Synthetic Instrument

SyntheticInstrument represents a local instrument whose price comes from a formula over other instruments. It is useful for spreads, baskets, ratios, and other derived prices that should appear in the system as an instrument.

Examples include (BTC.BINANCE + LTC.BINANCE) / 2.0 and ratio-style pairs built from component instrument prices.

Fields

Field	Rust type	Python type	Required/default	Notes
`symbol`	`Symbol`	`Symbol`	Required	Synthetic symbol used with venue `SYNTH`.
`id`	`InstrumentId`	`InstrumentId`	Derived	Instrument ID formed from `symbol.SYNTH`.
`price_precision`	`u8`	`int`	Required	Decimal places allowed for synthetic price.
`price_increment`	`Price`	`Price`	Derived	Smallest price step from precision.
`components`	`Vec<InstrumentId>`	`list[InstrumentId]`	Required	Component instruments used by the formula.
`formula`	`String`	`str`	Required	Numeric expression over component IDs.
`ts_event`	`UnixNanos`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	`int`	Required	Initialization timestamp in nanoseconds.

Note: Python constructs the instrument ID from symbol and the SYNTH venue. Rust stores the same value as id.

Behavior

SyntheticInstrument is local to Nautilus and does not represent a venue orderable market.
It always uses the synthetic venue SYNTH.
Python requires at least two component instrument IDs.
The formula must compile against the supplied component identifiers before the object is valid.
It has no venue limits, margins, fees, order book, or adapter-specific metadata.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    identifiers::{InstrumentId, Symbol},
    instruments::SyntheticInstrument,
};

let synthetic = SyntheticInstrument::new(
    Symbol::from("BTC-LTC"),
    2,
    vec![
        InstrumentId::from("BTC.BINANCE"),
        InstrumentId::from("LTC.BINANCE"),
    ],
    "(BTC.BINANCE + LTC.BINANCE) / 2.0",
    UnixNanos::default(),
    UnixNanos::default(),
);

Adapters

SyntheticInstrument is local only. It derives prices from component instruments that may come from any adapter already loaded into the system.

Synthetics covers formula-derived instruments and synthetic bars.
Data explains market data that references instruments.

Synthetic Instrument

Fields

Behavior

Example

Adapters

Related guides

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