nautilus-data

Data engine and market data processing for NautilusTrader.

The nautilus-data crate provides a framework for handling market data ingestion, processing, and aggregation within the NautilusTrader ecosystem. This includes real-time data streaming, historical data management, and various aggregation methodologies:

• High-performance data engine for orchestrating data operations.
• Data client infrastructure for connecting to market data providers.
• Bar aggregation machinery supporting tick, volume, value, and time-based aggregation.
• Order book management and delta processing capabilities.
• Subscription management and data request handling.
• Configurable data routing and processing pipelines.

NautilusTrader

NautilusTrader is an open-source, production-grade, Rust-native engine for multi-asset, multi-venue trading systems.

The system spans research, deterministic simulation, and live execution within a single event-driven architecture, providing research-to-live semantic parity.

Feature flags

This crate provides feature flags to control source code inclusion during compilation:

• defi: Enables DeFi (Decentralized Finance) support.
• extension-module: Enables Python extension-module support.
• high-precision: Enables high-precision mode to use 128-bit value types.
• python: Enables Python bindings from PyO3.
• streaming: Enables the nautilus-persistence dependency for catalog-based data streaming.

Documentation

See the docs for more detailed usage.

License

The source code for NautilusTrader is available on GitHub under the GNU Lesser General Public License v3.0.

NautilusTrader™ is developed and maintained by Nautech Systems, a technology company specializing in the development of high-performance trading systems. For more information, visit https://nautilustrader.io.

Use of this software is subject to the Disclaimer.

© 2015-2026 Nautech Systems Pty Ltd. All rights reserved.