nautilus-portfolio

Portfolio management and risk analysis for NautilusTrader.

The portfolio crate provides comprehensive portfolio management capabilities including real-time position tracking, performance calculations, and risk management. This includes sophisticated portfolio analytics and multi-currency support:

• Portfolio tracking: Real-time portfolio state management with position and balance monitoring.
• Account management: Support for cash and margin accounts across multiple venues.
• Performance calculations: Real-time unrealized PnL, realized PnL, and mark-to-market valuations.
• Risk management: Initial margin calculations, maintenance margin tracking, and exposure monitoring.
• Multi-currency support: Currency conversion and cross-currency risk exposure analysis.
• Configuration options: Flexible settings for price types, currency conversion, and portfolio behavior.

The crate handles complex portfolio scenarios including multi-venue trading, currency conversions, and sophisticated margin calculations for both live trading and backtesting environments.

Platform

NautilusTrader is an open-source, high-performance, production-grade algorithmic trading platform, providing quantitative traders with the ability to backtest portfolios of automated trading strategies on historical data with an event-driven engine, and also deploy those same strategies live, with no code changes.

NautilusTrader's design, architecture, and implementation philosophy prioritizes software correctness and safety at the highest level, with the aim of supporting mission-critical, trading system backtesting and live deployment workloads.

Feature flags

This crate provides feature flags to control source code inclusion during compilation, depending on the intended use case, i.e. whether to provide Python bindings for the nautilus_trader Python package, or as part of a Rust only build.

• python: Enables Python bindings from PyO3.

Documentation

See the docs for more detailed usage.

License

The source code for NautilusTrader is available on GitHub under the GNU Lesser General Public License v3.0. Contributions to the project are welcome and require the completion of a standard Contributor License Agreement (CLA).

NautilusTrader™ is developed and maintained by Nautech Systems, a technology company specializing in the development of high-performance trading systems. For more information, visit https://nautilustrader.io.

© 2015-2025 Nautech Systems Pty Ltd. All rights reserved.