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.
28 documents
An index price is an external reference value associated with an instrument. Derivatives venues may use it when calculating mark prices, funding, or settlement values. The update described here records the instrument, current price, event time, and…
This example outlines a staged workflow for obtaining option data through an Interactive Brokers connection. It configures an instrument provider for an underlying futures contract and a put option, then checks whether the gateway or trading workstation is…
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 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 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 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 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 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 guide describes connecting to AX Exchange, a regulated venue for derivatives on traditional asset classes. It outlines perpetual and dated futures, including USD cash settlement, funding payments, contract sizing, margin, and how the adapter maps venue…
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 example demonstrates how to model an option purchase across expiration in a backtest. A strategy subscribes to option quotes and futures bars, then submits a market buy order for one option when it receives the first eligible quote. The sample replays…
This guide shows how to retrieve historical market data from Databento, save it locally in compressed DBN files, convert it into Nautilus data objects, and store those objects in a Parquet catalog. Its examples cover an E-mini S&P futures order book depth…
The document defines an instrument close event as a record of a closing or settlement price associated with an instrument and venue. It distinguishes ordinary end-of-session closes from closes triggered by the expiration of a dated contract. Required data…
The document explains how a continuous futures series joins expiring contracts by applying cumulative price adjustments at caller-supplied roll transitions. It compares backward and forward additive spread adjustments with multiplicative ratio adjustments,…
This reference explains how a spot commodity instrument is represented in a trading system, using examples such as gold and silver. It distinguishes cash commodity markets from dated futures contracts and lists the instrument fields needed to describe price…
This reference explains a data structure for representing a self-contained order book snapshot with variable numbers of bid and ask levels. Each side stores orders and a corresponding count for every level, alongside the instrument identifier, event flags,…
This document explains a data model for reference indexes such as equity benchmarks and volatility indexes. An index instrument stores identifiers, its native symbol, quote currency, price and size precision, valid increments, timestamps, and optional…
A market-if-touched order waits for a specified trigger price, then submits a market order. Traders may use it to enter after a pullback or to exit a position when a target is reached. The order direction is typically opposite that of a stop trigger: for…
A limit order rests in the order book at a chosen price and can execute only at that price or a more favorable one. Traders can use it to control execution price, provide liquidity, make markets, scale into or out of positions, or seek maker fees when…
This reference explains how an exchange-defined futures spread is represented as a single tradable instrument, including calendar and inter-commodity spreads. The venue supplies the strategy symbol, tick size, expiry, and other contract details. The…
This example demonstrates how to model a futures contract reaching expiry in a backtest. It loads instrument definitions and best bid and offer quote data for two consecutive E-mini S&P 500 contracts, then submits a market buy for one expiring-contract unit…
This integration guide explains how a trading system connects to Deribit for market data and order execution. It outlines the division between WebSocket use for streaming and trading operations and HTTP use for instrument loading, historical requests, and…