Implementation:Nautechsystems Nautilus trader BacktestVenueConfig Init

Field	Value
sources	https://github.com/nautechsystems/nautilus_trader, https://nautilustrader.io/docs/
domains	backtesting, venue-simulation, configuration-management
last_updated	2026-02-10 12:00 GMT

Overview

Concrete tool for declarative simulated venue configuration provided by NautilusTrader.

Description

BacktestVenueConfig is a frozen, immutable configuration dataclass that captures every parameter needed to construct a simulated trading venue inside the NautilusTrader backtest engine. It inherits from NautilusConfig and uses msgspec for high-performance serialization.

The class defines a comprehensive set of fields covering:

Venue identity -- the venue name.
Account semantics -- OMS type (NETTING or HEDGING), account type (CASH or MARGIN), starting balances, base currency, leverage, and margin model.
Pluggable models -- fill model, fee model, latency model, and simulation modules, all specified as importable configurations.
Order book type -- the default book type for the matching engine (L1_MBP, L2_MBP, or L3_MBO).
Execution behavior flags -- bar execution, trade execution, adaptive bar ordering, liquidity consumption, queue position tracking, price protection, contingent order support, GTD support, reduce-only enforcement, and more.

When passed to a BacktestRunConfig, each BacktestVenueConfig is consumed by the BacktestNode to call engine.add_venue() with the appropriate parameters.

Usage

Import and instantiate BacktestVenueConfig whenever you need to define a simulated exchange for a backtest. Typical scenarios:

Configuring a single exchange with a cash account for equity backtesting.
Configuring a margin venue with per-instrument leverage for futures or forex.
Defining custom fill or fee models for realistic simulation.
Setting up multiple venues for cross-exchange strategy testing.

Code Reference

Source Location

nautilus_trader/backtest/config.py, lines 50-171.

Signature

class BacktestVenueConfig(NautilusConfig, frozen=True):
    name: str
    oms_type: OmsType | str
    account_type: AccountType | str
    starting_balances: list[str]
    base_currency: str | None = None
    default_leverage: float = 1.0
    leverages: dict[str, float] | None = None
    margin_model: MarginModelConfig | None = None
    modules: list[ImportableActorConfig] | None = None
    fill_model: ImportableFillModelConfig | None = None
    latency_model: ImportableLatencyModelConfig | None = None
    fee_model: ImportableFeeModelConfig | None = None
    book_type: BookType | str = "L1_MBP"
    routing: bool = False
    reject_stop_orders: bool = True
    support_gtd_orders: bool = True
    support_contingent_orders: bool = True
    oto_trigger_mode: OtoTriggerMode | str = "PARTIAL"
    use_position_ids: bool = True
    use_random_ids: bool = False
    use_reduce_only: bool = True
    use_market_order_acks: bool = False
    bar_execution: bool = True
    bar_adaptive_high_low_ordering: bool = False
    trade_execution: bool = True
    liquidity_consumption: bool = False
    queue_position: bool = False
    allow_cash_borrowing: bool = False
    frozen_account: bool = False
    price_protection_points: NonNegativeInt = 0
    settlement_prices: dict[InstrumentId, float] | None = None

Import

from nautilus_trader.backtest.config import BacktestVenueConfig

I/O Contract

Inputs

Parameter	Type	Required	Default	Description
`name`	`str`	Yes	--	The unique name of the venue
`oms_type`	str	Yes	--	Order management system type: "NETTING" or "HEDGING"
`account_type`	str	Yes	--	Account type: "CASH" or "MARGIN"
`starting_balances`	`list[str]`	Yes	--	Starting balances, e.g. ["1_000_000 USD"]
`base_currency`	None	No	`None`	Base currency; None for multi-currency accounts
`default_leverage`	`float`	No	`1.0`	Default leverage for margin accounts
`leverages`	None	No	`None`	Per-instrument leverage overrides
`margin_model`	None	No	`None`	Margin model configuration
`modules`	None	No	`None`	Simulation modules for the venue
`fill_model`	None	No	`None`	Custom fill model
`latency_model`	None	No	`None`	Custom latency model
`fee_model`	None	No	`None`	Custom fee model
`book_type`	str	No	`"L1_MBP"`	Order book type: "L1_MBP", "L2_MBP", or "L3_MBO"
`routing`	`bool`	No	`False`	Enable multi-venue routing
`reject_stop_orders`	`bool`	No	`True`	Reject stop orders with in-market trigger prices
`support_gtd_orders`	`bool`	No	`True`	Support GTD time-in-force orders
`support_contingent_orders`	`bool`	No	`True`	Support OTO/OCO/OUO contingent orders
`oto_trigger_mode`	str	No	`"PARTIAL"`	OTO trigger mode: "PARTIAL" or "FULL"
`use_position_ids`	`bool`	No	`True`	Generate venue position IDs
`use_random_ids`	`bool`	No	`False`	Use random UUID4 identifiers
`use_reduce_only`	`bool`	No	`True`	Honor reduce_only instruction
`use_market_order_acks`	`bool`	No	`False`	Generate OrderAccepted for market orders
`bar_execution`	`bool`	No	`True`	Process bars in matching engine
`bar_adaptive_high_low_ordering`	`bool`	No	`False`	Adaptive bar OHLC processing order
`trade_execution`	`bool`	No	`True`	Process trades in matching engine
`liquidity_consumption`	`bool`	No	`False`	Track liquidity consumption per price level
`queue_position`	`bool`	No	`False`	Track queue position for limit orders
`allow_cash_borrowing`	`bool`	No	`False`	Allow negative balances on cash accounts
`frozen_account`	`bool`	No	`False`	Freeze account balances
`price_protection_points`	`NonNegativeInt`	No	`0`	Price boundary in points for protection
`settlement_prices`	None	No	`None`	Settlement prices for expiring instruments

Outputs

Output	Type	Description
BacktestVenueConfig instance	`BacktestVenueConfig`	Frozen, immutable venue configuration object. Consumed by `BacktestRunConfig` and ultimately by `BacktestNode` to build a simulated venue via `engine.add_venue()`.

Usage Examples

Basic cash account venue:

from nautilus_trader.backtest.config import BacktestVenueConfig

venue_config = BacktestVenueConfig(
    name="SIM",
    oms_type="HEDGING",
    account_type="CASH",
    starting_balances=["1_000_000 USD"],
    base_currency="USD",
)

Margin account with custom leverage:

from nautilus_trader.backtest.config import BacktestVenueConfig

venue_config = BacktestVenueConfig(
    name="BINANCE",
    oms_type="NETTING",
    account_type="MARGIN",
    starting_balances=["10_000 USDT"],
    base_currency="USDT",
    default_leverage=10.0,
    leverages={"BTCUSDT-PERP.BINANCE": 20.0},
    bar_execution=True,
    trade_execution=False,
)

Venue with advanced execution options:

from nautilus_trader.backtest.config import BacktestVenueConfig

venue_config = BacktestVenueConfig(
    name="CME",
    oms_type="NETTING",
    account_type="MARGIN",
    starting_balances=["500_000 USD"],
    base_currency="USD",
    default_leverage=5.0,
    book_type="L2_MBP",
    reject_stop_orders=False,
    support_contingent_orders=True,
    oto_trigger_mode="FULL",
    bar_execution=True,
    bar_adaptive_high_low_ordering=True,
    liquidity_consumption=True,
    queue_position=True,
    price_protection_points=10,
)

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