Accounting

The accounting subpackage defines both different account types and account management machinery.

There is also an ExchangeRateCalculator for calculating the exchange rate between FX and/or Crypto pairs. The AccountManager is mainly used from the Portfolio to manage accounting operations.

The AccountFactory supports customized account types for specific integrations. These custom account types can be registered with the factory and will then be instantiated when an AccountState event is received for that integration.

class CashAccount

Bases: Account

CashAccount(AccountState event, bool calculate_account_state=False, bool allow_borrowing=False)

Provides a cash account.

• Parameters:
  • event (AccountState) – The initial account state event.
  • calculate_account_state (bool , optional) – If the account state should be calculated from order fills.
  • allow_borrowing (bool , optional) – If borrowing is allowed (negative balances).
• Raises: ValueError – If event.account_type is not equal to CASH.

ACCOUNT_TYPE = 1

allow_borrowing

If borrowing is allowed (negative balances).

• Returns: bool

apply(self, AccountState event) → void

Apply the given account event to the account.

• Parameters: event (AccountState) – The account event to apply.
• Raises:
  • ValueError – If event.account_type is not equal to self.type.
  • ValueError – If event.account_id is not equal to self.id.
  • ValueError – If event.base_currency is not equal to self.base_currency.

WARNING

System method (not intended to be called by user code).

balance(self, Currency currency=None) → AccountBalance

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: AccountBalance or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_free(self, Currency currency=None) → Money

Return the account balance free.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: Money or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_impact(self, Instrument instrument, Quantity quantity, Price price, OrderSide order_side) → Money

balance_locked(self, Currency currency=None) → Money

Return the account balance locked.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: Money or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_total(self, Currency currency=None) → Money

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: Money or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balances(self) → dict

Return the account balances totals.

• Return type: dict[Currency, Money]

balances_free(self) → dict

Return the account balances free.

• Return type: dict[Currency, Money]

balances_locked(self) → dict

Return the account balances locked.

• Return type: dict[Currency, Money]

balances_total(self) → dict

Return the account balances totals.

• Return type: dict[Currency, Money]

base_currency

The accounts base currency (None for multi-currency accounts).

• Returns: Currency or None

calculate_account_state

If the accounts state should be calculated by Nautilus.

• Returns: bool

calculate_balance_locked(self, Instrument instrument, OrderSide side, Quantity quantity, Price price, bool use_quote_for_inverse=False) → Money

Calculate the locked balance.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

• Parameters:
  • instrument (Instrument) – The instrument for the calculation.
  • side (OrderSide {BUY, SELL}) – The order side.
  • quantity (Quantity) – The order quantity.
  • price (Price) – The order price.
  • use_quote_for_inverse (bool) – If inverse instrument calculations use quote currency (instead of base).
• Return type: Money

calculate_commission(self, Instrument instrument, Quantity last_qty, Price last_px, LiquiditySide liquidity_side, bool use_quote_for_inverse=False) → Money

Calculate the commission generated from a transaction with the given parameters.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

• Parameters:
  • instrument (Instrument) – The instrument for the calculation.
  • last_qty (Quantity) – The transaction quantity.
  • last_px (Price) – The transaction price.
  • liquidity_side (LiquiditySide {MAKER, TAKER}) – The liquidity side for the transaction.
  • use_quote_for_inverse (bool) – If inverse instrument calculations use quote currency (instead of base).
• Return type: Money
• Raises: ValueError – If liquidity_side is NO_LIQUIDITY_SIDE.

calculate_pnls(self, Instrument instrument, OrderFilled fill, Position position: Position | None = None) → list

Return the calculated PnL.

The calculation does not include any commissions.

• Parameters:
  • instrument (Instrument) – The instrument for the calculation.
  • fill (OrderFilled) – The fill for the calculation.
  • position (Position , optional) – The position for the calculation (can be None).
• Return type: list[Money]

clear_balance_locked(self, InstrumentId instrument_id) → void

Clear the balance locked for the given instrument ID.

• Parameters: instrument_id (InstrumentId) – The instrument for the locked balance to clear.

commission(self, Currency currency) → Money

Return the total commissions for the given currency.

• Parameters: currency (Currency) – The currency for the commission.
• Return type: Money or None

commissions(self) → dict

Return the total commissions for the account.

currencies(self) → list

Return the account currencies.

• Return type: list[Currency]

event_count

Return the count of events.

• Return type: int

events

Return all events received by the account.

• Return type: list[AccountState]

static from_dict(dict values)

id

The accounts ID.

• Returns: AccountId

is_cash_account

If the account is a type of CASH account.

is_margin_account

If the account is a type of MARGIN account.

is_unleveraged(self, InstrumentId instrument_id) → bool

last_event

Return the accounts last state event.

• Return type: AccountState

purge_account_events(self, uint64_t ts_now, uint64_t lookback_secs=0) → void

Purge all account state events which are outside the lookback window.

Guaranteed to retain at least the latest event.

• Parameters:
  • ts_now (uint64_t) – The current UNIX timestamp (nanoseconds).
  • lookback_secs (uint64_t , default 0) – The purge lookback window (seconds) from when the account state event occurred. Only events which are outside the lookback window will be purged. A value of 0 means purge all account state events.

starting_balances(self) → dict

Return the account starting balances.

• Return type: dict[Currency, Money]

static to_dict(CashAccount obj)

type

The accounts type.

• Returns: AccountType

update_balance_locked(self, InstrumentId instrument_id, Money locked) → void

Update the balance locked for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the update.
  • locked (Money) – The locked balance for the instrument.
• Raises: ValueError – If margin_init is negative (< 0).

WARNING

System method (not intended to be called by user code).

update_balances(self, list balances) → void

Update the account balances.

There is no guarantee that every account currency is included in the given balances, therefore we only update included balances.

• Parameters: balances (list [AccountBalance ]) – The balances for the update.
• Raises:
  • ValueError – If balances is empty.
  • AccountBalanceNegative – If borrowing is not allowed and balance is negative.

update_commissions(self, Money commission) → void

Update the commissions.

Can be negative which represents credited commission.

• Parameters: commission (Money) – The commission to update with.

WARNING

System method (not intended to be called by user code).

class MarginAccount

Bases: Account

MarginAccount(AccountState event, bool calculate_account_state=False)

Provides a margin account.

• Parameters:
  • event (AccountState) – The initial account state event.
  • calculate_account_state (bool , optional) – If the account state should be calculated from order fills.
• Raises: ValueError – If event.account_type is not equal to MARGIN.

apply(self, AccountState event) → void

Apply the given account event to the account.

• Parameters: event (AccountState) – The account event to apply.
• Raises:
  • ValueError – If event.account_type is not equal to self.type.
  • ValueError – If event.account_id is not equal to self.id.
  • ValueError – If event.base_currency is not equal to self.base_currency.

WARNING

System method (not intended to be called by user code).

balance(self, Currency currency=None) → AccountBalance

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: AccountBalance or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_free(self, Currency currency=None) → Money

Return the account balance free.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: Money or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_impact(self, Instrument instrument, Quantity quantity, Price price, OrderSide order_side) → Money

balance_locked(self, Currency currency=None) → Money

Return the account balance locked.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: Money or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_total(self, Currency currency=None) → Money

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

• Parameters: currency (Currency , optional) – The currency for the query. If None then will use the default currency (if set).
• Return type: Money or None
• Raises: ValueError – If currency is None and base_currency is None.

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balances(self) → dict

Return the account balances totals.

• Return type: dict[Currency, Money]

balances_free(self) → dict

Return the account balances free.

• Return type: dict[Currency, Money]

balances_locked(self) → dict

Return the account balances locked.

• Return type: dict[Currency, Money]

balances_total(self) → dict

Return the account balances totals.

• Return type: dict[Currency, Money]

base_currency

The accounts base currency (None for multi-currency accounts).

• Returns: Currency or None

calculate_account_state

If the accounts state should be calculated by Nautilus.

• Returns: bool

calculate_commission(self, Instrument instrument, Quantity last_qty, Price last_px, LiquiditySide liquidity_side, bool use_quote_for_inverse=False) → Money

Calculate the commission generated from a transaction with the given parameters.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

• Parameters:
  • instrument (Instrument) – The instrument for the calculation.
  • last_qty (Quantity) – The transaction quantity.
  • last_px (Price) – The transaction price.
  • liquidity_side (LiquiditySide {MAKER, TAKER}) – The liquidity side for the transaction.
  • use_quote_for_inverse (bool) – If inverse instrument calculations use quote currency (instead of base).
• Return type: Money
• Raises: ValueError – If liquidity_side is NO_LIQUIDITY_SIDE.

calculate_margin_init(self, Instrument instrument, Quantity quantity, Price price, bool use_quote_for_inverse=False) → Money

Calculate the initial (order) margin.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

• Parameters:
  • instrument (Instrument) – The instrument for the calculation.
  • quantity (Quantity) – The order quantity.
  • price (Price) – The order price.
  • use_quote_for_inverse (bool) – If inverse instrument calculations use quote currency (instead of base).
• Return type: Money

calculate_margin_maint(self, Instrument instrument, PositionSide side, Quantity quantity, Price price, bool use_quote_for_inverse=False) → Money

Calculate the maintenance (position) margin.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

• Parameters:
  • instrument (Instrument) – The instrument for the calculation.
  • side (PositionSide {LONG, SHORT}) – The currency position side.
  • quantity (Quantity) – The currency position quantity.
  • price (Price) – The positions current price.
  • use_quote_for_inverse (bool) – If inverse instrument calculations use quote currency (instead of base).
• Return type: Money

calculate_pnls(self, Instrument instrument, OrderFilled fill, Position position: Position | None = None) → list

Return the calculated PnL.

The calculation does not include any commissions.

• Parameters:
  • instrument (Instrument) – The instrument for the calculation.
  • fill (OrderFilled) – The fill for the calculation.
  • position (Position , optional) – The position for the calculation.
• Return type: list[Money]

clear_margin(self, InstrumentId instrument_id) → void

Clear the maintenance (position) margins for the given instrument ID.

• Parameters: instrument_id (InstrumentId) – The instrument for the maintenance margin to clear.

WARNING

System method (not intended to be called by user code).

clear_margin_init(self, InstrumentId instrument_id) → void

Clear the initial (order) margins for the given instrument ID.

• Parameters: instrument_id (InstrumentId) – The instrument for the initial margin to clear.

WARNING

System method (not intended to be called by user code).

clear_margin_maint(self, InstrumentId instrument_id) → void

Clear the maintenance (position) margins for the given instrument ID.

• Parameters: instrument_id (InstrumentId) – The instrument for the maintenance margin to clear.

WARNING

System method (not intended to be called by user code).

commission(self, Currency currency) → Money

Return the total commissions for the given currency.

• Parameters: currency (Currency) – The currency for the commission.
• Return type: Money or None

commissions(self) → dict

Return the total commissions for the account.

currencies(self) → list

Return the account currencies.

• Return type: list[Currency]

default_leverage

The accounts default leverage setting.

• Returns: Decimal

event_count

Return the count of events.

• Return type: int

events

Return all events received by the account.

• Return type: list[AccountState]

static from_dict(dict values)

id

The accounts ID.

• Returns: AccountId

is_cash_account

If the account is a type of CASH account.

is_margin_account

If the account is a type of MARGIN account.

is_unleveraged(self, InstrumentId instrument_id) → bool

last_event

Return the accounts last state event.

• Return type: AccountState

leverage(self, InstrumentId instrument_id)

Return the leverage for the given instrument (if found).

• Parameters: instrument_id (InstrumentId) – The instrument ID for the leverage.
• Return type: Decimal or None

leverages(self) → dict

Return the account leverages.

• Return type: dict[InstrumentId, Decimal]

margin(self, InstrumentId instrument_id) → MarginBalance

Return the current margin balance.

• Parameters: instrument_id (InstrumentId) – The instrument ID for the query.
• Return type: MarginBalance or None

WARNING

Returns None if there is no applicable information for the query, rather than MarginBalance with zero amounts.

margin_init(self, InstrumentId instrument_id) → Money

Return the current initial (order) margin.

• Parameters: instrument_id (InstrumentId) – The instrument ID for the query.
• Return type: Money or None

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

margin_maint(self, InstrumentId instrument_id) → Money

Return the current maintenance (position) margin.

• Parameters: instrument_id (InstrumentId) – The instrument ID for the query.
• Return type: Money or None

WARNING

Returns None if there is no applicable information for the query, rather than Money of zero amount.

margins(self) → dict

Return the initial (order) margins for the account.

• Return type: dict[InstrumentId, Money]

margins_init(self) → dict

Return the initial (order) margins for the account.

• Return type: dict[InstrumentId, Money]

margins_maint(self) → dict

Return the maintenance (position) margins for the account.

• Return type: dict[InstrumentId, Money]

purge_account_events(self, uint64_t ts_now, uint64_t lookback_secs=0) → void

Purge all account state events which are outside the lookback window.

Guaranteed to retain at least the latest event.

• Parameters:
  • ts_now (uint64_t) – The current UNIX timestamp (nanoseconds).
  • lookback_secs (uint64_t , default 0) – The purge lookback window (seconds) from when the account state event occurred. Only events which are outside the lookback window will be purged. A value of 0 means purge all account state events.

set_default_leverage(self, leverage: Decimal) → void

Set the default leverage for the account (if not specified by instrument).

• Parameters: leverage (Decimal) – The default leverage value
• Returns:
  • TypeError – If leverage is not of type Decimal.
  • ValueError – If leverage is not >= 1.

set_leverage(self, InstrumentId instrument_id, leverage: Decimal) → void

Set the leverage for the given instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument for the leverage.
  • leverage (Decimal) – The leverage value
• Returns:
  • TypeError – If leverage is not of type Decimal.
  • ValueError – If leverage is not >= 1.

set_margin_model(self, MarginModel margin_model) → void

Set the margin calculation model for the account.

• Parameters: margin_model (MarginModel) – The margin model to use for calculations.

starting_balances(self) → dict

Return the account starting balances.

• Return type: dict[Currency, Money]

static to_dict(MarginAccount obj)

type

The accounts type.

• Returns: AccountType

update_balances(self, list balances) → void

Update the account balances.

There is no guarantee that every account currency is included in the given balances, therefore we only update included balances.

• Parameters: balances (list [AccountBalance ]) – The balances for the update.
• Raises:
  • ValueError – If balances is empty.
  • AccountBalanceNegative – If account type is CASH, and balance is negative.

update_commissions(self, Money commission) → void

Update the commissions.

Can be negative which represents credited commission.

• Parameters: commission (Money) – The commission to update with.

WARNING

System method (not intended to be called by user code).

update_margin(self, MarginBalance margin) → void

Update the margin balance.

• Parameters: margin (MarginBalance)

WARNING

System method (not intended to be called by user code).

update_margin_init(self, InstrumentId instrument_id, Money margin_init) → void

Update the initial (order) margin.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the update.
  • margin_init (Money) – The current initial (order) margin for the instrument.
• Raises: ValueError – If margin_init is negative (< 0).

WARNING

System method (not intended to be called by user code).

update_margin_maint(self, InstrumentId instrument_id, Money margin_maint) → void

Update the maintenance (position) margin.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the update.
  • margin_maint (Money) – The current maintenance (position) margin for the instrument.
• Raises: ValueError – If margin_maint is negative (< 0).

WARNING

System method (not intended to be called by user code).

class RolloverInterestCalculator

Bases: object

RolloverInterestCalculator(data: pd.DataFrame)

Provides rollover interest rate calculations.

If rate_data_csv_path is empty then will default to the included short-term interest rate data csv (data since 1956).

• Parameters: data (str) – The short term interest rate data.

calc_overnight_rate(self, InstrumentId instrument_id, date date)

Return the rollover interest rate between the given base currency and quote currency.

• Parameters:
  • instrument_id (InstrumentId) – The forex instrument ID for the calculation.
  • date (date) – The date for the overnight rate.
• Return type: Decimal
• Raises: ValueError – If instrument_id.symbol length is not in range [6, 7].

get_rate_data(self)

Return the short-term interest rate dataframe.

• Return type: pd.DataFrame

class AccountFactory

Bases: object

Provides a factory for creating different account types.

static create(AccountState event) → Account

Create an account based on the events account type.

• Parameters: event (AccountState) – The account state event for the creation.
• Return type: Account

static register_account_type(str issuer, type account_cls)

Register the given custom account type for the issuer.

• Parameters:
  • issuer (str) – The issuer for the account.
  • account_cls (type) – The custom account type.
• Raises: KeyError – If issuer has already registered a custom account type.

static register_calculated_account(str issuer)

Register for account state of the given issuer to be calculated from order fills.

• Parameters: issuer (str) – The issuer for the account.
• Raises: KeyError – If an issuer has already been registered for the issuer.

static register_cash_borrowing(str issuer)

Register for cash accounts of the given issuer to allow borrowing (negative balances).

• Parameters: issuer (str) – The issuer for the account.
• Raises: KeyError – If cash borrowing has already been registered for the issuer.

class AccountsManager

Bases: object

AccountsManager(CacheFacade cache, Logger logger, Clock clock) -> None

Provides account management functionality.

• Parameters:
  • cache (CacheFacade) – The read-only cache for the manager.
  • logger (Logger) – The logger for the manager.
  • clock (Clock) – The clock for the manager.

generate_account_state(self, Account account, uint64_t ts_event) → AccountState

Generate a new account state event for the given account.

• Parameters:
  • account (Account) – The account for the state event.
  • ts_event (uint64_t) – The UNIX timestamp (nanoseconds) when the event occurred.
• Return type: AccountState

update_balances(self, Account account, Instrument instrument, OrderFilled fill) → void

Update the account balances based on the fill event.

• Parameters:
  • account (Account) – The account to update.
  • instrument (Instrument) – The instrument for the update.
  • fill (OrderFilled) – The order filled event for the update
• Raises: AccountBalanceNegative – If account type is CASH and a balance becomes negative.

update_orders(self, Account account, Instrument instrument, list orders_open, uint64_t ts_event) → bool

Update the account states based on the given orders.

• Parameters:
  • account (MarginAccount) – The account to update.
  • instrument (Instrument) – The instrument for the update.
  • orders_open (list [Order ]) – The open orders for the update.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account event occurred.
• Returns: The result of the account operation.
• Return type: bool

update_positions(self, MarginAccount account, Instrument instrument, list positions_open, uint64_t ts_event) → bool

Update the maintenance (position) margin.

Will return None if operation fails.

• Parameters:
  • account (Account) – The account to update.
  • instrument (Instrument) – The instrument for the update.
  • positions_open (list [Position ]) – The open positions for the update.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account event occurred.
• Returns: The result of the account operation.
• Return type: bool