Backtesting with NautilusTrader is a methodical simulation process that replicates trading activities using a specific system implementation. This system is composed of various components including Actors , Strategies , Execution Algorithms , and other user-defined modules. The entire trading simulation is predicated on a stream of historical data processed by a BacktestEngine . Once this data stream is exhausted, the engine concludes its operation, producing detailed results and performance metrics for in-depth analysis.

It’s paramount to recognize that NautilusTrader offers two distinct API levels for setting up and conducting backtests: high-level and low-level .

Choosing an API level:

Consider the low-level API when:

  • The entirety of your data stream can be comfortably accommodated within available memory

  • You choose to avoid storing data in the Nautilus-specific Parquet format

  • Or, you have a specific need/preference for retaining raw data in its innate format, such as CSV, Binary, etc

  • You seek granular control over the BacktestEngine , enabling functionalities such as re-running backtests on identical data while interchanging components (like actors or strategies) or tweaking parameter settings

Consider the high-level API when:

  • Your data stream’s size exceeds available memory, necessitating streaming data in batches

  • You want to harness the performance capabilities and convenience of the ParquetDataCatalog and persist your data in the Nautilus-specific Parquet format

  • You value the flexibility and advanced functionalities offered by passing configuration objects, which can define diverse backtest runs across many engines at once

Low-level API:

The low-level API revolves around a single BacktestEngine , with inputs initialized and added ‘manually’ via a Python script. An instantiated BacktestEngine can accept:

  • Lists of Data objects which will be automatically sorted into monotonic order by ts_init

  • Multiple venues (manually initialized and added)

  • Multiple actors (manually initialized and added)

  • Multiple execution algorithms (manually initialized and added)

High-level API:

The high-level API revolves around a single BacktestNode , which will orchestrate the management of individual BacktestEngine s, each defined by a BacktestRunConfig . Multiple configurations can be bundled into a list and fed to the node to be run.

Each of these BacktestRunConfig objects in turn is made up of:

  • A list of BacktestDataConfig objects

  • A list of BacktestVenueConfig objects

  • A list of ImportableActorConfig objects

  • A list of ImportableStrategyConfig objects

  • A list of ImportableExecAlgorithmConfig objects

  • An optional ImportableControllerConfig object

  • An optional BacktestEngineConfig object (otherwise will be the default)

This doc is an evolving work in progress and will continue to describe each API more fully…