NautilusTrader
How-To

Loading External Data

Load CSV market data into the Parquet data catalog, then run a backtest with BacktestNode. This is a common workflow when you have historical data from an external vendor that is not directly supported by a NautilusTrader adapter.

View source on GitHub.

Prerequisites

  • Python 3.12+
  • NautilusTrader 2.x installed (pip install -U --pre nautilus_trader)
  • pandas (pip install pandas), needed only for the histdata path below
import os
import shutil
from pathlib import Path

from nautilus_trader.backtest import BacktestNode
from nautilus_trader.config import BacktestDataConfig
from nautilus_trader.config import BacktestEngineConfig
from nautilus_trader.config import BacktestRunConfig
from nautilus_trader.config import BacktestVenueConfig
from nautilus_trader.model import AccountType
from nautilus_trader.model import Currency
from nautilus_trader.model import OmsType
from nautilus_trader.model import Quantity
from nautilus_trader.persistence import ParquetDataCatalog
from nautilus_trader.testkit.providers import TestDataProvider
from nautilus_trader.testkit.providers import TestInstrumentProvider
from nautilus_trader.trading import EmaCrossConfig

Load and wrangle the data

Place CSV tick files (e.g. from histdata.com) into ~/Downloads/Data/HISTDATA/. Set the NAUTILUS_DATA_DIR environment variable to the parent directory if your data lives elsewhere. TestDataProvider.quotes_from_histdata_csv converts the rows into Nautilus QuoteTick objects.

Without a download, the how-to falls back to 20,000 bundled AUD/USD quote ticks so it still runs end to end.

DATA_DIR = Path(os.environ.get("NAUTILUS_DATA_DIR", "~/Downloads/Data")).expanduser() / "HISTDATA"

raw_files = (
    sorted(
        f
        for f in DATA_DIR.iterdir()
        if f.is_file() and (f.suffix == ".csv" or f.name.endswith(".csv.gz"))
    )
    if DATA_DIR.is_dir()
    else []
)
raw_files
if raw_files:
    instrument = TestInstrumentProvider.default_fx_ccy("EUR/USD")
    ticks = TestDataProvider.quotes_from_histdata_csv(instrument, raw_files[0])
else:
    instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD")
    ticks = TestDataProvider.quotes_from_truefx_csv(
        instrument,
        "truefx/audusd-ticks.csv",
        max_rows=20_000,
    )

# Vendor exports are not always monotonic; the catalog requires ascending timestamps
ticks.sort(key=lambda tick: tick.ts_init)

Write to the data catalog

Create a ParquetDataCatalog and write the instrument definition and tick data. The catalog stores data in Parquet format for efficient querying across backtest runs.

CATALOG_PATH = Path.cwd() / "catalog"

# Clear if it already exists, then create fresh
if CATALOG_PATH.exists():
    shutil.rmtree(CATALOG_PATH)
CATALOG_PATH.mkdir(parents=True)

catalog = ParquetDataCatalog(str(CATALOG_PATH))
catalog.write_instruments([instrument])
catalog.write_quote_ticks(ticks)
# Verify instruments written to catalog
catalog.instruments()
start = ticks[0].ts_event
end = ticks[-1].ts_event + 1

ticks = catalog.query_quote_ticks(identifiers=[instrument.id.value], start=start, end=end)
ticks[:10]

Configure and run the backtest

Set up venue and data configs, build the node, then register the built-in EmaCross strategy. The same node and strategy pattern carries forward to live trading with LiveNode.

instrument = catalog.instruments()[0]

venue_configs = [
    BacktestVenueConfig(
        name="SIM",
        oms_type=OmsType.HEDGING,
        account_type=AccountType.MARGIN,
        base_currency=Currency.from_str("USD"),
        starting_balances=["1000000 USD"],
    ),
]

data_configs = [
    BacktestDataConfig(
        catalog_path=str(CATALOG_PATH),
        data_type="QuoteTick",
        instrument_id=instrument.id,
        start_time=start,
        end_time=end,
    ),
]

config = BacktestRunConfig(
    engine=BacktestEngineConfig(),
    data=data_configs,
    venues=venue_configs,
)
node = BacktestNode(configs=[config])
node.build()
node.add_builtin_strategy(
    config.id,
    "EmaCross",
    EmaCrossConfig(
        instrument_id=instrument.id,
        trade_size=Quantity.from_int(1_000_000),
        fast_period=10,
        slow_period=20,
    ),
)

[result] = node.run()
result

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