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Add option for immediate execution with quotes in backtesting #3428

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49 changes: 37 additions & 12 deletions examples/backtest/notebooks/databento_option_greeks.py
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Original file line number Diff line number Diff line change
Expand Up @@ -53,12 +53,12 @@
from nautilus_trader.model.data import DataType
from nautilus_trader.model.data import QuoteTick
from nautilus_trader.model.enums import OrderSide
from nautilus_trader.model.enums import PriceType
from nautilus_trader.model.greeks_data import GreeksData
from nautilus_trader.model.identifiers import InstrumentId
from nautilus_trader.model.identifiers import Venue
from nautilus_trader.model.identifiers import new_generic_spread_id
from nautilus_trader.model.instruments import FuturesContract
from nautilus_trader.model.objects import Price
from nautilus_trader.model.objects import Quantity
from nautilus_trader.model.tick_scheme import TieredTickScheme
from nautilus_trader.model.tick_scheme import register_tick_scheme
Expand Down Expand Up @@ -156,6 +156,15 @@
],
)


def get_mid_price_rounded(tick, instrument, round_up=True, num_ticks=0):
mid_price = tick.extract_price(PriceType.MID)
if round_up:
return instrument.next_ask_price(mid_price.as_double(), num_ticks=num_ticks)
else:
return instrument.next_bid_price(mid_price.as_double(), num_ticks=num_ticks)


# %% [markdown]
# ## strategy

Expand Down Expand Up @@ -303,13 +312,31 @@ def on_quote_tick(self, tick):
)

# Submit spread order when we have spread quotes available
if tick.instrument_id == self.config.spread_id and not self.spread_order_submitted:
if (
tick.instrument_id == self.config.spread_id
and not self.spread_order_submitted
and tick.ts_init == 1715248980000000000
):
# Try submitting order immediately - the exchange should have processed the quote by now
self.submit_market_order(instrument_id=self.config.spread_id, quantity=5)
instrument = self.cache.instrument(tick.instrument_id)
mid_price_rounded = get_mid_price_rounded(
tick=tick,
instrument=instrument,
round_up=True, # Round up for buy orders (more aggressive)
)
self.submit_limit_order(
instrument_id=self.config.spread_id,
price=mid_price_rounded,
quantity=5,
)
self.spread_order_submitted = True

if tick.instrument_id == self.config.spread_id2 and not self.spread_order_submitted2:
self.submit_market_order(instrument_id=self.config.spread_id2, quantity=5)
self.submit_limit_order(
instrument_id=self.config.spread_id2,
price=tick.ask_price,
quantity=5,
)
self.spread_order_submitted2 = True

def on_order_filled(self, event):
Expand Down Expand Up @@ -367,18 +394,18 @@ def submit_market_order(self, instrument_id, quantity):
order_side=(OrderSide.BUY if quantity > 0 else OrderSide.SELL),
quantity=Quantity.from_int(abs(quantity)),
)
self.user_log(f"Submitting order: {order}")
self.submit_order(order)
self.user_log(f"Order submitted: {order}")

def submit_limit_order(self, instrument_id, price, quantity):
order = self.order_factory.limit(
instrument_id=instrument_id,
order_side=(OrderSide.BUY if quantity > 0 else OrderSide.SELL),
quantity=Quantity.from_int(abs(quantity)),
price=Price.from_str(f"{price:.2f}"),
price=price,
)
self.user_log(f"Submitting order: {order}")
self.submit_order(order)
self.user_log(f"Order submitted: {order}")

def user_log(self, msg, color=LogColor.GREEN):
self.log.warning(f"{msg}", color=color)
Expand Down Expand Up @@ -463,6 +490,7 @@ def on_stop(self):
strategies=strategies,
streaming=(streaming if not load_greeks else None),
catalogs=catalogs,
# allow_immediate_quote_execution=True,
)

# BacktestRunConfig
Expand Down Expand Up @@ -498,12 +526,9 @@ def on_stop(self):
*data,
]

# Configure venue with enhanced SizeAwareFillModel for realistic option execution
# This fill model provides different execution behavior based on order size:
# - Small orders (<=10 contracts): Good liquidity at best prices
# - Large orders: Experience price impact with partial fills at worse prices
# Configure venue with enhanced BestPriceFillModel for being able to execute limit orders anywhere between a bid ask
fill_model = ImportableFillModelConfig(
fill_model_path="nautilus_trader.backtest.models:SizeAwareFillModel",
fill_model_path="nautilus_trader.backtest.models:BestPriceFillModel",
config_path="nautilus_trader.backtest.config:FillModelConfig",
config={},
)
Expand Down
5 changes: 5 additions & 0 deletions nautilus_trader/backtest/config.py
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Original file line number Diff line number Diff line change
Expand Up @@ -334,6 +334,10 @@ class BacktestEngineConfig(NautilusKernelConfig, frozen=True):
If logging should be bypassed.
run_analysis : bool, default True
If post backtest performance analysis should be run.
allow_immediate_quote_execution : bool, default False
Allows a strategy to receive quotes and pass orders before the data is
processed by the execution engine. Only relevant in backtesting.
Useful for backtests on discrete times, like every minute, hour or day.

"""

Expand All @@ -344,6 +348,7 @@ class BacktestEngineConfig(NautilusKernelConfig, frozen=True):
risk_engine: RiskEngineConfig | None = RiskEngineConfig()
exec_engine: ExecEngineConfig | None = ExecEngineConfig()
run_analysis: bool = True
allow_immediate_quote_execution: bool = False

def __post_init__(self):
if isinstance(self.trader_id, str):
Expand Down
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