Backtest Accounts and Margin

Backtest venues use simulated accounts for balances, margin, and funding settlement. For the full account model and margin formulas, see Accounting.

Funding

Backtests settle perpetual funding at funding boundaries from FundingRateUpdate data. When an update has next_funding_ns, the simulated exchange stores the latest rate, and the backtest clock emits one FundingSettlement at that timestamp. Without next_funding_ns, the exchange settles only when ts_event lands on the interval boundary. Updates without a boundary remain strategy data and do not create funding payments.

The settlement adjusts the open position and the matching account balance before the portfolio observes the new state.

PositionAdjusted remains the position accounting event. A positive funding rate debits long positions and credits short positions. The resulting adjustment changes realized PnL, and the matching account balance update records the cash movement.

Accounts

Every backtest venue uses one of three account_type values: CASH, MARGIN, or BETTING. The low-level API accepts model types directly:

from nautilus_trader.backtest import BacktestEngine
from nautilus_trader.backtest import BacktestEngineConfig
from nautilus_trader.model import AccountType
from nautilus_trader.model import Money
from nautilus_trader.model import OmsType
from nautilus_trader.model import Venue

engine = BacktestEngine(BacktestEngineConfig())
engine.add_venue(
    venue=Venue("BINANCE"),
    oms_type=OmsType.NETTING,
    account_type=AccountType.CASH,
    starting_balances=[Money.from_str("10_000 USDT")],
)

The high-level API accepts the same enum values but represents starting balances as strings:

from nautilus_trader.backtest import BacktestVenueConfig
from nautilus_trader.model import AccountType
from nautilus_trader.model import BookType
from nautilus_trader.model import OmsType

venue = BacktestVenueConfig(
    name="SIM",
    oms_type=OmsType.NETTING,
    account_type=AccountType.CASH,
    book_type=BookType.L1_MBP,
    starting_balances=["10_000 USDT"],
)

Margin models

Margin accounts use LeveragedMarginModel by default. Pass StandardMarginModel when the simulation should reserve the instrument's fixed initial and maintenance margin percentages without reducing them by account leverage.

from nautilus_trader.backtest import BacktestVenueConfig
from nautilus_trader.model import AccountType
from nautilus_trader.model import BookType
from nautilus_trader.model import OmsType
from nautilus_trader.model import StandardMarginModel

venue = BacktestVenueConfig(
    name="SIM",
    oms_type=OmsType.NETTING,
    account_type=AccountType.MARGIN,
    book_type=BookType.L1_MBP,
    starting_balances=["1_000_000 USD"],
    margin_model=StandardMarginModel(),
)

BacktestVenueConfig accepts the built-in StandardMarginModel and LeveragedMarginModel objects directly. The current high-level configuration does not load custom margin models from class-path strings.