Data

The data subpackage groups components relating to the data stack and data tooling for the platform.

The layered architecture of the data stack somewhat mirrors the execution stack with a central engine, cache layer beneath, database layer beneath, with alternative implementations able to be written on top.

Due to the high-performance, the core components are reusable between both backtest and live implementations - helping to ensure consistent logic for trading operations.

Aggregation

class BarAggregator

Bases: object

BarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], bool await_partial=False)

Provides a means of aggregating specified bars and sending to a registered handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
  • await_partial (bool , default False) – If the aggregator should await an initial partial bar prior to aggregating.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

handle_quote_tick(self, QuoteTick tick)

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick)

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar)

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

class BarBuilder

Bases: object

BarBuilder(Instrument instrument, BarType bar_type)

Provides a generic bar builder for aggregation.

• Parameters:
  • instrument (Instrument) – The instrument for the builder.
  • bar_type (BarType) – The bar type for the builder.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

build(self, uint64_t ts_event, uint64_t ts_init)

Return the aggregated bar with the given closing timestamp, and reset.

• Parameters:
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) for the bar event.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) for the bar initialization.
• Return type: Bar

build_now(self)

Return the aggregated bar and reset.

• Return type: Bar

count

The builders current update count.

• Returns: int

initialized

If the builder is initialized.

• Returns: bool

price_precision

The price precision for the builders instrument.

• Returns: uint8

reset(self)

Reset the bar builder.

All stateful fields are reset to their initial value.

set_partial(self, Bar partial_bar)

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

size_precision

The size precision for the builders instrument.

• Returns: uint8

ts_last

UNIX timestamp (nanoseconds) when the builder last updated.

• Returns: uint64_t

update(self, Price price, Quantity size, uint64_t ts_event)

Update the bar builder.

• Parameters:
  • price (Price) – The update price.
  • size (Decimal) – The update size.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) of the update.

class TickBarAggregator

Bases: BarAggregator

TickBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None])

Provides a means of building tick bars from ticks.

When received tick count reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

handle_quote_tick(self, QuoteTick tick)

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick)

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar)

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

class TimeBarAggregator

Bases: BarAggregator

TimeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Clock clock, bool build_with_no_updates=True, bool timestamp_on_close=True, unicode interval_type=u’left-open’)

Provides a means of building time bars from ticks with an internal timer.

When the time reaches the next time interval of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
  • clock (Clock) – The clock for the aggregator.
  • build_with_no_updates (bool , default True) – If build and emit bars with no new market updates.
  • timestamp_on_close (bool , default True) – If timestamp ts_event will be bar close. If False then timestamp will be bar open.
  • interval_type (str , default 'left-open') – Determines the type of interval used for time aggregation.
    • ‘left-open’: start time is excluded and end time is included (default).
    • ‘right-open’: start time is included and end time is excluded.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

get_start_time(self)

Return the start time for the aggregators next bar.

• Returns: The timestamp (UTC).
• Return type: datetime

handle_quote_tick(self, QuoteTick tick)

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick)

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

interval

The aggregators time interval.

• Returns: timedelta

interval_ns

The aggregators time interval.

• Returns: uint64_t

next_close_ns

The aggregators next closing time.

• Returns: uint64_t

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar)

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

stop(self)

Stop the bar aggregator.

class ValueBarAggregator

Bases: BarAggregator

ValueBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None])

Provides a means of building value bars from ticks.

When received value reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

get_cumulative_value(self)

Return the current cumulative value of the aggregator.

• Return type: Decimal

handle_quote_tick(self, QuoteTick tick)

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick)

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar)

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

class VolumeBarAggregator

Bases: BarAggregator

VolumeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None])

Provides a means of building volume bars from ticks.

When received volume reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

handle_quote_tick(self, QuoteTick tick)

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick)

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar)

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

Client

class DataClient

Bases: Component

DataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: NautilusConfig | None = None)

The base class for all data clients.

• Parameters:
  • client_id (ClientId) – The data client ID.
  • msgbus (MessageBus) – The message bus for the client.
  • clock (Clock) – The clock for the client.
  • venue (Venue , optional) – The client venue. If multi-venue then can be None.
  • config (NautilusConfig , optional) – The configuration for the instance.

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_connected

If the client is connected.

• Returns: bool

is_degraded

bool

Return whether the current component state is DEGRADED.

• Return type: bool
• Type: Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

• Return type: bool
• Type: Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

• Return type: bool
• Type: Component.is_faulted

is_initialized

bool

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

• Return type: bool
• Type: Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING.

• Return type: bool
• Type: Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

• Return type: bool
• Type: Component.is_stopped

request(self, DataType data_type, UUID4 correlation_id)

Request data for the given data type.

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

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.

subscribe(self, DataType data_type)

Subscribe to data for the given data type.

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

subscribed_custom_data(self)

Return the custom data types subscribed to.

• Return type: list[DataType]

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

unsubscribe(self, DataType data_type)

Unsubscribe from data for the given data type.

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

venue

The clients venue ID (if applicable).

• Returns: Venue or None

class MarketDataClient

Bases: DataClient

MarketDataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: NautilusConfig | None = None)

The base class for all market data clients.

• Parameters:
  • client_id (ClientId) – The data client ID.
  • msgbus (MessageBus) – The message bus for the client.
  • cache (Cache) – The cache for the client.
  • clock (Clock) – The clock for the client.
  • venue (Venue , optional) – The client venue. If multi-venue then can be None.
  • config (NautilusConfig , optional) – The configuration for the instance.

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_connected

If the client is connected.

• Returns: bool

is_degraded

bool

Return whether the current component state is DEGRADED.

• Return type: bool
• Type: Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

• Return type: bool
• Type: Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

• Return type: bool
• Type: Component.is_faulted

is_initialized

bool

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

• Return type: bool
• Type: Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING.

• Return type: bool
• Type: Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

• Return type: bool
• Type: Component.is_stopped

request(self, DataType data_type, UUID4 correlation_id)

Request data for the given data type.

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

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

Request historical Bar data.

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

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

Request Instrument data for the given instrument ID.

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

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

Request all Instrument data for the given venue.

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

request_order_book_snapshot(self, InstrumentId instrument_id, int limit, UUID4 correlation_id)

Request order book snapshot data.

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

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

Request historical QuoteTick data.

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

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

Request historical TradeTick data.

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

reset(self)

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.

subscribe(self, DataType data_type)

Subscribe to data for the given data type.

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

subscribe_bars(self, BarType bar_type)

Subscribe to Bar data for the given bar type.

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

subscribe_instrument(self, InstrumentId instrument_id)

Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close(self, InstrumentId instrument_id)

Subscribe to InstrumentClose updates for the given instrument ID.

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

subscribe_instrument_status(self, InstrumentId instrument_id)

Subscribe to InstrumentStatus data for the given instrument ID.

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

subscribe_instruments(self)

Subscribe to all Instrument data.

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

Subscribe to OrderBookDeltas data for the given instrument ID.

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

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

Subscribe to OrderBook snapshots data for the given instrument ID.

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

subscribe_quote_ticks(self, InstrumentId instrument_id)

Subscribe to QuoteTick data for the given instrument ID.

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

subscribe_trade_ticks(self, InstrumentId instrument_id)

Subscribe to TradeTick data for the given instrument ID.

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

subscribe_venue_status(self, Venue venue)

Subscribe to InstrumentStatus data for the venue.

• Parameters: venue (Venue) – The venue to subscribe to.

subscribed_bars(self)

Return the bar types subscribed to.

• Return type: list[BarType]

subscribed_custom_data(self)

Return the custom data types subscribed to.

• Return type: list[DataType]

subscribed_instrument_close(self)

Return the instrument closes subscribed to.

• Return type: list[InstrumentId]

subscribed_instrument_status(self)

Return the status update instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_instruments(self)

Return the instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_order_book_deltas(self)

Return the order book delta instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_order_book_snapshots(self)

Return the order book snapshot instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_quote_ticks(self)

Return the quote tick instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_trade_ticks(self)

Return the trade tick instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_venue_status(self)

Return the status update instruments subscribed to.

• Return type: list[InstrumentId]

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

unsubscribe(self, DataType data_type)

Unsubscribe from data for the given data type.

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

unsubscribe_bars(self, BarType bar_type)

Unsubscribe from Bar data for the given bar type.

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

unsubscribe_instrument(self, InstrumentId instrument_id)

Unsubscribe from Instrument data for the given instrument ID.

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

unsubscribe_instrument_close(self, InstrumentId instrument_id)

Unsubscribe from InstrumentClose data for the given instrument ID.

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

unsubscribe_instrument_status(self, InstrumentId instrument_id)

Unsubscribe from InstrumentStatus data for the given instrument ID.

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

unsubscribe_instruments(self)

Unsubscribe from all Instrument data.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id)

Unsubscribe from OrderBookDeltas data for the given instrument ID.

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

unsubscribe_order_book_snapshots(self, InstrumentId instrument_id)

Unsubscribe from OrderBook snapshots data for the given instrument ID.

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

unsubscribe_quote_ticks(self, InstrumentId instrument_id)

Unsubscribe from QuoteTick data for the given instrument ID.

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

unsubscribe_trade_ticks(self, InstrumentId instrument_id)

Unsubscribe from TradeTick data for the given instrument ID.

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

unsubscribe_venue_status(self, Venue venue)

Unsubscribe from InstrumentStatus data for the given venue.

• Parameters: venue (Venue) – The venue to unsubscribe from.

venue

The clients venue ID (if applicable).

• Returns: Venue or None

Engine

The DataEngine is the central component of the entire data stack.

The data engines primary responsibility is to orchestrate interactions between the DataClient instances, and the rest of the platform. This includes sending requests to, and receiving responses from, data endpoints via its registered data clients.

The engine employs a simple fan-in fan-out messaging pattern to execute DataCommand type messages, and process DataResponse messages or market data objects.

Alternative implementations can be written on top of the generic engine - which just need to override the execute, process, send and receive methods.

class DataEngine

Bases: Component

DataEngine(MessageBus msgbus, Cache cache, Clock clock, config: DataEngineConfig | None = None)

Provides a high-performance data engine for managing many DataClient instances, for the asynchronous ingest of data.

• Parameters:
  • msgbus (MessageBus) – The message bus for the engine.
  • cache (Cache) – The cache for the engine.
  • clock (Clock) – The clock for the engine.
  • config (DataEngineConfig , optional) – The configuration for the instance.

check_connected(self)

Check all of the engines clients are connected.

• Returns: True if all clients connected, else False.
• Return type: bool

check_disconnected(self)

Check all of the engines clients are disconnected.

• Returns: True if all clients disconnected, else False.
• Return type: bool

command_count

The total count of data commands received by the engine.

• Returns: int

connect(self)

Connect the engine by calling connect on all registered clients.

data_count

The total count of data stream objects received by the engine.

• Returns: int

debug

If debug mode is active (will provide extra debug logging).

• Returns: bool

default_client

ClientId | None

Return the default data client registered with the engine.

• Return type: ClientId or None
• Type: DataEngine.default_client

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_client(self, DataClient client)

Deregister the given data client from the data engine.

• Parameters: client (DataClient) – The data client to deregister.

disconnect(self)

Disconnect the engine by calling disconnect on all registered clients.

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.

execute(self, DataCommand command)

Execute the given data command.

• Parameters: command (DataCommand) – The command to execute.

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

process(self, Data data)

Process the given data.

• Parameters: data (Data) – The data to process.

register_catalog(self, catalog: ParquetDataCatalog)

Register the given data catalog with the engine.

• Parameters: catalog (ParquetDataCatalog) – The data catalog to register.

register_client(self, DataClient client)

Register the given data client with the data engine.

• Parameters: client (DataClient) – The client to register.
• Raises: ValueError – If client is already registered.

register_default_client(self, DataClient client)

Register the given client as the default routing client (when a specific venue routing cannot be found).

Any existing default routing client will be overwritten.

• Parameters: client (DataClient) – The client to register.

register_venue_routing(self, DataClient client, Venue venue)

Register the given client to route orders to the given venue.

Any existing client in the routing map for the given venue will be overwritten.

• Parameters:
  • venue (Venue) – The venue to route orders to.
  • client (ExecutionClient) – The client for the venue routing.

registered_clients

list[ClientId]

Return the execution clients registered with the engine.

• Return type: list[ClientId]
• Type: DataEngine.registered_clients

request(self, DataRequest request)

Handle the given request.

• Parameters: request (DataRequest) – The request to handle.

request_count

The total count of data requests received by the engine.

• Returns: int

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.

response(self, DataResponse response)

Handle the given response.

• Parameters: response (DataResponse) – The response to handle.

response_count

The total count of data responses received by the engine.

• Returns: int

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.

subscribed_bars(self)

Return the bar types subscribed to.

• Return type: list[BarType]

subscribed_custom_data(self)

Return the custom data types subscribed to.

• Return type: list[DataType]

subscribed_instrument_close(self)

Return the close price instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_instrument_status(self)

Return the status update instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_instruments(self)

Return the instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_order_book_deltas(self)

Return the order book delta instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_order_book_snapshots(self)

Return the order book snapshot instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_quote_ticks(self)

Return the quote tick instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_synthetic_quotes(self)

Return the synthetic instrument quote ticks subscribed to.

• Return type: list[InstrumentId]

subscribed_synthetic_trades(self)

Return the synthetic instrument trade ticks subscribed to.

• Return type: list[InstrumentId]

subscribed_trade_ticks(self)

Return the trade tick instruments subscribed to.

• Return type: list[InstrumentId]

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

Messages

class DataCommand

Bases: Command

DataCommand(ClientId client_id: ClientId | None, Venue venue: Venue | None, DataType data_type, UUID4 command_id, uint64_t ts_init)

The base class for all data commands.

• Parameters:
  • client_id (ClientId, optional with no default so None must be passed explicitly) – The data client ID for the command.
  • venue (Venue, optional with no default so None must be passed explicitly) – The venue for the command.
  • data_type (type) – The data type for the command.
  • command_id (UUID4) – The command ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
• Raises: ValueError – If both client_id and venue are both None (not enough routing info).

WARNING

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

client_id

The data client ID for the command.

• Returns: ClientId or None

data_type

The command data type.

• Returns: type

id

The command message ID.

• Returns: UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

The venue for the command.

• Returns: Venue or None

class DataRequest

Bases: Request

DataRequest(ClientId client_id: ClientId | None, Venue venue: Venue | None, DataType data_type, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init)

Represents a request for data.

• Parameters:
  • client_id (ClientId, optional with no default so None must be passed explicitly) – The data client ID for the request.
  • venue (Venue, optional with no default so None must be passed explicitly) – The venue for the request.
  • data_type (type) – The data type for the request.
  • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
  • request_id (UUID4) – The request ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
• Raises: ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

• Returns: Callable

client_id

The data client ID for the request.

• Returns: ClientId or None

data_type

The request data type.

• Returns: type

id

The request message ID.

• Returns: UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

The venue for the request.

• Returns: Venue or None

class DataResponse

Bases: Response

DataResponse(ClientId client_id: ClientId | None, Venue venue: Venue | None, DataType data_type, data, UUID4 correlation_id, UUID4 response_id, uint64_t ts_init)

Represents a response with data.

• Parameters:
  • client_id (ClientId, optional with no default so None must be passed explicitly) – The data client ID of the response.
  • venue (Venue, optional with no default so None must be passed explicitly) – The venue for the response.
  • data_type (type) – The data type of the response.
  • data (object) – The data of the response.
  • correlation_id (UUID4) – The correlation ID.
  • response_id (UUID4) – The response ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
• Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the response.

• Returns: ClientId or None

correlation_id

The response correlation ID.

• Returns: UUID4

data

The response data.

• Returns: object

data_type

The response data type.

• Returns: type

id

The response message ID.

• Returns: UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

The venue for the response.

• Returns: Venue or None

class Subscribe

Bases: DataCommand

Subscribe(ClientId client_id: ClientId | None, Venue venue: Venue | None, DataType data_type, UUID4 command_id, uint64_t ts_init)

Represents a command to subscribe to data.

• Parameters:
  • client_id (ClientId, optional with no default so None must be passed explicitly) – The data client ID for the command.
  • venue (Venue, optional with no default so None must be passed explicitly) – The venue for the command.
  • data_type (type) – The data type for the subscription.
  • command_id (UUID4) – The command ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
• Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

• Returns: ClientId or None

data_type

The command data type.

• Returns: type

id

The command message ID.

• Returns: UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

The venue for the command.

• Returns: Venue or None

class Unsubscribe

Bases: DataCommand

Unsubscribe(ClientId client_id: ClientId | None, Venue venue: Venue | None, DataType data_type, UUID4 command_id, uint64_t ts_init)

Represents a command to unsubscribe from data.

• Parameters:
  • client_id (ClientId, optional with no default so None must be passed explicitly) – The data client ID for the command.
  • venue (Venue, optional with no default so None must be passed explicitly) – The venue for the command.
  • data_type (type) – The data type to unsubscribe from.
  • command_id (UUID4) – The command ID.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
• Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

• Returns: ClientId or None

data_type

The command data type.

• Returns: type

id

The command message ID.

• Returns: UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

The venue for the command.

• Returns: Venue or None