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.
45 documents
The guide explains how NautilusTrader connects to Bybit for live market data and order execution across spot, linear and inverse contracts, and options. It describes product-specific symbol suffixes, instrument loading, and the differences among mainnet,…
The document explains how a trading system can represent a tokenized asset that tracks an external security, such as a stock or fund traded on a crypto venue. It defines the instrument’s identity, currencies, asset classification, price and quantity…
This example describes a live data actor that subscribes to a slice of Bybit BTC options. At startup, it searches cached instruments for unexpired Bybit options, selects the soonest expiry, prefers USDT settlement when available, and constructs the…
This reference explains how to model an exchange-defined crypto futures spread as one tradable instrument. It lists required metadata such as the underlying asset, quote and settlement currencies, venue symbol, strategy type, activation and expiration times,…
This document describes an adapter for collecting DeFi data from EVM blockchains and making it available through a trading system’s data model. It covers historical and live block feeds, DEX pool discovery, pool event replay, snapshots, and an experimental…
This documentation explains platform support for listed, crypto, spread, and binary options, including differences in their metadata and identifiers. It describes subscribing to venue-provided Greeks either for an individual contract or for a series-level…
This tutorial demonstrates a component-level backtest workflow using NautilusTrader. It loads historical Binance ETH/USDT trade ticks, configures a simulated spot venue with a cash account and maker-taker fees, and aggregates ticks into bars. A strategy…
This tutorial explains a two-input market-making setup for a Lighter perpetual linked to Nvidia shares. The Lighter order book supplies the price anchor, while Databento US equity top-of-book quotes provide a normalized signal: the equity mid is compared…
This example demonstrates how a backtest engine can model automatic liquidation on a margin account holding an inverse Bitcoin perpetual. It configures a simulated venue with liquidation enabled, starts with one BTC, and submits a market buy for 10,000,000…
This reference explains how NautilusTrader connects to exchanges, brokerages, and data providers through modular adapters. It lists supported integrations and their categories and stability labels, then outlines the common functions these adapters are…
This documentation explains how to build Nautilus trading systems in Rust or Python. The Rust path supports actors, strategies, data and execution engines, risk management, backtesting, portfolios, and live trading; Python components can run on the shared…
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…
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 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 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 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…
This example sets up a backtest for a Bitcoin to USDT market on Binance using level two market-by-price order book snapshots and updates. It configures a cash account with BTC and USDT balances, a maker taker fee model, and an order book imbalance strategy.…
The document explains how NautilusTrader connects to Tardis historical files, Tardis Machine streams, and the Tardis API. It describes loading normalized CSV data, replaying historical feeds into Parquet catalogs, and configuring live or replay clients. A…
This example shows how to configure a live trading node to test order handling on the Deribit testnet. At startup, the built-in tester can open a position with an immediate-or-cancel order, then maintain post-only limit orders on both sides of the book. It…
This technical reference describes an OKX integration for market data and order execution across spot, margin, perpetual swaps, dated futures, options, spreads, and event contracts. It outlines the adapter's data and execution components, instrument loading…
This integration guide describes a Rust and Python adapter for connecting NautilusTrader to Coinbase Advanced Trade. It covers live market data and order execution for spot products and Coinbase Financial Markets derivatives, including perpetual swaps and…
This tutorial describes a live short-volatility strategy that sells an out-of-the-money BTC call and put on Bybit, then hedges the resulting delta exposure with a BTCUSDT perpetual. It selects strikes by percentile within the nearest-expiry option chain,…
This reference explains a data structure that groups multiple order book changes belonging to one logical book event. A batch must contain at least one delta, and every contained update must refer to the same instrument. Its flags, sequence number, event…