-01T00:00:00Z",
    "toTime": "2024-03-01T00:00:00Z"
  }'

Request body:

{
  "lang": "dxscript-js",
  "content": "strategy({ initialCapital: 10000, title: \"MA Crossover\" });\nconst fast = input.double(\"Fast\", 10);\nconst slow = input.double(\"Slow\", 20);\nfunction onTick() {\n  const f = ta.sma(close, fast);\n  const s = ta.sma(close, slow);\n  if (bar.isConfirmed()) {\n    if (ta.crossover(f, s)) strategy.entry(\"long\", strategy.LONG);\n    if (ta.crossunder(f, s)) strategy.close(\"long\");\n  }\n  spline(f, { title: \"Fast\" });\n  spline(s, { title: \"Slow\" });\n}",
  "symbol": "AAPL{=d}",
  "fromTime": "2024-01-01T00:00:00Z",
  "toTime": "2024-03-01T00:00:00Z"
}

Response 200 — error is absent (truncated; this run returned 42 daily bars and no fills, so strategyTradeReport and strategyFillReport are omitted):

{
  "meta": {
    "title": "MA Crossover"
  },
  "candles": [
    {
      "eventSymbol": "AAPL{=d}",
      "eventTime": "0",
      "eventFlags": 0,
      "index": "7319283979360665600",
      "time": "1704153600000",
      "sequence": 0,
      "count": "1008888",
      "open": 187.15,
      "high": 188.44,
      "low": 183.885,
      "close": 185.64,
      "impVolatility": 0.2491,
      "askVolume": 50986581.0,
      "bidVolume": 31506006.0,
      "openInterest": "NaN",
      "source": "DEFAULT",
      "volume": 82488674.0,
      "vwap": 185.893310807251
    },
    {
      "eventSymbol": "AAPL{=d}",
      "eventTime": "0",
      "eventFlags": 0,
      "index": "7319655064535040000",
      "time": "1704240000000",
      "sequence": 0,
      "count": "656859",
      "open": 184.22,
      "high": 185.88,
      "low": 183.43,
      "close": 184.25,
      "impVolatility": 0.2515,
      "askVolume": 33221869.0,
      "bidVolume": 25193853.0,
      "openInterest": "NaN",
      "source": "DEFAULT",
      "volume": 58414460.0,
      "vwap": 184.3191143024005
    }
  ],
  "calculationResult": {
    "spline": {
      "0": {
        "knots": [
          { "value": "NaN", "style": "LINE", "offset": 0, "title": "Fast", "overlay": true },
          { "value": "NaN" },
          { "value": "NaN" },
          { "value": "NaN" }
        ]
      },
      "1": {
        "knots": [
          { "value": "NaN", "style": "LINE", "offset": 0, "title": "Slow", "overlay": true },
          { "value": "NaN" },
          { "value": "NaN" },
          { "value": "NaN" }
        ]
      }
    }
  },
  "strategyAnalytics": {
    "equitySeries": [10000.0, 10000.0, 10000.0],
    "barCloseSeries": [185.64, 184.25, 181.91],
    "performance": {
      "initialCapital": 10000.0,
      "finalEquity": 10000.0,
      "buyHoldReturnPercent": -3.221288515406162,
      "strategyOutperformancePercent": 3.221288515406162
    }
  }
}

Notes on this response:

• candles use the full dxFeed candle shape. time is epoch milliseconds as a string; openInterest may serialize as the string "NaN".
• calculationResult.spline is keyed by layer id ("0", "1", …), not spline title. Each knots array has one entry per loaded bar; static metadata appears on the first knot only.
• calculationResult.output channels use { "values": [...] } with one entry per loaded bar. Warmup bars use the non-finite string "NaN", not null.
• Leading "NaN" knots are normal while moving averages warm up.
• strategyTradeReport and strategyFillReport appear once the strategy fills an order; a position still open at the end of the window is a trade row with "open": true. performance may include only a subset of summary fields when others are not applicable.

Script error after candles are loaded

When execution fails after compilation, candles is still returned:

curl -sS -X POST 'https://dxlink-dxscript-http-demo.dxkube.com/dxscript.backtesting.v1.backtestingservice/backtest' \
  -H 'Content-Type: application/json' \
  -d '{
    "lang": "dxscript-js",
    "content": "strategy({ title: \"Broken Strategy\" });\nfunction onTick() {\n  missingHelper();\n}",
    "symbol": "AAPL{=d}",
    "fromTime": "2024-01-01T00:00:00Z",
    "toTime": "2024-01-02T00:00:00Z"
  }'

Response 200:

{
  "candles": [
    {
      "eventSymbol": "AAPL{=d}",
      "eventTime": "0",
      "eventFlags": 0,
      "index": "7319283979360665600",
      "time": "1704153600000",
      "sequence": 0,
      "count": "1008888",
      "open": 187.15,
      "high": 188.44,
      "low": 183.885,
      "close": 185.64,
      "impVolatility": 0.2491,
      "askVolume": 50986581.0,
      "bidVolume": 31506006.0,
      "openInterest": "NaN",
      "source": "DEFAULT",
      "volume": 82488674.0,
      "vwap": 185.893310807251
    }
  ],
  "error": {
    "id": "9e5e5647-fc5a-45ce-bc42-fb3f2a2bcd4f",
    "type": "RUNTIME",
    "scriptName": "backtest",
    "startLine": 3,
    "startColumn": 3,
    "endLine": 3,
    "endColumn": 15,
    "message": "missingHelper is not defined",
    "scriptStack": [
      { "functionName": "onTick", "line": 3, "column": 3 }
    ]
  }
}

Candle fetch failure

When the candle provider throws (timeout, connectivity, or upstream failure), candles is empty and error carries the provider exception:

{
  "candles": [],
  "error": {
    "type": "TimeoutException",
    "scriptName": "",
    "startLine": -1,
    "startColumn": -1,
    "endLine": -1,
    "endColumn": -1,
    "message": "Candle feed fetch timed out after PT2M",
    "scriptStack": []
  }
}

error.type is the Java exception simple name; id is omitted when empty. Some demo feeds return a placeholder candle for unknown symbols instead of raising this error.

Response fields

Field	Type	Description
candles	array	Loaded candles in full dxFeed market-data format
calculationResult	object	Per-bar chart outputs for the full window; omitted channels are absent
strategyTradeReport	object	Closed/open trades; omitted when there are no trades
strategyFillReport	object	Entry/exit fills; omitted when there are no fills
strategyOrderReport	object	Resting and refused orders with their type and status; omitted when no order rested or was refused
strategyAnalytics	object	Equity curve and performance summary for strategy scripts
meta	object	title, shortTitle when declared
error	object	Structured script or fetch error; present on failure only

calculationResult

Unlike validation, every channel contains one value per loaded bar (same length and order as candles):

Channel	Map key	Value shape
output	channel name	{ values: [...] } — one entry per bar; numbers or non-finite strings ("NaN", "Infinity", "-Infinity"), never null
spline	layer id ("0", "1", …)	{ knots: [...] } — one knot per bar
backgroundColor	layer key	{ values: [...] }
barColor	layer key	{ values: [...] }
shape	series key	{ points: [...] }

Spline knots follow the same metadata conventions as the Validate response, extended to every bar. Static fields (title, style, offset, overlay) appear on the first knot; later knots usually carry only value.

strategyTradeReport.trades[]

Field	Description
tradeNumber	Sequential trade id
direction	LONG or SHORT
entrySignal, exitSignal	Signal names from strategy.entry() / strategy.close()
entryBarIndex, exitBarIndex	Bar indices in the loaded window
entryTimeMillis, exitTimeMillis	Fill timestamps
entryPrice, exitPrice	Fill prices
size	Position size
netPnl, cumulativePnl	Trade and running PnL
maxRunup, maxDrawdown	Intrabar excursion while trade was open
open	true when the trade has no exit yet
entrySide, exitSide	BUY or SELL

strategyAnalytics

Field	Description
equitySeries	Account equity per bar
barCloseSeries	Underlying close prices for comparison
totalCommissionPaid	Cumulative commission
performance	Summary metrics (see below)

performance may include initialCapital, finalEquity, netProfit, profitFactor, totalClosedTrades, winningTrades, losingTrades, percentProfitable, maxEquityDrawdown, sharpeRatio, sortinoRatio, buyHoldReturnPercent, strategyReturnPercent, strategyOutperformancePercent, and related fields. Only applicable fields are serialized.

WebSocket RPC

Call backtest on service dxscript.backtesting.v1.BacktestingService through the dxLink WebSocket session. Request and response use the BacktestRequest / BacktestResponse protobuf messages.

See also

• Backtesting service
• Strategy — order simulation and report semantics