Improve sandbox by adding account settings to the SandboxExecutionCli…

[davidsblom]

…entConfig

Pull Request

Add account type, default leverage and oms type to the sandbox execution client config.

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 the sandbox with Bybit data

[cjdsellers]

Thanks @davidsblom

I haven't looked too closely here yet, but would this address https://github.com/nautechsystems/nautilus_trader/issues/1657 as well?

[davidsblom]

I think so. Haven't tested with cash account though.

[cjdsellers]

Something else I noticed is that the sandbox config is only really setup for a single currency account with one starting balance.

I think this should actually be changed to be closer to the BacktestVenueConfig and have starting_balances and base_currency:

    starting_balances: list[str]
    base_currency: str | None = None

Thoughts?

[VeraLyu]

Could we add multiple base currency support (like I have "BTC", "ETH" all in my margin account)as well? as some scenarios strategy may involve multiple currency arbitrary.

[davidsblom]

Yes indeed. It is probably just updating the config types (could be wrong).

[cjdsellers]

I'll make a breaking change for the config tomorrow to head more towards the backtest venue config, including multiple starting currencies.

[davidsblom]

Awesome! 👍

[cjdsellers]

Pushed up a bunch of changes to the config aligning more closely with the BacktestVenueConfig.

[VeraLyu]

Pushed up a bunch of changes to the config aligning more closely with the BacktestVenueConfig.

Hi Chris, May I ask on which branch do these changes go? Do they include multi-currency support?

Thanks

[cjdsellers]

Hey @VeraLyu

All changes will first go to develop branch. Here's the commit I was referring to above.

Multi-currency accounts with multiple starting balances are now supported for Sandbox too.