It's supported in all controls, including the Calendar.
I've tried the following code and it works fine:
.aspx file
<a href="javascript:dpc1.commandCallBack('test', 3);">Test</a>
.aspx.cs file
protected void DayPilotCalendar1_Command(object sender, CommandEventArgs e)
{
switch (e.Command)
{
case "test":
int value = (int) e.Data;
break;
}
}