stefansimik

🔄 Current System Analysis & Limitations

The current backtesting system handles many order-fill scenarios effectively, particularly with L2 data. While the existing probabilistic FillModel serves its purpose for basic scenarios, there are several significant limitations that prevent realistic simulation of market dynamics:

Key Limitations

1. Can't Simulate Competition for Liquidity

• The system cannot model how market participants compete for available liquidity, treating all visible volume as fully accessible.

stefansimik

stefansimik

from datetime import datetime, timezone

import pandas as pd
from nautilus_trader.backtest.engine import BacktestEngine
from nautilus_trader.backtest.models import MakerTakerFeeModel
from nautilus_trader.config import BacktestEngineConfig, LoggingConfig, StrategyConfig
from nautilus_trader.core.datetime import dt_to_unix_nanos
from nautilus_trader.model.currencies import USD
from nautilus_trader.model.data import Bar, BarSpecification, BarType
from nautilus_trader.model.enums import (