Crate 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, 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.
• high-precision: Enables high-precision mode to use 128-bit value types.
• streaming: Enables persistence dependency for catalog-based data streaming.
• defi: Enables DeFi (Decentralized Finance) support.

Re-exports

pub use aggregation::FixedTickSchemeRounder;

pub use aggregation::MapVegaProvider;

pub use aggregation::SpreadPriceRounder;

pub use aggregation::SpreadQuoteAggregator;

pub use aggregation::VegaProvider;

pub use client::DataClientAdapter;

Modules

aggregation

Bar aggregation machinery.

client

Base data client functionality.

defi

DeFi (Decentralized Finance) integration for the data crate.

engine

Provides a high-performance DataEngine for all environments.

option_chains

Event-driven option chain aggregation and snapshot publishing.

python

Python bindings from PyO3.