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: AHashMap<InstrumentId, Decimal>, modules: Vec<Box<dyn SimulationModule>>, fill_model: FillModelAny, fee_model: FeeModelAny, latency_model: Option<Box<dyn LatencyModel>>, routing: 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>, use_market_order_acks: Option<bool>, bar_execution: Option<bool>, bar_adaptive_high_low_ordering: Option<bool>, trade_execution: Option<bool>, liquidity_consumption: Option<bool>, allow_cash_borrowing: Option<bool>, frozen_account: Option<bool>, price_protection_points: Option<u32>, ) -> 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: FillModelAny)

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_strategy<T>(&mut self, strategy: T) -> Result<()>

where T: Strategy + Component + Debug + 'static,

Adds a strategy to the backtest engine.

Errors

Returns an error if the strategy is already registered or the trader is running.

pub fn add_actor<T>(&mut self, actor: T) -> Result<()>

where T: DataActor + Component + Debug + 'static,

Adds an actor to the backtest engine.

Errors

Returns an error if the actor is already registered or the trader is running.

pub fn add_exec_algorithm<T>(&mut self, exec_algorithm: T) -> Result<()>

where T: DataActor + Component + Debug + 'static,

Adds an execution algorithm to the backtest engine.

Errors

Returns an error if the algorithm is already registered or the trader is running.

pub fn run( &mut self, start: Option<UnixNanos>, end: Option<UnixNanos>, run_config_id: Option<String>, streaming: bool, ) -> Result<()>

Run a backtest.

Processes all data chronologically. When streaming is false (default), finalizes the run via end. When streaming is true, the run pauses without finalizing, allowing additional data to be loaded:

1. Add initial data and strategies
2. Call run(streaming=true)
3. Call clear_data()
4. Add next batch of data
5. Repeat steps 2-4, then call run(streaming=false) or end() for the final batch

Errors

Returns an error if the backtest encounters an unrecoverable state.

pub fn end(&mut self)

Manually end the backtest.

pub fn reset(&mut self)

Reset the backtest engine.

All stateful fields are reset to their initial value. Data and instruments persist across resets to enable repeated runs with different strategies.

pub fn sort_data(&mut self)

Sort the engine’s internal data stream by timestamp.

Useful when data has been added with sort=false for batch performance, then sorted once before running.

pub fn clear_data(&mut self)

Clear the engine’s internal data stream. Does not clear instruments.

pub fn clear_strategies(&mut self) -> Result<()>

Clear all trading strategies from the engine’s internal trader.

Errors

Returns an error if any strategy fails to dispose.

pub fn clear_exec_algorithms(&mut self) -> Result<()>

Clear all execution algorithms from the engine’s internal trader.

Errors

Returns an error if any execution algorithm fails to dispose.

pub fn dispose(&mut self)

Dispose of the backtest engine, releasing all resources.

pub fn get_result(&self) -> BacktestResult

Return the backtest result from the last run.

pub fn add_data_client_if_not_exists(&mut self, client_id: ClientId)

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.