Orders not being filled in backtest

[benjaminsingleton]

When I run a backtest, I see plenty of SubmitOrder, OrderSubmitted, and OrderInitialized events, but none of the orders get filled. As a result, I don't get any performance metrics after running through the backtest. Can you point me in the right direction to ensure that orders are filled?

Some example logs:

2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: Bar(BTC/USD.PAXOS-1-HOUR-MID-EXTERNAL,30577.13,30579.38,30436.50,30450.63,0.00000000,1688317200000000000)
2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: <--[EVT] OrderInitialized(instrument_id=BTC/USD.PAXOS, client_order_id=O-20230702-1700-001-000-27272, side=BUY, type=MARKET, quantity=0.05000000, time_in_force=GTC, post_only=False, reduce_only=False, quote_quantity=False, options={}, emulation_trigger=NO_TRIGGER, trigger_instrument_id=None, contingency_type=NO_CONTINGENCY, order_list_id=None, linked_order_ids=None, parent_order_id=None, exec_algorithm_id=None, exec_algorithm_params=None, exec_spawn_id=None, tags=None).
2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: [CMD]--> SubmitOrder(order=MarketOrder(BUY 0.05000000 BTC/USD.PAXOS MARKET GTC, status=INITIALIZED, client_order_id=O-20230702-1700-001-000-27272, venue_order_id=None, tags=None), position_id=None).
2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: <--[EVT] OrderSubmitted(instrument_id=BTC/USD.PAXOS, client_order_id=O-20230702-1700-001-000-27272, account_id=PAXOS-001, ts_event=1688317200000000000).
2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: Bar(BTC/USD.PAXOS-1-HOUR-MID-EXTERNAL,30577.13,30579.38,30436.50,30450.63,0.00000000,1688317200000000000)
2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: <--[EVT] OrderInitialized(instrument_id=BTC/USD.PAXOS, client_order_id=O-20230702-1700-001-000-27273, side=SELL, type=MARKET, quantity=0.05000000, time_in_force=GTC, post_only=False, reduce_only=False, quote_quantity=False, options={}, emulation_trigger=NO_TRIGGER, trigger_instrument_id=None, contingency_type=NO_CONTINGENCY, order_list_id=None, linked_order_ids=None, parent_order_id=None, exec_algorithm_id=None, exec_algorithm_params=None, exec_spawn_id=None, tags=None).
2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: [CMD]--> SubmitOrder(order=MarketOrder(SELL 0.05000000 BTC/USD.PAXOS MARKET GTC, status=INITIALIZED, client_order_id=O-20230702-1700-001-000-27273, venue_order_id=None, tags=None), position_id=None).
2023-07-02T17:00:00.000000000Z [INF] BACKTESTER-001.SMA-000: <--[EVT] OrderSubmitted(instrument_id=BTC/USD.PAXOS, client_order_id=O-20230702-1700-001-000-27273, account_id=PAXOS-001, ts_event=1688317200000000000).

[benjaminsingleton]

I resolved this issue by realizing that my bars had a volume quantity of 0, which caused the matching engine to not fill the order. See this line: https://github.com/nautechsystems/nautilus_trader/blob/master/nautilus_trader/backtest/matching_engine.pyx#L521

As an FYI for others who might encounter this issue, when fetching historical bars of crypto from Interactive Brokers, the value of -1 is returned for volume (apparently they don't have valid historical volumes ...), which I was coercing to a value of 0, so I could ingest the data and load it into the Catalog. Clearly, this led to problems with the matching engine, so make sure your bars have volume otherwise orders will not be filled!