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goex_backtest 基于orderbook数字货币回测

回测数据格式说明

深度数据格式说明

1.标准的csv格式文件,注意:不需要header
2.模版如下(注意csv不需要header列,下面只是做每一列说明):

timestamp ask[n].price ask[n].amount ... ask[0].price ask[0].amount bid[0].price bid[0].amount ... bid[n].price bid[n].amount
1569888000143 8000.1 0.34 ... 7800.5 1.20 8000 0.15 ... 7700.2 12.002
  1. 第一列时间戳精确到毫秒 , 卖单降序排列,买单升序排列.
  2. 支持任意档数的深度回测,只需要设置对应的参数。
K线数据格式说明
timestamp high low open close vol
1583251200 8751.99 8739.94 8751.51 8741.25 35.509519

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