Handling Non-Continuous Markets (Fixed / Call Auctions)

[FranekGit]

Hi everyone,

I’m working with non-continuous markets (e.g. scheduled fixings, daily open/close auctions) where orders accumulate and match at a single uncrossing price rather than through continuous matching.

What are the current capabilities and best practices in Nautilus Trader for handling these phases? Specifically:

• Venue States: What is the recommended way to model transitions between continuous trading, halts, and call phases?

• Auction Data: Are there specific event types to feed in indicative match prices and order imbalances during a call phase?

• Simulated Matching: Does the backtester support call auction logic (single equilibrium price), or is it strictly continuous? If continuous, what is the best workaround?

• Order Types: How should we handle auction-specific orders like MOO, MOC, or LOC?

If native support isn't there yet, I’d appreciate any architectural pointers on building a custom adapter or matching engine extension for this.

Thanks!