Struct BacktestEngine

Source
pub struct BacktestEngine { /* private fields */ }
Expand description

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§

Source§

impl BacktestEngine

Source

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

Create a new BacktestEngine instance.

§Errors

Returns an error if the core NautilusKernel fails to initialize.

Source

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.

Source

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

Source

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.

Source

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

Source

pub fn add_actor(&mut self)

Source

pub fn add_actors(&mut self)

Source

pub fn add_strategy(&mut self)

Source

pub fn add_strategies(&mut self)

Source

pub fn add_exec_algorithm(&mut self)

Source

pub fn add_exec_algorithms(&mut self)

Source

pub fn reset(&mut self)

Source

pub fn clear_data(&mut self)

Source

pub fn clear_strategies(&mut self)

Source

pub fn clear_exec_algorithms(&mut self)

Source

pub fn dispose(&mut self)

Source

pub fn run(&mut self)

Source

pub fn end(&mut self)

Source

pub fn get_result(&self)

Source

pub fn next(&mut self)

Source

pub fn advance_time(&mut self)

Source

pub fn process_raw_time_event_handlers(&mut self)

Source

pub fn log_pre_run(&self)

Source

pub fn log_run(&self)

Source

pub fn log_post_run(&self)

Source

pub fn add_data_client_if_not_exists(&mut self)

Source

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

Trait Implementations§

Source§

impl Debug for BacktestEngine

Source§

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

Blanket Implementations§

Source§

impl<T> Any for T
where T: 'static + ?Sized,

Source§

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
Source§

impl<T> Borrow<T> for T
where T: ?Sized,

Source§

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
Source§

impl<T> BorrowMut<T> for T
where T: ?Sized,

Source§

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
Source§

impl<T> From<T> for T

Source§

fn from(t: T) -> T

Returns the argument unchanged.

Source§

impl<T> Instrument for T

Source§

fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided Span, returning an Instrumented wrapper. Read more
Source§

fn in_current_span(self) -> Instrumented<Self>

Instruments this type with the current Span, returning an Instrumented wrapper. Read more
Source§

impl<T, U> Into<U> for T
where U: From<T>,

Source§

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

Source§

impl<T> IntoEither for T

Source§

fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
Source§

fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
Source§

impl<T> PolicyExt for T
where T: ?Sized,

Source§

fn and<P, B, E>(self, other: P) -> And<T, P>
where T: Policy<B, E>, P: Policy<B, E>,

Create a new Policy that returns Action::Follow only if self and other return Action::Follow. Read more
Source§

fn or<P, B, E>(self, other: P) -> Or<T, P>
where T: Policy<B, E>, P: Policy<B, E>,

Create a new Policy that returns Action::Follow if either self or other returns Action::Follow. Read more
Source§

impl<T> Same for T

Source§

type Output = T

Should always be Self
Source§

impl<T, U> TryFrom<U> for T
where U: Into<T>,

Source§

type Error = Infallible

The type returned in the event of a conversion error.
Source§

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
Source§

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

Source§

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.
Source§

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.
Source§

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

Source§

fn vzip(self) -> V

Source§

impl<T> WithSubscriber for T

Source§

fn with_subscriber<S>(self, subscriber: S) -> WithDispatch<Self>
where S: Into<Dispatch>,

Attaches the provided Subscriber to this type, returning a WithDispatch wrapper. Read more
Source§

fn with_current_subscriber(self) -> WithDispatch<Self>

Attaches the current default Subscriber to this type, returning a WithDispatch wrapper. Read more
Source§

impl<T> ErasedDestructor for T
where T: 'static,