Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
191 documents
This example configures a built-in execution-testing strategy for an ETH perpetual contract on Hyperliquid mainnet. At startup, it can open a position with an immediate-or-cancel order, then maintain post-only limit orders on both sides of the book. It…
An order-pending-cancel event records that a trading system has dispatched a cancellation request and is waiting for the venue to acknowledge it. The event is applied to the order by the execution engine, updates the cache, and is published on the message…
This documentation explains three trading-specific numeric types: Price for market levels, Quantity for non-negative sizes, and Money for signed amounts associated with a currency. The types are immutable and use fixed-point representation to support…
This tutorial demonstrates a config-driven foreign-exchange backtest using a Parquet data catalog and a simulated venue. It loads quote ticks from either local Histdata files or a sample dataset, sorts them by timestamp, stores the instrument and ticks in…
This reference explains how to represent an exchange-defined options strategy as one tradable instrument. A venue may list a vertical spread, calendar spread, or similar multi-leg strategy under its own symbol, with its own pricing increment, expiration, and…
This tutorial describes a directional strategy for the USD-margined Bitcoin perpetual PF_XBTUSD. It combines a slow regime estimate from dollar bars with a faster trade-flow signal. A rescaled-range regression estimates the Hurst exponent from rolling log…
This reference explains how to represent a binary outcome contract as a tradable instrument, including its identifiers, asset class, settlement currency, activation and expiration times, price and size precision, increments, and optional order limits and…
This guide explains how to build a data-only Rust actor that subscribes to quote updates and logs the bid-ask spread. It outlines the actor’s state and configuration, connects its core to the runtime with a macro, and implements startup and quote handlers…
This reference explains how to represent an exchange-listed cryptocurrency option spread as one tradable instrument. It describes the instrument identity, underlying and quote and settlement currencies, inverse sizing flag, strategy type, activation and…
This Chinese-language post describes a stock screen combining three filters: RSI below 65, exclusion of the STAR Market, and a positive return over ten days that remains below 35%. It also gives an illustrative implementation outline using historical prices…
This guide explains how a trading system models market and limit orders, conditional order types, execution instructions, and linked orders. It distinguishes aggressive orders that take liquidity from passive orders that rest, and describes local, in-flight,…
The document explains how a trading platform defines local synthetic instruments by applying formulas to prices from one or more component instruments. These derived prices can feed strategies and data actors, support derived quotes, trades, and bars, and…
This example configures an execution test strategy for a centralized exchange sandbox. At startup, the strategy can open a position with an immediate-or-cancel order, then maintain post-only limit orders on both sides of the book. On shutdown, it is…
This tutorial demonstrates replaying Binance level-two order book snapshots and updates in a backtest engine. It describes rebuilding the book from timestamped deltas, then checking the best bid and ask sizes after each update. When the larger side exceeds a…
This technical reference explains how an execution engine handles an OrderFillVoided event when a venue corrects a previously reported fill. It distinguishes a correction, which retains the original trade identity, from an opposite-side trade. For locally…
The document outlines NautilusTrader’s architecture for defining custom data in Python or same-binary Rust, then routing and persisting it through common runtime interfaces. Both approaches use a shared outer CustomData wrapper and DataType identity. Runtime…
This technical guide explains how NautilusTrader’s Interactive Brokers adapter connects to Trader Workstation or IB Gateway for market data, order execution, instrument discovery, and historical requests. It covers socket access, paper and live connection…
This technical reference explains how simulation modules are configured and run within a backtesting exchange. It distinguishes declarative configuration, which accepts built-in modules and language bridges, from linked native configuration, which can hold…
This example sets up a simulated GBP/USD market-making strategy using one-minute bid and ask bars. It configures a margin account, starting balance, maker and taker fees, and a probabilistic fill model with specified fill and slippage probabilities. The…
This reference explains how a dated, exchange-traded futures contract is represented. It describes identifiers, underlying, activation and expiration times, currency, price precision and increments, multiplier, lot size, margin settings, quantity and price…
This specification lays out a test framework for validating market data adapters. It organizes checks by data type, from instruments and order books through quotes, trades, bars, and derivatives. It emphasizes timestamp scale correctness and describes a…
This guide shows how to assemble and run a Rust live-trading node connected to OKX. It covers registering venue data and execution adapters, configuring a trader and account, adding a grid market-making strategy, and supplying credentials through environment…
This example configures a live execution tester for a DOGE perpetual contract on Lighter. At startup, it can open a position with an immediate-or-cancel market order, then maintain post-only limit buy and sell quotes offset from the top of book. It enables…
A trailing stop market order adjusts its trigger to maintain a fixed offset from market prices as they move favorably. Once the trigger is reached, it submits a market order, making this approach useful for protecting gains while allowing a position to…