Common

The common subpackage provides generic/common parts for assembling the frameworks various components.

More domain specific concepts are introduced above the core base layer. The ID cache is implemented, a base Clock with Test and Live implementations which can control many Timer instances.

Trading domain specific components for generating Order and Identifier objects, common logging components, a high performance Queue and UUID4 factory.

class Environment

Bases: Enum

Represents the environment context for a Nautilus system.

BACKTEST = 'backtest'

SANDBOX = 'sandbox'

LIVE = 'live'

The Actor class allows traders to implement their own customized components.

A user can inherit from Actor and optionally override any of the “on” named event handler methods. The class is not entirely initialized in a stand-alone way, the intended usage is to pass actors to a Trader so that they can be fully “wired” into the platform. Exceptions will be raised if an Actor attempts to operate without a managing Trader instance.

class Actor

Bases: Component

Actor(config: ActorConfig | None = None)

The base class for all actor components.

• Parameters: config (ActorConfig , optional) – The actor configuration.
• Raises: TypeError – If config is not of type ActorConfig.

WARNING

• This class should not be used directly, but through a concrete subclass.
• Do not call components such as clock and logger in the __init__ prior to registration.

active_task_ids(self)

Return the active task identifiers.

• Return type: list[TaskId]

add_synthetic(self, SyntheticInstrument synthetic)

Add the created synthetic instrument to the cache.

• Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to add to the cache.
• Raises: KeyError – If synthetic is already in the cache.

cache

The read-only cache for the actor.

• Returns: CacheFacade

cancel_all_tasks(self)

Cancel all queued and active tasks.

cancel_task(self, task_id: TaskId)

Cancel the task with the given task_id (if queued or active).

If the task is not found then a warning is logged.

• Parameters: task_id (TaskId) – The task identifier.

clock

The actors clock.

• Returns: Clock

config

The actors configuration.

• Returns: NautilusConfig

degrade(self)

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.

deregister_warning_event(self, type event)

Deregister the given event type from warning log levels.

• Parameters: event (type) – The event class to deregister.

dispose(self)

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)

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)

Return the fully qualified name for the components class.

• Return type: str

handle_bar(self, Bar bar)

Handle the given bar data.

If state is RUNNING then passes to on_bar.

• Parameters: bar (Bar) – The bar received.

WARNING

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

handle_bars(self, list bars)

Handle the given historical bar data by handling each bar individually.

• Parameters: bars (list [Bar ]) – The bars to handle.

WARNING

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

handle_data(self, Data data)

Handle the given data.

If state is RUNNING then passes to on_data.

• Parameters: data (Data) – The data received.

WARNING

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

handle_event(self, Event event)

Handle the given event.

If state is RUNNING then passes to on_event.

• Parameters: event (Event) – The event received.

WARNING

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

handle_historical_data(self, data)

Handle the given historical data.

• Parameters: data (Data) – The historical data received.

WARNING

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

handle_instrument(self, Instrument instrument)

Handle the given instrument.

Passes to on_instrument if state is RUNNING.

• Parameters: instrument (Instrument) – The instrument received.

WARNING

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

handle_instrument_close(self, InstrumentClose update)

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close.

• Parameters: update (InstrumentClose) – The update received.

WARNING

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

handle_instrument_status(self, InstrumentStatus data)

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status.

• Parameters: data (InstrumentStatus) – The status update received.

WARNING

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

handle_instruments(self, list instruments)

Handle the given instruments data by handling each instrument individually.

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

WARNING

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

handle_order_book(self, OrderBook order_book)

Handle the given order book.

Passes to on_order_book if state is RUNNING.

• Parameters: order_book (OrderBook) – The order book received.

WARNING

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

handle_order_book_deltas(self, deltas)

Handle the given order book deltas.

Passes to on_order_book_deltas if state is RUNNING. The deltas will be nautilus_pyo3.OrderBookDeltas if the pyo3_conversion flag was set for the subscription.

• Parameters: deltas (OrderBookDeltas or nautilus_pyo3.OrderBookDeltas) – The order book deltas received.

WARNING

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

handle_quote_tick(self, QuoteTick tick)

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick.

• Parameters: tick (QuoteTick) – The tick received.

WARNING

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

handle_quote_ticks(self, list ticks)

Handle the given historical quote tick data by handling each tick individually.

• Parameters: ticks (list [QuoteTick ]) – The ticks received.

WARNING

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

handle_trade_tick(self, TradeTick tick)

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick.

• Parameters: tick (TradeTick) – The tick received.

WARNING

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

handle_trade_ticks(self, list ticks)

Handle the given historical trade tick data by handling each tick individually.

• Parameters: ticks (list [TradeTick ]) – The ticks received.

WARNING

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

handle_venue_status(self, VenueStatus data)

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status.

• Parameters: data (VenueStatus) – The status update received.

WARNING

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

has_active_tasks(self)

Return a value indicating whether there are any active tasks.

• Return type: bool

has_any_tasks(self)

Return a value indicating whether there are any queued or active tasks.

• Return type: bool

has_pending_requests(self)

Return whether the actor is pending processing for any requests.

• Returns: True if any requests are pending, else False.
• Return type: bool

has_queued_tasks(self)

Return a value indicating whether there are any queued tasks.

• Return type: bool

id

The components ID.

• Returns: ComponentId

indicators_initialized(self)

Return a value indicating whether all indicators are initialized.

• Returns: True if all initialized, else False
• Return type: 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_pending_request(self, UUID4 request_id)

Return whether the request for the given identifier is pending processing.

• Parameters: request_id (UUID4) – The request ID to check.
• Returns: True if request is pending, else False.
• Return type: bool

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

load(self, dict state)

Load the actor/strategy state from the give state dictionary.

Calls on_load and passes the state.

• Parameters: state (dict *[*str , object ]) – The state dictionary.
• Raises: RuntimeError – If actor/strategy is not registered with a trader.

WARNING

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

• Returns: Logger

msgbus

The message bus for the actor (if registered).

• Returns: MessageBus or None

on_bar(self, Bar bar)

Actions to be performed when running and receives a bar.

• Parameters: bar (Bar) – The bar received.

WARNING

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

on_data(self, data)

Actions to be performed when running and receives data.

• Parameters: data (Data) – The data received.

WARNING

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

on_degrade(self)

Actions to be performed on degrade.

WARNING

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

Should be overridden in the actor implementation.

on_dispose(self)

Actions to be performed on dispose.

Cleanup/release any resources used here.

WARNING

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

on_event(self, Event event)

Actions to be performed running and receives an event.

• Parameters: event (Event) – The event received.

WARNING

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

on_fault(self)

Actions to be performed on fault.

Cleanup any resources used by the actor here.

WARNING

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

Should be overridden in the actor implementation.

on_historical_data(self, data)

Actions to be performed when running and receives historical data.

• Parameters: data (Data) – The historical data received.

WARNING

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

on_instrument(self, Instrument instrument)

Actions to be performed when running and receives an instrument.

• Parameters: instrument (Instrument) – The instrument received.

WARNING

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

on_instrument_close(self, InstrumentClose update)

Actions to be performed when running and receives an instrument close update.

• Parameters: update (InstrumentClose) – The instrument close received.

WARNING

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

on_instrument_status(self, InstrumentStatus data)

Actions to be performed when running and receives an instrument status update.

• Parameters: data (InstrumentStatus) – The instrument status update received.

WARNING

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

on_load(self, dict state)

Actions to be performed when the actor state is loaded.

Saved state values will be contained in the give state dictionary.

WARNING

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

on_order_book(self, OrderBook order_book)

Actions to be performed when running and receives an order book.

• Parameters: order_book (OrderBook) – The order book received.

WARNING

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

on_order_book_deltas(self, deltas)

Actions to be performed when running and receives order book deltas.

• Parameters: deltas (OrderBookDeltas or nautilus_pyo3.OrderBookDeltas) – The order book deltas received.

WARNING

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

on_quote_tick(self, QuoteTick tick)

Actions to be performed when running and receives a quote tick.

• Parameters: tick (QuoteTick) – The tick received.

WARNING

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

on_reset(self)

Actions to be performed on reset.

WARNING

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

Should be overridden in a user implementation.

on_resume(self)

Actions to be performed on resume.

WARNING

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

on_save(self)

Actions to be performed when the actor state is saved.

Create and return a state dictionary of values to be saved.

• Returns: The strategy state dictionary.
• Return type: dict[str, bytes]

WARNING

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

on_start(self)

Actions to be performed on start.

The intent is that this method is called once per trading ‘run’, when initially starting.

It is recommended to subscribe/request for data here.

WARNING

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

Should be overridden in a user implementation.

on_stop(self)

Actions to be performed on stop.

The intent is that this method is called to pause, or when done for day.

WARNING

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

Should be overridden in a user implementation.

on_trade_tick(self, TradeTick tick)

Actions to be performed when running and receives a trade tick.

• Parameters: tick (TradeTick) – The tick received.

WARNING

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

on_venue_status(self, VenueStatus data)

Actions to be performed when running and receives a venue status update.

• Parameters: data (VenueStatus) – The venue status update received.

WARNING

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

pending_requests(self)

Return the request IDs which are currently pending processing.

• Return type: set[UUID4]

portfolio

The read-only portfolio for the actor.

• Returns: PortfolioFacade

publish_data(self, DataType data_type, Data data)

Publish the given data to the message bus.

• Parameters:
  • data_type (DataType) – The data type being published.
  • data (Data) – The data to publish.

publish_signal(self, unicode name, value, uint64_t ts_event=0)

Publish the given value as a signal to the message bus. Optionally setup persistence for this signal.

• Parameters:
  • name (str) – The name of the signal being published.
  • value (object) – The signal data to publish.
  • ts_event (uint64_t , optional) – UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

queue_for_executor(self, func: Callable[..., Any], tuple args=None, dict kwargs=None)

Queues the callable func to be executed as fn(*args, **kwargs) sequentially.

• Parameters:
  • func (Callable) – The function to be executed.
  • args (positional arguments) – The positional arguments for the call to func.
  • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
• Raises: TypeError – If func is not of type Callable.

queued_task_ids(self)

Return the queued task identifiers.

• Return type: list[TaskId]

register_base(self, PortfolioFacade portfolio, MessageBus msgbus, CacheFacade cache, Clock clock)

Register with a trader.

• Parameters:
  • portfolio (PortfolioFacade) – The read-only portfolio for the actor.
  • msgbus (MessageBus) – The message bus for the actor.
  • cache (CacheFacade) – The read-only cache for the actor.
  • clock (Clock) – The clock for the actor.

WARNING

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

register_executor(self, loop: asyncio.AbstractEventLoop, executor: Executor)

Register the given Executor for the actor.

• Parameters:
  • loop (asyncio.AsbtractEventLoop) – The event loop of the application.
  • executor (concurrent.futures.Executor) – The executor to register.
• Raises: TypeError – If executor is not of type concurrent.futures.Executor

register_indicator_for_bars(self, BarType bar_type, Indicator indicator)

Register the given indicator with the actor/strategy to receive bar data for the given bar type.

• Parameters:
  • bar_type (BarType) – The bar type for bar updates.
  • indicator (Indicator) – The indicator to register.

register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator)

Register the given indicator with the actor/strategy to receive quote tick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for tick updates.
  • indicator (Indicator) – The indicator to register.

register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator)

Register the given indicator with the actor/strategy to receive trade tick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for tick updates.
  • indicator (indicator) – The indicator to register.

register_warning_event(self, type event)

Register the given event type for warning log levels.

• Parameters: event (type) – The event class to register.

registered_indicators

Return the registered indicators for the strategy.

• Return type: list[Indicator]

request_bars(self, BarType bar_type, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None)

Request historical Bar data.

If end is None then will request up to the most recent data.

• Parameters:
  • bar_type (BarType) – The bar type 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.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
• Returns: The request_id for the request.
• Return type: UUID4
• Raises:
  • ValueError – If start and end are not None and start is >= end.
  • TypeError – If callback is not None and not of type Callable.

request_data(self, DataType data_type, ClientId client_id, callback: Callable[[UUID4], None] | None = None)

Request custom data for the given data type from the given data client.

• Parameters:
  • data_type (DataType) – The data type for the request.
  • client_id (ClientId) – The data client ID.
  • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
• Returns: The request_id for the request.
• Return type: UUID4
• Raises: TypeError – If callback is not None and not of type Callable.

request_instrument(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None)

Request Instrument data for the given instrument ID.

If end is None then will request up to the most recent data.

• Parameters:
  • instrument_id (InstrumentId) – The instrument 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.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
• Returns: The request_id for the request.
• Return type: UUID4
• Raises:
  • ValueError – If start and end are not None and start is >= end.
  • TypeError – If callback is not None and not of type Callable.

request_instruments(self, Venue venue, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None)

Request all Instrument data for the given venue.

If end is None then will request up to the most recent data.

• Parameters:
  • venue (Venue) – The venue 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.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
• Returns: The request_id for the request.
• Return type: UUID4
• Raises:
  • ValueError – If start and end are not None and start is >= end.
  • TypeError – If callback is not None and not of type Callable.

request_order_book_snapshot(self, InstrumentId instrument_id, int limit, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None)

Request an order book snapshot.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the order book snapshot request.
  • limit (int , optional) – The limit on the depth of the order book snapshot (default is None).
  • client_id (ClientId , optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.
  • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
• Returns: The request_id for the request.
• Return type: UUID4
• Raises:
  • ValueError – If the instrument_id is None.
  • TypeError – If callback is not None and not of type Callable.

request_quote_ticks(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None)

Request historical QuoteTick data.

If end is None then will request up to the most recent data.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument 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.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
• Returns: The request_id for the request.
• Return type: UUID4
• Raises:
  • ValueError – If start and end are not None and start is >= end.
  • TypeError – If callback is not None and not of type Callable.

request_trade_ticks(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None)

Request historical TradeTick data.

If end is None then will request up to the most recent data.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument 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.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
• Returns: The request_id for the request.
• Return type: UUID4
• Raises:
  • ValueError – If start and end are not None and start is >= end.
  • TypeError – If callback is not None and not of type Callable.

reset(self)

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)

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.

run_in_executor(self, func: Callable[..., Any], tuple args=None, dict kwargs=None)

Schedules the callable func to be executed as fn(*args, **kwargs).

• Parameters:
  • func (Callable) – The function to be executed.
  • args (positional arguments) – The positional arguments for the call to func.
  • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
• Returns: The unique task identifier for the execution. This also corresponds to any future objects memory address.
• Return type: TaskId
• Raises: TypeError – If func is not of type Callable.

save(self)

Return the actor/strategy state dictionary to be saved.

Calls on_save.

• Raises: RuntimeError – If actor/strategy is not registered with a trader.

WARNING

Exceptions raised will be caught, logged, and reraised.

start(self)

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)

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_bars(self, BarType bar_type, ClientId client_id=None, bool await_partial=False)

Subscribe to streaming Bar data for the given bar type.

• Parameters:
  • bar_type (BarType) – The bar type to subscribe to.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • await_partial (bool , default False) – If the bar aggregator should await the arrival of a historical partial bar prior to actively aggregating new bars.

subscribe_data(self, DataType data_type, ClientId client_id=None)

Subscribe to data of the given data type.

• Parameters:
  • data_type (DataType) – The data type to subscribe to.
  • client_id (ClientId , optional) – The data client ID. If supplied then a Subscribe command will be sent to the corresponding data client.

subscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None)

Subscribe to update Instrument data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the subscription.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=None)

Subscribe to close updates for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to status updates for.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None)

Subscribe to status updates for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to status updates for.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instruments(self, Venue venue, ClientId client_id=None)

Subscribe to update Instrument data for the given venue.

• Parameters:
  • venue (Venue) – The venue for the subscription.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

subscribe_order_book_at_interval(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, int interval_ms=1000, dict kwargs=None, ClientId client_id=None, bool managed=True)

Subscribe to an OrderBook at a specified interval for the given instrument ID.

The DataEngine will only maintain one order book for each instrument. Because of this - the level, depth and kwargs for the stream will be set as per the last subscription request (this will also affect all subscribers).

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
  • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
  • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
  • interval_ms (int) – The order book snapshot interval in milliseconds (must be positive).
  • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
• Raises:
  • ValueError – If depth is negative (< 0).
  • ValueError – If interval_ms is not positive (> 0).

WARNING

Consider subscribing to order book deltas if you need intervals less than 100 milliseconds.

subscribe_order_book_deltas(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, dict kwargs=None, ClientId client_id=None, bool managed=True, bool pyo3_conversion=False)

Subscribe to the order book data stream, being a snapshot then deltas for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
  • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
  • 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.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
  • pyo3_conversion (bool , default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None)

Subscribe to streaming QuoteTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None)

Subscribe to streaming TradeTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_venue_status(self, Venue venue, ClientId client_id=None)

Subscribe to status updates for the given venue.

• Parameters:
  • venue (Venue) – The venue to subscribe to.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

to_importable_config(self)

Returns an importable configuration for this actor.

• Return type: ImportableActorConfig

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

unsubscribe_bars(self, BarType bar_type, ClientId client_id=None)

Unsubscribe from streaming Bar data for the given bar type.

• Parameters:
  • bar_type (BarType) – The bar type to unsubscribe from.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_data(self, DataType data_type, ClientId client_id=None)

Unsubscribe from data of the given data type.

• Parameters:
  • data_type (DataType) – The data type to unsubscribe from.
  • client_id (ClientId , optional) – The data client ID. If supplied then an Unsubscribe command will be sent to the data client.

unsubscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None)

Unsubscribe from update Instrument data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to unsubscribe from.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None)

Unsubscribe to status updates of the given venue.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to unsubscribe to status updates for.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_instruments(self, Venue venue, ClientId client_id=None)

Unsubscribe from update Instrument data for the given venue.

• Parameters:
  • venue (Venue) – The venue for the subscription.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_order_book_at_interval(self, InstrumentId instrument_id, int interval_ms=1000, ClientId client_id=None)

Unsubscribe from an OrderBook at a specified interval for the given instrument ID.

The interval must match the previously subscribed interval.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to subscribe to.
  • interval_ms (int) – The order book snapshot interval in milliseconds.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id, ClientId client_id=None)

Unsubscribe the order book deltas stream for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to subscribe to.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None)

Unsubscribe from streaming QuoteTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to unsubscribe from.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None)

Unsubscribe from streaming TradeTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument ID to unsubscribe from.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_venue_status(self, Venue venue, ClientId client_id=None)

Unsubscribe to status updates for the given venue.

• Parameters:
  • venue (Venue) – The venue to unsubscribe from.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

update_synthetic(self, SyntheticInstrument synthetic)

Update the synthetic instrument in the cache.

• Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to update in the cache.
• Raises: KeyError – If synthetic does not already exist in the cache.

class OrderFactory

Bases: object

OrderFactory(TraderId trader_id, StrategyId strategy_id, Clock clock, CacheFacade cache: CacheFacade | None = None, int initial_order_id_count=0, int initial_order_list_id_count=0)

A factory class which provides different order types.

The TraderId tag and StrategyId tag will be inserted into all IDs generated.

• Parameters:
  • trader_id (TraderId) – The trader ID (only numerical tag sent to venue).
  • strategy_id (StrategyId) – The strategy ID (only numerical tag sent to venue).
  • clock (Clock) – The clock for the factory.
  • cache (CacheFacade , optional) – The cache facade for the order factory.
  • initial_order_id_count (int , optional) – The initial order ID count for the factory.
  • initial_order_list_id_count (int , optional) – The initial order list ID count for the factory.
• Raises:
  • ValueError – If initial_order_id_count is negative (< 0).
  • ValueError – If initial_order_list_id_count is negative (< 0).

bracket(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, Price entry_trigger_price=None, Price entry_price=None, Price sl_trigger_price=None, Price tp_trigger_price=None, Price tp_price=None, OrderType entry_order_type=OrderType.MARKET, OrderType tp_order_type=OrderType.LIMIT, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool entry_post_only=False, bool tp_post_only=True, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ContingencyType contingency_type=ContingencyType.OUO, ExecAlgorithmId entry_exec_algorithm_id=None, ExecAlgorithmId sl_exec_algorithm_id=None, ExecAlgorithmId tp_exec_algorithm_id=None, dict entry_exec_algorithm_params=None, dict tp_exec_algorithm_params=None, dict sl_exec_algorithm_params=None, list entry_tags=None, list tp_tags=None, list sl_tags=None)

Create a bracket order with optional entry of take-profit order types.

The stop-loss order will always be STOP_MARKET. The bracketing stop-loss and take-profit orders will have a time in force of GTC.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The entry orders side.
  • quantity (Quantity) – The entry orders quantity (> 0).
  • entry_trigger_price (Price , optional) – The entry order trigger price (STOP).
  • entry_price (Price , optional) – The entry order price (LIMIT).
  • sl_trigger_price (Price , optional) – The stop-loss child order trigger price (STOP).
  • tp_trigger_price (Price , optional) – The take-profit child order trigger price (STOP).
  • tp_price (Price , optional) – The take-profit child order price (LIMIT).
  • entry_order_type (OrderType {MARKET, LIMIT, LIMIT_IF_TOUCHED, MARKET_IF_TOUCHED}, default MARKET) – The entry order type.
  • tp_order_type (OrderType {LIMIT, LIMIT_IF_TOUCHED, MARKET_IF_TOUCHED}, default LIMIT) – The take-profit order type.
  • time_in_force (TimeInForce {DAY, GTC}, optional) – The entry orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • entry_post_only (bool , default False) – If the entry order will only provide liquidity (make a market).
  • tp_post_only (bool , default False) – If the take-profit order will only provide liquidity (make a market).
  • quote_quantity (bool) – If order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The emulation trigger type for the entry, as well as the TP and SL bracket orders.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • contingency_type (ContingencyType, default OUO) – The contingency type for the TP and SL bracket orders.
  • entry_exec_algorithm_id (ExecAlgorithmId , optional) – The entry order execution algorithm ID.
  • sl_exec_algorithm_id (ExecAlgorithmId , optional) – The stop-loss order execution algorithm ID.
  • tp_exec_algorithm_id (ExecAlgorithmId , optional) – The take-profit order execution algorithm ID.
  • entry_exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tp_exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • sl_exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • entry_tags (list *[*str ] , default [ "ENTRY" ]) – The custom user tags for the entry order.
  • tp_tags (list *[*str ] , default [ "TAKE_PROFIT" ]) – The custom user tags for the take-profit order.
  • sl_tags (list *[*str ] , default [ "STOP_LOSS" ]) – The custom user tags for the stop-loss order.
• Return type: OrderList

create_list(self, list orders)

Return a new order list containing the given orders.

• Parameters: orders (list [Order ]) – The orders for the list.
• Return type: OrderList
• Raises: ValueError – If orders is empty.

generate_client_order_id(self)

Generate and return a new client order ID.

The identifier will be the next in the logical sequence.

• Return type: ClientOrderId

generate_order_list_id(self)

Generate and return a new order list ID.

The identifier will be the next in the logical sequence.

• Return type: OrderListId

limit(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, Price price, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new LIMIT order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • price (Price) – The orders price.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • post_only (bool , default False) – If the order will only provide liquidity (make a market).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the order to display on the public book (iceberg).
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The orders emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: LimitOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

limit_if_touched(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, Price price, Price trigger_price, TriggerType trigger_type=TriggerType.DEFAULT, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new LIMIT_IF_TOUCHED (LIT) conditional order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • price (Price) – The orders limit price.
  • trigger_price (Price) – The orders trigger stop price.
  • trigger_type (TriggerType, default DEFAULT) – The order trigger type.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • post_only (bool , default False) – If the order will only provide liquidity (make a market).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the order to display on the public book (iceberg).
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The orders emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: LimitIfTouchedOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

market(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, TimeInForce time_in_force=TimeInForce.GTC, bool reduce_only=False, bool quote_quantity=False, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new MARKET order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • time_in_force (TimeInForce {GTC, IOC, FOK, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The orders time in force. Often not applicable for market orders.
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: MarketOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is GTD.

market_if_touched(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, Price trigger_price, TriggerType trigger_type=TriggerType.DEFAULT, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new MARKET_IF_TOUCHED (MIT) conditional order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • trigger_price (Price) – The orders trigger price (STOP).
  • trigger_type (TriggerType, default DEFAULT) – The order trigger type.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The orders emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: MarketIfTouchedOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.

market_to_limit(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new MARKET order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • time_in_force (TimeInForce {GTC, GTD, IOC, FOK}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the limit order to display on the public book (iceberg).
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: MarketToLimitOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.

reset(self)

Reset the order factory.

All stateful fields are reset to their initial value.

set_client_order_id_count(self, int count)

Set the internal order ID generator count to the given count.

• Parameters: count (int) – The count to set.

WARNING

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

set_order_list_id_count(self, int count)

Set the internal order list ID generator count to the given count.

• Parameters: count (int) – The count to set.

WARNING

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

stop_limit(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, Price price, Price trigger_price, TriggerType trigger_type=TriggerType.DEFAULT, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new STOP_LIMIT conditional order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • price (Price) – The orders limit price.
  • trigger_price (Price) – The orders trigger stop price.
  • trigger_type (TriggerType, default DEFAULT) – The order trigger type.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • post_only (bool , default False) – If the order will only provide liquidity (make a market).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the order to display on the public book (iceberg).
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The orders emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: StopLimitOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

stop_market(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, Price trigger_price, TriggerType trigger_type=TriggerType.DEFAULT, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new STOP_MARKET conditional order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • trigger_price (Price) – The orders trigger price (STOP).
  • trigger_type (TriggerType, default DEFAULT) – The order trigger type.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The orders emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: StopMarketOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.

strategy_id

The order factories trading strategy ID.

• Returns: StrategyId

trader_id

The order factories trader ID.

• Returns: TraderId

trailing_stop_limit(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, limit_offset: Decimal, trailing_offset: Decimal, Price price=None, Price trigger_price=None, TriggerType trigger_type=TriggerType.DEFAULT, TrailingOffsetType trailing_offset_type=TrailingOffsetType.PRICE, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool post_only=False, bool reduce_only=False, bool quote_quantity=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new TRAILING_STOP_LIMIT conditional order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • trailing_offset (Decimal) – The trailing offset for the trigger price (STOP).
  • limit_offset (Decimal) – The trailing offset for the order price (LIMIT).
  • price (Price , optional) – The order price (LIMIT). If None then will typically default to the delta of market price and limit_offset.
  • trigger_price (Price , optional) – The order trigger price (STOP). If None then will typically default to the delta of market price and trailing_offset.
  • trigger_type (TriggerType, default DEFAULT) – The order trigger type.
  • trailing_offset_type (TrailingOffsetType, default PRICE) – The order trailing offset type.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • post_only (bool , default False) – If the order will only provide liquidity (make a market).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • display_qty (Quantity , optional) – The quantity of the order to display on the public book (iceberg).
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The orders emulation trigger.
  • trigger_instrument_id (InstrumentId , optional) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: TrailingStopLimitOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If trailing_offset_type is NO_TRAILING_OFFSET.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
  • ValueError – If display_qty is negative (< 0) or greater than quantity.

trailing_stop_market(self, InstrumentId instrument_id, OrderSide order_side, Quantity quantity, trailing_offset: Decimal, Price trigger_price=None, TriggerType trigger_type=TriggerType.DEFAULT, TrailingOffsetType trailing_offset_type=TrailingOffsetType.PRICE, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool reduce_only=False, bool quote_quantity=False, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, InstrumentId trigger_instrument_id=None, ExecAlgorithmId exec_algorithm_id=None, dict exec_algorithm_params=None, list tags=None)

Create a new TRAILING_STOP_MARKET conditional order.

• Parameters:
  • instrument_id (InstrumentId) – The orders instrument ID.
  • order_side (OrderSide {BUY, SELL}) – The orders side.
  • quantity (Quantity) – The orders quantity (> 0).
  • trailing_offset (Decimal) – The trailing offset for the trigger price (STOP).
  • trigger_price (Price , optional) – The order trigger price (STOP). If None then will typically default to the delta of market price and trailing_offset.
  • trigger_type (TriggerType, default DEFAULT) – The order trigger type.
  • trailing_offset_type (TrailingOffsetType, default PRICE) – The order trailing offset type.
  • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY}, default GTC) – The orders time in force.
  • expire_time (datetime , optional) – The order expiration (for GTD orders).
  • reduce_only (bool , default False) – If the order carries the ‘reduce-only’ execution instruction.
  • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
  • emulation_trigger (TriggerType, default NO_TRIGGER) – The orders emulation trigger.
  • exec_algorithm_id (ExecAlgorithmId , optional) – The execution algorithm ID for the order.
  • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
  • tags (list *[*str ] , optional) – The custom user tags for the order.
• Return type: TrailingStopMarketOrder
• Raises:
  • ValueError – If quantity is not positive (> 0).
  • ValueError – If trigger_type is NO_TRIGGER.
  • ValueError – If trailing_offset_type is NO_TRAILING_OFFSET.
  • ValueError – If time_in_force is AT_THE_OPEN or AT_THE_CLOSE.
  • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.

Component

class Clock

Bases: object

The base class for all clocks.

WARNING

This class should not be used directly, but through a concrete subclass.

cancel_timer(self, unicode name)

Cancel the timer corresponding to the given label.

• Parameters: name (str) – The name for the timer to cancel.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not an active timer name for this clock.

cancel_timers(self)

Cancel all timers.

local_now(self, tzinfo tz=None)

Return the current datetime of the clock in the given local timezone.

• Parameters: tz (tzinfo , optional) – The local timezone (if None the system local timezone is assumed for the target timezone).
• Returns: tz-aware in local timezone.
• Return type: datetime

next_time_ns(self, unicode name)

Find a particular timer.

• Parameters: name (str) – The name of the timer.
• Return type: uint64_t
• Raises: ValueError – If name is not a valid string.

register_default_handler(self, handler: Callable[[TimeEvent], None])

Register the given handler as the clocks default handler.

• Parameters: handler (Callable [ [TimeEvent ] , None ]) – The handler to register.
• Raises: TypeError – If handler is not of type Callable.

set_time_alert(self, unicode name, datetime alert_time, callback: Callable[[TimeEvent], None] = None)

Set a time alert for the given time.

When the time is reached the handler will be passed the TimeEvent containing the timers unique name. If no handler is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the alert (must be unique for this clock).
  • alert_time (datetime) – The time for the alert.
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not unique for this clock.
  • TypeError – If handler is not of type Callable or None.
  • ValueError – If handler is None and no default handler is registered.

WARNING

If alert_time is in the past or at current time, then an immediate time event will be generated (rather than being invalid and failing a condition check).

set_time_alert_ns(self, unicode name, uint64_t alert_time_ns, callback: Callable[[TimeEvent], None] = None)

Set a time alert for the given time.

When the time is reached the handler will be passed the TimeEvent containing the timers unique name. If no callback is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the alert (must be unique for this clock).
  • alert_time_ns (uint64_t) – The UNIX time (nanoseconds) for the alert.
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • ValueError – If name is not unique for this clock.
  • TypeError – If callback is not of type Callable or None.
  • ValueError – If callback is None and no default handler is registered.

WARNING

If alert_time_ns is in the past or at current time, then an immediate time event will be generated (rather than being invalid and failing a condition check).

set_timer(self, unicode name, timedelta interval, datetime start_time=None, datetime stop_time=None, callback: Callable[[TimeEvent], None] | None = None)

Set a timer to run.

The timer will run from the start time (optionally until the stop time). When the intervals are reached the handlers will be passed the TimeEvent containing the timers unique name. If no handler is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the timer (must be unique for this clock).
  • interval (timedelta) – The time interval for the timer.
  • start_time (datetime , optional) – The start time for the timer (if None then starts immediately).
  • stop_time (datetime , optional) – The stop time for the timer (if None then repeats indefinitely).
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not unique for this clock.
  • ValueError – If interval is not positive (> 0).
  • ValueError – If stop_time is not None and stop_time < time now.
  • ValueError – If stop_time is not None and start_time + interval > stop_time.
  • TypeError – If handler is not of type Callable or None.
  • ValueError – If handler is None and no default handler is registered.

set_timer_ns(self, unicode name, uint64_t interval_ns, uint64_t start_time_ns, uint64_t stop_time_ns, callback: Callable[[TimeEvent], None] | None = None)

Set a timer to run.

The timer will run from the start time until the stop time. When the intervals are reached the handlers will be passed the TimeEvent containing the timers unique name. If no handler is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the timer (must be unique for this clock).
  • interval_ns (uint64_t) – The time interval (nanoseconds) for the timer.
  • start_time_ns (uint64_t) – The start UNIX time (nanoseconds) for the timer.
  • stop_time_ns (uint64_t) – The stop UNIX time (nanoseconds) for the timer.
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not unique for this clock.
  • ValueError – If interval is not positive (> 0).
  • ValueError – If stop_time is not None and stop_time < time now.
  • ValueError – If stop_time is not None and start_time + interval > stop_time.
  • TypeError – If callback is not of type Callable or None.
  • ValueError – If callback is None and no default handler is registered.

timer_count

int

Return the count of active timers running in the clock.

• Return type: int
• Type: Clock.timer_count

timer_names

list[str]

Return the names of active timers running in the clock.

• Return type: list[str]
• Type: Clock.timer_names

timestamp(self)

Return the current UNIX time in seconds.

• Return type: double

timestamp_ms(self)

Return the current UNIX time in milliseconds (ms).

• Return type: uint64_t

timestamp_ns(self)

Return the current UNIX time in nanoseconds (ns).

• Return type: uint64_t

utc_now(self)

Return the current time (UTC).

• Returns: The current tz-aware UTC time of the clock.
• Return type: datetime

class Component

Bases: object

Component(Clock clock, TraderId trader_id=None, Identifier component_id=None, unicode component_name=None, MessageBus msgbus=None, config: NautilusConfig | None = None)

The base class for all system components.

A component is not considered initialized until a message bus is registered (this either happens when one is passed to the constructor, or when registered with a trader).

Thus, if the component does not receive a message bus through the constructor, then it will be in a PRE_INITIALIZED state, otherwise if one is passed then it will be in an INITIALIZED state.

• Parameters:
  • clock (Clock) – The clock for the component.
  • trader_id (TraderId , optional) – The trader ID associated with the component.
  • component_id (Identifier , optional) – The component ID. If None is passed then the identifier will be taken from type(self)._name_.
  • component_name (str , optional) – The custom component name.
  • msgbus (MessageBus , optional) – The message bus for the component (required before initialized).
  • config (NautilusConfig , optional) – The configuration for the component.
• Raises:
  • ValueError – If component_name is not a valid string.
  • TypeError – If config is not of type NautilusConfig.

WARNING

This class should not be used directly, but through a concrete subclass.

degrade(self)

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.

dispose(self)

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)

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)

Return the fully qualified name for the components class.

• Return type: str

id

The components ID.

• Returns: ComponentId

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

reset(self)

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)

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.

start(self)

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)

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.

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

class ComponentFSMFactory

Bases: object

Provides a generic component Finite-State Machine.

static get_state_transition_table()

The default state transition table.

• Returns: C Enums.
• Return type: dict[int, int]

class LiveClock

Bases: Clock

LiveClock()

Provides a monotonic clock for live trading.

All times are tz-aware UTC.

• Parameters: loop (asyncio.AbstractEventLoop) – The event loop for the clocks timers.

cancel_timer(self, unicode name)

cancel_timers(self)

local_now(self, tzinfo tz=None)

Return the current datetime of the clock in the given local timezone.

• Parameters: tz (tzinfo , optional) – The local timezone (if None the system local timezone is assumed for the target timezone).
• Returns: tz-aware in local timezone.
• Return type: datetime

next_time_ns(self, unicode name)

register_default_handler(self, callback: Callable[[TimeEvent], None])

set_time_alert(self, unicode name, datetime alert_time, callback: Callable[[TimeEvent], None] = None)

Set a time alert for the given time.

When the time is reached the handler will be passed the TimeEvent containing the timers unique name. If no handler is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the alert (must be unique for this clock).
  • alert_time (datetime) – The time for the alert.
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not unique for this clock.
  • TypeError – If handler is not of type Callable or None.
  • ValueError – If handler is None and no default handler is registered.

WARNING

If alert_time is in the past or at current time, then an immediate time event will be generated (rather than being invalid and failing a condition check).

set_time_alert_ns(self, unicode name, uint64_t alert_time_ns, callback: Callable[[TimeEvent], None] | None = None)

set_timer(self, unicode name, timedelta interval, datetime start_time=None, datetime stop_time=None, callback: Callable[[TimeEvent], None] | None = None)

Set a timer to run.

The timer will run from the start time (optionally until the stop time). When the intervals are reached the handlers will be passed the TimeEvent containing the timers unique name. If no handler is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the timer (must be unique for this clock).
  • interval (timedelta) – The time interval for the timer.
  • start_time (datetime , optional) – The start time for the timer (if None then starts immediately).
  • stop_time (datetime , optional) – The stop time for the timer (if None then repeats indefinitely).
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not unique for this clock.
  • ValueError – If interval is not positive (> 0).
  • ValueError – If stop_time is not None and stop_time < time now.
  • ValueError – If stop_time is not None and start_time + interval > stop_time.
  • TypeError – If handler is not of type Callable or None.
  • ValueError – If handler is None and no default handler is registered.

set_timer_ns(self, unicode name, uint64_t interval_ns, uint64_t start_time_ns, uint64_t stop_time_ns, callback: Callable[[TimeEvent], None] | None = None)

timer_count

int

• Type: LiveClock.timer_count

timer_names

list[str]

• Type: LiveClock.timer_names

timestamp(self)

timestamp_ms(self)

timestamp_ns(self)

utc_now(self)

Return the current time (UTC).

• Returns: The current tz-aware UTC time of the clock.
• Return type: datetime

class LogGuard

Bases: object

Provides a LogGuard which serves as a token to signal the initialization of the logging system. It also ensures that the global logger is flushed of any buffered records when the instance is destroyed.

class Logger

Bases: object

Logger(unicode name) -> None

Provides a logger adapter into the logging system.

• Parameters: name (str) – The name of the logger. This will appear within each log line.

debug(self, unicode message, LogColor color=LogColor.NORMAL)

Log the given debug level message.

• Parameters:
  • message (str) – The log message text (valid UTF-8).
  • color (LogColor , optional) – The log message color.

error(self, unicode message, LogColor color=LogColor.RED)

Log the given error level message.

• Parameters:
  • message (str) – The log message text (valid UTF-8).
  • color (LogColor , optional) – The log message color.

exception(self, unicode message, ex)

Log the given exception including stack trace information.

• Parameters:
  • message (str) – The log message text (valid UTF-8).
  • ex (Exception) – The exception to log.

info(self, unicode message, LogColor color=LogColor.NORMAL)

Log the given information level message.

• Parameters:
  • message (str) – The log message text (valid UTF-8).
  • color (LogColor , optional) – The log message color.

name

str

Return the name of the logger.

• Return type: str
• Type: Logger.name

warning(self, unicode message, LogColor color=LogColor.YELLOW)

Log the given warning level message.

• Parameters:
  • message (str) – The log message text (valid UTF-8).
  • color (LogColor , optional) – The log message color.

class MessageBus

Bases: object

MessageBus(TraderId trader_id, Clock clock, UUID4 instance_id=None, unicode name=None, Serializer serializer=None, database: nautilus_pyo3.RedisMessageBusDatabase | None = None, bool snapshot_orders: bool = False, bool snapshot_positions: bool = False, config: Any | None = None) -> None

Provides a generic message bus to facilitate various messaging patterns.

The bus provides both a producer and consumer API for Pub/Sub, Req/Rep, as well as direct point-to-point messaging to registered endpoints.

Pub/Sub wildcard patterns for hierarchical topics are possible: : - * asterisk represents one or more characters in a pattern.

• ? question mark represents a single character in a pattern.

Given a topic and pattern potentially containing wildcard characters, i.e. * and ?, where ? can match any single character in the topic, and * can match any number of characters including zero characters.

The asterisk in a wildcard matches any character zero or more times. For example, comp* matches anything beginning with comp which means comp, complete, and computer are all matched.

A question mark matches a single character once. For example, c?mp matches camp and comp. The question mark can also be used more than once. For example, c??p would match both of the above examples and coop.

• Parameters:
  • trader_id (TraderId) – The trader ID associated with the message bus.
  • clock (Clock) – The clock for the message bus.
  • name (str , optional) – The custom name for the message bus.
  • serializer (Serializer , optional) – The serializer for database operations.
  • database (nautilus_pyo3.RedisMessageBusDatabase , optional) – The backing database for the message bus.
  • snapshot_orders (bool , default False) – If order state snapshots should be published externally.
  • snapshot_positions (bool , default False) – If position state snapshots should be published externally.
  • config (MessageBusConfig , optional) – The configuration for the message bus.
• Raises: ValueError – If name is not None and not a valid string.

WARNING

This message bus is not thread-safe and must be called from the same thread as the event loop.

deregister(self, unicode endpoint, handler: Callable[[Any], None])

Deregister the given handler from the endpoint address.

• Parameters:
  • endpoint (str) – The endpoint address to deregister.
  • handler (Callable [ *[*Any ] , None ]) – The handler to deregister.
• Raises:
  • ValueError – If endpoint is not a valid string.
  • ValueError – If handler is not of type Callable.
  • KeyError – If endpoint is not registered.
  • ValueError – If handler is not registered at the endpoint.

dispose(self)

Dispose of the message bus which will close the internal channel and thread.

endpoints(self)

Return all endpoint addresses registered with the message bus.

• Return type: list[str]

has_backing

If the message bus has a database backing.

• Returns: bool

has_subscribers(self, unicode pattern=None)

If the message bus has subscribers for the give topic pattern.

• Parameters: pattern (str , optional) – The topic filter. May include wildcard characters * and ?. If None then query is for all topics.
• Return type: bool

is_pending_request(self, UUID4 request_id)

Return if the given request_id is still pending a response.

• Parameters: request_id (UUID4) – The request ID to check (to match the correlation_id).
• Return type: bool

is_subscribed(self, unicode topic, handler: Callable[[Any], None])

Return if topic and handler is subscribed to the message bus.

Does not consider any previous priority.

• Parameters:
  • topic (str) – The topic of the subscription.
  • handler (Callable [ *[*Any ] , None ]) – The handler of the subscription.
• Return type: bool

pub_count

The count of messages published by the bus.

• Returns: uint64_t

publish(self, unicode topic, msg: Any)

Publish the given message for the given topic.

Subscription handlers will receive the message in priority order (highest first).

• Parameters:
  • topic (str) – The topic to publish on.
  • msg (object) – The message to publish.

register(self, unicode endpoint, handler: Callable[[Any], None])

Register the given handler to receive messages at the endpoint address.

• Parameters:
  • endpoint (str) – The endpoint address to register.
  • handler (Callable [ *[*Any ] , None ]) – The handler for the registration.
• Raises:
  • ValueError – If endpoint is not a valid string.
  • ValueError – If handler is not of type Callable.
  • KeyError – If endpoint already registered.

req_count

The count of requests processed by the bus.

• Returns: uint64_t

request(self, unicode endpoint, Request request)

Handle the given request.

Will log an error if the correlation ID already exists.

• Parameters:
  • endpoint (str) – The endpoint address to send the request to.
  • request (Request) – The request to handle.

res_count

The count of responses processed by the bus.

• Returns: uint64_t

response(self, Response response)

Handle the given response.

Will log an error if the correlation ID is not found.

• Parameters: response (Response) – The response to handle

send(self, unicode endpoint, msg: Any)

Send the given message to the given endpoint address.

• Parameters:
  • endpoint (str) – The endpoint address to send the message to.
  • msg (object) – The message to send.

sent_count

The count of messages sent through the bus.

• Returns: uint64_t

serializer

The serializer for the bus.

• Returns: Serializer

snapshot_orders

If order state snapshots should be published externally.

• Returns: bool

snapshot_positions

If position state snapshots should be published externally.

• Returns: bool

subscribe(self, unicode topic, handler: Callable[[Any], None], int priority=0)

Subscribe to the given message topic with the given callback handler.

• Parameters:
  • topic (str) – The topic for the subscription. May include wildcard characters * and ?.
  • handler (Callable [ *[*Any ] , None ]) – The handler for the subscription.
  • priority (int , optional) – The priority for the subscription. Determines the ordering of handlers receiving messages being processed, higher priority handlers will receive messages prior to lower priority handlers.
• Raises:
  • ValueError – If topic is not a valid string.
  • ValueError – If handler is not of type Callable.

WARNING

Assigning priority handling is an advanced feature which shouldn’t normally be needed by most users. Only assign a higher priority to the subscription if you are certain of what you’re doing. If an inappropriate priority is assigned then the handler may receive messages before core system components have been able to process necessary calculations and produce potential side effects for logically sound behavior.

subscriptions(self, unicode pattern=None)

Return all subscriptions matching the given topic pattern.

• Parameters: pattern (str , optional) – The topic pattern filter. May include wildcard characters * and ?. If None then query is for all topics.
• Return type: list[Subscription]

topics(self)

Return all topics with active subscribers.

• Return type: list[str]

trader_id

The trader ID associated with the bus.

• Returns: TraderId

unsubscribe(self, unicode topic, handler: Callable[[Any], None])

Unsubscribe the given callback handler from the given message topic.

• Parameters:
  • topic (str , optional) – The topic to unsubscribe from. May include wildcard characters * and ?.
  • handler (Callable [ *[*Any ] , None ]) – The handler for the subscription.
• Raises:
  • ValueError – If topic is not a valid string.
  • ValueError – If handler is not of type Callable.

class Subscription

Bases: object

Subscription(unicode topic, handler: Callable[[Any], None], int priority=0)

Represents a subscription to a particular topic.

This is an internal class intended to be used by the message bus to organize topics and their subscribers.

• Parameters:
  • topic (str) – The topic for the subscription. May include wildcard characters * and ?.
  • handler (Callable [ *[*Message ] , None ]) – The handler for the subscription.
  • priority (int) – The priority for the subscription.
• Raises:
  • ValueError – If topic is not a valid string.
  • ValueError – If handler is not of type Callable.
  • ValueError – If priority is negative (< 0).

handler

The handler for the subscription.

• Returns: Callable

priority

The priority for the subscription.

• Returns: int

topic

The topic for the subscription.

• Returns: str

class TestClock

Bases: Clock

TestClock()

Provides a monotonic clock for backtesting and unit testing.

advance_time(self, uint64_t to_time_ns, bool set_time=True)

Advance the clocks time to the given to_time_ns.

• Parameters:
  • to_time_ns (uint64_t) – The UNIX time (nanoseconds) to advance the clock to.
  • set_time (bool) – If the clock should also be set to the given to_time_ns.
• Returns: Sorted chronologically.
• Return type: list[TimeEventHandler]
• Raises: ValueError – If to_time_ns is < the clocks current time.

cancel_timer(self, unicode name)

cancel_timers(self)

local_now(self, tzinfo tz=None)

Return the current datetime of the clock in the given local timezone.

• Parameters: tz (tzinfo , optional) – The local timezone (if None the system local timezone is assumed for the target timezone).
• Returns: tz-aware in local timezone.
• Return type: datetime

next_time_ns(self, unicode name)

register_default_handler(self, callback: Callable[[TimeEvent], None])

set_time(self, uint64_t to_time_ns)

Set the clocks datetime to the given time (UTC).

• Parameters: to_time_ns (uint64_t) – The UNIX time (nanoseconds) to set.

set_time_alert(self, unicode name, datetime alert_time, callback: Callable[[TimeEvent], None] = None)

Set a time alert for the given time.

When the time is reached the handler will be passed the TimeEvent containing the timers unique name. If no handler is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the alert (must be unique for this clock).
  • alert_time (datetime) – The time for the alert.
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not unique for this clock.
  • TypeError – If handler is not of type Callable or None.
  • ValueError – If handler is None and no default handler is registered.

WARNING

If alert_time is in the past or at current time, then an immediate time event will be generated (rather than being invalid and failing a condition check).

set_time_alert_ns(self, unicode name, uint64_t alert_time_ns, callback: Callable[[TimeEvent], None] | None = None)

set_timer(self, unicode name, timedelta interval, datetime start_time=None, datetime stop_time=None, callback: Callable[[TimeEvent], None] | None = None)

Set a timer to run.

The timer will run from the start time (optionally until the stop time). When the intervals are reached the handlers will be passed the TimeEvent containing the timers unique name. If no handler is passed then the default handler (if registered) will receive the TimeEvent.

• Parameters:
  • name (str) – The name for the timer (must be unique for this clock).
  • interval (timedelta) – The time interval for the timer.
  • start_time (datetime , optional) – The start time for the timer (if None then starts immediately).
  • stop_time (datetime , optional) – The stop time for the timer (if None then repeats indefinitely).
  • callback (Callable [ [TimeEvent ] , None ] , optional) – The callback to receive time events.
• Raises:
  • ValueError – If name is not a valid string.
  • KeyError – If name is not unique for this clock.
  • ValueError – If interval is not positive (> 0).
  • ValueError – If stop_time is not None and stop_time < time now.
  • ValueError – If stop_time is not None and start_time + interval > stop_time.
  • TypeError – If handler is not of type Callable or None.
  • ValueError – If handler is None and no default handler is registered.

set_timer_ns(self, unicode name, uint64_t interval_ns, uint64_t start_time_ns, uint64_t stop_time_ns, callback: Callable[[TimeEvent], None] | None = None)

timer_count

int

• Type: TestClock.timer_count

timer_names

list[str]

• Type: TestClock.timer_names

timestamp(self)

timestamp_ms(self)

timestamp_ns(self)

utc_now(self)

Return the current time (UTC).

• Returns: The current tz-aware UTC time of the clock.
• Return type: datetime

class Throttler

Bases: object

Throttler(unicode name, int limit, timedelta interval, Clock clock, output_send: Callable[[Any], None], output_drop: Callable[[Any], None] | None = None) -> None

Provides a generic throttler which can either buffer or drop messages.

Will throttle messages to the given maximum limit-interval rate. If an output_drop handler is provided, then will drop messages which would exceed the rate limit. Otherwise will buffer messages until within the rate limit, then send.

• Parameters:
  • name (str) – The unique name of the throttler.
  • limit (int) – The limit setting for the throttling.
  • interval (timedelta) – The interval setting for the throttling.
  • clock (Clock) – The clock for the throttler.
  • output_send (Callable [ *[*Any ] , None ]) – The output handler to send messages from the throttler.
  • output_drop (Callable [ *[*Any ] , None ] , optional) – The output handler to drop messages from the throttler. If None then messages will be buffered.
• Raises:
  • ValueError – If name is not a valid string.
  • ValueError – If limit is not positive (> 0).
  • ValueError – If interval is not positive (> 0).
  • ValueError – If output_send is not of type Callable.
  • ValueError – If output_drop is not of type Callable or None.

WARNING

This throttler is not thread-safe and must be called from the same thread as the event loop.

The internal buffer queue is unbounded and so a bounded queue should be upstream.

interval

The interval for the throttler rate.

• Returns: timedelta

is_limiting

If the throttler is currently limiting messages (buffering or dropping).

• Returns: bool

limit

The limit for the throttler rate.

• Returns: int

name

The name of the throttler.

• Returns: str

qsize

int

Return the qsize of the internal buffer.

• Return type: int
• Type: Throttler.qsize

recv_count

If count of messages received by the throttler.

• Returns: int

reset(self)

Reset the state of the throttler.

send(self, msg)

Send the given message through the throttler.

• Parameters: msg (object) – The message to send.

sent_count

If count of messages sent from the throttler.

• Returns: int

used(self)

Return the percentage of maximum rate currently used.

• Returns: [0, 1.0].
• Return type: double

class TimeEvent

Bases: Event

TimeEvent(unicode name, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents a time event occurring at the event timestamp.

• Parameters:
  • name (str) – The event name.
  • event_id (UUID4) – The event ID.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the time event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

id

UUID4

The event message identifier.

• Return type: UUID4
• Type: TimeEvent.id

name

str

Return the name of the time event.

• Return type: str
• Type: TimeEvent.name

ts_event

int

UNIX timestamp (nanoseconds) when the event occurred.

• Return type: int
• Type: TimeEvent.ts_event

ts_init

int

UNIX timestamp (nanoseconds) when the object was initialized.

• Return type: int
• Type: TimeEvent.ts_init

class TimeEventHandler

Bases: object

TimeEventHandler(TimeEvent event, handler: Callable[[TimeEvent], None])

Represents a time event with its associated handler.

event

The handlers event.

• Returns: TimeEvent

handle(self)

Call the handler with the contained time event.

component_state_from_str(unicode value)

component_state_to_str(ComponentState value)

component_trigger_from_str(unicode value)

component_trigger_to_str(ComponentTrigger value)

create_pyo3_conversion_wrapper(callback)

deregister_component_clock(UUID4 instance_id, Clock clock)

init_logging(TraderId trader_id=None, unicode machine_id=None, UUID4 instance_id=None, LogLevel level_stdout=LogLevel.INFO, LogLevel level_file=LogLevel.OFF, unicode directory=None, unicode file_name=None, unicode file_format=None, dict component_levels: dict[ComponentId, LogLevel] = None, bool colors=True, bool bypass=False, bool print_config=False)

Initialize the logging system.

Acts as an interface into the logging system implemented in Rust with the log crate.

This function should only be called once per process, at the beginning of the application run. Subsequent calls will raise a RuntimeError, as there can only be one LogGuard per initialized system.

• Parameters:
  • trader_id (TraderId , optional) – The trader ID for the logger.
  • machine_id (str , optional) – The machine ID.
  • instance_id (UUID4 , optional) – The instance ID.
  • level_stdout (LogLevel, default INFO) – The minimum log level to write to stdout.
  • level_file (LogLevel, default OFF) – The minimum log level to write to a file.
  • directory (str , optional) – The path to the log file directory. If None then will write to the current working directory.
  • file_name (str , optional) – The custom log file name (will use a ‘.log’ suffix for plain text or ‘.json’ for JSON). If None will not log to a file (unless file_auto is True).
  • file_format (str { 'JSON' } , optional) – The log file format. If None (default) then will log in plain text. If set to ‘JSON’ then logs will be in JSON format.
  • component_levels (dict [ComponentId , LogLevel ]) – The additional per component log level filters, where keys are component IDs (e.g. actor/strategy IDs) and values are log levels.
  • colors (bool , default True) – If ANSI codes should be used to produce colored log lines.
  • bypass (bool , default False) – If the output for the core logging system is bypassed (useful for logging tests).
  • print_config (bool , default False) – If the core logging configuration should be printed to stdout on initialization.
• Return type: LogGuard
• Raises: RuntimeError – If the logging system has already been initialized.

is_logging_initialized()

is_logging_pyo3()

is_matching_py(unicode topic, unicode pattern)

log_color_from_str(unicode value)

log_color_to_str(LogColor value)

log_header(TraderId trader_id, unicode machine_id, UUID4 instance_id, unicode component)

log_level_from_str(unicode value)

log_level_to_str(LogLevel value)

log_sysinfo(unicode component)

register_component_clock(UUID4 instance_id, Clock clock)

remove_instance_component_clocks(UUID4 instance_id)

set_logging_pyo3(bool value)

Executor

class TaskId

Bases: object

Represents a unique identifier for a task managed by the ActorExecutor.

This ID can be associated with a task that is either queued for execution or actively executing as an asyncio.Future.

value : str

classmethod create()

Create and return a new task identifier with a UUID v4 value.

• Return type: TaskId

class ActorExecutor

Bases: object

Provides an executor for Actor and Strategy classes.

The executor is designed to handle asynchronous tasks for Actor and Strategy classes. This custom executor queues and executes tasks within a given event loop and is tailored for single-threaded applications.

The ActorExecutor maintains its internal state to manage both queued and active tasks, providing facilities for scheduling, cancellation, and monitoring. It can be used to create more controlled execution flows within complex asynchronous systems.

• Parameters:
  • loop (AbstractEventLoop) – The event loop for the application.
  • executor (Executor) – The inner executor to register.
  • logger (Logger , optional) – The logger for the executor.

WARNING

This executor is not thread-safe and must be invoked from the same thread in which it was created. Special care should be taken to ensure thread consistency when integrating with multi-threaded applications.

reset()

Reset the executor.

This will cancel all queued and active tasks, and drain the internal queue without executing those tasks.

get_future(task_id: TaskId)

Return the executing Future with the given task_id (if found).

• Parameters: task_id (TaskId) – The task identifier for the future.
• Return type: asyncio.Future or None

async shutdown()

Shutdown the executor in an async context.

This will cancel the inner worker task.

queue_for_executor(func: Callable[[...], Any], *args: Any, **kwargs: Any)

Enqueue the given func to be executed sequentially.

• Parameters:
  • func (Callable) – The function to be executed.
  • args (positional arguments) – The positional arguments for the call to func.
  • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
• Return type: TaskId

run_in_executor(func: Callable[[...], Any], *args: Any, **kwargs: Any)

Arrange for the given func to be called in the executor.

• Parameters:
  • func (Callable) – The function to be executed.
  • args (positional arguments) – The positional arguments for the call to func.
  • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
• Return type: TaskId

queued_task_ids()

Return the queued task identifiers.

• Return type: list[TaskId]

active_task_ids()

Return the active task identifiers.

• Return type: list[TaskId]

has_queued_tasks()

Return a value indicating whether there are any queued tasks.

• Return type: bool

has_active_tasks()

Return a value indicating whether there are any active tasks.

• Return type: bool

cancel_task(task_id: TaskId)

Cancel the task with the given task_id (if queued or active).

If the task is not found then a warning is logged.

• Parameters: task_id (TaskId) – The active task identifier.

cancel_all_tasks()

Cancel all active and queued tasks.

Generators

class ClientOrderIdGenerator

Bases: IdentifierGenerator

ClientOrderIdGenerator(TraderId trader_id, StrategyId strategy_id, Clock clock, int initial_count=0)

Provides a generator for unique

`

ClientOrderId`(s).

• Parameters:
  • trader_id (TraderId) – The trader ID for the generator.
  • strategy_id (StrategyId) – The strategy ID for the generator.
  • clock (Clock) – The clock for the generator.
  • initial_count (int) – The initial count for the generator.
• Raises: ValueError – If initial_count is negative (< 0).

count

The count of IDs generated.

• Returns: int

generate(self)

Return a unique client order ID.

• Return type: ClientOrderId

reset(self)

Reset the ID generator.

All stateful fields are reset to their initial value.

set_count(self, int count)

Set the internal counter to the given count.

• Parameters: count (int) – The count to set.

class IdentifierGenerator

Bases: object

IdentifierGenerator(TraderId trader_id, Clock clock)

Provides a generator for unique ID strings.

• Parameters:
  • trader_id (TraderId) – The ID tag for the trader.
  • clock (Clock) – The internal clock.

class OrderListIdGenerator

Bases: IdentifierGenerator

OrderListIdGenerator(TraderId trader_id, StrategyId strategy_id, Clock clock, int initial_count=0)

Provides a generator for unique

`

OrderListId`(s).

• Parameters:
  • trader_id (TraderId) – The trader ID for the generator.
  • strategy_id (StrategyId) – The strategy ID for the generator.
  • clock (Clock) – The clock for the generator.
  • initial_count (int) – The initial count for the generator.
• Raises: ValueError – If initial_count is negative (< 0).

count

The count of IDs generated.

• Returns: int

generate(self)

Return a unique order list ID.

• Return type: OrderListId

reset(self)

Reset the ID generator.

All stateful fields are reset to their initial value.

set_count(self, int count)

Set the internal counter to the given count.

• Parameters: count (int) – The count to set.

class PositionIdGenerator

Bases: IdentifierGenerator

PositionIdGenerator(TraderId trader_id, Clock clock)

Provides a generator for unique PositionId(s).

• Parameters: trader_id (TraderId) – The trader ID tag for the generator.

generate(self, StrategyId strategy_id, bool flipped=False)

Return a unique position ID.

• Parameters:
  • strategy_id (StrategyId) – The strategy ID associated with the position.
  • flipped (bool) – If the position is being flipped. If True then the generated id will be appended with ‘F’.
• Return type: PositionId

get_count(self, StrategyId strategy_id)

Return the internal position count for the given strategy ID.

• Parameters: strategy_id (StrategyId) – The strategy ID associated with the count.
• Return type: int

reset(self)

Reset the ID generator.

All stateful fields are reset to their initial value.

set_count(self, StrategyId strategy_id, int count)

Set the internal position count for the given strategy ID.

• Parameters:
  • strategy_id (StrategyId) – The strategy ID associated with the count.
  • count (int) – The count to set.
• Raises: ValueError – If count is negative (< 0).

class InstrumentProvider

Bases: object

The base class for all instrument providers.

• Parameters: config (InstrumentProviderConfig , optional) – The instrument provider config.

WARNING

This class should not be used directly, but through a concrete subclass.

property count : int

Return the count of instruments held by the provider.

• Return type: int

async load_all_async(filters: dict | 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)

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 (dict , optional) – The venue specific instrument loading filters to apply.
• Raises: ValueError – If any instrument_id.venue is not equal to self.venue.

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

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

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID to load.
  • filters (dict , optional) – The venue specific instrument loading filters to apply.
• Raises: ValueError – If instrument_id.venue is not equal to self.venue.

async initialize()

Initialize the instrument provider.

If initialize() then will immediately return.

load_all(filters: dict | None = None)

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

• Parameters: filters (dict , optional) – The venue specific instrument loading filters to apply.

load_ids(instrument_ids: list[InstrumentId], filters: dict | 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 (dict , optional) – The venue specific instrument loading filters to apply.

load(instrument_id: InstrumentId, filters: dict | 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 (dict , optional) – The venue specific instrument loading filters to apply.

add_currency(currency: Currency)

Add the given currency to the provider.

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

add(instrument: Instrument)

Add the given instrument to the provider.

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

add_bulk(instruments: list[Instrument])

Add the given instruments bulk to the provider.

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

list_all()

Return all loaded instruments.

• Return type: list[Instrument]

get_all()

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

If no instruments loaded, will return an empty dict.

• Return type: dict[InstrumentId, Instrument]

currencies()

Return all currencies held by the instrument provider.

• Return type: dict[str, Currency]

currency(code: str)

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)

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

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