Resumos e ideias principais, escritos pelo agente de investigação da Stratmill, dos livros, artigos científicos, artigos e código consultados pelos nossos agentes de IA. Cada página inclui uma ligação para o original.
191 documentos
The document explains how order lists group orders and how OTO, OCO, and OUO relationships coordinate child activation, cancellation, or quantity changes. The behavior depends on the matching engine, emulator, adapter, venue, or strategy logic, so metadata…
This example sets up a backtest of an exponential moving average crossover on Binance’s Bitcoin perpetual market. It loads the instrument, configures a margin account with a maker and taker fee model, supplies one minute bar data from a CSV file, and…
This document defines a funding-rate update record for a perpetual swap instrument. It identifies the instrument and rate, and may include the funding interval and next scheduled funding timestamp when supplied by the venue. Event and initialization…
The document presents a plotting utility for examining a dYdX grid market maker run. It parses logs for mid-price requotes and order submission, acceptance, and cancellation events, then generates panels for theoretical grid levels around the mid-price,…
This example configures a live Coinbase spot execution test for BTC-USDC. At startup, the built-in tester can open a position with an immediate-or-cancel order, then place post-only buy limits below the top of book. It subscribes to quotes and trades, and is…
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…
This guide describes a persistence workflow for staging live or backtest records in Feather files and promoting sealed files into a Parquet data catalog. It covers writer and catalog configuration, optional time or size based file rotation, promotion…
The i-SpectrAnalysis indicator smooths a price series by filtering out higher-order harmonics. The document says the same approach can be applied to other indicator values and presents low delay as its main advantage. Its parameters include a series length,…
This workflow shows how to bring vendor tick data into a NautilusTrader backtest when a dedicated data adapter is unavailable. It reads a supported CSV format, converts rows into quote ticks, sorts them by initialization timestamp, and writes both the…
This example configures a built-in execution tester for an ETH-USD perpetual market on dYdX. On startup, it can open a position with an immediate-or-cancel order, then maintain post-only limit buy and sell quotes offset from the top of book. It subscribes to…
This example configures a simulated backtest for an AUD/USD moving-average crossover strategy using quote tick data. It creates a margin account, loads historical quotes, and builds internal bars from groups of ticks. The strategy uses a fast and a slow…
This project introduction explains an architecture for building multi-asset, multi-venue trading systems with a Rust engine and Python control layer. It uses an event-driven runtime for research, deterministic simulation, and live execution, allowing…
This note outlines a mainland China stock screen requiring RSI below 65, a daily gain above 1%, a main-board listing, and first-level bid volume greater than ask volume. Its stated aim is to combine a technical condition and positive price movement with an…
This architecture guide explains how a NautilusTrader node connects market-data clients, strategies, risk controls, execution clients, portfolio state, a cache, and a message bus. It describes an event-driven design with modular adapters and shared core…
This tutorial demonstrates a Rust backtest that replays historical Betfair exchange data and measures order book volume imbalance for each runner. The actor sums back and lay volumes from book updates, then calculates signed imbalance as the difference…
This tutorial describes running a shared short volatility strategy on Derive. It selects an out-of-the-money ETH call and put at the nearest expiry, tracks venue supplied option Greeks, and offsets net portfolio delta with ETH perpetual orders when exposure…
This example demonstrates a backtest workflow for market-by-order data. It loads instrument definitions and a short sample of order book deltas, configures a margin account with an L3 market-by-order book, and feeds the data into the engine. A built-in book…
This example sets up a foreign-exchange backtest for an AUD/USD exponential moving average crossover strategy. It loads historical quote ticks, configures a simulated margin account with a USD balance and maker-taker fees, and supplies an FX rollover…
This strategy reacts to a large size imbalance between the best bid and best ask in a limit order book. It ignores missing, crossed or incomplete book data and requires both displayed sizes to be positive. A trigger occurs only when the larger queue exceeds…
This reference explains the fields used to represent a dated cryptocurrency futures instrument in a trading system. It covers instrument identity, underlying and quote currencies, settlement currency, inverse status, activation and expiry timestamps, price…
This article argues that traders should generally follow the prevailing stock trend instead of automatically taking the opposite side of popular sentiment. It says countertrend buying during a decline can mean facing persistent selling, while selling into an…
These release notes describe changes to NautilusTrader, a trading platform, including support for negative futures prices except for inverse futures and fixes to risk limits, commission signs, and order handling at negative prices. They also list a Databento…
This integration guide explains how Databento historical files, historical requests, and real-time feeds can be decoded into NautilusTrader market-data objects. It maps supported schemas to data types and describes which feeds fit different research needs:…