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Databento

class DatabentoDataLoader​

Bases: object

Provides a data loader for Databento Binary Encoding (DBN) format data.

Supported schemas: : - MBO -> OrderBookDelta

  • MBP_1 -> (QuoteTick, TradeTick | None)
  • MBP_10 -> OrderBookDepth10
  • BBO_1S -> QuoteTick
  • BBO_1M -> QuoteTick
  • TBBO -> (QuoteTick, TradeTick)
  • TRADES -> TradeTick
  • OHLCV_1S -> Bar
  • OHLCV_1M -> Bar
  • OHLCV_1H -> Bar
  • OHLCV_1D -> Bar
  • DEFINITION -> Instrument
  • IMBALANCE -> DatabentoImbalance
  • STATISTICS -> DatabentoStatistics
  • STATUS -> InstrumentStatus

load_publishers(path: PathLike[str] | str) → None​

Load publisher details from the JSON file at the given path.

  • Parameters: path (PathLike *[*str ] | str) – The path for the publishers data to load.

get_publishers() → dict[int, DatabentoPublisher]​

Return the internal Databento publishers currently held by the loader.

  • Return type: dict[int, DatabentoPublisher]

get_dataset_for_venue(venue: Venue) → str​

Return a dataset for the given venue.

  • Parameters: venue (Venue) – The venue for the given dataset.
  • Return type: str
  • Raises: ValueError – If venue is not in the map of publishers.

from_dbn_file(path: PathLike[str] | str, instrument_id: InstrumentId | None = None, as_legacy_cython: bool = True, include_trades: bool = False) → list[Data]​

Return a list of data objects decoded from the DBN file at the given path.

  • Parameters:
    • path (PathLike *[*str ] | str) – The path for the DBN data file.
    • instrument_id (InstrumentId , optional) – The Nautilus instrument ID for the data. This is a parameter to optimize performance, as all records will have their symbology overridden with the given Nautilus identifier. This option should only be used if the instrument ID is definitely know (for instance if all records in a file are guarantted to be for the same instrument).
    • as_legacy_cython (bool , True) – If data should be converted to ‘legacy Cython’ objects. You would typically only set this False if passing the objects directly to a data catalog for the data to then be written in Nautilus Parquet format. Note: the imbalance and statistics schemas are only implemented in Rust, and so cannot be loaded as legacy Cython objects (so set this to False).
    • include_trades (bool , False) – If separate TradeTick elements will be included in the data for MBO and MBP-1 schemas when applicable (your code will have to handle these two types in the returned list).
  • Return type: list[Data] | list[pyo3.DatabentoImbalance] | list[pyo3.DatabentoStatistics]
  • Raises:
    • ValueError – If there is an error during decoding.
    • ValueError – If as_legacy_cython is True when schema is imbalance or statistics.
    • RuntimeError – If a feature is not currently supported.

class DatabentoDataClientConfig​

Bases: LiveDataClientConfig

Configuration for DatabentoDataClient instances.

  • Parameters:
    • api_key (str , optional) – The Databento API secret key. If None then will source the DATABENTO_API_KEY environment variable.
    • http_gateway (str , optional) – The historical HTTP client gateway override.
    • live_gateway (str , optional) – The live client gateway override.
    • parent_symbols (dict *[*str , set *[*str ] ] , optional) – The Databento parent symbols to subscribe to instrument definitions for on start. This is a map of Databento dataset keys -> to a sequence of the parent symbols, e.g. {‘GLBX.MDP3’, [‘ES.FUT’, ‘ES.OPT’]} (for all E-mini S&P 500 futures and options products).
    • instrument_ids (list [InstrumentId ] , optional) – The instrument IDs to request instrument definitions for on start.
    • timeout_initial_load (float , default 15.0) – The timeout (seconds) to wait for instruments to load (concurrently per dataset).
    • mbo_subscriptions_delay (float , default 3.0) – The timeout (seconds) to wait for MBO/L3 subscriptions (concurrently per dataset). After the timeout the MBO order book feed will start and replay messages from the initial snapshot and then all deltas.

api_key : str | None​

http_gateway : str | None​

live_gateway : str | None​

instrument_ids : list[InstrumentId] | None​

parent_symbols : dict[str, set[str]] | None​

timeout_initial_load : float | None​

mbo_subscriptions_delay : float | None​

dict() → dict[str, Any]​

Return a dictionary representation of the configuration.

  • Return type: dict[str, Any]

classmethod fully_qualified_name() → str​

Return the fully qualified name for the NautilusConfig class.

  • Return type: str

handle_revised_bars : bool​

property id : str​

Return the hashed identifier for the configuration.

  • Return type: str

instrument_provider : InstrumentProviderConfig​

json() → bytes​

Return serialized JSON encoded bytes.

  • Return type: bytes

json_primitives() → dict[str, Any]​

Return a dictionary representation of the configuration with JSON primitive types as values.

  • Return type: dict[str, Any]

classmethod parse(raw: bytes | str) → Any​

Return a decoded object of the given cls.

  • Parameters:
    • cls (type) – The type to decode to.
    • raw (bytes or str) – The raw bytes or JSON string to decode.
  • Return type: Any

routing : RoutingConfig​

validate() → bool​

Return whether the configuration can be represented as valid JSON.

  • Return type: bool

class DatabentoLiveDataClientFactory​

Bases: LiveDataClientFactory

Provides a Binance live data client factory.

static create(loop: AbstractEventLoop, name: str, config: DatabentoDataClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → DatabentoDataClient​

Create a new Databento data client.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • name (str) – The custom client name.
    • config (DatabentoDataClientConfig) – The client configuration.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
  • Return type: DatabentoDataClient

class DatabentoStatistics​

Bases: object

Represents a market statistics snapshot.

This data type includes the populated data fields provided by Databento, excluding publisher_id and instrument_id.

channel_id​

static from_dict(values)​

instrument_id​

price​

quantity​

sequence​

stat_flags​

stat_type​

to_dict()​

ts_event​

ts_in_delta​

ts_init​

ts_recv​

ts_ref​

update_action​

class DatabentoImbalance​

Bases: object

Represents an auction imbalance.

This data type includes the populated data fields provided by Databento, excluding publisher_id and instrument_id.

auct_interest_clr_price​

cont_book_clr_price​

static from_dict(values)​

instrument_id​

paired_qty​

ref_price​

side​

significant_imbalance​

to_dict()​

total_imbalance_qty​

ts_event​

ts_init​

ts_recv​

Config​

class DatabentoDataClientConfig​

Bases: LiveDataClientConfig

Configuration for DatabentoDataClient instances.

  • Parameters:
    • api_key (str , optional) – The Databento API secret key. If None then will source the DATABENTO_API_KEY environment variable.
    • http_gateway (str , optional) – The historical HTTP client gateway override.
    • live_gateway (str , optional) – The live client gateway override.
    • parent_symbols (dict *[*str , set *[*str ] ] , optional) – The Databento parent symbols to subscribe to instrument definitions for on start. This is a map of Databento dataset keys -> to a sequence of the parent symbols, e.g. {‘GLBX.MDP3’, [‘ES.FUT’, ‘ES.OPT’]} (for all E-mini S&P 500 futures and options products).
    • instrument_ids (list [InstrumentId ] , optional) – The instrument IDs to request instrument definitions for on start.
    • timeout_initial_load (float , default 15.0) – The timeout (seconds) to wait for instruments to load (concurrently per dataset).
    • mbo_subscriptions_delay (float , default 3.0) – The timeout (seconds) to wait for MBO/L3 subscriptions (concurrently per dataset). After the timeout the MBO order book feed will start and replay messages from the initial snapshot and then all deltas.

api_key : str | None​

http_gateway : str | None​

live_gateway : str | None​

instrument_ids : list[InstrumentId] | None​

parent_symbols : dict[str, set[str]] | None​

timeout_initial_load : float | None​

mbo_subscriptions_delay : float | None​

dict() → dict[str, Any]​

Return a dictionary representation of the configuration.

  • Return type: dict[str, Any]

classmethod fully_qualified_name() → str​

Return the fully qualified name for the NautilusConfig class.

  • Return type: str

handle_revised_bars : bool​

property id : str​

Return the hashed identifier for the configuration.

  • Return type: str

instrument_provider : InstrumentProviderConfig​

json() → bytes​

Return serialized JSON encoded bytes.

  • Return type: bytes

json_primitives() → dict[str, Any]​

Return a dictionary representation of the configuration with JSON primitive types as values.

  • Return type: dict[str, Any]

classmethod parse(raw: bytes | str) → Any​

Return a decoded object of the given cls.

  • Parameters:
    • cls (type) – The type to decode to.
    • raw (bytes or str) – The raw bytes or JSON string to decode.
  • Return type: Any

routing : RoutingConfig​

validate() → bool​

Return whether the configuration can be represented as valid JSON.

  • Return type: bool

Factories​

get_cached_databento_http_client(key: str | None = None, gateway: str | None = None) → DatabentoHistoricalClient​

Cache and return a Databento historical HTTP client with the given key and gateway.

If a cached client with matching parameters already exists, the cached client will be returned.

  • Parameters:
    • key (str , optional) – The Databento API secret key for the client.
    • gateway (str , optional) – The Databento historical HTTP client gateway override.
  • Return type: nautilus_pyo3.DatabentoHistoricalClient

get_cached_databento_instrument_provider(http_client: DatabentoHistoricalClient, clock: LiveClock, live_api_key: str | None = None, live_gateway: str | None = None, loader: DatabentoDataLoader | None = None, config: InstrumentProviderConfig | None = None) → DatabentoInstrumentProvider​

Cache and return a Databento instrument provider.

If a cached provider already exists, then that provider will be returned.

  • Parameters:
    • http_client (nautilus_pyo3.DatabentoHistoricalClient) – The client for the instrument provider.
    • clock (LiveClock) – The clock for the instrument provider.
    • live_api_key (str , optional) – The specific API secret key for Databento live clients. If not provided then will use the historical HTTP client API key.
    • live_gateway (str , optional) – The live gateway override for Databento live clients.
    • loader (DatabentoDataLoader , optional) – The loader for the provider.
    • config (InstrumentProviderConfig) – The configuration for the instrument provider.
  • Return type: DatabentoInstrumentProvider

class DatabentoLiveDataClientFactory​

Bases: LiveDataClientFactory

Provides a Binance live data client factory.

static create(loop: AbstractEventLoop, name: str, config: DatabentoDataClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → DatabentoDataClient​

Create a new Databento data client.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • name (str) – The custom client name.
    • config (DatabentoDataClientConfig) – The client configuration.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
  • Return type: DatabentoDataClient

Enums​

class DatabentoSchema​

Bases: Enum

Represents a Databento schema.

MBO = 'mbo'​

MBP_1 = 'mbp-1'​

MBP_10 = 'mbp-10'​

BBO_1S = 'bbo-1s'​

BBO_1M = 'bbo-1m'​

TBBO = 'tbbo'​

TRADES = 'trades'​

OHLCV_1S = 'ohlcv-1s'​

OHLCV_1M = 'ohlcv-1m'​

OHLCV_1H = 'ohlcv-1h'​

OHLCV_1D = 'ohlcv-1d'​

OHLCV_EOD = 'ohlcv-eod'​

DEFINITION = 'definition'​

IMBALANCE = 'imbalance'​

STATISTICS = 'statistics'​

STATUS = 'status'​

Types​

class DatabentoImbalance​

Bases: object

Represents an auction imbalance.

This data type includes the populated data fields provided by Databento, excluding publisher_id and instrument_id.

auct_interest_clr_price​

cont_book_clr_price​

static from_dict(values)​

instrument_id​

paired_qty​

ref_price​

side​

significant_imbalance​

to_dict()​

total_imbalance_qty​

ts_event​

ts_init​

ts_recv​

class DatabentoStatistics​

Bases: object

Represents a market statistics snapshot.

This data type includes the populated data fields provided by Databento, excluding publisher_id and instrument_id.

channel_id​

static from_dict(values)​

instrument_id​

price​

quantity​

sequence​

stat_flags​

stat_type​

to_dict()​

ts_event​

ts_in_delta​

ts_init​

ts_recv​

ts_ref​

update_action​

Loaders​

class DatabentoDataLoader​

Bases: object

Provides a data loader for Databento Binary Encoding (DBN) format data.

Supported schemas: : - MBO -> OrderBookDelta

  • MBP_1 -> (QuoteTick, TradeTick | None)
  • MBP_10 -> OrderBookDepth10
  • BBO_1S -> QuoteTick
  • BBO_1M -> QuoteTick
  • TBBO -> (QuoteTick, TradeTick)
  • TRADES -> TradeTick
  • OHLCV_1S -> Bar
  • OHLCV_1M -> Bar
  • OHLCV_1H -> Bar
  • OHLCV_1D -> Bar
  • DEFINITION -> Instrument
  • IMBALANCE -> DatabentoImbalance
  • STATISTICS -> DatabentoStatistics
  • STATUS -> InstrumentStatus

load_publishers(path: PathLike[str] | str) → None​

Load publisher details from the JSON file at the given path.

  • Parameters: path (PathLike *[*str ] | str) – The path for the publishers data to load.

get_publishers() → dict[int, DatabentoPublisher]​

Return the internal Databento publishers currently held by the loader.

  • Return type: dict[int, DatabentoPublisher]

get_dataset_for_venue(venue: Venue) → str​

Return a dataset for the given venue.

  • Parameters: venue (Venue) – The venue for the given dataset.
  • Return type: str
  • Raises: ValueError – If venue is not in the map of publishers.

from_dbn_file(path: PathLike[str] | str, instrument_id: InstrumentId | None = None, as_legacy_cython: bool = True, include_trades: bool = False) → list[Data]​

Return a list of data objects decoded from the DBN file at the given path.

  • Parameters:
    • path (PathLike *[*str ] | str) – The path for the DBN data file.
    • instrument_id (InstrumentId , optional) – The Nautilus instrument ID for the data. This is a parameter to optimize performance, as all records will have their symbology overridden with the given Nautilus identifier. This option should only be used if the instrument ID is definitely know (for instance if all records in a file are guarantted to be for the same instrument).
    • as_legacy_cython (bool , True) – If data should be converted to ‘legacy Cython’ objects. You would typically only set this False if passing the objects directly to a data catalog for the data to then be written in Nautilus Parquet format. Note: the imbalance and statistics schemas are only implemented in Rust, and so cannot be loaded as legacy Cython objects (so set this to False).
    • include_trades (bool , False) – If separate TradeTick elements will be included in the data for MBO and MBP-1 schemas when applicable (your code will have to handle these two types in the returned list).
  • Return type: list[Data] | list[pyo3.DatabentoImbalance] | list[pyo3.DatabentoStatistics]
  • Raises:
    • ValueError – If there is an error during decoding.
    • ValueError – If as_legacy_cython is True when schema is imbalance or statistics.
    • RuntimeError – If a feature is not currently supported.

Providers​

class DatabentoInstrumentProvider​

Bases: InstrumentProvider

Provides a means of loading Instrument objects from Databento.

  • Parameters:
    • http_client (nautilus_pyo3.DatabentoHistoricalClient) – The Databento historical HTTP client for the provider.
    • clock (LiveClock) – The clock for the provider.
    • live_api_key (str , optional) – The specific API secret key for Databento live clients. If not provided then will use the historical HTTP client API key.
    • live_gateway (str , optional) – The live gateway override for Databento live clients.
    • loader (DatabentoDataLoader , optional) – The loader for the provider.
    • config (InstrumentProviderConfig , optional) – The configuration for the provider.

async load_all_async(filters: dict | None = None) → None​

Load the latest instruments into the provider asynchronously, optionally applying the given filters.

async load_ids_async(instrument_ids: list[InstrumentId], filters: dict | None = None) → None​

Load the latest instrument definitions for the given instrument IDs into the provider by requesting the latest instrument definition messages from Databento.

You must only request instrument definitions from one dataset at a time. The Databento dataset will be determined from either the filters, or the venues for the instrument IDs.

  • Parameters:
    • instrument_ids (list [InstrumentId ]) – The instrument IDs to load.
    • filters (dict , optional) – The optional filters for the instrument definition request.
  • Raises: ValueError – If all venues in instrument_ids are not equal.

WARNING​

Calling this method will incur a cost to your Databento account in USD.

async load_async(instrument_id: InstrumentId, filters: dict | None = None) → None​

Load the latest instrument definition for the given instrument ID into the provider by requesting the latest instrument definition message from Databento.

The Databento dataset will be determined from either the filters, or the venue for the instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID to load.
    • filters (dict , optional) – The optional filters for the instrument definition request.

WARNING​

Calling this method will incur a cost to your Databento account in USD.

async get_range(instrument_ids: list[InstrumentId], start: Timestamp | date | str | int, end: Timestamp | date | str | int | None = None, filters: dict | None = None) → list[Instrument]​

Request a time series of instrument definitions for the given instrument IDs by making a /timeseries.get_range(…) request from Databento.

  • Parameters:
    • instrument_ids (list [InstrumentId ]) – The instrument IDs for the request.
    • start (pd.Timestamp or date or str or int) – The start datetime of the request time range (inclusive). Assumes UTC as timezone unless passed a tz-aware object. If an integer is passed, then this represents nanoseconds since the UNIX epoch.
    • end (pd.Timestamp or date or str or int , optional) – The end datetime of the request time range (exclusive). Assumes UTC as timezone unless passed a tz-aware object. If an integer is passed, then this represents nanoseconds since the UNIX epoch. Values are forward-filled based on the resolution provided. Defaults to the same value as start.
    • filters (dict , optional) – The optional filters for the instrument definition request.

WARNING​

Calling this method will incur a cost to your Databento account in USD.

add(instrument: Instrument) → None​

Add the given instrument to the provider.

  • Parameters: instrument (Instrument) – The instrument to add.

add_bulk(instruments: list[Instrument]) → None​

Add the given instruments bulk to the provider.

  • Parameters: instruments (list [Instrument ]) – The instruments to add.

add_currency(currency: Currency) → None​

Add the given currency to the provider.

  • Parameters: currency (Currency) – The currency to add.

property count : int​

Return the count of instruments held by the provider.

  • Return type: int

currencies() → dict[str, Currency]​

Return all currencies held by the instrument provider.

currency(code: str) → Currency | None​

Return the currency with the given code (if found).

  • Parameters: code (str) – The currency code.
  • Return type: Currency or None
  • Raises: ValueError – If code is not a valid string.

find(instrument_id: InstrumentId) → Instrument | None​

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

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

get_all() → dict[InstrumentId, Instrument]​

Return all loaded instruments as a map keyed by instrument ID.

If no instruments loaded, will return an empty dict.

async initialize(reload: bool = False) → None​

Initialize the instrument provider.

  • Parameters: reload (bool , default False) – If True, then will always reload instruments. If False, then will immediately return if already loaded.

list_all() → list[Instrument]​

Return all loaded instruments.

load(instrument_id: InstrumentId, filters: dict | None = None) → None​

Load the instrument for the given ID into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

load_all(filters: dict | None = None) → None​

Load the latest instruments into the provider, optionally applying the given filters.

  • Parameters: filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

load_ids(instrument_ids: list[InstrumentId], filters: dict | None = None) → None​

Load the instruments for the given IDs into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_ids (list [InstrumentId ]) – The instrument IDs to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

Data​

class DatabentoDataClient​

Bases: LiveMarketDataClient

Provides a data client for the Databento API.

Both Historical and Live APIs are leveraged to provide historical data for requests, and live data feeds based on subscriptions.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • http_client (nautilus_pyo3.DatabentoHistoricalClient) – The Databento historical HTTP client.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
    • instrument_provder (DatabentoInstrumentProvider) – The instrument provider for the client.
    • loader (DatabentoDataLoader , optional) – The loader for the client.
    • config (DatabentoDataClientConfig , optional) – The configuration for the client.
    • name (str , optional) – The custom client ID.

subscribe_order_book_deltas(self, InstrumentId instrument_id, BookType book_type, int depth=0, dict kwargs=None) → void​

Subscribe to OrderBookDeltas data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional , default None) – The maximum depth for the subscription.
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.

connect() → None​

Connect the client.

create_task(coro: ~collections.abc.Coroutine, log_msg: str | None = None, actions: ~collections.abc.Callable | None = None, success_msg: str | None = None, success_color: ~nautilus_trader.core.rust.common.LogColor = <LogColor.NORMAL: 0>) → Task​

Run the given coroutine with error handling and optional callback actions when done.

  • Parameters:
    • coro (Coroutine) – The coroutine to run.
    • log_msg (str , optional) – The log message for the task.
    • actions (Callable , optional) – The actions callback to run when the coroutine is done.
    • success_msg (str , optional) – The log message to write on actions success.
    • success_color (LogColor, default NORMAL) – The log message color for actions success.
  • Return type: asyncio.Task

degrade(self) → void​

Degrade the component.

While executing on_degrade() any exception will be logged and reraised, then the component will remain in a DEGRADING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

disconnect() → None​

Disconnect the client.

dispose(self) → void​

Dispose of the component.

While executing on_dispose() any exception will be logged and reraised, then the component will remain in a DISPOSING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

fault(self) → void​

Fault the component.

Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.

While executing on_fault() any exception will be logged and reraised, then the component will remain in a FAULTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the components class.

  • Return type: str

id​

The components ID.

  • Returns: ComponentId

is_connected​

If the client is connected.

  • Returns: bool

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

Return whether the component has been initialized (component.state >= INITIALIZED).

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

request(self, DataType data_type, UUID4 correlation_id) → void​

Request data for the given data type.

  • Parameters:
    • data_type (DataType) – The data type for the subscription.
    • correlation_id (UUID4) – The correlation ID for the response.

request_bars(self, BarType bar_type, int limit, UUID4 correlation_id, datetime start=None, datetime end=None) → void​

Request historical Bar data.

  • Parameters:
    • bar_type (BarType) – The bar type for the request.
    • limit (int) – The limit for the number of returned bars.
    • correlation_id (UUID4) – The correlation ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_instrument(self, InstrumentId instrument_id, UUID4 correlation_id, datetime start=None, datetime end=None) → void​

Request Instrument data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • correlation_id (UUID4) – The correlation ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_instruments(self, Venue venue, UUID4 correlation_id, datetime start=None, datetime end=None) → void​

Request all Instrument data for the given venue.

  • Parameters:
    • venue (Venue) – The venue for the request.
    • correlation_id (UUID4) – The correlation ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_order_book_snapshot(self, InstrumentId instrument_id, int limit, UUID4 correlation_id) → void​

Request order book snapshot data.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the order book snapshot request.
    • limit (int) – The limit on the depth of the order book snapshot.
    • correction_id (UUID4) – The correlation ID for the request.

request_quote_ticks(self, InstrumentId instrument_id, int limit, UUID4 correlation_id, datetime start=None, datetime end=None) → void​

Request historical QuoteTick data.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • limit (int) – The limit for the number of returned ticks.
    • correlation_id (UUID4) – The correlation ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_trade_ticks(self, InstrumentId instrument_id, int limit, UUID4 correlation_id, datetime start=None, datetime end=None) → void​

Request historical TradeTick data.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • limit (int) – The limit for the number of returned ticks.
    • correlation_id (UUID4) – The correlation ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

reset(self) → void​

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() any exception will be logged and reraised, then the component will remain in a RESETTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

resume(self) → void​

Resume the component.

While executing on_resume() any exception will be logged and reraised, then the component will remain in a RESUMING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

async run_after_delay(delay: float, coro: Coroutine) → None​

Run the given coroutine after a delay.

  • Parameters:
    • delay (float) – The delay (seconds) before running the coroutine.
    • coro (Coroutine) – The coroutine to run after the initial delay.

start(self) → void​

Start the component.

While executing on_start() any exception will be logged and reraised, then the component will remain in a STARTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state​

ComponentState

Return the components current state.

  • Return type: ComponentState
  • Type: Component.state

stop(self) → void​

Stop the component.

While executing on_stop() any exception will be logged and reraised, then the component will remain in a STOPPING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

subscribe(self, DataType data_type) → void​

Subscribe to data for the given data type.

  • Parameters: data_type (DataType) – The data type for the subscription.

subscribe_bars(self, BarType bar_type) → void​

Subscribe to Bar data for the given bar type.

  • Parameters: bar_type (BarType) – The bar type to subscribe to.

subscribe_instrument(self, InstrumentId instrument_id) → void​

Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close(self, InstrumentId instrument_id) → void​

Subscribe to InstrumentClose updates for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The tick instrument to subscribe to.

subscribe_instrument_status(self, InstrumentId instrument_id) → void​

Subscribe to InstrumentStatus data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The tick instrument to subscribe to.

subscribe_instruments(self) → void​

Subscribe to all Instrument data.

subscribe_order_book_snapshots(self, InstrumentId instrument_id, BookType book_type, int depth=0, dict kwargs=None) → void​

Subscribe to OrderBook snapshots data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book level.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.

subscribe_quote_ticks(self, InstrumentId instrument_id) → void​

Subscribe to QuoteTick data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The tick instrument to subscribe to.

subscribe_trade_ticks(self, InstrumentId instrument_id) → void​

Subscribe to TradeTick data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The tick instrument to subscribe to.

subscribed_bars(self) → list​

Return the bar types subscribed to.

subscribed_custom_data(self) → list​

Return the custom data types subscribed to.

subscribed_instrument_close(self) → list​

Return the instrument closes subscribed to.

subscribed_instrument_status(self) → list​

Return the status update instruments subscribed to.

subscribed_instruments(self) → list​

Return the instruments subscribed to.

subscribed_order_book_deltas(self) → list​

Return the order book delta instruments subscribed to.

subscribed_order_book_snapshots(self) → list​

Return the order book snapshot instruments subscribed to.

subscribed_quote_ticks(self) → list​

Return the quote tick instruments subscribed to.

subscribed_trade_ticks(self) → list​

Return the trade tick instruments subscribed to.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

unsubscribe(self, DataType data_type) → void​

Unsubscribe from data for the given data type.

  • Parameters: data_type (DataType) – The data type for the subscription.

unsubscribe_bars(self, BarType bar_type) → void​

Unsubscribe from Bar data for the given bar type.

  • Parameters: bar_type (BarType) – The bar type to unsubscribe from.

unsubscribe_instrument(self, InstrumentId instrument_id) → void​

Unsubscribe from Instrument data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The instrument to unsubscribe from.

unsubscribe_instrument_close(self, InstrumentId instrument_id) → void​

Unsubscribe from InstrumentClose data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

unsubscribe_instrument_status(self, InstrumentId instrument_id) → void​

Unsubscribe from InstrumentStatus data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The instrument status updates to unsubscribe from.

unsubscribe_instruments(self) → void​

Unsubscribe from all Instrument data.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id) → void​

Unsubscribe from OrderBookDeltas data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The order book instrument to unsubscribe from.

unsubscribe_order_book_snapshots(self, InstrumentId instrument_id) → void​

Unsubscribe from OrderBook snapshots data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The order book instrument to unsubscribe from.

unsubscribe_quote_ticks(self, InstrumentId instrument_id) → void​

Unsubscribe from QuoteTick data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

unsubscribe_trade_ticks(self, InstrumentId instrument_id) → void​

Unsubscribe from TradeTick data for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

venue​

The clients venue ID (if applicable).

  • Returns: Venue or None
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