nautechsystems / nautilus_trader

A high-performance algorithmic trading platform and event-driven backtester

https://nautilustrader.io

GNU Lesser General Public License v3.0

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Add bar_execution option to SandboxExecutionClient (fixes #1645) #1646

Closed davidsblom closed 4 months ago

davidsblom commented 4 months ago

Pull Request

Add bar_execution option to the SandboxExecutionClient to disable processing internally aggregated bars by the matching engine.

The default is set to use the bars to be consistent with the current behaviour.

Type of change

Delete options that are not relevant.

[x] New feature (non-breaking change which adds functionality)

How has this change been tested?

Locally running paper trading with the Bybit exchange. Subscribing to quote ticks, trade ticks and internally aggregated bars.