Index Instrument

IndexInstrument represents a reference index such as an equity index, volatility index, or benchmark price series. It carries precision and increment metadata so Nautilus can store and route prices consistently, but it is not a directly tradable contract.

Examples include SPX.XCBO, VIX.XCBO, and venue-specific reference indexes.

Fields

Field	Rust type	Python type	Required/default	Notes
`instrument_id`	`InstrumentId`	`InstrumentId`	Required	Stored as `id` in Rust.
`raw_symbol`	`Symbol`	`Symbol`	Required	Native venue symbol.
`currency`	`Currency`	`Currency`	Required	Reference currency for quoted values.
`price_precision`	`u8`	`int`	Required	Decimal places allowed for prices.
`size_precision`	`u8`	`int`	Required	Decimal places allowed for quantities.
`price_increment`	`Price`	`Price`	Required	Smallest valid price step.
`size_increment`	`Quantity`	`Quantity`	Required	Smallest valid size step.
`ts_event`	`UnixNanos`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	`int`	Required	Initialization timestamp in nanoseconds.
`tick_scheme_name`	N/A	`str \| None`	`None`	Registered variable tick scheme name.
`info`	`Option<Params>`	`dict \| None`	`None`	Adapter metadata.

Note: Python constructors use instrument_id; Rust stores the same value as id.

Behavior

IndexInstrument has asset class Index and instrument class Spot.
It is a reference instrument and should not be used for order submission.
It has no limits, margins, fees, contract multiplier, expiry, or settlement currency.
Use option or futures types for tradable derivatives whose underlyings are indexes.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    identifiers::{InstrumentId, Symbol},
    instruments::IndexInstrument,
    types::{Currency, Price, Quantity},
};

let spx = IndexInstrument::new(
    InstrumentId::from("SPX.XCBO"),
    Symbol::from("SPX"),
    Currency::from("USD"),
    2,
    0,
    Price::from("0.01"),
    Quantity::from("1"),
    None,
    UnixNanos::default(),
    UnixNanos::default(),
);

Adapters

Representative adapters that create or consume IndexInstrument instruments include:

Interactive Brokers for reference indexes.
Databento for reference data feeds.

Option Contract covers listed options on index underlyings.
Futures Contract covers index futures.

Index Instrument

Fields

Behavior

Example

Adapters

Related guides

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