NautilusTrader Reference

High-performance algorithmic trading platform used by AlgVex.

Project Configuration

Item	Value
Version	1.224.0
Python	3.12+
Exchange	Binance Futures
Symbol	BTCUSDT-PERP

AlgVex SRP v6.1 Architecture

Component	File	Purpose
NT Strategy Shell	srp/strategy/srp_strategy.py	NautilusTrader Strategy subclass, order lifecycle
Signal Engine	srp/strategy/signal_engine.py	Pure signal logic (VWMA+RSI-MFI channel + DCA)
Indicators	srp/strategy/pine_indicators.py	Pine-parity indicator calculations
Config	srp/configs/srp.yaml	All SRP parameters
Pine SSoT	srp/docs/v6.pine	Pine Script source of truth
Entry Point	main_live.py	--strategy srp launches SRP

Reference Documentation

Detailed documentation is available in the references/ subdirectory:

File	Content
references/index.md	Overview and navigation
references/getting_started.md	Installation and quick start
references/concepts.md	Core concepts (Strategy, Actor, etc.)
references/strategies.md	Strategy implementation guide
references/data.md	Data types and feeds
references/backtesting.md	Backtesting guide
references/api.md	API reference
references/other.md	Additional topics

Quick Reference

Strategy Base Class

from nautilus_trader.trading.strategy import Strategy

class MyStrategy(Strategy):
    def on_start(self):
        """Called when strategy starts"""
        pass

    def on_bar(self, bar: Bar):
        """Called on each bar update"""
        pass

    def on_order_filled(self, event: OrderFilled):
        """Called when order is filled"""
        pass

Order Submission

order = self.order_factory.market(
    instrument_id=self.instrument.id,
    order_side=OrderSide.BUY,
    quantity=Quantity.from_str("0.001"),
)
self.submit_order(order)

Stop-Loss/Take-Profit

# Submit entry order
entry = self.order_factory.market(...)
self.submit_order(entry)

# In on_position_opened callback, submit SL and TP separately
sl_order = self.order_factory.stop_market(..., reduce_only=True)
self.submit_order(sl_order)

# TP uses limit_if_touched (position-linked, auto-cancels on close)
tp_order = self.order_factory.limit_if_touched(...)
self.submit_order(tp_order)

Important: Do NOT use submit_order_list() with bracket orders.

Common Issues

Issue 1: Indicator Access from Background Thread

Problem: Accessing indicators from non-main thread causes Rust panic. Solution: Cache values in Python variables, access cached values from background threads.

Issue 2: Wrong Indicator Module

Problem: Using nautilus_trader.core.nautilus_pyo3 indicators. Solution: Use nautilus_trader.indicators (Cython version).

Issue 3: Circular Imports

Problem: __init__.py auto-imports cause circular dependencies. Solution: Import modules directly, avoid barrel exports.

Reference Files

This skill includes comprehensive documentation in references/:

• api.md - API documentation
• backtesting.md - Backtesting documentation
• concepts.md - Concepts documentation
• data.md - Data documentation
• getting_started.md - Getting Started documentation
• other.md - Other documentation
• strategies.md - Strategies documentation

Use view to read specific reference files when detailed information is needed.

Resources

references/

Organized documentation extracted from official sources. These files contain:

• Detailed explanations
• Code examples with language annotations
• Links to original documentation
• Table of contents for quick navigation

Notes

• This skill was automatically generated from official documentation
• Reference files preserve the structure and examples from source docs
• Code examples include language detection for better syntax highlighting
• Quick reference patterns are extracted from common usage examples in the docs