API Data Objects Backtesting Developers Actually Need

Abstract

Backtesting does not need every possible market data object on day one. It needs the right objects in the right order. For options strategies, that usually means contracts, expirations, quotes, trades, aggregates, snapshots, and reference metadata.

The workflow matters more than the menu.

Contracts and Expirations

Contracts define the tradable universe. Expirations define which dates are listed for the underlying. A backtest should query these before asking for market data, because the strategy cannot trade contracts that did not exist.

This is the foundation for avoiding stale-contract and generated-calendar leakage.

Quotes and Trades

Quotes describe the executable market. Trades describe printed activity. Both are useful, but they answer different questions. Use quotes for fill assumptions and spread checks. Use trades for activity, tape context, and validation.

Do not use last trade as a universal fill proxy.

Aggregates and Snapshots

Aggregates are useful for signal generation, charting, VWAP, and session context. Snapshots are useful for chain state, Greeks, IV, open interest, and current quote/trade context.

The signal layer can often start from aggregates. The execution layer needs quotes and contract details.

Takeaway

A developer-friendly data API should support the backtesting sequence: discover the universe, build the signal, select the contract, price the fill, and record the evidence. CuteMarkets is organized around that sequence.