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Events

Defines the fundamental event types represented within the trading domain.

class AccountState​

Bases: Event

AccountState(AccountId account_id, AccountType account_type, Currency base_currency, bool reported, list balances, list margins, dict info, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event which includes information on the state of the account.

  • Parameters:
    • account_id (AccountId) – The account ID (with the venue).
    • account_type (AccountType) – The account type for the event.
    • base_currency (Currency , optional) – The account base currency. Use None for multi-currency accounts.
    • reported (bool) – If the state is reported from the exchange (otherwise system calculated).
    • balances (list [AccountBalance ]) – The account balances.
    • margins (list [MarginBalance ]) – The margin balances (can be empty).
    • info (dict *[*str , object ]) – The additional implementation specific account information.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Raises: ValueError – If balances is empty.

account_id​

The account ID associated with the event.

  • Returns: AccountId

account_type​

The account type for the event.

  • Returns: AccountType

balances​

The account balances.

  • Returns: list[AccountBalance]

base_currency​

The account type for the event.

  • Returns: Currency or None

static from_dict(dict values)​

Return an account state event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: AccountState

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: AccountState.id

info​

The additional implementation specific account information.

  • Returns: dict[str, object]

is_reported​

If the state is reported from the exchange (otherwise system calculated).

  • Returns: bool

margins​

The margin balances.

  • Returns: list[MarginBalance]

static to_dict(AccountState obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: AccountState.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: AccountState.ts_init

class OrderAccepted​

Bases: OrderEvent

OrderAccepted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, AccountId account_id, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been accepted by the trading venue.

This event often corresponds to a NEW OrdStatus <39> field in FIX execution reports.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • account_id (AccountId) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderAccepted.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order accepted event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderAccepted

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderAccepted.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderAccepted.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderAccepted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderAccepted.strategy_id

static to_dict(OrderAccepted obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderAccepted.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderAccepted.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderAccepted.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderAccepted.venue_order_id

class OrderCanceled​

Bases: OrderEvent

OrderCanceled(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been canceled at the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderCanceled.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order canceled event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderCanceled

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderCanceled.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderCanceled.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderCanceled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderCanceled.strategy_id

static to_dict(OrderCanceled obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderCanceled.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderCanceled.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderCanceled.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderCanceled.venue_order_id

class OrderCancelRejected​

Bases: OrderEvent

OrderCancelRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, unicode reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a CancelOrder command has been rejected by the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • reason (str) – The order cancel rejected reason.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If reason is not a valid string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderCancelRejected.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderCancelRejected.client_order_id

static from_dict(dict values)​

Return an order cancel rejected event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderCancelRejected

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderCancelRejected.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderCancelRejected.instrument_id

reason​

str

Return the reason the order was rejected.

  • Return type: str
  • Type: OrderCancelRejected.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderCancelRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderCancelRejected.strategy_id

static to_dict(OrderCancelRejected obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderCancelRejected.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderCancelRejected.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderCancelRejected.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderCancelRejected.venue_order_id

class OrderDenied​

Bases: OrderEvent

OrderDenied(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, unicode reason, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has been denied by the Nautilus system.

This could be due an unsupported feature, a risk limit exceedance, or for any other reason that an otherwise valid order is not able to be submitted.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • reason (str) – The order denied reason.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Raises: ValueError – If denied_reason is not a valid_string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderDenied.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order denied event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderDenied

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderDenied.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

reason​

str

Return the reason the order was denied.

  • Return type: str
  • Type: OrderDenied.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderDenied.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderDenied.strategy_id

static to_dict(OrderDenied obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderDenied.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderDenied.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderDenied.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderDenied.venue_order_id

class OrderEmulated​

Bases: OrderEvent

OrderEmulated(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has become emulated by the Nautilus system.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderEmulated.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order emulated event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderEmulated

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderEmulated.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderEmulated.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderEmulated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderEmulated.strategy_id

static to_dict(OrderEmulated obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderEmulated.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderEmulated.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderEmulated.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderEmulated.venue_order_id

class OrderEvent​

Bases: Event

The abstract base class for all order events.

WARNING​

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

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderEvent.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderEvent.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderEvent.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderEvent.strategy_id

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderEvent.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderEvent.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderEvent.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderEvent.venue_order_id

class OrderExpired​

Bases: OrderEvent

OrderExpired(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has expired at the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderExpired.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order expired event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderExpired

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderExpired.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderExpired.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderExpired.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderExpired.strategy_id

static to_dict(OrderExpired obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderExpired.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderExpired.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderExpired.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderExpired.venue_order_id

class OrderFilled​

Bases: OrderEvent

OrderFilled(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, AccountId account_id, TradeId trade_id, PositionId position_id: PositionId | None, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency currency, Money commission, LiquiditySide liquidity_side, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False, dict info=None)

Represents an event where an order has been filled at the exchange.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • account_id (AccountId) – The account ID (with the venue).
    • trade_id (TradeId) – The trade match ID (assigned by the venue).
    • position_id (PositionId, optional with no default so None must be passed explicitly) – The position ID associated with the order fill (assigned by the venue).
    • order_side (OrderSide {BUY, SELL}) – The execution order side.
    • order_type (OrderType) – The execution order type.
    • last_qty (Quantity) – The fill quantity for this execution.
    • last_px (Price) – The fill price for this execution (not average price).
    • currency (Currency) – The currency of the price.
    • commission (Money) – The fill commission.
    • liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • info (dict *[*str , object ] , optional) – The additional fill information.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises:
    • ValueError – If order_side is NO_ORDER_SIDE.
    • ValueError – If last_qty is not positive (> 0).

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderFilled.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

commission​

The commission generated from the fill.

  • Returns: Money

currency​

The currency of the price.

  • Returns: Currency

static from_dict(dict values)​

Return an order filled event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderFilled

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderFilled.id

info​

The additional fill information.

  • Returns: dict[str, object]

instrument_id​

InstrumentId

The instrument ID associated with the event.

is_buy​

Return whether the fill order side is BUY.

  • Return type: bool

is_sell​

Return whether the fill order side is SELL.

  • Return type: bool

last_px​

The fill price for this execution.

  • Returns: Price

last_qty​

The fill quantity.

  • Returns: Quantity

liquidity_side​

The liquidity side of the event {MAKER, TAKER}.

  • Returns: LiquiditySide

order_side​

The order side.

  • Returns: OrderSide

order_type​

The order type.

  • Returns: OrderType

position_id​

The position ID (assigned by the venue).

  • Returns: PositionId or None

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderFilled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderFilled.strategy_id

static to_dict(OrderFilled obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trade_id​

The trade match ID (assigned by the venue).

  • Returns: TradeId

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderFilled.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderFilled.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderFilled.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderFilled.venue_order_id

class OrderInitialized​

Bases: OrderEvent

OrderInitialized(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, OrderType order_type, Quantity quantity, TimeInForce time_in_force, bool post_only, bool reduce_only, bool quote_quantity, dict options, TriggerType emulation_trigger, InstrumentId trigger_instrument_id: InstrumentId | None, ContingencyType contingency_type, OrderListId order_list_id: OrderListId | None, list linked_order_ids: list[ClientOrderId] | None, ClientOrderId parent_order_id: ClientOrderId | None, ExecAlgorithmId exec_algorithm_id: ExecAlgorithmId | None, dict exec_algorithm_params: dict[str, object] | None, ClientOrderId exec_spawn_id: ClientOrderId | None, list tags: list[str] | None, UUID4 event_id, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been initialized.

This is a seed event which can instantiate any order through a creation method. This event should contain enough information to be able to send it ‘over the wire’ and have a valid order created with exactly the same properties as if it had been instantiated locally.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • order_side (OrderSide {BUY, SELL}) – The order side.
    • order_type (OrderType) – The order type.
    • quantity (Quantity) – The order quantity.
    • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}) – The order time in force.
    • post_only (bool) – If the order will only provide liquidity (make a market).
    • reduce_only (bool) – If the order carries the ‘reduce-only’ execution instruction.
    • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
    • options (dict *[*str , str ]) – The order initialization options. Contains mappings for specific order parameters.
    • emulation_trigger (EmulationTrigger) – The emulation trigger for the order.
    • trigger_instrument_id (InstrumentId, optional with no default so None must be passed explicitly) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
    • contingency_type (ContingencyType) – The order contingency type.
    • order_list_id (OrderListId, optional with no default so None must be passed explicitly) – The order list ID associated with the order.
    • linked_order_ids (list[ClientOrderId], optional with no default so None must be passed explicitly) – The order linked client order ID(s).
    • parent_order_id (ClientOrderId, optional with no default so None must be passed explicitly) – The orders parent client order ID.
    • exec_algorithm_id (ExecAlgorithmId, optional with no default so None must be passed explicitly) – The execution algorithm ID for the order.
    • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
    • exec_spawn_id (ClientOrderId, optional with no default so None must be passed explicitly) – The execution algorithm spawning primary client order ID.
    • tags (list[str], optional with no default so None must be passed explicitly) – The custom user tags for the order.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises:
    • ValueError – If order_side is NO_ORDER_SIDE.
    • ValueError – If exec_algorithm_id is not None, and exec_spawn_id is None.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderInitialized.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderInitialized.client_order_id

contingency_type​

The orders contingency type.

  • Returns: ContingencyType

emulation_trigger​

The order emulation trigger type.

  • Returns: TriggerType

exec_algorithm_id​

The execution algorithm ID for the order.

  • Returns: ExecAlgorithmId or None

exec_algorithm_params​

The execution algorithm parameters for the order.

  • Returns: dict[str, Any] or None

exec_spawn_id​

The execution algorithm spawning client order ID.

  • Returns: ClientOrderId or None

static from_dict(dict values)​

Return an order initialized event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderInitialized

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderInitialized.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderInitialized.instrument_id

linked_order_ids​

The orders linked client order ID(s).

  • Returns: list[ClientOrderId] or None

options​

The order initialization options.

  • Returns: dict

order_list_id​

The order list ID associated with the order.

  • Returns: OrderListId or None

order_type​

The order type.

  • Returns: OrderType

parent_order_id​

The orders parent client order ID.

  • Returns: ClientOrderId or None

post_only​

If the order will only provide liquidity (make a market).

  • Returns: bool

quantity​

The order quantity.

  • Returns: Quantity

quote_quantity​

If the order quantity is denominated in the quote currency.

  • Returns: bool

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderInitialized.reconciliation

reduce_only​

If the order carries the ‘reduce-only’ execution instruction.

  • Returns: bool

set_client_order_id(self, ClientOrderId client_order_id)​

side​

The order side.

  • Returns: OrderSide

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderInitialized.strategy_id

tags​

The order custom user tags.

  • Returns: list[str] or None

time_in_force​

The order time in force.

  • Returns: TimeInForce

static to_dict(OrderInitialized obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderInitialized.trader_id

trigger_instrument_id​

The order emulation trigger instrument ID (will be instrument_id if None).

  • Returns: InstrumentId or None

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderInitialized.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderInitialized.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderInitialized.venue_order_id

class OrderModifyRejected​

Bases: OrderEvent

OrderModifyRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, unicode reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a ModifyOrder command has been rejected by the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • reason (str) – The order update rejected reason.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejected event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If reason is not a valid string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderModifyRejected.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderModifyRejected.client_order_id

static from_dict(dict values)​

Return an order update rejected event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderModifyRejected

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderModifyRejected.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderModifyRejected.instrument_id

reason​

str

Return the reason the order was rejected.

  • Return type: str
  • Type: OrderModifyRejected.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderModifyRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderModifyRejected.strategy_id

static to_dict(OrderModifyRejected obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderModifyRejected.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderModifyRejected.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderModifyRejected.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderModifyRejected.venue_order_id

class OrderPendingCancel​

Bases: OrderEvent

OrderPendingCancel(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a CancelOrder command has been sent to the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending cancel event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderPendingCancel.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderPendingCancel.client_order_id

static from_dict(dict values)​

Return an order pending cancel event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderPendingCancel

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderPendingCancel.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderPendingCancel.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderPendingCancel.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderPendingCancel.strategy_id

static to_dict(OrderPendingCancel obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderPendingCancel.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderPendingCancel.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderPendingCancel.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderPendingCancel.venue_order_id

class OrderPendingUpdate​

Bases: OrderEvent

OrderPendingUpdate(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an ModifyOrder command has been sent to the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending update event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderPendingUpdate.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderPendingUpdate.client_order_id

static from_dict(dict values)​

Return an order pending update event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderPendingUpdate

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderPendingUpdate.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderPendingUpdate.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderPendingUpdate.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderPendingUpdate.strategy_id

static to_dict(OrderPendingUpdate obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderPendingUpdate.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderPendingUpdate.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderPendingUpdate.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderPendingUpdate.venue_order_id

class OrderRejected​

Bases: OrderEvent

OrderRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, AccountId account_id, unicode reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been rejected by the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • account_id (AccountId) – The account ID (with the venue).
    • reason (datetime) – The order rejected reason.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If reason is not a valid string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderRejected.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order rejected event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderRejected

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderRejected.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderRejected.instrument_id

reason​

str

Return the reason the order was rejected.

  • Return type: str
  • Type: OrderRejected.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderRejected.strategy_id

static to_dict(OrderRejected obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderRejected.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderRejected.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderRejected.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderRejected.venue_order_id

class OrderReleased​

Bases: OrderEvent

OrderReleased(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, Price released_price, UUID4 event_id, uint64_t ts_init)

Represents an event where an order was released from the OrderEmulator by the Nautilus system.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • released_price (Price) – The price which released the order from the emulator.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderReleased.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order released event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderReleased

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderReleased.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderReleased.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderReleased.reconciliation

released_price​

Price

The released price for the event.

  • Return type: Price
  • Type: OrderReleased.released_price

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderReleased.strategy_id

static to_dict(OrderReleased obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderReleased.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderReleased.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderReleased.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderReleased.venue_order_id

class OrderSubmitted​

Bases: OrderEvent

OrderSubmitted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, AccountId account_id, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event where an order has been submitted by the system to the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • account_id (AccountId) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderSubmitted.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderSubmitted.client_order_id

static from_dict(dict values)​

Return an order submitted event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderSubmitted

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderSubmitted.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderSubmitted.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderSubmitted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderSubmitted.strategy_id

static to_dict(OrderSubmitted obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderSubmitted.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderSubmitted.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderSubmitted.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderSubmitted.venue_order_id

class OrderTriggered​

Bases: OrderEvent

OrderTriggered(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has triggered.

Applicable to StopLimit orders only.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderTriggered.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderTriggered.client_order_id

static from_dict(dict values)​

Return an order triggered event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderTriggered

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderTriggered.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderTriggered.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderTriggered.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderTriggered.strategy_id

static to_dict(OrderTriggered obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderTriggered.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderTriggered.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderTriggered.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderTriggered.venue_order_id

class OrderUpdated​

Bases: OrderEvent

OrderUpdated(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, Quantity quantity, Price price: Price | None, Price trigger_price: Price | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been updated at the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • quantity (Quantity) – The orders current quantity.
    • price (Price, optional with no default so None must be passed explicitly) – The orders current price.
    • trigger_price (Price, optional with no default so None must be passed explicitly) – The orders current trigger.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order updated event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If quantity is not positive (> 0).

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderUpdated.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order updated event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderUpdated

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderUpdated.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderUpdated.instrument_id

price​

The orders current price.

  • Returns: Price

quantity​

The orders current quantity.

  • Returns: Quantity

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderUpdated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderUpdated.strategy_id

static to_dict(OrderUpdated obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderUpdated.trader_id

trigger_price​

The orders current trigger price.

  • Returns: Price or None

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderUpdated.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderUpdated.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderUpdated.venue_order_id

class PositionChanged​

Bases: PositionEvent

PositionChanged(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, Money unrealized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_event, uint64_t ts_init)

Represents an event where a position has changed.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • strategy_id – The strategy ID associated with the event.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (double) – The average open price.
    • avg_px_close (double) – The average close price.
    • realized_return (double) – The realized return for the position.
    • realized_pnl (Money) – The realized PnL for the position.
    • unrealized_pnl (Money) – The unrealized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position changed event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)​

Return a position changed event from the given params.

  • Parameters:
    • position (Position) – The position for the event.
    • fill (OrderFilled) – The order fill for the event.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Return type: PositionChanged

static from_dict(dict values)​

Return a position changed event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: PositionChanged

static to_dict(PositionChanged obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

class PositionClosed​

Bases: PositionEvent

PositionClosed(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, ClientOrderId closing_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_closed, uint64_t duration_ns, uint64_t ts_init)

Represents an event where a position has been closed.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
    • strategy_id – The strategy ID associated with the event.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {FLAT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (Decimal) – The average open price.
    • avg_px_close (Decimal) – The average close price.
    • realized_return (Decimal) – The realized return for the position.
    • realized_pnl (Money) – The realized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
    • duration_ns (uint64_t) – The total open duration (nanoseconds).
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)​

Return a position closed event from the given params.

  • Parameters:
    • position (Position) – The position for the event.
    • fill (OrderFilled) – The order fill for the event.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Return type: PositionClosed

static from_dict(dict values)​

Return a position closed event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: PositionClosed

static to_dict(PositionClosed obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

class PositionEvent​

Bases: Event

PositionEvent(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, ClientOrderId closing_order_id: ClientOrderId | None, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, Money unrealized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_closed, uint64_t duration_ns, uint64_t ts_event, uint64_t ts_init)

The base class for all position events.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (double) – The average open price.
    • avg_px_close (double) – The average close price.
    • realized_return (double) – The realized return for the position.
    • realized_pnl (Money) – The realized PnL for the position.
    • unrealized_pnl (Money) – The unrealized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
    • duration_ns (uint64_t) – The total open duration (nanoseconds), will be 0 if still open.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

WARNING​

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

account_id​

The account ID associated with the position.

  • Returns: AccountId

avg_px_close​

The average closing price.

  • Returns: double

avg_px_open​

The average open price.

  • Returns: double

closing_order_id​

The client order ID for the order which closed the position.

  • Returns: ClientOrderId or None

currency​

The position quote currency.

  • Returns: Currency

duration_ns​

The total open duration (nanoseconds).

  • Returns: uint64_t

entry​

The entry direction from open.

  • Returns: OrderSide

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: PositionEvent.id

instrument_id​

The instrument ID associated with the event.

  • Returns: InstrumentId

last_px​

The last fill price for the position.

  • Returns: Price

last_qty​

The last fill quantity for the position.

  • Returns: Quantity

opening_order_id​

The client order ID for the order which opened the position.

  • Returns: ClientOrderId

peak_qty​

The peak directional quantity reached by the position.

  • Returns: Quantity

position_id​

The position ID associated with the event.

  • Returns: PositionId

quantity​

The position open quantity.

  • Returns: Quantity

realized_pnl​

The realized PnL for the position (including commissions).

  • Returns: Money

realized_return​

The realized return for the position.

  • Returns: double

side​

The position side.

  • Returns: PositionSide

signed_qty​

The position signed quantity (positive for LONG, negative for SHORT).

  • Returns: double

strategy_id​

The strategy ID associated with the event.

  • Returns: StrategyId

trader_id​

The trader ID associated with the event.

  • Returns: TraderId

ts_closed​

UNIX timestamp (nanoseconds) when the position was closed.

  • Returns: uint64_t

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: PositionEvent.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: PositionEvent.ts_init

ts_opened​

UNIX timestamp (nanoseconds) when the position was opened.

  • Returns: uint64_t

unrealized_pnl​

The unrealized PnL for the position (including commissions).

  • Returns: Money

class PositionOpened​

Bases: PositionEvent

PositionOpened(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, Money realized_pnl, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event where a position has been opened.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • strategy_id – The strategy ID associated with the event.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {LONG, SHORT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (double) – The average open price.
    • realized_pnl (Money) – The realized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)​

Return a position opened event from the given params.

  • Parameters:
    • position (Position) – The position for the event.
    • fill (OrderFilled) – The order fill for the event.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Return type: PositionOpened

static from_dict(dict values)​

Return a position opened event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: PositionOpened

static to_dict(PositionOpened obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

class AccountState​

Bases: Event

AccountState(AccountId account_id, AccountType account_type, Currency base_currency, bool reported, list balances, list margins, dict info, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event which includes information on the state of the account.

  • Parameters:
    • account_id (AccountId) – The account ID (with the venue).
    • account_type (AccountType) – The account type for the event.
    • base_currency (Currency , optional) – The account base currency. Use None for multi-currency accounts.
    • reported (bool) – If the state is reported from the exchange (otherwise system calculated).
    • balances (list [AccountBalance ]) – The account balances.
    • margins (list [MarginBalance ]) – The margin balances (can be empty).
    • info (dict *[*str , object ]) – The additional implementation specific account information.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Raises: ValueError – If balances is empty.

account_id​

The account ID associated with the event.

  • Returns: AccountId

account_type​

The account type for the event.

  • Returns: AccountType

balances​

The account balances.

  • Returns: list[AccountBalance]

base_currency​

The account type for the event.

  • Returns: Currency or None

static from_dict(dict values)​

Return an account state event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: AccountState

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: AccountState.id

info​

The additional implementation specific account information.

  • Returns: dict[str, object]

is_reported​

If the state is reported from the exchange (otherwise system calculated).

  • Returns: bool

margins​

The margin balances.

  • Returns: list[MarginBalance]

static to_dict(AccountState obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: AccountState.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: AccountState.ts_init

class OrderAccepted​

Bases: OrderEvent

OrderAccepted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, AccountId account_id, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been accepted by the trading venue.

This event often corresponds to a NEW OrdStatus <39> field in FIX execution reports.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • account_id (AccountId) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderAccepted.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order accepted event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderAccepted

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderAccepted.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderAccepted.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderAccepted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderAccepted.strategy_id

static to_dict(OrderAccepted obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderAccepted.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderAccepted.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderAccepted.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderAccepted.venue_order_id

class OrderCancelRejected​

Bases: OrderEvent

OrderCancelRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, unicode reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a CancelOrder command has been rejected by the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • reason (str) – The order cancel rejected reason.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If reason is not a valid string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderCancelRejected.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderCancelRejected.client_order_id

static from_dict(dict values)​

Return an order cancel rejected event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderCancelRejected

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderCancelRejected.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderCancelRejected.instrument_id

reason​

str

Return the reason the order was rejected.

  • Return type: str
  • Type: OrderCancelRejected.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderCancelRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderCancelRejected.strategy_id

static to_dict(OrderCancelRejected obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderCancelRejected.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderCancelRejected.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderCancelRejected.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderCancelRejected.venue_order_id

class OrderCanceled​

Bases: OrderEvent

OrderCanceled(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been canceled at the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderCanceled.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order canceled event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderCanceled

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderCanceled.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderCanceled.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderCanceled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderCanceled.strategy_id

static to_dict(OrderCanceled obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderCanceled.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderCanceled.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderCanceled.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderCanceled.venue_order_id

class OrderDenied​

Bases: OrderEvent

OrderDenied(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, unicode reason, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has been denied by the Nautilus system.

This could be due an unsupported feature, a risk limit exceedance, or for any other reason that an otherwise valid order is not able to be submitted.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • reason (str) – The order denied reason.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Raises: ValueError – If denied_reason is not a valid_string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderDenied.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order denied event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderDenied

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderDenied.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

reason​

str

Return the reason the order was denied.

  • Return type: str
  • Type: OrderDenied.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderDenied.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderDenied.strategy_id

static to_dict(OrderDenied obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderDenied.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderDenied.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderDenied.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderDenied.venue_order_id

class OrderEmulated​

Bases: OrderEvent

OrderEmulated(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has become emulated by the Nautilus system.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderEmulated.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order emulated event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderEmulated

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderEmulated.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderEmulated.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderEmulated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderEmulated.strategy_id

static to_dict(OrderEmulated obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderEmulated.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderEmulated.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderEmulated.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderEmulated.venue_order_id

class OrderEvent​

Bases: Event

The abstract base class for all order events.

WARNING​

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

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderEvent.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderEvent.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderEvent.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderEvent.strategy_id

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderEvent.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderEvent.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderEvent.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderEvent.venue_order_id

class OrderExpired​

Bases: OrderEvent

OrderExpired(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has expired at the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderExpired.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order expired event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderExpired

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderExpired.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderExpired.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderExpired.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderExpired.strategy_id

static to_dict(OrderExpired obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderExpired.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderExpired.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderExpired.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderExpired.venue_order_id

class OrderFilled​

Bases: OrderEvent

OrderFilled(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, AccountId account_id, TradeId trade_id, PositionId position_id: PositionId | None, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency currency, Money commission, LiquiditySide liquidity_side, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False, dict info=None)

Represents an event where an order has been filled at the exchange.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • account_id (AccountId) – The account ID (with the venue).
    • trade_id (TradeId) – The trade match ID (assigned by the venue).
    • position_id (PositionId, optional with no default so None must be passed explicitly) – The position ID associated with the order fill (assigned by the venue).
    • order_side (OrderSide {BUY, SELL}) – The execution order side.
    • order_type (OrderType) – The execution order type.
    • last_qty (Quantity) – The fill quantity for this execution.
    • last_px (Price) – The fill price for this execution (not average price).
    • currency (Currency) – The currency of the price.
    • commission (Money) – The fill commission.
    • liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • info (dict *[*str , object ] , optional) – The additional fill information.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises:
    • ValueError – If order_side is NO_ORDER_SIDE.
    • ValueError – If last_qty is not positive (> 0).

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderFilled.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

commission​

The commission generated from the fill.

  • Returns: Money

currency​

The currency of the price.

  • Returns: Currency

static from_dict(dict values)​

Return an order filled event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderFilled

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderFilled.id

info​

The additional fill information.

  • Returns: dict[str, object]

instrument_id​

InstrumentId

The instrument ID associated with the event.

is_buy​

Return whether the fill order side is BUY.

  • Return type: bool

is_sell​

Return whether the fill order side is SELL.

  • Return type: bool

last_px​

The fill price for this execution.

  • Returns: Price

last_qty​

The fill quantity.

  • Returns: Quantity

liquidity_side​

The liquidity side of the event {MAKER, TAKER}.

  • Returns: LiquiditySide

order_side​

The order side.

  • Returns: OrderSide

order_type​

The order type.

  • Returns: OrderType

position_id​

The position ID (assigned by the venue).

  • Returns: PositionId or None

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderFilled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderFilled.strategy_id

static to_dict(OrderFilled obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trade_id​

The trade match ID (assigned by the venue).

  • Returns: TradeId

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderFilled.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderFilled.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderFilled.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderFilled.venue_order_id

class OrderInitialized​

Bases: OrderEvent

OrderInitialized(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, OrderType order_type, Quantity quantity, TimeInForce time_in_force, bool post_only, bool reduce_only, bool quote_quantity, dict options, TriggerType emulation_trigger, InstrumentId trigger_instrument_id: InstrumentId | None, ContingencyType contingency_type, OrderListId order_list_id: OrderListId | None, list linked_order_ids: list[ClientOrderId] | None, ClientOrderId parent_order_id: ClientOrderId | None, ExecAlgorithmId exec_algorithm_id: ExecAlgorithmId | None, dict exec_algorithm_params: dict[str, object] | None, ClientOrderId exec_spawn_id: ClientOrderId | None, list tags: list[str] | None, UUID4 event_id, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been initialized.

This is a seed event which can instantiate any order through a creation method. This event should contain enough information to be able to send it ‘over the wire’ and have a valid order created with exactly the same properties as if it had been instantiated locally.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • order_side (OrderSide {BUY, SELL}) – The order side.
    • order_type (OrderType) – The order type.
    • quantity (Quantity) – The order quantity.
    • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}) – The order time in force.
    • post_only (bool) – If the order will only provide liquidity (make a market).
    • reduce_only (bool) – If the order carries the ‘reduce-only’ execution instruction.
    • quote_quantity (bool) – If the order quantity is denominated in the quote currency.
    • options (dict *[*str , str ]) – The order initialization options. Contains mappings for specific order parameters.
    • emulation_trigger (EmulationTrigger) – The emulation trigger for the order.
    • trigger_instrument_id (InstrumentId, optional with no default so None must be passed explicitly) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
    • contingency_type (ContingencyType) – The order contingency type.
    • order_list_id (OrderListId, optional with no default so None must be passed explicitly) – The order list ID associated with the order.
    • linked_order_ids (list[ClientOrderId], optional with no default so None must be passed explicitly) – The order linked client order ID(s).
    • parent_order_id (ClientOrderId, optional with no default so None must be passed explicitly) – The orders parent client order ID.
    • exec_algorithm_id (ExecAlgorithmId, optional with no default so None must be passed explicitly) – The execution algorithm ID for the order.
    • exec_algorithm_params (dict *[*str , Any ] , optional) – The execution algorithm parameters for the order.
    • exec_spawn_id (ClientOrderId, optional with no default so None must be passed explicitly) – The execution algorithm spawning primary client order ID.
    • tags (list[str], optional with no default so None must be passed explicitly) – The custom user tags for the order.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises:
    • ValueError – If order_side is NO_ORDER_SIDE.
    • ValueError – If exec_algorithm_id is not None, and exec_spawn_id is None.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderInitialized.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderInitialized.client_order_id

contingency_type​

The orders contingency type.

  • Returns: ContingencyType

emulation_trigger​

The order emulation trigger type.

  • Returns: TriggerType

exec_algorithm_id​

The execution algorithm ID for the order.

  • Returns: ExecAlgorithmId or None

exec_algorithm_params​

The execution algorithm parameters for the order.

  • Returns: dict[str, Any] or None

exec_spawn_id​

The execution algorithm spawning client order ID.

  • Returns: ClientOrderId or None

static from_dict(dict values)​

Return an order initialized event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderInitialized

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderInitialized.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderInitialized.instrument_id

linked_order_ids​

The orders linked client order ID(s).

  • Returns: list[ClientOrderId] or None

options​

The order initialization options.

  • Returns: dict

order_list_id​

The order list ID associated with the order.

  • Returns: OrderListId or None

order_type​

The order type.

  • Returns: OrderType

parent_order_id​

The orders parent client order ID.

  • Returns: ClientOrderId or None

post_only​

If the order will only provide liquidity (make a market).

  • Returns: bool

quantity​

The order quantity.

  • Returns: Quantity

quote_quantity​

If the order quantity is denominated in the quote currency.

  • Returns: bool

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderInitialized.reconciliation

reduce_only​

If the order carries the ‘reduce-only’ execution instruction.

  • Returns: bool

set_client_order_id(self, ClientOrderId client_order_id)​

side​

The order side.

  • Returns: OrderSide

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderInitialized.strategy_id

tags​

The order custom user tags.

  • Returns: list[str] or None

time_in_force​

The order time in force.

  • Returns: TimeInForce

static to_dict(OrderInitialized obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderInitialized.trader_id

trigger_instrument_id​

The order emulation trigger instrument ID (will be instrument_id if None).

  • Returns: InstrumentId or None

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderInitialized.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderInitialized.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderInitialized.venue_order_id

class OrderModifyRejected​

Bases: OrderEvent

OrderModifyRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, unicode reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a ModifyOrder command has been rejected by the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • reason (str) – The order update rejected reason.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejected event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If reason is not a valid string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderModifyRejected.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderModifyRejected.client_order_id

static from_dict(dict values)​

Return an order update rejected event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderModifyRejected

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderModifyRejected.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderModifyRejected.instrument_id

reason​

str

Return the reason the order was rejected.

  • Return type: str
  • Type: OrderModifyRejected.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderModifyRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderModifyRejected.strategy_id

static to_dict(OrderModifyRejected obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderModifyRejected.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderModifyRejected.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderModifyRejected.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderModifyRejected.venue_order_id

class OrderPendingCancel​

Bases: OrderEvent

OrderPendingCancel(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a CancelOrder command has been sent to the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending cancel event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderPendingCancel.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderPendingCancel.client_order_id

static from_dict(dict values)​

Return an order pending cancel event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderPendingCancel

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderPendingCancel.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderPendingCancel.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderPendingCancel.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderPendingCancel.strategy_id

static to_dict(OrderPendingCancel obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderPendingCancel.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderPendingCancel.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderPendingCancel.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderPendingCancel.venue_order_id

class OrderPendingUpdate​

Bases: OrderEvent

OrderPendingUpdate(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an ModifyOrder command has been sent to the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending update event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderPendingUpdate.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderPendingUpdate.client_order_id

static from_dict(dict values)​

Return an order pending update event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderPendingUpdate

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderPendingUpdate.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderPendingUpdate.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderPendingUpdate.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderPendingUpdate.strategy_id

static to_dict(OrderPendingUpdate obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderPendingUpdate.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderPendingUpdate.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderPendingUpdate.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderPendingUpdate.venue_order_id

class OrderRejected​

Bases: OrderEvent

OrderRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, AccountId account_id, unicode reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been rejected by the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • account_id (AccountId) – The account ID (with the venue).
    • reason (datetime) – The order rejected reason.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If reason is not a valid string.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderRejected.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order rejected event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderRejected

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderRejected.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderRejected.instrument_id

reason​

str

Return the reason the order was rejected.

  • Return type: str
  • Type: OrderRejected.reason

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderRejected.strategy_id

static to_dict(OrderRejected obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderRejected.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderRejected.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderRejected.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderRejected.venue_order_id

class OrderReleased​

Bases: OrderEvent

OrderReleased(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, Price released_price, UUID4 event_id, uint64_t ts_init)

Represents an event where an order was released from the OrderEmulator by the Nautilus system.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • released_price (Price) – The price which released the order from the emulator.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderReleased.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order released event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderReleased

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderReleased.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderReleased.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderReleased.reconciliation

released_price​

Price

The released price for the event.

  • Return type: Price
  • Type: OrderReleased.released_price

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderReleased.strategy_id

static to_dict(OrderReleased obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderReleased.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderReleased.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderReleased.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderReleased.venue_order_id

class OrderSubmitted​

Bases: OrderEvent

OrderSubmitted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, AccountId account_id, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event where an order has been submitted by the system to the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • account_id (AccountId) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderSubmitted.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderSubmitted.client_order_id

static from_dict(dict values)​

Return an order submitted event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderSubmitted

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderSubmitted.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderSubmitted.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderSubmitted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderSubmitted.strategy_id

static to_dict(OrderSubmitted obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderSubmitted.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderSubmitted.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderSubmitted.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderSubmitted.venue_order_id

class OrderTriggered​

Bases: OrderEvent

OrderTriggered(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has triggered.

Applicable to StopLimit orders only.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderTriggered.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

  • Return type: ClientOrderId
  • Type: OrderTriggered.client_order_id

static from_dict(dict values)​

Return an order triggered event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderTriggered

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderTriggered.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderTriggered.instrument_id

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderTriggered.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderTriggered.strategy_id

static to_dict(OrderTriggered obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderTriggered.trader_id

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderTriggered.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderTriggered.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderTriggered.venue_order_id

class OrderUpdated​

Bases: OrderEvent

OrderUpdated(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, Quantity quantity, Price price: Price | None, Price trigger_price: Price | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been updated at the trading venue.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId, optional with no default so None must be passed explicitly) – The venue order ID (assigned by the venue).
    • account_id (AccountId, optional with no default so None must be passed explicitly) – The account ID (with the venue).
    • quantity (Quantity) – The orders current quantity.
    • price (Price, optional with no default so None must be passed explicitly) – The orders current price.
    • trigger_price (Price, optional with no default so None must be passed explicitly) – The orders current trigger.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order updated event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • reconciliation (bool , default False) – If the event was generated during reconciliation.
  • Raises: ValueError – If quantity is not positive (> 0).

account_id​

AccountId | None

The account ID associated with the event.

  • Return type: AccountId or None
  • Type: OrderUpdated.account_id

client_order_id​

ClientOrderId

The client order ID associated with the event.

static from_dict(dict values)​

Return an order updated event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: OrderUpdated

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: OrderUpdated.id

instrument_id​

InstrumentId

The instrument ID associated with the event.

  • Return type: InstrumentId
  • Type: OrderUpdated.instrument_id

price​

The orders current price.

  • Returns: Price

quantity​

The orders current quantity.

  • Returns: Quantity

reconciliation​

bool

If the event was generated during reconciliation.

  • Return type: bool
  • Type: OrderUpdated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)​

strategy_id​

TraderId

The strategy ID associated with the event.

  • Return type: StrategyId
  • Type: OrderUpdated.strategy_id

static to_dict(OrderUpdated obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

TraderId

The trader ID associated with the event.

  • Return type: TraderId
  • Type: OrderUpdated.trader_id

trigger_price​

The orders current trigger price.

  • Returns: Price or None

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: OrderUpdated.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: OrderUpdated.ts_init

venue_order_id​

VenueOrderId | None

The venue order ID associated with the event.

  • Return type: VenueOrderId or None
  • Type: OrderUpdated.venue_order_id

class PositionChanged​

Bases: PositionEvent

PositionChanged(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, Money unrealized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_event, uint64_t ts_init)

Represents an event where a position has changed.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • strategy_id – The strategy ID associated with the event.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (double) – The average open price.
    • avg_px_close (double) – The average close price.
    • realized_return (double) – The realized return for the position.
    • realized_pnl (Money) – The realized PnL for the position.
    • unrealized_pnl (Money) – The unrealized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position changed event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

The account ID associated with the position.

  • Returns: AccountId

avg_px_close​

The average closing price.

  • Returns: double

avg_px_open​

The average open price.

  • Returns: double

closing_order_id​

The client order ID for the order which closed the position.

  • Returns: ClientOrderId or None

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)​

Return a position changed event from the given params.

  • Parameters:
    • position (Position) – The position for the event.
    • fill (OrderFilled) – The order fill for the event.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Return type: PositionChanged

currency​

The position quote currency.

  • Returns: Currency

duration_ns​

The total open duration (nanoseconds).

  • Returns: uint64_t

entry​

The entry direction from open.

  • Returns: OrderSide

static from_dict(dict values)​

Return a position changed event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: PositionChanged

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: PositionEvent.id

instrument_id​

The instrument ID associated with the event.

  • Returns: InstrumentId

last_px​

The last fill price for the position.

  • Returns: Price

last_qty​

The last fill quantity for the position.

  • Returns: Quantity

opening_order_id​

The client order ID for the order which opened the position.

  • Returns: ClientOrderId

peak_qty​

The peak directional quantity reached by the position.

  • Returns: Quantity

position_id​

The position ID associated with the event.

  • Returns: PositionId

quantity​

The position open quantity.

  • Returns: Quantity

realized_pnl​

The realized PnL for the position (including commissions).

  • Returns: Money

realized_return​

The realized return for the position.

  • Returns: double

side​

The position side.

  • Returns: PositionSide

signed_qty​

The position signed quantity (positive for LONG, negative for SHORT).

  • Returns: double

strategy_id​

The strategy ID associated with the event.

  • Returns: StrategyId

static to_dict(PositionChanged obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the event.

  • Returns: TraderId

ts_closed​

UNIX timestamp (nanoseconds) when the position was closed.

  • Returns: uint64_t

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: PositionEvent.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: PositionEvent.ts_init

ts_opened​

UNIX timestamp (nanoseconds) when the position was opened.

  • Returns: uint64_t

unrealized_pnl​

The unrealized PnL for the position (including commissions).

  • Returns: Money

class PositionClosed​

Bases: PositionEvent

PositionClosed(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, ClientOrderId closing_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_closed, uint64_t duration_ns, uint64_t ts_init)

Represents an event where a position has been closed.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
    • strategy_id – The strategy ID associated with the event.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {FLAT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (Decimal) – The average open price.
    • avg_px_close (Decimal) – The average close price.
    • realized_return (Decimal) – The realized return for the position.
    • realized_pnl (Money) – The realized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
    • duration_ns (uint64_t) – The total open duration (nanoseconds).
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

The account ID associated with the position.

  • Returns: AccountId

avg_px_close​

The average closing price.

  • Returns: double

avg_px_open​

The average open price.

  • Returns: double

closing_order_id​

The client order ID for the order which closed the position.

  • Returns: ClientOrderId or None

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)​

Return a position closed event from the given params.

  • Parameters:
    • position (Position) – The position for the event.
    • fill (OrderFilled) – The order fill for the event.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Return type: PositionClosed

currency​

The position quote currency.

  • Returns: Currency

duration_ns​

The total open duration (nanoseconds).

  • Returns: uint64_t

entry​

The entry direction from open.

  • Returns: OrderSide

static from_dict(dict values)​

Return a position closed event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: PositionClosed

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: PositionEvent.id

instrument_id​

The instrument ID associated with the event.

  • Returns: InstrumentId

last_px​

The last fill price for the position.

  • Returns: Price

last_qty​

The last fill quantity for the position.

  • Returns: Quantity

opening_order_id​

The client order ID for the order which opened the position.

  • Returns: ClientOrderId

peak_qty​

The peak directional quantity reached by the position.

  • Returns: Quantity

position_id​

The position ID associated with the event.

  • Returns: PositionId

quantity​

The position open quantity.

  • Returns: Quantity

realized_pnl​

The realized PnL for the position (including commissions).

  • Returns: Money

realized_return​

The realized return for the position.

  • Returns: double

side​

The position side.

  • Returns: PositionSide

signed_qty​

The position signed quantity (positive for LONG, negative for SHORT).

  • Returns: double

strategy_id​

The strategy ID associated with the event.

  • Returns: StrategyId

static to_dict(PositionClosed obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the event.

  • Returns: TraderId

ts_closed​

UNIX timestamp (nanoseconds) when the position was closed.

  • Returns: uint64_t

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: PositionEvent.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: PositionEvent.ts_init

ts_opened​

UNIX timestamp (nanoseconds) when the position was opened.

  • Returns: uint64_t

unrealized_pnl​

The unrealized PnL for the position (including commissions).

  • Returns: Money

class PositionEvent​

Bases: Event

PositionEvent(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, ClientOrderId closing_order_id: ClientOrderId | None, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, Money unrealized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_closed, uint64_t duration_ns, uint64_t ts_event, uint64_t ts_init)

The base class for all position events.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (double) – The average open price.
    • avg_px_close (double) – The average close price.
    • realized_return (double) – The realized return for the position.
    • realized_pnl (Money) – The realized PnL for the position.
    • unrealized_pnl (Money) – The unrealized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
    • duration_ns (uint64_t) – The total open duration (nanoseconds), will be 0 if still open.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

WARNING​

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

account_id​

The account ID associated with the position.

  • Returns: AccountId

avg_px_close​

The average closing price.

  • Returns: double

avg_px_open​

The average open price.

  • Returns: double

closing_order_id​

The client order ID for the order which closed the position.

  • Returns: ClientOrderId or None

currency​

The position quote currency.

  • Returns: Currency

duration_ns​

The total open duration (nanoseconds).

  • Returns: uint64_t

entry​

The entry direction from open.

  • Returns: OrderSide

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: PositionEvent.id

instrument_id​

The instrument ID associated with the event.

  • Returns: InstrumentId

last_px​

The last fill price for the position.

  • Returns: Price

last_qty​

The last fill quantity for the position.

  • Returns: Quantity

opening_order_id​

The client order ID for the order which opened the position.

  • Returns: ClientOrderId

peak_qty​

The peak directional quantity reached by the position.

  • Returns: Quantity

position_id​

The position ID associated with the event.

  • Returns: PositionId

quantity​

The position open quantity.

  • Returns: Quantity

realized_pnl​

The realized PnL for the position (including commissions).

  • Returns: Money

realized_return​

The realized return for the position.

  • Returns: double

side​

The position side.

  • Returns: PositionSide

signed_qty​

The position signed quantity (positive for LONG, negative for SHORT).

  • Returns: double

strategy_id​

The strategy ID associated with the event.

  • Returns: StrategyId

trader_id​

The trader ID associated with the event.

  • Returns: TraderId

ts_closed​

UNIX timestamp (nanoseconds) when the position was closed.

  • Returns: uint64_t

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: PositionEvent.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: PositionEvent.ts_init

ts_opened​

UNIX timestamp (nanoseconds) when the position was opened.

  • Returns: uint64_t

unrealized_pnl​

The unrealized PnL for the position (including commissions).

  • Returns: Money

class PositionOpened​

Bases: PositionEvent

PositionOpened(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, Money realized_pnl, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event where a position has been opened.

  • Parameters:
    • trader_id (TraderId) – The trader ID.
    • strategy_id (StrategyId) – The strategy ID.
    • instrument_id (InstrumentId) – The instrument ID.
    • position_id (PositionId) – The position IDt.
    • account_id (AccountId) – The strategy ID.
    • opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
    • strategy_id – The strategy ID associated with the event.
    • entry (OrderSide {BUY, SELL}) – The position entry order side.
    • side (PositionSide {LONG, SHORT}) – The current position side.
    • signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
    • quantity (Quantity) – The current open quantity.
    • peak_qty (Quantity) – The peak directional quantity reached by the position.
    • last_qty (Quantity) – The last fill quantity for the position.
    • last_px (Price) – The last fill price for the position (not average price).
    • currency (Currency) – The position quote currency.
    • avg_px_open (double) – The average open price.
    • realized_pnl (Money) – The realized PnL for the position.
    • event_id (UUID4) – The event ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id​

The account ID associated with the position.

  • Returns: AccountId

avg_px_close​

The average closing price.

  • Returns: double

avg_px_open​

The average open price.

  • Returns: double

closing_order_id​

The client order ID for the order which closed the position.

  • Returns: ClientOrderId or None

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)​

Return a position opened event from the given params.

  • Parameters:
    • position (Position) – The position for the event.
    • fill (OrderFilled) – The order fill for the event.
    • event_id (UUID4) – The event ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Return type: PositionOpened

currency​

The position quote currency.

  • Returns: Currency

duration_ns​

The total open duration (nanoseconds).

  • Returns: uint64_t

entry​

The entry direction from open.

  • Returns: OrderSide

static from_dict(dict values)​

Return a position opened event from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: PositionOpened

id​

UUID4

The event message identifier.

  • Return type: UUID4
  • Type: PositionEvent.id

instrument_id​

The instrument ID associated with the event.

  • Returns: InstrumentId

last_px​

The last fill price for the position.

  • Returns: Price

last_qty​

The last fill quantity for the position.

  • Returns: Quantity

opening_order_id​

The client order ID for the order which opened the position.

  • Returns: ClientOrderId

peak_qty​

The peak directional quantity reached by the position.

  • Returns: Quantity

position_id​

The position ID associated with the event.

  • Returns: PositionId

quantity​

The position open quantity.

  • Returns: Quantity

realized_pnl​

The realized PnL for the position (including commissions).

  • Returns: Money

realized_return​

The realized return for the position.

  • Returns: double

side​

The position side.

  • Returns: PositionSide

signed_qty​

The position signed quantity (positive for LONG, negative for SHORT).

  • Returns: double

strategy_id​

The strategy ID associated with the event.

  • Returns: StrategyId

static to_dict(PositionOpened obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the event.

  • Returns: TraderId

ts_closed​

UNIX timestamp (nanoseconds) when the position was closed.

  • Returns: uint64_t

ts_event​

int

UNIX timestamp (nanoseconds) when the event occurred.

  • Return type: int
  • Type: PositionEvent.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: PositionEvent.ts_init

ts_opened​

UNIX timestamp (nanoseconds) when the position was opened.

  • Returns: uint64_t

unrealized_pnl​

The unrealized PnL for the position (including commissions).

  • Returns: Money
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