Instruments

Defines tradable asset/contract instruments with specific properties dependent on the asset class and instrument class.

class Instrument

Bases: Data

Instrument(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, InstrumentClass instrument_class, Currency quote_currency, bool is_inverse, int price_precision, int size_precision, Quantity size_increment, Quantity multiplier, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Price price_increment: Price | None = None, Quantity lot_size: Quantity | None = None, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, unicode tick_scheme_name=None, dict info=None)

The base class for all instruments.

Represents a tradable instrument. This class can be used to define an instrument, or act as a parent class for more specific instruments.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The instrument asset class.
  • instrument_class (InstrumentClass) – The instrument class.
  • quote_currency (Currency) – The quote currency.
  • is_inverse (bool) – If the instrument costing is inverse (quantity expressed in quote currency units).
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • size_increment (Price) – The minimum size increment.
  • multiplier (Decimal) – The contract value multiplier (determines tick value).
  • lot_size (Quantity , optional) – The rounded lot unit size (standard/board).
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • price_increment (Price , optional) – The minimum price increment (tick size).
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • tick_scheme_name (str , optional) – The name of the tick scheme.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If tick_scheme_name is not a valid string.
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If lot size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

asset_class

The asset class of the instrument.

• Returns: AssetClass

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

get_base_currency(self)

Return the instruments base currency (if applicable).

• Return type: Currency or None

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

Return the instruments trading venue.

• Return type: Venue

instruments_from_pyo3(list pyo3_instruments)

class BettingInstrument

Bases: Instrument

BettingInstrument(unicode venue_name, int event_type_id, unicode event_type_name, int competition_id, unicode competition_name, int event_id, unicode event_name, unicode event_country_code, datetime event_open_date, unicode betting_type, unicode market_id, unicode market_name, datetime market_start_time, unicode market_type, int selection_id, unicode selection_name, unicode currency, float selection_handicap, int8_t price_precision, int8_t size_precision, uint64_t ts_event, uint64_t ts_init, unicode tick_scheme_name=None, Price min_price=None, Price max_price=None, dict info=None)

Represents an instrument in a betting market.

betting_type

competition_id

competition_name

event_country_code

event_id

event_name

event_open_date

event_type_id

event_type_name

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: BettingInstrument

market_id

market_name

market_start_time

market_type

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

selection_handicap

selection_id

selection_name

static to_dict(BettingInstrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

class Cfd

Bases: Instrument

Cfd(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency quote_currency, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Currency base_currency: Currency | None = None, Quantity lot_size: Quantity | None = None, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, unicode tick_scheme_name=None, dict info=None)

Represents a Contract for Difference (CFD) instrument.

Can represent both Fiat FX and Cryptocurrency pairs.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The CFD contract asset class.
  • base_currency (Currency) – The base currency.
  • quote_currency (Currency) – The quote currency.
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • base_currency – The base currency.
  • lot_size (Quantity , optional) – The rounded lot unit size.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • tick_scheme_name (str , optional) – The name of the tick scheme.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If tick_scheme_name is not a valid string.
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

base_currency

The base currency for the instrument.

• Returns: Currency or None

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Cfd

static from_pyo3(pyo3_instrument)

isin

The instruments International Securities Identification Number (ISIN).

• Returns: str or None

static to_dict(Cfd obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

class Commodity

Bases: Instrument

Commodity(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency quote_currency, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Currency base_currency: Currency | None = None, Quantity lot_size: Quantity | None = None, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, unicode tick_scheme_name=None, dict info=None)

Represents a commodity instrument in a spot/cash market.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The Commodity contract asset class.
  • quote_currency (Currency) – The quote currency.
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • lot_size (Quantity , optional) – The rounded lot unit size.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • tick_scheme_name (str , optional) – The name of the tick scheme.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If tick_scheme_name is not a valid string.
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Commodity

static from_pyo3(pyo3_instrument)

isin

The instruments International Securities Identification Number (ISIN).

• Returns: str or None

static to_dict(Commodity obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

class CryptoFuture

Bases: Instrument

CryptoFuture(InstrumentId instrument_id, Symbol raw_symbol, Currency underlying, Currency quote_currency, Currency settlement_currency, bool is_inverse, uint64_t activation_ns, uint64_t expiration_ns, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, multiplier=Quantity.from_int_c(1), lot_size=Quantity.from_int_c(1), Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, dict info=None)

Represents a Deliverable Futures Contract instrument, with crypto assets as underlying and for settlement.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • underlying (Currency) – The underlying asset.
  • quote_currency (Currency) – The contract quote currency.
  • settlement_currency (Currency) – The settlement currency.
  • is_inverse (bool) – If the instrument costing is inverse (quantity expressed in quote currency units).
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: CryptoFuture.activation_utc

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: CryptoFuture.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: CryptoFuture

static from_pyo3(pyo3_instrument)

get_base_currency(self)

Return the instruments base currency.

• Return type: Currency

settlement_currency

The settlement currency for the contract.

• Returns: Currency

static to_dict(CryptoFuture obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

underlying

The underlying asset for the contract.

• Returns: Currency

class CryptoPerpetual

Bases: Instrument

CryptoPerpetual(InstrumentId instrument_id, Symbol raw_symbol, Currency base_currency, Currency quote_currency, Currency settlement_currency, bool is_inverse, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, dict info=None)

Represents a Crypto Perpetual Futures contract instrument (a.k.a. Perpetual Swap).

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • base_currency (Currency , optional) – The base currency.
  • quote_currency (Currency) – The quote currency.
  • settlement_currency (Currency) – The settlement currency.
  • is_inverse (bool) – If the instrument costing is inverse (quantity expressed in quote currency units).
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

base_currency

The base currency for the instrument.

• Returns: Currency

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: CryptoPerpetual

static from_pyo3(pyo3_instrument)

get_base_currency(self)

Return the instruments base currency.

• Return type: Currency

is_quanto

If the instrument is quanto.

• Returns: bool

settlement_currency

The settlement currency for the instrument.

• Returns: Currency

static to_dict(CryptoPerpetual obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

class CurrencyPair

Bases: Instrument

CurrencyPair(InstrumentId instrument_id, Symbol raw_symbol, Currency base_currency, Currency quote_currency, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Quantity lot_size: Quantity | None = None, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, unicode tick_scheme_name=None, dict info=None)

Represents a generic currency pair instrument in a spot/cash market.

Can represent both Fiat FX and Cryptocurrency pairs.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • base_currency (Currency) – The base currency.
  • quote_currency (Currency) – The quote currency.
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • lot_size (Quantity , optional) – The rounded lot unit size.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • tick_scheme_name (str , optional) – The name of the tick scheme.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If tick_scheme_name is not a valid string.
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

base_currency

The base currency for the instrument.

• Returns: Currency

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: CurrencyPair

static from_pyo3(pyo3_instrument)

get_base_currency(self)

Return the instruments base currency.

• Return type: Currency

static to_dict(CurrencyPair obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

class Equity

Bases: Instrument

Equity(InstrumentId instrument_id, Symbol raw_symbol, Currency currency, int price_precision, Price price_increment, Quantity lot_size, uint64_t ts_event, uint64_t ts_init, unicode isin: str | None = None, margin_init: Decimal | None = None, margin_maint: Decimal | None = None, maker_fee: Decimal | None = None, taker_fee: Decimal | None = None, max_quantity: Quantity | None = None, min_quantity: Quantity | None = None, dict info=None)

Represents a generic Equity instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • currency (Currency) – The futures contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Decimal) – The minimum price increment (tick size).
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • isin (str , optional) – The instruments International Securities Identification Number (ISIN).
  • margin_init (Decimal , optional) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal , optional) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal , optional) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal , optional) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If isin is not None and not a valid string.

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Equity

static from_pyo3(pyo3_instrument)

Return legacy Cython equity instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.Equity) – The pyo3 Rust equity instrument to convert from.
• Return type: Equity

isin

The instruments International Securities Identification Number (ISIN).

• Returns: str or None

static to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

class FuturesContract

Bases: Instrument

FuturesContract(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency currency, int price_precision, Price price_increment, Quantity multiplier, Quantity lot_size, unicode underlying, uint64_t activation_ns, uint64_t expiration_ns, uint64_t ts_event, uint64_t ts_init, unicode exchange=None, dict info=None)

Represents a generic deliverable futures contract instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The futures contract asset class.
  • currency (Currency) – The futures contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Decimal) – The minimum price increment (tick size).
  • multiplier (Quantity) – The contract multiplier.
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • underlying (str) – The underlying asset.
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • exchange (str , optional) – The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If tick_size is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If exchange is not None and not a valid string.

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: FuturesContract.activation_utc

exchange

The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.

• Returns: str or None

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: FuturesContract.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: FuturesContract

static from_pyo3(pyo3_instrument)

Return legacy Cython futures contract instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.FuturesContract) – The pyo3 Rust futures contract instrument to convert from.
• Return type: FuturesContract

static to_dict(FuturesContract obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

underlying

The underlying asset for the contract.

• Returns: str

class FuturesSpread

Bases: Instrument

FuturesSpread(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency currency, int price_precision, Price price_increment, Quantity multiplier, Quantity lot_size, unicode underlying, unicode strategy_type, uint64_t activation_ns, uint64_t expiration_ns, uint64_t ts_event, uint64_t ts_init, unicode exchange=None, dict info=None)

Represents a generic deliverable futures spread instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The futures spread asset class.
  • currency (Currency) – The futures spread currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Decimal) – The minimum price increment (tick size).
  • multiplier (Quantity) – The contract multiplier.
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • underlying (str) – The underlying asset.
  • strategy_type (str) – The strategy type for the spread.
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • exchange (str , optional) – The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If underlying is not a valid string.
  • ValueError – If strategy_type is not a valid string.
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If tick_size is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: FuturesSpread.activation_utc

exchange

The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.

• Returns: str or None

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: FuturesSpread.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: FuturesSpread

static from_pyo3(pyo3_instrument)

Return legacy Cython futures spread instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.FuturesSpread) – The pyo3 Rust futures spread instrument to convert from.
• Return type: FuturesSpread

strategy_type

The strategy type of the spread.

• Returns: str

static to_dict(FuturesSpread obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

underlying

The underlying asset for the spread.

• Returns: str

class IndexInstrument

Bases: Instrument

IndexInstrument(InstrumentId instrument_id, Symbol raw_symbol, Currency currency, int price_precision, int size_precision, Price price_increment, Quantity size_increment, uint64_t ts_event, uint64_t ts_init, dict info=None)

Represents a generic Index instrument.

This instrument is not tradable.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • currency (Currency) – The futures contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_precision (int) – The trading size decimal precision.
  • size_increment (Quantity) – The minimum size increment.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: IndexInstrument

static from_pyo3(pyo3_instrument)

Return legacy Cython index instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.IndexInstrument) – The pyo3 Rust index instrument to convert from.
• Return type: IndexInstrument

static to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

class OptionsContract

Bases: Instrument

OptionsContract(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency currency, int price_precision, Price price_increment, Quantity multiplier, Quantity lot_size, unicode underlying, OptionKind option_kind, uint64_t activation_ns, uint64_t expiration_ns, Price strike_price, uint64_t ts_event, uint64_t ts_init, unicode exchange=None, dict info=None)

Represents a generic options contract instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The options contract asset class.
  • currency (Currency) – The options contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • multiplier (Quantity) – The option multiplier.
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • underlying (str) – The underlying asset.
  • option_kind (OptionKind) – The kind of option (PUT | CALL).
  • strike_price (Price) – The option strike price.
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • exchange (str , optional) – The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If tick_size is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: OptionsContract.activation_utc

exchange

The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.

• Returns: str or None

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: OptionsContract.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: OptionsContract

static from_pyo3(pyo3_instrument)

Return legacy Cython options contract instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.OptionsContract) – The pyo3 Rust options contract instrument to convert from.
• Return type: OptionsContract

option_kind

The option kind (PUT | CALL) for the contract.

• Returns: OptionKind

strike_price

The strike price for the contract.

• Returns: Price

static to_dict(OptionsContract obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

underlying

The underlying asset for the contract.

• Returns: str

class OptionsSpread

Bases: Instrument

OptionsSpread(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency currency, int price_precision, Price price_increment, Quantity multiplier, Quantity lot_size, unicode underlying, unicode strategy_type, uint64_t activation_ns, uint64_t expiration_ns, uint64_t ts_event, uint64_t ts_init, unicode exchange=None, dict info=None)

Represents a generic options spread instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The options contract asset class.
  • currency (Currency) – The options contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • multiplier (Quantity) – The option multiplier.
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • underlying (str) – The underlying asset.
  • strategy_type (str) – The strategy type of the spread.
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • exchange (str , optional) – The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If underlying is not a valid string.
  • ValueError – If strategy_type is not a valid string.
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If tick_size is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: OptionsSpread.activation_utc

exchange

The exchang ISO 10383 Market Identifier Code (MIC) where the instrument trades.

• Returns: str or None

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: OptionsSpread.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: OptionsSpread

static from_pyo3(pyo3_instrument)

Return legacy Cython options contract instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.OptionsSpread) – The pyo3 Rust options contract instrument to convert from.
• Return type: OptionsSpread

strategy_type

The strategy type of the spread.

• Returns: str

static to_dict(OptionsSpread obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

underlying

The underlying asset for the contract.

• Returns: str

class SyntheticInstrument

Bases: Data

SyntheticInstrument(Symbol symbol, uint8_t price_precision, list components, unicode formula, uint64_t ts_event, uint64_t ts_init)

Represents a synthetic instrument with prices derived from component instruments using a formula.

The id for the synthetic will become {symbol}.{SYNTH}.

• Parameters:
  • symbol (Symbol) – The symbol for the synethic instrument.
  • price_precision (uint8_t) – The price precision for the synthetic instrument.
  • components (list [InstrumentId ]) – The component instruments for the synthetic instrument.
  • formula (str) – The derivation formula for the synthetic instrument.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
• Raises:
  • ValueError – If price_precision is greater than 9.
  • OverflowError – If price_precision is negative (< 0).
  • ValueError – If the components list does not contain at least 2 instrument IDs.
  • ValueError – If the formula is not a valid string.
  • ValueError – If the formula is not a valid expression.

WARNING

All component instruments should already be defined and exist in the cache prior to defining a new synthetic instrument.

calculate(self, list inputs)

Calculate the price of the synthetic instrument from the given inputs.

• Parameters: inputs (list *[*double ])
• Return type: Price
• Raises:
  • ValueError – If inputs is empty, contains a NaN value, or length is different from components count.
  • RuntimeError – If an internal error occurs when calculating the price.

change_formula(self, unicode formula)

Change the internal derivation formula for the synthetic instrument.

• Parameters: formula (str) – The derivation formula to change to.
• Raises:
  • ValueError – If the formula is not a valid string.
  • ValueError – If the formula is not a valid expression.

components

list[InstrumentId]

Return the components of the synthetic instrument.

• Return type: list[InstrumentId]
• Type: SyntheticInstrument.components

formula

str

Return the synthetic instrument internal derivation formula.

• Return type: str
• Type: SyntheticInstrument.formula

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: SyntheticInstrument

id

The instrument ID.

• Returns: InstrumentId

price_increment

Price

Return the minimum price increment (tick size) for the synthetic instrument.

• Return type: Price
• Type: SyntheticInstrument.price_increment

price_precision

int

Return the precision for the synthetic instrument.

• Return type: int
• Type: SyntheticInstrument.price_precision

static to_dict(SyntheticInstrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

int

UNIX timestamp (nanoseconds) when the data event occurred.

• Return type: int
• Type: SyntheticInstrument.ts_event

ts_init

int

UNIX timestamp (nanoseconds) when the object was initialized.

• Return type: int
• Type: SyntheticInstrument.ts_init

class BettingInstrument

Bases: Instrument

BettingInstrument(unicode venue_name, int event_type_id, unicode event_type_name, int competition_id, unicode competition_name, int event_id, unicode event_name, unicode event_country_code, datetime event_open_date, unicode betting_type, unicode market_id, unicode market_name, datetime market_start_time, unicode market_type, int selection_id, unicode selection_name, unicode currency, float selection_handicap, int8_t price_precision, int8_t size_precision, uint64_t ts_event, uint64_t ts_init, unicode tick_scheme_name=None, Price min_price=None, Price max_price=None, dict info=None)

Represents an instrument in a betting market.

asset_class

The asset class of the instrument.

• Returns: AssetClass

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

betting_type

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

competition_id

competition_name

event_country_code

event_id

event_name

event_open_date

event_type_id

event_type_name

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: BettingInstrument

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency (if applicable).

• Return type: Currency or None

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

market_id

market_name

market_start_time

market_type

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

selection_handicap

selection_id

selection_name

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

static to_dict(BettingInstrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

Return the instruments trading venue.

• Return type: Venue

make_symbol(unicode market_id: str, int selection_id: int, double selection_handicap: float)

Make symbol.

>>> make_symbol(market_id="1.201070830", selection_id=123456, selection_handicap=null_handicap())
Symbol('1.201070830-123456-None')

null_handicap()

class CryptoPerpetual

Bases: Instrument

CryptoPerpetual(InstrumentId instrument_id, Symbol raw_symbol, Currency base_currency, Currency quote_currency, Currency settlement_currency, bool is_inverse, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, dict info=None)

Represents a Crypto Perpetual Futures contract instrument (a.k.a. Perpetual Swap).

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • base_currency (Currency , optional) – The base currency.
  • quote_currency (Currency) – The quote currency.
  • settlement_currency (Currency) – The settlement currency.
  • is_inverse (bool) – If the instrument costing is inverse (quantity expressed in quote currency units).
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

asset_class

The asset class of the instrument.

• Returns: AssetClass

base_currency

The base currency for the instrument.

• Returns: Currency

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: CryptoPerpetual

static from_pyo3(pyo3_instrument)

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency.

• Return type: Currency

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

is_quanto

If the instrument is quanto.

• Returns: bool

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

settlement_currency

The settlement currency for the instrument.

• Returns: Currency

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

static to_dict(CryptoPerpetual obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

Return the instruments trading venue.

• Return type: Venue

class CryptoFuture

Bases: Instrument

CryptoFuture(InstrumentId instrument_id, Symbol raw_symbol, Currency underlying, Currency quote_currency, Currency settlement_currency, bool is_inverse, uint64_t activation_ns, uint64_t expiration_ns, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, multiplier=Quantity.from_int_c(1), lot_size=Quantity.from_int_c(1), Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, dict info=None)

Represents a Deliverable Futures Contract instrument, with crypto assets as underlying and for settlement.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • underlying (Currency) – The underlying asset.
  • quote_currency (Currency) – The contract quote currency.
  • settlement_currency (Currency) – The settlement currency.
  • is_inverse (bool) – If the instrument costing is inverse (quantity expressed in quote currency units).
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: CryptoFuture.activation_utc

asset_class

The asset class of the instrument.

• Returns: AssetClass

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: CryptoFuture.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: CryptoFuture

static from_pyo3(pyo3_instrument)

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency.

• Return type: Currency

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

settlement_currency

The settlement currency for the contract.

• Returns: Currency

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

static to_dict(CryptoFuture obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

underlying

The underlying asset for the contract.

• Returns: Currency

venue

Return the instruments trading venue.

• Return type: Venue

class CurrencyPair

Bases: Instrument

CurrencyPair(InstrumentId instrument_id, Symbol raw_symbol, Currency base_currency, Currency quote_currency, int price_precision, int size_precision, Price price_increment, Quantity size_increment, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Quantity lot_size: Quantity | None = None, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, unicode tick_scheme_name=None, dict info=None)

Represents a generic currency pair instrument in a spot/cash market.

Can represent both Fiat FX and Cryptocurrency pairs.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • base_currency (Currency) – The base currency.
  • quote_currency (Currency) – The quote currency.
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • size_increment (Quantity) – The minimum size increment.
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • lot_size (Quantity , optional) – The rounded lot unit size.
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • tick_scheme_name (str , optional) – The name of the tick scheme.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If tick_scheme_name is not a valid string.
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

asset_class

The asset class of the instrument.

• Returns: AssetClass

base_currency

The base currency for the instrument.

• Returns: Currency

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: CurrencyPair

static from_pyo3(pyo3_instrument)

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency.

• Return type: Currency

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

static to_dict(CurrencyPair obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

Return the instruments trading venue.

• Return type: Venue

class Equity

Bases: Instrument

Equity(InstrumentId instrument_id, Symbol raw_symbol, Currency currency, int price_precision, Price price_increment, Quantity lot_size, uint64_t ts_event, uint64_t ts_init, unicode isin: str | None = None, margin_init: Decimal | None = None, margin_maint: Decimal | None = None, maker_fee: Decimal | None = None, taker_fee: Decimal | None = None, max_quantity: Quantity | None = None, min_quantity: Quantity | None = None, dict info=None)

Represents a generic Equity instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • currency (Currency) – The futures contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Decimal) – The minimum price increment (tick size).
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • isin (str , optional) – The instruments International Securities Identification Number (ISIN).
  • margin_init (Decimal , optional) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal , optional) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal , optional) – The fee rate for liquidity makers as a percentage of order value.
  • taker_fee (Decimal , optional) – The fee rate for liquidity takers as a percentage of order value.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If isin is not None and not a valid string.

asset_class

The asset class of the instrument.

• Returns: AssetClass

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Equity

static from_pyo3(pyo3_instrument)

Return legacy Cython equity instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.Equity) – The pyo3 Rust equity instrument to convert from.
• Return type: Equity

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency (if applicable).

• Return type: Currency or None

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

isin

The instruments International Securities Identification Number (ISIN).

• Returns: str or None

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

static to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

Return the instruments trading venue.

• Return type: Venue

class FuturesContract

Bases: Instrument

FuturesContract(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency currency, int price_precision, Price price_increment, Quantity multiplier, Quantity lot_size, unicode underlying, uint64_t activation_ns, uint64_t expiration_ns, uint64_t ts_event, uint64_t ts_init, unicode exchange=None, dict info=None)

Represents a generic deliverable futures contract instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The futures contract asset class.
  • currency (Currency) – The futures contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Decimal) – The minimum price increment (tick size).
  • multiplier (Quantity) – The contract multiplier.
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • underlying (str) – The underlying asset.
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • exchange (str , optional) – The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If tick_size is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).
  • ValueError – If exchange is not None and not a valid string.

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: FuturesContract.activation_utc

asset_class

The asset class of the instrument.

• Returns: AssetClass

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

exchange

The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.

• Returns: str or None

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: FuturesContract.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: FuturesContract

static from_pyo3(pyo3_instrument)

Return legacy Cython futures contract instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.FuturesContract) – The pyo3 Rust futures contract instrument to convert from.
• Return type: FuturesContract

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency (if applicable).

• Return type: Currency or None

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

static to_dict(FuturesContract obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

underlying

The underlying asset for the contract.

• Returns: str

venue

Return the instruments trading venue.

• Return type: Venue

class OptionsContract

Bases: Instrument

OptionsContract(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, Currency currency, int price_precision, Price price_increment, Quantity multiplier, Quantity lot_size, unicode underlying, OptionKind option_kind, uint64_t activation_ns, uint64_t expiration_ns, Price strike_price, uint64_t ts_event, uint64_t ts_init, unicode exchange=None, dict info=None)

Represents a generic options contract instrument.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The options contract asset class.
  • currency (Currency) – The options contract currency.
  • price_precision (int) – The price decimal precision.
  • price_increment (Price) – The minimum price increment (tick size).
  • multiplier (Quantity) – The option multiplier.
  • lot_size (Quantity) – The rounded lot unit size (standard/board).
  • underlying (str) – The underlying asset.
  • option_kind (OptionKind) – The kind of option (PUT | CALL).
  • strike_price (Price) – The option strike price.
  • activation_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract activation.
  • expiration_ns (uint64_t) – UNIX timestamp (nanoseconds) for contract expiration.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • exchange (str , optional) – The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If tick_size is not positive (> 0).
  • ValueError – If lot_size is not positive (> 0).

activation_ns

UNIX timestamp (nanoseconds) for contract activation.

• Returns: unit64_t

activation_utc

pd.Timestamp

Return the contract activation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: OptionsContract.activation_utc

asset_class

The asset class of the instrument.

• Returns: AssetClass

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

exchange

The exchange ISO 10383 Market Identifier Code (MIC) where the instrument trades.

• Returns: str or None

expiration_ns

UNIX timestamp (nanoseconds) for contract expiration.

• Returns: unit64_t

expiration_utc

pd.Timestamp

Return the contract expriation timestamp (UTC).

• Returns: tz-aware UTC.
• Return type: pd.Timestamp
• Type: OptionsContract.expiration_utc

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: OptionsContract

static from_pyo3(pyo3_instrument)

Return legacy Cython options contract instrument converted from the given pyo3 Rust object.

• Parameters: pyo3_instrument (nautilus_pyo3.OptionsContract) – The pyo3 Rust options contract instrument to convert from.
• Return type: OptionsContract

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency (if applicable).

• Return type: Currency or None

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

option_kind

The option kind (PUT | CALL) for the contract.

• Returns: OptionKind

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

strike_price

The strike price for the contract.

• Returns: Price

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

static to_dict(OptionsContract obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

underlying

The underlying asset for the contract.

• Returns: str

venue

Return the instruments trading venue.

• Return type: Venue

class SyntheticInstrument

Bases: Data

SyntheticInstrument(Symbol symbol, uint8_t price_precision, list components, unicode formula, uint64_t ts_event, uint64_t ts_init)

Represents a synthetic instrument with prices derived from component instruments using a formula.

The id for the synthetic will become {symbol}.{SYNTH}.

• Parameters:
  • symbol (Symbol) – The symbol for the synethic instrument.
  • price_precision (uint8_t) – The price precision for the synthetic instrument.
  • components (list [InstrumentId ]) – The component instruments for the synthetic instrument.
  • formula (str) – The derivation formula for the synthetic instrument.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
• Raises:
  • ValueError – If price_precision is greater than 9.
  • OverflowError – If price_precision is negative (< 0).
  • ValueError – If the components list does not contain at least 2 instrument IDs.
  • ValueError – If the formula is not a valid string.
  • ValueError – If the formula is not a valid expression.

WARNING

All component instruments should already be defined and exist in the cache prior to defining a new synthetic instrument.

calculate(self, list inputs)

Calculate the price of the synthetic instrument from the given inputs.

• Parameters: inputs (list *[*double ])
• Return type: Price
• Raises:
  • ValueError – If inputs is empty, contains a NaN value, or length is different from components count.
  • RuntimeError – If an internal error occurs when calculating the price.

change_formula(self, unicode formula)

Change the internal derivation formula for the synthetic instrument.

• Parameters: formula (str) – The derivation formula to change to.
• Raises:
  • ValueError – If the formula is not a valid string.
  • ValueError – If the formula is not a valid expression.

components

list[InstrumentId]

Return the components of the synthetic instrument.

• Return type: list[InstrumentId]
• Type: SyntheticInstrument.components

formula

str

Return the synthetic instrument internal derivation formula.

• Return type: str
• Type: SyntheticInstrument.formula

static from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: SyntheticInstrument

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

id

The instrument ID.

• Returns: InstrumentId

price_increment

Price

Return the minimum price increment (tick size) for the synthetic instrument.

• Return type: Price
• Type: SyntheticInstrument.price_increment

price_precision

int

Return the precision for the synthetic instrument.

• Return type: int
• Type: SyntheticInstrument.price_precision

static to_dict(SyntheticInstrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

ts_event

int

UNIX timestamp (nanoseconds) when the data event occurred.

• Return type: int
• Type: SyntheticInstrument.ts_event

ts_init

int

UNIX timestamp (nanoseconds) when the object was initialized.

• Return type: int
• Type: SyntheticInstrument.ts_init

class Instrument

Bases: Data

Instrument(InstrumentId instrument_id, Symbol raw_symbol, AssetClass asset_class, InstrumentClass instrument_class, Currency quote_currency, bool is_inverse, int price_precision, int size_precision, Quantity size_increment, Quantity multiplier, margin_init: Decimal, margin_maint: Decimal, maker_fee: Decimal, taker_fee: Decimal, uint64_t ts_event, uint64_t ts_init, Price price_increment: Price | None = None, Quantity lot_size: Quantity | None = None, Quantity max_quantity: Quantity | None = None, Quantity min_quantity: Quantity | None = None, Money max_notional: Money | None = None, Money min_notional: Money | None = None, Price max_price: Price | None = None, Price min_price: Price | None = None, unicode tick_scheme_name=None, dict info=None)

The base class for all instruments.

Represents a tradable instrument. This class can be used to define an instrument, or act as a parent class for more specific instruments.

• Parameters:
  • instrument_id (InstrumentId) – The instrument ID for the instrument.
  • raw_symbol (Symbol) – The raw/local/native symbol for the instrument, assigned by the venue.
  • asset_class (AssetClass) – The instrument asset class.
  • instrument_class (InstrumentClass) – The instrument class.
  • quote_currency (Currency) – The quote currency.
  • is_inverse (bool) – If the instrument costing is inverse (quantity expressed in quote currency units).
  • price_precision (int) – The price decimal precision.
  • size_precision (int) – The trading size decimal precision.
  • size_increment (Price) – The minimum size increment.
  • multiplier (Decimal) – The contract value multiplier (determines tick value).
  • lot_size (Quantity , optional) – The rounded lot unit size (standard/board).
  • margin_init (Decimal) – The initial (order) margin requirement in percentage of order value.
  • margin_maint (Decimal) – The maintenance (position) margin in percentage of position value.
  • maker_fee (Decimal) – The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).
  • taker_fee (Decimal) – The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.
  • price_increment (Price , optional) – The minimum price increment (tick size).
  • max_quantity (Quantity , optional) – The maximum allowable order quantity.
  • min_quantity (Quantity , optional) – The minimum allowable order quantity.
  • max_notional (Money , optional) – The maximum allowable order notional value.
  • min_notional (Money , optional) – The minimum allowable order notional value.
  • max_price (Price , optional) – The maximum allowable quoted price.
  • min_price (Price , optional) – The minimum allowable quoted price.
  • tick_scheme_name (str , optional) – The name of the tick scheme.
  • info (dict *[*str , object ] , optional) – The additional instrument information.
• Raises:
  • ValueError – If tick_scheme_name is not a valid string.
  • ValueError – If price_precision is negative (< 0).
  • ValueError – If size_precision is negative (< 0).
  • ValueError – If price_increment is not positive (> 0).
  • ValueError – If size_increment is not positive (> 0).
  • ValueError – If price_precision is not equal to price_increment.precision.
  • ValueError – If size_increment is not equal to size_increment.precision.
  • ValueError – If multiplier is not positive (> 0).
  • ValueError – If lot size is not positive (> 0).
  • ValueError – If max_quantity is not positive (> 0).
  • ValueError – If min_quantity is negative (< 0).
  • ValueError – If max_notional is not positive (> 0).
  • ValueError – If min_notional is negative (< 0).
  • ValueError – If max_price is not positive (> 0).
  • ValueError – If min_price is negative (< 0).

asset_class

The asset class of the instrument.

• Returns: AssetClass

static base_from_dict(dict values)

Return an instrument from the given initialization values.

• Parameters: values (dict *[*str , object ]) – The values to initialize the instrument with.
• Return type: Instrument

static base_to_dict(Instrument obj)

Return a dictionary representation of this object.

• Return type: dict[str, object]

calculate_base_quantity(self, Quantity quantity, Price last_px)

Calculate the base asset quantity from the given quote asset quantity and last price.

• Parameters:
  • quantity (Quantity) – The quantity to convert from.
  • last_px (Price) – The last price for the instrument.
• Return type: Quantity

classmethod fully_qualified_name(cls)

Return the fully qualified name for the Data class.

• Return type: str

get_base_currency(self)

Return the instruments base currency (if applicable).

• Return type: Currency or None

get_settlement_currency(self)

Return the currency used to settle a trade of the instrument.

• Standard linear instruments = quote_currency
• Inverse instruments = base_currency
• Quanto instruments = settlement_currency

• Return type: Currency

id

The instrument ID.

• Returns: InstrumentId

info

The raw info for the instrument.

• Returns: dict[str, object]

instrument_class

The class of the instrument.

• Returns: InstrumentClass

is_inverse

If the quantity is expressed in quote currency.

• Returns: Currency

lot_size

The rounded lot unit size (standard/board) for the instrument.

• Returns: Quantity or None

make_price(self, value)

Return a new price from the given value using the instruments price precision.

• Parameters: value (integer , float , str or Decimal) – The value of the price.
• Return type: Price

make_qty(self, value)

Return a new quantity from the given value using the instruments size precision.

• Parameters: value (integer , float , str or Decimal) – The value of the quantity.
• Return type: Quantity
• Raises: ValueError – If a non zero value is rounded to zero due to the instruments size increment or size precision.

maker_fee

The fee rate for liquidity makers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

margin_init

The initial (order) margin rate for the instrument.

• Returns: Decimal

margin_maint

The maintenance (position) margin rate for the instrument.

• Returns: Decimal

max_notional

The maximum notional order value for the instrument.

• Returns: Money or None

max_price

The maximum printable price for the instrument.

• Returns: Price or None

max_quantity

The maximum order quantity for the instrument.

• Returns: Quantity or None

min_notional

The minimum notional order value for the instrument.

• Returns: Money or None

min_price

The minimum printable price for the instrument.

• Returns: Price or None

min_quantity

The minimum order quantity for the instrument.

• Returns: Quantity or None

multiplier

The contract multiplier for the instrument (determines tick value).

• Returns: Quantity

next_ask_price(self, double value, int num_ticks=0)

Return the price n ask ticks away from value.

If a given price is between two ticks, n=0 will find the nearest ask tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

next_bid_price(self, double value, int num_ticks=0)

Return the price n bid ticks away from value.

If a given price is between two ticks, n=0 will find the nearest bid tick.

• Parameters:
  • value (double) – The reference value.
  • num_ticks (int , default 0) – The number of ticks to move.
• Return type: Price
• Raises: ValueError – If a tick scheme is not initialized.

notional_value(self, Quantity quantity, Price price, bool use_quote_for_inverse=False)

Calculate the notional value.

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

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

price_increment

The minimum price increment or tick size for the instrument.

• Returns: Price

price_precision

The price precision of the instrument.

• Returns: int

quote_currency

The quote currency for the instrument.

• Returns: Currency

raw_symbol

The raw/local/native symbol for the instrument, assigned by the venue.

• Returns: Symbol

size_increment

The minimum size increment for the instrument.

• Returns: Quantity

size_precision

The size precision of the instrument.

• Returns: int

symbol

Return the instruments ticker symbol.

• Return type: Symbol

taker_fee

The fee rate for liquidity takers as a percentage of order value (where 1.0 is 100%).

• Returns: Decimal

tick_scheme_name

The tick scheme name.

• Returns: str or None

ts_event

UNIX timestamp (nanoseconds) when the data event occurred.

• Returns: uint64_t

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

• Returns: uint64_t

venue

Return the instruments trading venue.

• Return type: Venue

instruments_from_pyo3(list pyo3_instruments)