Crate nautilus_backtest 

Backtest engine for NautilusTrader.

The nautilus-backtest crate provides an event-driven backtesting framework that allows quantitative traders to test and validate trading strategies on historical data with high fidelity market simulation. The system replicates real market conditions including:

• Event-driven backtesting engine with simulated exchanges.
• Market data replay with configurable latency and fill models.
• Order matching engines with realistic execution simulation.
• Multi-venue and multi-asset backtesting capabilities.
• Configuration and state management.
• Integration with live trading systems for direct deployment.

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, depending on the intended use case, i.e. whether to provide Python bindings for the nautilus_trader Python package, or as part of a Rust only build.

• examples: Enables example strategies and the EMA crossover backtest example.
• streaming: Enables persistence dependency for streaming configuration.
• ffi: Enables the C foreign function interface (FFI) from cbindgen.
• python: Enables Python bindings from PyO3.
• extension-module: Builds the crate as a Python extension module.

Modules

accumulator

Time event accumulation and scheduling for the backtest engine.

config

Configuration types for the backtest engine, venues, data, and run parameters.

data_client

Provides a BacktestDataClient implementation for backtesting.

data_iterator

Multi-stream, time-ordered data iterator for replaying historical market data.

engine

The core BacktestEngine for backtesting on historical data.

exchange

Provides a SimulatedExchange venue for backtesting on historical data.

execution_client

Provides a BacktestExecutionClient implementation for backtesting.

ffi

C foreign function interface (FFI) from cbindgen.

modules

Simulation module trait for extending backtesting with custom venue behaviors.

node

Provides a BacktestNode that orchestrates catalog-driven backtests.

python

Python bindings from PyO3.

result

Results from completed backtest runs.