nanobook 0.10.0

Deterministic Rust execution engine for trading backtests: limit-order book, portfolio simulation, metrics, risk checks, and Python bindings
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168

name: CI

on:
  push:
    branches: [master, main]
  pull_request:
    branches: [master, main]

# Default to least privilege (I1). Jobs that need more (e.g.,
# writing to the repo) must override at job scope. CI is read-only
# by construction: it tests, lints, and reports results.
permissions:
  contents: read

env:
  CARGO_TERM_COLOR: always

jobs:
  test:
    name: Test (${{ matrix.os }})
    runs-on: ${{ matrix.os }}
    strategy:
      fail-fast: false
      matrix:
        os: [ubuntu-latest, macos-latest, windows-latest]
    steps:
      - uses: actions/checkout@v4

      - uses: actions/setup-python@v5
        with:
          python-version: "3.14"

      - name: Install Rust
        uses: dtolnay/rust-toolchain@stable

      - uses: Swatinem/rust-cache@v2

      - name: Run tests (all features)
        run: cargo test --all-features

      - name: Run tests (no default features)
        run: cargo test --no-default-features

  python-test:
    name: Python (${{ matrix.os }}, ${{ matrix.python }})
    runs-on: ${{ matrix.os }}
    strategy:
      fail-fast: false
      matrix:
        # All Python versions on Linux; latest only on Mac/Windows
        include:
          - { os: ubuntu-latest,  python: "3.11" }
          - { os: ubuntu-latest,  python: "3.12" }
          - { os: ubuntu-latest,  python: "3.13" }
          - { os: ubuntu-latest,  python: "3.14" }
          - { os: macos-latest,   python: "3.14" }
          - { os: windows-latest, python: "3.14" }
    steps:
      - uses: actions/checkout@v4

      - uses: actions/setup-python@v5
        with:
          python-version: ${{ matrix.python }}

      - uses: astral-sh/setup-uv@v5

      - uses: dtolnay/rust-toolchain@stable

      - uses: Swatinem/rust-cache@v2
        with:
          key: python-${{ matrix.python }}

      - name: Build and install Python extension
        working-directory: python
        run: uv sync --python ${{ matrix.python }} --group dev

      - name: Run Python tests (property + unit)
        working-directory: python
        run: uv run --python ${{ matrix.python }} --group dev python -m pytest tests/ -v --ignore=tests/reference

  lint:
    name: Lint
    runs-on: ubuntu-latest
    steps:
      - uses: actions/checkout@v4

      - uses: actions/setup-python@v5
        with:
          python-version: "3.14"

      - name: Install Rust
        uses: dtolnay/rust-toolchain@stable
        with:
          components: clippy, rustfmt

      - uses: Swatinem/rust-cache@v2

      - name: Check formatting
        run: cargo fmt --all -- --check

      - name: Clippy
        run: cargo clippy --all-targets --all-features -- -D warnings

  security:
    name: Security audit
    runs-on: ubuntu-latest
    steps:
      - uses: actions/checkout@v4

      - name: Install Rust
        uses: dtolnay/rust-toolchain@stable

      - uses: Swatinem/rust-cache@v2

      # Pin tool versions (I1). --locked also freezes the tool's
      # own transitive deps, so the install is fully
      # deterministic. Bump versions deliberately rather than
      # letting CI silently pick up whatever is latest.
      - name: Install cargo-deny
        run: cargo install cargo-deny --version 0.19.4 --locked

      - name: Run cargo-deny
        run: cargo deny check

      - name: Install cargo-audit
        run: cargo install cargo-audit --version 0.22.1 --locked

      - name: Run cargo-audit
        run: cargo audit

  coverage:
    name: Code coverage
    runs-on: ubuntu-latest
    steps:
      - uses: actions/checkout@v4

      - name: Install Rust
        uses: dtolnay/rust-toolchain@stable

      - uses: Swatinem/rust-cache@v2
        with:
          key: coverage

      - name: Install cargo-llvm-cov
        run: cargo install cargo-llvm-cov --version 0.8.5 --locked

      - name: Generate coverage
        run: cargo llvm-cov --all-features --lcov --output-path lcov.info

      - name: Upload to Codecov
        uses: codecov/codecov-action@v5
        with:
          files: lcov.info
          fail_ci_if_error: false

  bench:
    name: Benchmark
    runs-on: ubuntu-latest
    steps:
      - uses: actions/checkout@v4

      - name: Install Rust
        uses: dtolnay/rust-toolchain@stable

      - uses: Swatinem/rust-cache@v2

      - name: Run benchmarks
        run: cargo bench --all-features