Struct BacktestEngine

pub struct BacktestEngine { /* private fields */ }

Core backtesting engine for running event-driven strategy backtests on historical data.

The BacktestEngine provides a high-fidelity simulation environment that processes historical market data chronologically through an event-driven architecture. It maintains simulated exchanges with realistic order matching and execution, allowing strategies to be tested exactly as they would run in live trading:

• Event-driven data replay with configurable latency models.
• Multi-venue and multi-asset support.
• Realistic order matching and execution simulation.
• Strategy and portfolio performance analysis.
• Seamless transition from backtesting to live trading.

Implementations

impl BacktestEngine

pub fn new(config: BacktestEngineConfig) -> Result<Self>

Create a new BacktestEngine instance.

Errors

Returns an error if the core NautilusKernel fails to initialize.

pub fn add_venue( &mut self, venue: Venue, oms_type: OmsType, account_type: AccountType, book_type: BookType, starting_balances: Vec<Money>, base_currency: Option<Currency>, default_leverage: Option<Decimal>, leverages: HashMap<InstrumentId, Decimal>, modules: Vec<Box<dyn SimulationModule>>, fill_model: FillModel, fee_model: FeeModelAny, latency_model: Option<LatencyModel>, routing: Option<bool>, frozen_account: Option<bool>, reject_stop_orders: Option<bool>, support_gtd_orders: Option<bool>, support_contingent_orders: Option<bool>, use_position_ids: Option<bool>, use_random_ids: Option<bool>, use_reduce_only: Option<bool>, use_message_queue: Option<bool>, bar_execution: Option<bool>, bar_adaptive_high_low_ordering: Option<bool>, trade_execution: Option<bool>, ) -> Result<()>

Errors

Returns an error if initializing the simulated exchange for the venue fails.

pub fn change_fill_model(&mut self, venue: Venue, fill_model: FillModel)

pub fn add_instrument(&mut self, instrument: InstrumentAny) -> Result<()>

Adds an instrument to the backtest engine for the specified venue.

Errors

Returns an error if:

• The instrument’s associated venue has not been added via add_venue.
• Attempting to add a CurrencyPair instrument for a single-currency CASH account.

Panics

Panics if adding the instrument to the simulated exchange fails.

pub fn add_data( &mut self, data: Vec<Data>, client_id: Option<ClientId>, validate: bool, sort: bool, )

pub fn add_actor(&mut self)

pub fn add_actors(&mut self)

pub fn add_strategy(&mut self)

pub fn add_strategies(&mut self)

pub fn add_exec_algorithm(&mut self)

pub fn add_exec_algorithms(&mut self)

pub fn reset(&mut self)

pub fn clear_data(&mut self)

pub fn clear_strategies(&mut self)

pub fn clear_exec_algorithms(&mut self)

pub fn dispose(&mut self)

pub fn run(&mut self)

pub fn end(&mut self)

pub fn get_result(&self)

pub fn next(&mut self)

pub fn advance_time(&mut self)

pub fn process_raw_time_event_handlers(&mut self)

pub fn log_pre_run(&self)

pub fn log_run(&self)

pub fn log_post_run(&self)

pub fn add_data_client_if_not_exists(&mut self)

pub fn add_market_data_client_if_not_exists(&mut self, venue: Venue)

Trait Implementations

impl Debug for BacktestEngine

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.