Live Trading

NautilusTrader deploys backtested strategies to live markets with no code changes. The same actors, strategies, and execution algorithms run against both the backtest engine and a live trading node.

Live trading involves real financial risk. Before deploying to production, understand system configuration, node operations, execution reconciliation, and the differences between backtesting and live trading.

Configuration

For how config structs handle defaults, T vs Option<T> semantics, and builder patterns, see the Configuration concept guide. For step-by-step setup of TradingNodeConfig, execution engine options, strategy configuration, and multi-venue wiring, see the Configure a live trading node how-to guide.

Execution reconciliation

Execution reconciliation aligns the venue's actual order and position state with the system's internal state built from events. Only the LiveExecutionEngine performs reconciliation, since backtesting controls both sides.

:::note[Terminology] An in-flight order is one awaiting venue acknowledgement:

• SUBMITTED - initial submission, awaiting accept/reject.
• PENDING_UPDATE - modification requested, awaiting confirmation.
• PENDING_CANCEL - cancellation requested, awaiting confirmation.

These orders are monitored by the continuous reconciliation loop to detect stale or lost messages. :::

Two scenarios:

• Cached state exists: report data generates missing events to align the state.
• No cached state: all orders and positions at the venue are generated from scratch.

:::tip Persist all execution events to the cache database. This reduces reliance on venue history and allows full recovery even with short lookback windows. :::

Reconciliation configuration

Unless reconciliation is set to false, the execution engine reconciles state for each venue at startup. The reconciliation_lookback_mins parameter controls how far back the engine requests history.

:::tip Leave reconciliation_lookback_mins unset. This lets the engine request the maximum execution history the venue provides. :::

:::warning Executions before the lookback window still generate alignment events, but with some information loss that a longer window would avoid. Some venues also filter or drop older execution data. Persisting all events to the cache database prevents both issues. :::

Each strategy can claim external orders for an instrument ID generated during reconciliation via the external_order_claims config parameter. This lets a strategy resume managing open orders when no cached state exists.

Orders generated with strategy ID EXTERNAL and tag RECONCILIATION during position reconciliation are internal to the engine. They cannot be claimed via external_order_claims and should not be managed by user strategies.

:::tip To detect external orders in your strategy, check order.strategy_id.value == "EXTERNAL". These orders participate in portfolio calculations and position tracking like any other order. :::

For all live trading options, see the LiveExecEngineConfig API Reference.

Reconciliation procedure

All adapter execution clients follow the same reconciliation procedure, calling three methods to produce an execution mass status:

• generate_order_status_reports
• generate_fill_reports
• generate_position_status_reports

flowchart TD
    Start[Startup Reconciliation] --> Fetch[Fetch venue reports
orders, fills, positions]
    Fetch --> Dedup[Deduplicate reports
log warnings for duplicates]
    Dedup --> Orders[Order Reconciliation
align order states, generate missing events]
    Orders --> Fills[Fill Reconciliation
verify fills, generate missing OrderFilled events]
    Fills --> Pos[Position Reconciliation
compare net positions per instrument]
    Pos --> Match{Positions
match venue?}
    Match -->|Yes| Done[Reconciliation complete
system ready for trading]
    Match -->|No| Gen[Generate missing orders
strategy: EXTERNAL, tag: RECONCILIATION]
    Gen --> Done

The system reconciles its state against these reports, which represent external reality:

• Duplicate check:
  • Deduplicates order reports within the batch and logs warnings.
  • Logs duplicate trade IDs as warnings for investigation.
• Order reconciliation:
  • Generates and applies events to move orders from cached state to current state.
  • Infers OrderFilled events for missing trade reports.
  • Generates external order events for unrecognized client order IDs or reports missing a client order ID.
  • Verifies fill report data consistency with tolerance-based price and commission comparisons.
• Position reconciliation:
  • Matches the net position per instrument against venue position reports using instrument precision.
  • Generates external order events when order reconciliation leaves a position that differs from the venue.
  • When generate_missing_orders is enabled (default: True), generates orders with strategy ID EXTERNAL and tag RECONCILIATION to align discrepancies.
  • Falls through a price hierarchy when generating reconciliation orders:
    1. Calculated reconciliation price (preferred): targets the correct average position.
    2. Market mid-price: uses the current bid-ask midpoint.
    3. Current position average: uses the existing position's average price.
    4. MARKET order (last resort): used only when no price data exists (no positions, no market data).
  • Uses LIMIT orders when a price can be determined (cases 1-3) to preserve PnL accuracy.
  • Skips zero quantity differences after precision rounding.
• Partial window adjustment:
  • When reconciliation_lookback_mins is set, the window may miss opening fills.
  • The system adjusts fills using lifecycle analysis to reconstruct positions accurately:
    • Detects zero-crossings (position qty crosses through FLAT) to identify separate lifecycles.
    • Adds synthetic opening fills when the earliest lifecycle is incomplete.
    • Filters out closed lifecycles when the current lifecycle matches the venue position.
    • Replaces a mismatched current lifecycle with a synthetic fill reflecting the venue position.
  • Synthetic fills use calculated reconciliation prices to target correct average positions.
  • See Partial window adjustment scenarios for details.
• Exception handling:
  • Individual adapter failures do not abort the entire reconciliation process.
  • Fill reports arriving before order status reports are deferred until order state is available.

If reconciliation fails, the system logs an error and does not start.

Common reconciliation scenarios

The tables below cover startup reconciliation (mass status) and runtime checks (in-flight order checks, open-order polls, own-books audits).

Startup reconciliation

Runtime checks

Common reconciliation issues

• Missing trade reports: Some venues filter out older trades. Increase reconciliation_lookback_mins or cache all events locally.
• Position mismatches: External orders that predate the lookback window cause position drift. Flatten the account before restarting to reset state.
• Duplicate order IDs: Deduplicated with warnings logged. Frequent duplicates may indicate venue data integrity issues.
• Precision differences: Small decimal differences are handled using instrument precision. Large discrepancies may indicate missing orders.
• Out-of-order reports: Fill reports arriving before order status reports are deferred until order state is available.

:::tip For persistent issues, drop cached state or flatten accounts before restarting. :::

Reconciliation invariants

The reconciliation system maintains four invariants:

1. Position quantity: the final quantity matches the venue within instrument precision.
2. Average entry price: the position's average entry price matches the venue's reported price within tolerance (default 0.01%).
3. PnL integrity: all generated fills, including synthetic fills, use calculated prices that preserve correct unrealized PnL.
4. ID determinism: synthetic trade_id and venue_order_id values emitted during reconciliation are deterministic functions of the logical event. The same logical fill or position-adjustment order produces the same ID across restarts, so replayed reconciliation events dedupe against earlier runs instead of being treated as new.

These hold even when:

• The reconciliation window misses complete fill history.
• Fills are missing from venue reports.
• Position lifecycles span beyond the lookback window.
• Multiple zero-crossings have occurred.

Partial window adjustment scenarios

When reconciliation_lookback_mins limits the window, the system analyzes position lifecycles from fills and adjusts to reconstruct positions accurately.

Key concepts:

• Zero-crossing: position quantity crosses through zero (FLAT), marking a lifecycle boundary.
• Lifecycle: a sequence of fills between zero-crossings representing one open-close cycle.
• Synthetic fill: a calculated fill report representing missing activity, priced to achieve the correct average position.
• Tolerance: position matching uses configurable price tolerance (default 0.0001 = 0.01%) to absorb minor calculation differences.

Related guides

• Configure a live trading node - Node and engine configuration.
• Adapters - Venue connectivity.
• Execution - Order execution in live environments.
• Backtesting - Testing strategies before deployment.