Crate nautilus_backtest

Backtest engine for NautilusTrader.

The backtest crate provides a comprehensive 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.
• Comprehensive configuration and state management.
• Integration with live trading systems for seamless deployment.

Platform

NautilusTrader is an open-source, high-performance, production-grade algorithmic trading platform, providing quantitative traders with the ability to backtest portfolios of automated trading strategies on historical data with an event-driven engine, and also deploy those same strategies live, with no code changes.

NautilusTrader’s design, architecture, and implementation philosophy prioritizes software correctness and safety at the highest level, with the aim of supporting mission-critical, trading system backtesting and live deployment workloads.

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.

• ffi: Enables the C foreign function interface (FFI) from cbindgen.
• python: Enables Python bindings from PyO3.

Modules

accumulator

config

data_client

Provides a BacktestDataClient implementation for backtesting.

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