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Trading

The trading subpackage groups all trading domain specific components and tooling.

This is a top-level package where the majority of users will interface with the framework. Custom trading strategies can be implemented by inheriting from the Strategy base class.

class Controller​

Bases: Actor

The base class for all trader controllers.

  • Parameters:
    • trader (Trader) – The reference to the trader instance to control.
    • config (ActorConfig , optional) – The configuration for the controller
  • Raises: TypeError – If config is not of type ActorConfig.

create_actor(actor: Actor, start: bool = True)​

Add the given actor to the controlled trader.

  • Parameters:
    • actor (Actor) – The actor to add.
    • start (bool , default True) – If the actor should be started immediately.
  • Raises:
    • ValueError – If actor.state is RUNNING or DISPOSED.
    • RuntimeError – If actor is already registered with the trader.

create_strategy(strategy: Strategy, start: bool = True)​

Add the given strategy to the controlled trader.

  • Parameters:
    • strategy (Strategy) – The strategy to add.
    • start (bool , default True) – If the strategy should be started immediately.
  • Raises:
    • ValueError – If strategy.state is RUNNING or DISPOSED.
    • RuntimeError – If strategy is already registered with the trader.

start_actor(actor: Actor)​

Start the given actor.

Will log a warning if the actor is already RUNNING.

  • Raises: ValueError – If actor is not already registered with the trader.

start_strategy(strategy: Strategy)​

Start the given strategy.

Will log a warning if the strategy is already RUNNING.

  • Raises: ValueError – If strategy is not already registered with the trader.

stop_actor(actor: Actor)​

Stop the given actor.

Will log a warning if the actor is not RUNNING.

  • Parameters: actor (Actor) – The actor to stop.
  • Raises: ValueError – If actor is not already registered with the trader.

stop_strategy(strategy: Strategy)​

Stop the given strategy.

Will log a warning if the strategy is not RUNNING.

  • Parameters: strategy (Strategy) – The strategy to stop.
  • Raises: ValueError – If strategy is not already registered with the trader.

remove_actor(actor: Actor)​

Remove the given actor.

Will stop the actor first if state is RUNNING.

  • Parameters: actor (Actor) – The actor to remove.
  • Raises: ValueError – If actor is not already registered with the trader.

remove_strategy(strategy: Strategy)​

Remove the given strategy.

Will stop the strategy first if state is RUNNING.

  • Parameters: strategy (Strategy) – The strategy to remove.
  • Raises: ValueError – If strategy is not already registered with the trader.

class Strategy​

Bases: Actor

Strategy(config: StrategyConfig | None = None)

The base class for all trading strategies.

This class allows traders to implement their own customized trading strategies. A trading strategy can configure its own order management system type, which determines how positions are handled by the ExecutionEngine.

Strategy OMS (Order Management System) types: : - UNSPECIFIED: No specific type has been configured, will therefore default to the native OMS type for each venue.

  • HEDGING: A position ID will be assigned for each new position which is opened per instrument.
  • NETTING: There will only be a single position for the strategy per instrument. The position ID naming convention is {instrument_id}-{strategy_id}.
  • Parameters: config (StrategyConfig , optional) – The trading strategy configuration.
  • Raises: TypeError – If config is not of type StrategyConfig.

WARNING​

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

cancel_all_orders(self, InstrumentId instrument_id, OrderSide order_side=OrderSide.NO_ORDER_SIDE, ClientId client_id=None)​

Cancel all orders for this strategy for the given instrument ID.

A CancelAllOrders command will be created and then sent to both the OrderEmulator and the ExecutionEngine.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument for the orders to cancel.
    • order_side (OrderSide, default NO_ORDER_SIDE (both sides)) – The side of the orders to cancel.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

cancel_gtd_expiry(self, Order order)​

Cancel the managed GTD expiry for the given order.

If there is no current GTD expiry timer, then an error will be logged.

  • Parameters: order (Order) – The order to cancel the GTD expiry for.

cancel_order(self, Order order, ClientId client_id=None)​

Cancel the given order with optional routing instructions.

A CancelOrder command will be created and then sent to either the OrderEmulator or the ExecutionEngine (depending on whether the order is emulated).

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

cancel_orders(self, list orders, ClientId client_id=None)​

Batch cancel the given list of orders with optional routing instructions.

For each order in the list, a CancelOrder command will be created and added to a BatchCancelOrders command. This command is then sent to the ExecutionEngine.

Logs an error if the orders list contains local/emulated orders.

  • Parameters:
    • orders (list [Order ]) – The orders to cancel.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises:
    • ValueError – If orders is empty.
    • TypeError – If orders contains a type other than Order.

change_id(self, StrategyId strategy_id)​

Change the strategies identifier to the given strategy_id.

  • Parameters: strategy_id (StrategyId) – The new strategy ID to change to.

change_order_id_tag(self, unicode order_id_tag)​

Change the order identifier tag to the given order_id_tag.

  • Parameters: order_id_tag (str) – The new order ID tag to change to.

close_all_positions(self, InstrumentId instrument_id, PositionSide position_side=PositionSide.NO_POSITION_SIDE, ClientId client_id=None, list tags=None)​

Close all positions for the given instrument ID for this strategy.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument for the positions to close.
    • position_side (PositionSide, default NO_POSITION_SIDE (both sides)) – The side of the positions to close.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • tags (list *[*str ] , optional) – The tags for the market orders closing the positions.

close_position(self, Position position, ClientId client_id=None, list tags=None)​

Close the given position.

A closing MarketOrder for the position will be created, and then sent to the ExecutionEngine via a SubmitOrder command.

  • Parameters:
    • position (Position) – The position to close.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • tags (list *[*str ] , optional) – The tags for the market order closing the position.

external_order_claims​

The external order claims instrument IDs for the strategy.

  • Returns: list[InstrumentId]

handle_event(self, Event event)​

Handle the given event.

If state is RUNNING then passes to on_event.

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

WARNING​

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

manage_contingent_orders​

If contingent orders should be managed automatically by the strategy.

  • Returns: bool

manage_gtd_expiry​

If all order GTD time in force expirations should be managed automatically by the strategy.

  • Returns: bool

modify_order(self, Order order, Quantity quantity=None, Price price=None, Price trigger_price=None, ClientId client_id=None)​

Modify the given order with optional parameters and routing instructions.

An ModifyOrder command will be created and then sent to either the OrderEmulator or the RiskEngine (depending on whether the order is emulated).

At least one value must differ from the original order for the command to be valid.

Will use an Order Cancel/Replace Request (a.k.a Order Modification) for FIX protocols, otherwise if order update is not available for the API, then will cancel and replace with a new order using the original ClientOrderId.

  • Parameters:
    • order (Order) – The order to update.
    • quantity (Quantity , optional) – The updated quantity for the given order.
    • price (Price , optional) – The updated price for the given order (if applicable).
    • trigger_price (Price , optional) – The updated trigger price for the given order (if applicable).
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises:
    • ValueError – If price is not None and order does not have a price.
    • ValueError – If trigger is not None and order does not have a trigger_price.

WARNING​

If the order is already closed or at PENDING_CANCEL status then the command will not be generated, and a warning will be logged.

oms_type​

The order management system for the strategy.

  • Returns: OmsType

on_order_accepted(self, OrderAccepted event)​

Actions to be performed when running and receives an order accepted event.

WARNING​

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

on_order_cancel_rejected(self, OrderCancelRejected event)​

Actions to be performed when running and receives an order cancel rejected event.

WARNING​

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

on_order_canceled(self, OrderCanceled event)​

Actions to be performed when running and receives an order canceled event.

WARNING​

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

on_order_denied(self, OrderDenied event)​

Actions to be performed when running and receives an order denied event.

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

WARNING​

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

on_order_emulated(self, OrderEmulated event)​

Actions to be performed when running and receives an order initialized event.

WARNING​

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

on_order_event(self, OrderEvent event)​

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

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

WARNING​

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

on_order_expired(self, OrderExpired event)​

Actions to be performed when running and receives an order expired event.

WARNING​

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

on_order_filled(self, OrderFilled event)​

Actions to be performed when running and receives an order filled event.

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

WARNING​

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

on_order_initialized(self, OrderInitialized event)​

Actions to be performed when running and receives an order initialized event.

WARNING​

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

on_order_modify_rejected(self, OrderModifyRejected event)​

Actions to be performed when running and receives an order modify rejected event.

WARNING​

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

on_order_pending_cancel(self, OrderPendingCancel event)​

Actions to be performed when running and receives an order pending cancel event.

WARNING​

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

on_order_pending_update(self, OrderPendingUpdate event)​

Actions to be performed when running and receives an order pending update event.

WARNING​

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

on_order_rejected(self, OrderRejected event)​

Actions to be performed when running and receives an order rejected event.

WARNING​

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

on_order_released(self, OrderReleased event)​

Actions to be performed when running and receives an order released event.

WARNING​

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

on_order_submitted(self, OrderSubmitted event)​

Actions to be performed when running and receives an order submitted event.

WARNING​

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

on_order_triggered(self, OrderTriggered event)​

Actions to be performed when running and receives an order triggered event.

WARNING​

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

on_order_updated(self, OrderUpdated event)​

Actions to be performed when running and receives an order updated event.

WARNING​

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

on_position_changed(self, PositionChanged event)​

Actions to be performed when running and receives a position changed event.

WARNING​

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

on_position_closed(self, PositionClosed event)​

Actions to be performed when running and receives a position closed event.

WARNING​

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

on_position_event(self, PositionEvent event)​

Actions to be performed when running and receives a position event.

WARNING​

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

on_position_opened(self, PositionOpened event)​

Actions to be performed when running and receives a position opened event.

WARNING​

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

on_reset(self)​

on_resume(self)​

on_start(self)​

on_stop(self)​

order_factory​

The order factory for the strategy.

  • Returns: OrderFactory

order_id_tag​

The order ID tag for the strategy.

  • Returns: str

query_order(self, Order order, ClientId client_id=None)​

Query the given order with optional routing instructions.

A QueryOrder command will be created and then sent to the ExecutionEngine.

Logs an error if no VenueOrderId has been assigned to the order.

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

register(self, TraderId trader_id, PortfolioFacade portfolio, MessageBus msgbus, CacheFacade cache, Clock clock)​

Register the strategy with a trader.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the strategy.
    • portfolio (PortfolioFacade) – The read-only portfolio for the strategy.
    • msgbus (MessageBus) – The message bus for the strategy.
    • cache (CacheFacade) – The read-only cache for the strategy.
    • clock (Clock) – The clock for the strategy.

WARNING​

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

submit_order(self, Order order, PositionId position_id=None, ClientId client_id=None)​

Submit the given order with optional position ID, execution algorithm and routing instructions.

A SubmitOrder command will be created and sent to either an ExecAlgorithm, the OrderEmulator or the RiskEngine (depending whether the order is emulated and/or has an exec_algorithm_id specified).

If the client order ID is duplicate, then the order will be denied.

  • Parameters:
    • order (Order) – The order to submit.
    • position_id (PositionId , optional) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.
    • client_id (ClientId , optional) – The specific execution client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises: ValueError – If order.status is not INITIALIZED.

WARNING​

If a position_id is passed and a position does not yet exist, then any position opened by the order will have this position ID assigned. This may not be what you intended.

submit_order_list(self, OrderList order_list, PositionId position_id=None, ClientId client_id=None)​

Submit the given order list with optional position ID, execution algorithm and routing instructions.

A SubmitOrderList command with be created and sent to either the OrderEmulator, or the RiskEngine (depending whether an order is emulated).

If the order list ID is duplicate, or any client order ID is duplicate, then all orders will be denied.

  • Parameters:
    • order_list (OrderList) – The order list to submit.
    • position_id (PositionId , optional) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.
    • client_id (ClientId , optional) – The specific execution client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises: ValueError – If any order.status is not INITIALIZED.

WARNING​

If a position_id is passed and a position does not yet exist, then any position opened by an order will have this position ID assigned. This may not be what you intended.

to_importable_config(self)​

Returns an importable configuration for this strategy.

class Trader​

Bases: Component

Provides a trader for managing a fleet of actors, execution algorithms and trading strategies.

  • Parameters:
    • trader_id (TraderId) – The ID for the trader.
    • instance_id (UUID4) – The instance ID for the trader.
    • msgbus (MessageBus) – The message bus for the trader.
    • cache (Cache) – The cache for the trader.
    • portfolio (Portfolio) – The portfolio for the trader.
    • data_engine (DataEngine) – The data engine for the trader.
    • risk_engine (RiskEngine) – The risk engine for the trader.
    • exec_engine (ExecutionEngine) – The execution engine for the trader.
    • clock (Clock) – The clock for the trader.
    • has_controller (bool , default False) – If the trader has a controller.
    • loop (asyncio.AbstractEventLoop , optional) – The event loop for the trader.
  • Raises:
    • ValueError – If portfolio is not equal to the exec_engine portfolio.
    • ValueError – If strategies is None.
    • ValueError – If strategies is empty.
    • TypeError – If strategies contains a type other than Strategy.

property instance_id : UUID4​

Return the traders instance ID.

actors()​

Return the actors loaded in the trader.

  • Return type: list[Actor]

strategies()​

Return the strategies loaded in the trader.

exec_algorithms()​

Return the execution algorithms loaded in the trader.

  • Return type: list[ExecAlgorithms]

actor_ids()​

Return the actor IDs loaded in the trader.

strategy_ids()​

Return the strategy IDs loaded in the trader.

exec_algorithm_ids()​

Return the execution algorithm IDs loaded in the trader.

actor_states()​

Return the traders actor states.

strategy_states()​

Return the traders strategy states.

exec_algorithm_states()​

Return the traders execution algorithm states.

add_actor(actor: Actor)​

Add the given custom component to the trader.

  • Parameters: actor (Actor) – The actor to add and register.
  • Raises:
    • ValueError – If actor.state is RUNNING or DISPOSED.
    • RuntimeError – If actor.id already exists in the trader.

add_actors(actors: list[Actor])​

Add the given actors to the trader.

  • Parameters: actors (list *[*TradingStrategies ]) – The actors to add and register.
  • Raises: ValueError – If actors is None or empty.

add_strategy(strategy: Strategy)​

Add the given trading strategy to the trader.

  • Parameters: strategy (Strategy) – The trading strategy to add and register.
  • Raises:
    • ValueError – If strategy.state is RUNNING or DISPOSED.
    • RuntimeError – If strategy.id already exists in the trader.

add_strategies(strategies: list[Strategy])​

Add the given trading strategies to the trader.

  • Parameters: strategies (list *[*TradingStrategies ]) – The trading strategies to add and register.
  • Raises: ValueError – If strategies is None or empty.

add_exec_algorithm(exec_algorithm: Any)​

Add the given execution algorithm to the trader.

  • Parameters: exec_algorithm (ExecAlgorithm) – The execution algorithm to add and register.
  • Raises:
    • KeyError – If exec_algorithm.id already exists in the trader.
    • ValueError – If exec_algorithm.state is RUNNING or DISPOSED.

add_exec_algorithms(exec_algorithms: list[Any])​

Add the given execution algorithms to the trader.

  • Parameters: exec_algorithms (list [ExecAlgorithm ]) – The execution algorithms to add and register.
  • Raises: ValueError – If exec_algorithms is None or empty.

start_actor(actor_id: ComponentId)​

Start the actor with the given actor_id.

  • Parameters: actor_id (ComponentId) – The component ID to start.
  • Raises: ValueError – If an actor with the given actor_id is not found.

start_strategy(strategy_id: StrategyId)​

Start the strategy with the given strategy_id.

  • Parameters: strategy_id (StrategyId) – The strategy ID to start.
  • Raises: ValueError – If a strategy with the given strategy_id is not found.

stop_actor(actor_id: ComponentId)​

Stop the actor with the given actor_id.

  • Parameters: actor_id (ComponentId) – The actor ID to stop.
  • Raises: ValueError – If an actor with the given actor_id is not found.

stop_strategy(strategy_id: StrategyId)​

Stop the strategy with the given strategy_id.

  • Parameters: strategy_id (StrategyId) – The strategy ID to stop.
  • Raises: ValueError – If a strategy with the given strategy_id is not found.

remove_actor(actor_id: ComponentId)​

Remove the actor with the given actor_id.

Will stop the actor first if state is RUNNING.

  • Parameters: actor_id (ComponentId) – The actor ID to remove.
  • Raises: ValueError – If an actor with the given actor_id is not found.

remove_strategy(strategy_id: StrategyId)​

Remove the strategy with the given strategy_id.

Will stop the strategy first if state is RUNNING.

  • Parameters: strategy_id (StrategyId) – The strategy ID to remove.
  • Raises: ValueError – If a strategy with the given strategy_id is not found.

clear_actors()​

Dispose and clear all actors held by the trader.

  • Raises: ValueError – If state is RUNNING.

clear_strategies()​

Dispose and clear all strategies held by the trader.

  • Raises: ValueError – If state is RUNNING.

clear_exec_algorithms()​

Dispose and clear all execution algorithms held by the trader.

  • Raises: ValueError – If state is RUNNING.

subscribe(topic: str, handler: Callable[[Any], None])​

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

  • Parameters:
    • topic (str) – The topic for the subscription. May include wildcard glob patterns.
    • handler (Callable [ *[*Any ] , None ]) – The handler for the subscription.

unsubscribe(topic: str, handler: Callable[[Any], None])​

Unsubscribe the given handler from the given message topic.

  • Parameters:
    • topic (str , optional) – The topic to unsubscribe from. May include wildcard glob patterns.
    • handler (Callable [ *[*Any ] , None ]) – The handler for the subscription.

save()​

Save all actor and strategy states to the cache.

load()​

Load all actor and strategy states from the cache.

check_residuals()​

Check for residual open state such as open orders or open positions.

generate_orders_report()​

Generate an orders report.

  • Return type: pd.DataFrame

generate_order_fills_report()​

Generate an order fills report.

  • Return type: pd.DataFrame

generate_fills_report()​

Generate a fills report.

  • Return type: pd.DataFrame

generate_positions_report()​

Generate a positions report.

  • Return type: pd.DataFrame

generate_account_report(venue: Venue)​

Generate an account report.

  • Return type: pd.DataFrame

class Controller​

Bases: Actor

The base class for all trader controllers.

  • Parameters:
    • trader (Trader) – The reference to the trader instance to control.
    • config (ActorConfig , optional) – The configuration for the controller
  • Raises: TypeError – If config is not of type ActorConfig.

create_actor(actor: Actor, start: bool = True)​

Add the given actor to the controlled trader.

  • Parameters:
    • actor (Actor) – The actor to add.
    • start (bool , default True) – If the actor should be started immediately.
  • Raises:
    • ValueError – If actor.state is RUNNING or DISPOSED.
    • RuntimeError – If actor is already registered with the trader.

create_strategy(strategy: Strategy, start: bool = True)​

Add the given strategy to the controlled trader.

  • Parameters:
    • strategy (Strategy) – The strategy to add.
    • start (bool , default True) – If the strategy should be started immediately.
  • Raises:
    • ValueError – If strategy.state is RUNNING or DISPOSED.
    • RuntimeError – If strategy is already registered with the trader.

start_actor(actor: Actor)​

Start the given actor.

Will log a warning if the actor is already RUNNING.

  • Raises: ValueError – If actor is not already registered with the trader.

start_strategy(strategy: Strategy)​

Start the given strategy.

Will log a warning if the strategy is already RUNNING.

  • Raises: ValueError – If strategy is not already registered with the trader.

stop_actor(actor: Actor)​

Stop the given actor.

Will log a warning if the actor is not RUNNING.

  • Parameters: actor (Actor) – The actor to stop.
  • Raises: ValueError – If actor is not already registered with the trader.

stop_strategy(strategy: Strategy)​

Stop the given strategy.

Will log a warning if the strategy is not RUNNING.

  • Parameters: strategy (Strategy) – The strategy to stop.
  • Raises: ValueError – If strategy is not already registered with the trader.

remove_actor(actor: Actor)​

Remove the given actor.

Will stop the actor first if state is RUNNING.

  • Parameters: actor (Actor) – The actor to remove.
  • Raises: ValueError – If actor is not already registered with the trader.

remove_strategy(strategy: Strategy)​

Remove the given strategy.

Will stop the strategy first if state is RUNNING.

  • Parameters: strategy (Strategy) – The strategy to remove.
  • Raises: ValueError – If strategy is not already registered with the trader.

active_task_ids(self)​

Return the active task identifiers.

add_synthetic(self, SyntheticInstrument synthetic)​

Add the created synthetic instrument to the cache.

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

cache​

The read-only cache for the actor.

  • Returns: CacheFacade

cancel_all_tasks(self)​

Cancel all queued and active tasks.

cancel_task(self, task_id: TaskId)​

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

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

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

clock​

The actors clock.

  • Returns: Clock

config​

The actors configuration.

  • Returns: NautilusConfig

degrade(self)​

Degrade the component.

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

WARNING​

Do not override.

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

deregister_warning_event(self, type event)​

Deregister the given event type from warning log levels.

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

dispose(self)​

Dispose of the component.

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

WARNING​

Do not override.

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

fault(self)​

Fault the component.

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

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

WARNING​

Do not override.

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

classmethod fully_qualified_name(cls)​

Return the fully qualified name for the components class.

  • Return type: str

handle_bar(self, Bar bar)​

Handle the given bar data.

If state is RUNNING then passes to on_bar.

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

WARNING​

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

handle_bars(self, list bars)​

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

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

WARNING​

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

handle_data(self, Data data)​

Handle the given data.

If state is RUNNING then passes to on_data.

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

WARNING​

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

handle_event(self, Event event)​

Handle the given event.

If state is RUNNING then passes to on_event.

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

WARNING​

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

handle_historical_data(self, data)​

Handle the given historical data.

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

WARNING​

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

handle_instrument(self, Instrument instrument)​

Handle the given instrument.

Passes to on_instrument if state is RUNNING.

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

WARNING​

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

handle_instrument_close(self, InstrumentClose update)​

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close.

WARNING​

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

handle_instrument_status(self, InstrumentStatus data)​

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status.

WARNING​

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

handle_instruments(self, list instruments)​

Handle the given instruments data by handling each instrument individually.

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

WARNING​

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

handle_order_book(self, OrderBook order_book)​

Handle the given order book.

Passes to on_order_book if state is RUNNING.

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

WARNING​

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

handle_order_book_deltas(self, deltas)​

Handle the given order book deltas.

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

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

WARNING​

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

handle_quote_tick(self, QuoteTick tick)​

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick.

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

WARNING​

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

handle_quote_ticks(self, list ticks)​

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

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

WARNING​

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

handle_trade_tick(self, TradeTick tick)​

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick.

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

WARNING​

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

handle_trade_ticks(self, list ticks)​

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

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

WARNING​

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

handle_venue_status(self, VenueStatus data)​

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status.

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

WARNING​

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

has_active_tasks(self)​

Return a value indicating whether there are any active tasks.

  • Return type: bool

has_any_tasks(self)​

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

  • Return type: bool

has_pending_requests(self)​

Return whether the actor is pending processing for any requests.

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

has_queued_tasks(self)​

Return a value indicating whether there are any queued tasks.

  • Return type: bool

id​

The components ID.

  • Returns: ComponentId

indicators_initialized(self)​

Return a value indicating whether all indicators are initialized.

  • Returns: True if all initialized, else False
  • Return type: bool

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

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

  • Return type: bool
  • Type: Component.is_initialized

is_pending_request(self, UUID4 request_id)​

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

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

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

load(self, dict state)​

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

Calls on_load and passes the state.

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

WARNING​

Exceptions raised will be caught, logged, and reraised.

log​

The actors logger.

  • Returns: Logger

msgbus​

The message bus for the actor (if registered).

  • Returns: MessageBus or None

on_bar(self, Bar bar)​

Actions to be performed when running and receives a bar.

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

WARNING​

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

on_data(self, data)​

Actions to be performed when running and receives data.

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

WARNING​

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

on_degrade(self)​

Actions to be performed on degrade.

WARNING​

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

Should be overridden in the actor implementation.

on_dispose(self)​

Actions to be performed on dispose.

Cleanup/release any resources used here.

WARNING​

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

on_event(self, Event event)​

Actions to be performed running and receives an event.

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

WARNING​

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

on_fault(self)​

Actions to be performed on fault.

Cleanup any resources used by the actor here.

WARNING​

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

Should be overridden in the actor implementation.

on_historical_data(self, data)​

Actions to be performed when running and receives historical data.

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

WARNING​

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

on_instrument(self, Instrument instrument)​

Actions to be performed when running and receives an instrument.

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

WARNING​

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

on_instrument_close(self, InstrumentClose update)​

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

WARNING​

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

on_instrument_status(self, InstrumentStatus data)​

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

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

WARNING​

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

on_load(self, dict state)​

Actions to be performed when the actor state is loaded.

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

WARNING​

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

on_order_book(self, OrderBook order_book)​

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

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

WARNING​

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

on_order_book_deltas(self, deltas)​

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

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

WARNING​

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

on_quote_tick(self, QuoteTick tick)​

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

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

WARNING​

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

on_reset(self)​

Actions to be performed on reset.

WARNING​

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

Should be overridden in a user implementation.

on_resume(self)​

Actions to be performed on resume.

WARNING​

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

on_save(self)​

Actions to be performed when the actor state is saved.

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

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

WARNING​

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

on_start(self)​

Actions to be performed on start.

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

It is recommended to subscribe/request for data here.

WARNING​

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

Should be overridden in a user implementation.

on_stop(self)​

Actions to be performed on stop.

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

WARNING​

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

Should be overridden in a user implementation.

on_trade_tick(self, TradeTick tick)​

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

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

WARNING​

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

on_venue_status(self, VenueStatus data)​

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

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

WARNING​

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

pending_requests(self)​

Return the request IDs which are currently pending processing.

  • Return type: set[UUID4]

portfolio​

The read-only portfolio for the actor.

  • Returns: PortfolioFacade

publish_data(self, DataType data_type, Data data)​

Publish the given data to the message bus.

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

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

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

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

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

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

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

queued_task_ids(self)​

Return the queued task identifiers.

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

Register with a trader.

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

WARNING​

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

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

Register the given Executor for the actor.

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

register_indicator_for_bars(self, BarType bar_type, Indicator indicator)​

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

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

register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator)​

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

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

register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator)​

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

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

register_warning_event(self, type event)​

Register the given event type for warning log levels.

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

registered_indicators​

Return the registered indicators for the strategy.

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

Request historical Bar data.

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

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

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

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

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

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

Request Instrument data for the given instrument ID.

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

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

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

Request all Instrument data for the given venue.

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

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

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

Request an order book snapshot.

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

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

Request historical QuoteTick data.

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

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

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

Request historical TradeTick data.

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

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

reset(self)​

Reset the component.

All stateful fields are reset to their initial value.

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

WARNING​

Do not override.

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

resume(self)​

Resume the component.

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

WARNING​

Do not override.

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

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

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

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

save(self)​

Return the actor/strategy state dictionary to be saved.

Calls on_save.

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

WARNING​

Exceptions raised will be caught, logged, and reraised.

start(self)​

Start the component.

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

WARNING​

Do not override.

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

state​

ComponentState

Return the components current state.

  • Return type: ComponentState
  • Type: Component.state

stop(self)​

Stop the component.

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

WARNING​

Do not override.

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

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

Subscribe to streaming Bar data for the given bar type.

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

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

Subscribe to data of the given data type.

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

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

Subscribe to update Instrument data for the given instrument ID.

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

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

Subscribe to close updates for the given instrument ID.

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

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

Subscribe to status updates for the given instrument ID.

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

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

Subscribe to update Instrument data for the given venue.

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

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

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

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

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

WARNING​

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

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

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

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
    • pyo3_conversion (bool , default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

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

Subscribe to streaming QuoteTick data for the given instrument ID.

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

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

Subscribe to streaming TradeTick data for the given instrument ID.

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

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

Subscribe to status updates for the given venue.

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

to_importable_config(self)​

Returns an importable configuration for this actor.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

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

Unsubscribe from streaming Bar data for the given bar type.

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

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

Unsubscribe from data of the given data type.

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

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

Unsubscribe from update Instrument data for the given instrument ID.

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

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

Unsubscribe to status updates of the given venue.

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

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

Unsubscribe from update Instrument data for the given venue.

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

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

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

The interval must match the previously subscribed interval.

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

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

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

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

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

Unsubscribe from streaming QuoteTick data for the given instrument ID.

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

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

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

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

Unsubscribe to status updates for the given venue.

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

update_synthetic(self, SyntheticInstrument synthetic)​

Update the synthetic instrument in the cache.

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

class ForexSession​

Bases: Enum

SYDNEY = 1​

TOKYO = 2​

LONDON = 3​

NEW_YORK = 4​

class ForexSessionFilter​

Bases: object

Provides methods to help filter trading strategy rules dependent on Forex session times.

local_from_utc(session: ForexSession, time_now: datetime)​

Return the local datetime from the given session and time_now (UTC).

  • Parameters:
    • session (ForexSession) – The session for the local timezone conversion.
    • time_now (datetime) – The time now (UTC).
  • Returns: The converted local datetime.
  • Return type: datetime
  • Raises: ValueError – If time_now is not tz aware UTC.

next_start(session: ForexSession, time_now: datetime)​

Return the next session start.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

  • Parameters:
    • session (ForexSession) – The session for the start datetime.
    • time_now (datetime) – The datetime now.
  • Return type: datetime
  • Raises: ValueError – If time_now is not tz aware UTC.

prev_start(session: ForexSession, time_now: datetime)​

Return the previous session start.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

  • Parameters:
    • session (ForexSession) – The session for the start datetime.
    • time_now (datetime) – The datetime now.
  • Return type: datetime
  • Raises: ValueError – If time_now is not tz aware UTC.

next_end(session: ForexSession, time_now: datetime)​

Return the next session end.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

  • Parameters:
    • session (ForexSession) – The session for the end datetime.
    • time_now (datetime) – The datetime now (UTC).
  • Return type: datetime
  • Raises: ValueError – If time_now is not tz aware UTC.

prev_end(session: ForexSession, time_now: datetime)​

Return the previous sessions end.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

  • Parameters:
    • session (ForexSession) – The session for end datetime.
    • time_now (datetime) – The datetime now.
  • Return type: datetime
  • Raises: ValueError – If time_now is not tz aware UTC.

class NewsImpact​

Bases: Enum

NONE = 1​

LOW = 2​

MEDIUM = 3​

HIGH = 4​

class NewsEvent​

Bases: Data

Represents an economic news event.

  • Parameters:
    • impact (NewsImpact) – The expected impact for the economic news event.
    • name (str) – The name of the economic news event.
    • currency (Currency) – The currency the economic news event is expected to affect.
    • ts_event (int) – UNIX timestamp (nanoseconds) when the news event occurred.
    • ts_init (int) – UNIX timestamp (nanoseconds) when the data object was initialized.

property impact : NewsImpact​

property name : str​

property currency : Currency​

property ts_event : int​

int

UNIX timestamp (nanoseconds) when the data event occurred.

  • Return type: int
  • Type: Data.ts_event

property ts_init : int​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: Data.ts_init

classmethod fully_qualified_name(cls)​

Return the fully qualified name for the Data class.

  • Return type: str

class EconomicNewsEventFilter​

Bases: object

Provides methods to help filter trading strategy rules based on economic news events.

  • Parameters:
    • currencies (list *[*str ]) – The list of three letter currency codes to filter.
    • impacts (list *[*str ]) – The list of impact levels to filter (‘LOW’, ‘MEDIUM’, ‘HIGH’).
    • news_data (pd.DataFrame) – The economic news data.

property unfiltered_data_start​

Return the start of the raw data.

  • Return type: datetime

property unfiltered_data_end​

Return the end of the raw data.

  • Return type: datetime

property currencies​

Return the currencies the data is filtered on.

  • Return type: list[str]

property impacts​

Return the news impacts the data is filtered on.

  • Return type: list[str]

next_event(time_now: datetime)​

Return the next news event matching the filter conditions. Will return None if no news events match the filter conditions.

  • Parameters: time_now (datetime) – The current time.
  • Returns: The next news event in the filtered data if any.
  • Return type: NewsEvent or None
  • Raises:
    • ValueError – The time_now < self.unfiltered_data_start.
    • ValueError – The time_now > self.unfiltered_data_end.
    • ValueError – If time_now is not tz aware UTC.

prev_event(time_now: datetime)​

Return the previous news event matching the initial filter conditions. Will return None if no news events match the filter conditions.

  • Parameters: time_now (datetime) – The current time.
  • Returns: The previous news event in the filtered data if any.
  • Return type: NewsEvent or None
  • Raises:
    • ValueError – The time_now < self.unfiltered_data_start.
    • ValueError – The time_now > self.unfiltered_data_end.
    • ValueError – If time_now is not tz aware UTC.

This module defines a trading strategy class which allows users to implement their own customized trading strategies

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

class Strategy​

Bases: Actor

Strategy(config: StrategyConfig | None = None)

The base class for all trading strategies.

This class allows traders to implement their own customized trading strategies. A trading strategy can configure its own order management system type, which determines how positions are handled by the ExecutionEngine.

Strategy OMS (Order Management System) types: : - UNSPECIFIED: No specific type has been configured, will therefore default to the native OMS type for each venue.

  • HEDGING: A position ID will be assigned for each new position which is opened per instrument.
  • NETTING: There will only be a single position for the strategy per instrument. The position ID naming convention is {instrument_id}-{strategy_id}.
  • Parameters: config (StrategyConfig , optional) – The trading strategy configuration.
  • Raises: TypeError – If config is not of type StrategyConfig.

WARNING​

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

active_task_ids(self)​

Return the active task identifiers.

add_synthetic(self, SyntheticInstrument synthetic)​

Add the created synthetic instrument to the cache.

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

cache​

The read-only cache for the actor.

  • Returns: CacheFacade

cancel_all_orders(self, InstrumentId instrument_id, OrderSide order_side=OrderSide.NO_ORDER_SIDE, ClientId client_id=None)​

Cancel all orders for this strategy for the given instrument ID.

A CancelAllOrders command will be created and then sent to both the OrderEmulator and the ExecutionEngine.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument for the orders to cancel.
    • order_side (OrderSide, default NO_ORDER_SIDE (both sides)) – The side of the orders to cancel.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

cancel_all_tasks(self)​

Cancel all queued and active tasks.

cancel_gtd_expiry(self, Order order)​

Cancel the managed GTD expiry for the given order.

If there is no current GTD expiry timer, then an error will be logged.

  • Parameters: order (Order) – The order to cancel the GTD expiry for.

cancel_order(self, Order order, ClientId client_id=None)​

Cancel the given order with optional routing instructions.

A CancelOrder command will be created and then sent to either the OrderEmulator or the ExecutionEngine (depending on whether the order is emulated).

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

cancel_orders(self, list orders, ClientId client_id=None)​

Batch cancel the given list of orders with optional routing instructions.

For each order in the list, a CancelOrder command will be created and added to a BatchCancelOrders command. This command is then sent to the ExecutionEngine.

Logs an error if the orders list contains local/emulated orders.

  • Parameters:
    • orders (list [Order ]) – The orders to cancel.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises:
    • ValueError – If orders is empty.
    • TypeError – If orders contains a type other than Order.

cancel_task(self, task_id: TaskId)​

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

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

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

change_id(self, StrategyId strategy_id)​

Change the strategies identifier to the given strategy_id.

  • Parameters: strategy_id (StrategyId) – The new strategy ID to change to.

change_order_id_tag(self, unicode order_id_tag)​

Change the order identifier tag to the given order_id_tag.

  • Parameters: order_id_tag (str) – The new order ID tag to change to.

clock​

The actors clock.

  • Returns: Clock

close_all_positions(self, InstrumentId instrument_id, PositionSide position_side=PositionSide.NO_POSITION_SIDE, ClientId client_id=None, list tags=None)​

Close all positions for the given instrument ID for this strategy.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument for the positions to close.
    • position_side (PositionSide, default NO_POSITION_SIDE (both sides)) – The side of the positions to close.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • tags (list *[*str ] , optional) – The tags for the market orders closing the positions.

close_position(self, Position position, ClientId client_id=None, list tags=None)​

Close the given position.

A closing MarketOrder for the position will be created, and then sent to the ExecutionEngine via a SubmitOrder command.

  • Parameters:
    • position (Position) – The position to close.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • tags (list *[*str ] , optional) – The tags for the market order closing the position.

config​

The actors configuration.

  • Returns: NautilusConfig

degrade(self)​

Degrade the component.

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

WARNING​

Do not override.

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

deregister_warning_event(self, type event)​

Deregister the given event type from warning log levels.

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

dispose(self)​

Dispose of the component.

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

WARNING​

Do not override.

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

external_order_claims​

The external order claims instrument IDs for the strategy.

  • Returns: list[InstrumentId]

fault(self)​

Fault the component.

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

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

WARNING​

Do not override.

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

classmethod fully_qualified_name(cls)​

Return the fully qualified name for the components class.

  • Return type: str

handle_bar(self, Bar bar)​

Handle the given bar data.

If state is RUNNING then passes to on_bar.

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

WARNING​

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

handle_bars(self, list bars)​

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

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

WARNING​

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

handle_data(self, Data data)​

Handle the given data.

If state is RUNNING then passes to on_data.

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

WARNING​

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

handle_event(self, Event event)​

Handle the given event.

If state is RUNNING then passes to on_event.

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

WARNING​

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

handle_historical_data(self, data)​

Handle the given historical data.

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

WARNING​

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

handle_instrument(self, Instrument instrument)​

Handle the given instrument.

Passes to on_instrument if state is RUNNING.

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

WARNING​

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

handle_instrument_close(self, InstrumentClose update)​

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close.

WARNING​

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

handle_instrument_status(self, InstrumentStatus data)​

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status.

WARNING​

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

handle_instruments(self, list instruments)​

Handle the given instruments data by handling each instrument individually.

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

WARNING​

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

handle_order_book(self, OrderBook order_book)​

Handle the given order book.

Passes to on_order_book if state is RUNNING.

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

WARNING​

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

handle_order_book_deltas(self, deltas)​

Handle the given order book deltas.

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

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

WARNING​

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

handle_quote_tick(self, QuoteTick tick)​

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick.

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

WARNING​

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

handle_quote_ticks(self, list ticks)​

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

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

WARNING​

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

handle_trade_tick(self, TradeTick tick)​

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick.

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

WARNING​

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

handle_trade_ticks(self, list ticks)​

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

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

WARNING​

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

handle_venue_status(self, VenueStatus data)​

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status.

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

WARNING​

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

has_active_tasks(self)​

Return a value indicating whether there are any active tasks.

  • Return type: bool

has_any_tasks(self)​

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

  • Return type: bool

has_pending_requests(self)​

Return whether the actor is pending processing for any requests.

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

has_queued_tasks(self)​

Return a value indicating whether there are any queued tasks.

  • Return type: bool

id​

The components ID.

  • Returns: ComponentId

indicators_initialized(self)​

Return a value indicating whether all indicators are initialized.

  • Returns: True if all initialized, else False
  • Return type: bool

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

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

  • Return type: bool
  • Type: Component.is_initialized

is_pending_request(self, UUID4 request_id)​

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

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

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

load(self, dict state)​

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

Calls on_load and passes the state.

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

WARNING​

Exceptions raised will be caught, logged, and reraised.

log​

The actors logger.

  • Returns: Logger

manage_contingent_orders​

If contingent orders should be managed automatically by the strategy.

  • Returns: bool

manage_gtd_expiry​

If all order GTD time in force expirations should be managed automatically by the strategy.

  • Returns: bool

modify_order(self, Order order, Quantity quantity=None, Price price=None, Price trigger_price=None, ClientId client_id=None)​

Modify the given order with optional parameters and routing instructions.

An ModifyOrder command will be created and then sent to either the OrderEmulator or the RiskEngine (depending on whether the order is emulated).

At least one value must differ from the original order for the command to be valid.

Will use an Order Cancel/Replace Request (a.k.a Order Modification) for FIX protocols, otherwise if order update is not available for the API, then will cancel and replace with a new order using the original ClientOrderId.

  • Parameters:
    • order (Order) – The order to update.
    • quantity (Quantity , optional) – The updated quantity for the given order.
    • price (Price , optional) – The updated price for the given order (if applicable).
    • trigger_price (Price , optional) – The updated trigger price for the given order (if applicable).
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises:
    • ValueError – If price is not None and order does not have a price.
    • ValueError – If trigger is not None and order does not have a trigger_price.

WARNING​

If the order is already closed or at PENDING_CANCEL status then the command will not be generated, and a warning will be logged.

msgbus​

The message bus for the actor (if registered).

  • Returns: MessageBus or None

oms_type​

The order management system for the strategy.

  • Returns: OmsType

on_bar(self, Bar bar)​

Actions to be performed when running and receives a bar.

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

WARNING​

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

on_data(self, data)​

Actions to be performed when running and receives data.

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

WARNING​

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

on_degrade(self)​

Actions to be performed on degrade.

WARNING​

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

Should be overridden in the actor implementation.

on_dispose(self)​

Actions to be performed on dispose.

Cleanup/release any resources used here.

WARNING​

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

on_event(self, Event event)​

Actions to be performed running and receives an event.

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

WARNING​

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

on_fault(self)​

Actions to be performed on fault.

Cleanup any resources used by the actor here.

WARNING​

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

Should be overridden in the actor implementation.

on_historical_data(self, data)​

Actions to be performed when running and receives historical data.

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

WARNING​

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

on_instrument(self, Instrument instrument)​

Actions to be performed when running and receives an instrument.

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

WARNING​

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

on_instrument_close(self, InstrumentClose update)​

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

WARNING​

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

on_instrument_status(self, InstrumentStatus data)​

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

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

WARNING​

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

on_load(self, dict state)​

Actions to be performed when the actor state is loaded.

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

WARNING​

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

on_order_accepted(self, OrderAccepted event)​

Actions to be performed when running and receives an order accepted event.

WARNING​

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

on_order_book(self, OrderBook order_book)​

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

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

WARNING​

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

on_order_book_deltas(self, deltas)​

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

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

WARNING​

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

on_order_cancel_rejected(self, OrderCancelRejected event)​

Actions to be performed when running and receives an order cancel rejected event.

WARNING​

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

on_order_canceled(self, OrderCanceled event)​

Actions to be performed when running and receives an order canceled event.

WARNING​

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

on_order_denied(self, OrderDenied event)​

Actions to be performed when running and receives an order denied event.

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

WARNING​

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

on_order_emulated(self, OrderEmulated event)​

Actions to be performed when running and receives an order initialized event.

WARNING​

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

on_order_event(self, OrderEvent event)​

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

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

WARNING​

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

on_order_expired(self, OrderExpired event)​

Actions to be performed when running and receives an order expired event.

WARNING​

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

on_order_filled(self, OrderFilled event)​

Actions to be performed when running and receives an order filled event.

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

WARNING​

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

on_order_initialized(self, OrderInitialized event)​

Actions to be performed when running and receives an order initialized event.

WARNING​

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

on_order_modify_rejected(self, OrderModifyRejected event)​

Actions to be performed when running and receives an order modify rejected event.

WARNING​

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

on_order_pending_cancel(self, OrderPendingCancel event)​

Actions to be performed when running and receives an order pending cancel event.

WARNING​

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

on_order_pending_update(self, OrderPendingUpdate event)​

Actions to be performed when running and receives an order pending update event.

WARNING​

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

on_order_rejected(self, OrderRejected event)​

Actions to be performed when running and receives an order rejected event.

WARNING​

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

on_order_released(self, OrderReleased event)​

Actions to be performed when running and receives an order released event.

WARNING​

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

on_order_submitted(self, OrderSubmitted event)​

Actions to be performed when running and receives an order submitted event.

WARNING​

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

on_order_triggered(self, OrderTriggered event)​

Actions to be performed when running and receives an order triggered event.

WARNING​

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

on_order_updated(self, OrderUpdated event)​

Actions to be performed when running and receives an order updated event.

WARNING​

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

on_position_changed(self, PositionChanged event)​

Actions to be performed when running and receives a position changed event.

WARNING​

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

on_position_closed(self, PositionClosed event)​

Actions to be performed when running and receives a position closed event.

WARNING​

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

on_position_event(self, PositionEvent event)​

Actions to be performed when running and receives a position event.

WARNING​

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

on_position_opened(self, PositionOpened event)​

Actions to be performed when running and receives a position opened event.

WARNING​

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

on_quote_tick(self, QuoteTick tick)​

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

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

WARNING​

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

on_reset(self)​

on_resume(self)​

on_save(self)​

Actions to be performed when the actor state is saved.

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

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

WARNING​

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

on_start(self)​

on_stop(self)​

on_trade_tick(self, TradeTick tick)​

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

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

WARNING​

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

on_venue_status(self, VenueStatus data)​

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

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

WARNING​

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

order_factory​

The order factory for the strategy.

  • Returns: OrderFactory

order_id_tag​

The order ID tag for the strategy.

  • Returns: str

pending_requests(self)​

Return the request IDs which are currently pending processing.

  • Return type: set[UUID4]

portfolio​

The read-only portfolio for the actor.

  • Returns: PortfolioFacade

publish_data(self, DataType data_type, Data data)​

Publish the given data to the message bus.

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

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

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

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

query_order(self, Order order, ClientId client_id=None)​

Query the given order with optional routing instructions.

A QueryOrder command will be created and then sent to the ExecutionEngine.

Logs an error if no VenueOrderId has been assigned to the order.

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

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

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

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

queued_task_ids(self)​

Return the queued task identifiers.

register(self, TraderId trader_id, PortfolioFacade portfolio, MessageBus msgbus, CacheFacade cache, Clock clock)​

Register the strategy with a trader.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the strategy.
    • portfolio (PortfolioFacade) – The read-only portfolio for the strategy.
    • msgbus (MessageBus) – The message bus for the strategy.
    • cache (CacheFacade) – The read-only cache for the strategy.
    • clock (Clock) – The clock for the strategy.

WARNING​

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

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

Register with a trader.

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

WARNING​

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

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

Register the given Executor for the actor.

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

register_indicator_for_bars(self, BarType bar_type, Indicator indicator)​

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

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

register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator)​

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

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

register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator)​

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

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

register_warning_event(self, type event)​

Register the given event type for warning log levels.

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

registered_indicators​

Return the registered indicators for the strategy.

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

Request historical Bar data.

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

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

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

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

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

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

Request Instrument data for the given instrument ID.

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

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

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

Request all Instrument data for the given venue.

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

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

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

Request an order book snapshot.

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

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

Request historical QuoteTick data.

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

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

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

Request historical TradeTick data.

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

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

reset(self)​

Reset the component.

All stateful fields are reset to their initial value.

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

WARNING​

Do not override.

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

resume(self)​

Resume the component.

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

WARNING​

Do not override.

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

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

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

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

save(self)​

Return the actor/strategy state dictionary to be saved.

Calls on_save.

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

WARNING​

Exceptions raised will be caught, logged, and reraised.

start(self)​

Start the component.

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

WARNING​

Do not override.

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

state​

ComponentState

Return the components current state.

  • Return type: ComponentState
  • Type: Component.state

stop(self)​

Stop the component.

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

WARNING​

Do not override.

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

submit_order(self, Order order, PositionId position_id=None, ClientId client_id=None)​

Submit the given order with optional position ID, execution algorithm and routing instructions.

A SubmitOrder command will be created and sent to either an ExecAlgorithm, the OrderEmulator or the RiskEngine (depending whether the order is emulated and/or has an exec_algorithm_id specified).

If the client order ID is duplicate, then the order will be denied.

  • Parameters:
    • order (Order) – The order to submit.
    • position_id (PositionId , optional) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.
    • client_id (ClientId , optional) – The specific execution client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises: ValueError – If order.status is not INITIALIZED.

WARNING​

If a position_id is passed and a position does not yet exist, then any position opened by the order will have this position ID assigned. This may not be what you intended.

submit_order_list(self, OrderList order_list, PositionId position_id=None, ClientId client_id=None)​

Submit the given order list with optional position ID, execution algorithm and routing instructions.

A SubmitOrderList command with be created and sent to either the OrderEmulator, or the RiskEngine (depending whether an order is emulated).

If the order list ID is duplicate, or any client order ID is duplicate, then all orders will be denied.

  • Parameters:
    • order_list (OrderList) – The order list to submit.
    • position_id (PositionId , optional) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.
    • client_id (ClientId , optional) – The specific execution client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises: ValueError – If any order.status is not INITIALIZED.

WARNING​

If a position_id is passed and a position does not yet exist, then any position opened by an order will have this position ID assigned. This may not be what you intended.

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

Subscribe to streaming Bar data for the given bar type.

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

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

Subscribe to data of the given data type.

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

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

Subscribe to update Instrument data for the given instrument ID.

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

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

Subscribe to close updates for the given instrument ID.

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

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

Subscribe to status updates for the given instrument ID.

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

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

Subscribe to update Instrument data for the given venue.

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

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

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

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

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

WARNING​

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

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

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

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
    • pyo3_conversion (bool , default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

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

Subscribe to streaming QuoteTick data for the given instrument ID.

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

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

Subscribe to streaming TradeTick data for the given instrument ID.

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

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

Subscribe to status updates for the given venue.

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

to_importable_config(self)​

Returns an importable configuration for this strategy.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

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

Unsubscribe from streaming Bar data for the given bar type.

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

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

Unsubscribe from data of the given data type.

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

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

Unsubscribe from update Instrument data for the given instrument ID.

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

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

Unsubscribe to status updates of the given venue.

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

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

Unsubscribe from update Instrument data for the given venue.

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

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

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

The interval must match the previously subscribed interval.

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

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

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

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

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

Unsubscribe from streaming QuoteTick data for the given instrument ID.

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

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

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

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

Unsubscribe to status updates for the given venue.

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

update_synthetic(self, SyntheticInstrument synthetic)​

Update the synthetic instrument in the cache.

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

The Trader class is intended to manage a fleet of trading strategies within a running instance of the platform.

A running instance could be either a test/backtest or live implementation - the Trader will operate in the same way.

class Trader​

Bases: Component

Provides a trader for managing a fleet of actors, execution algorithms and trading strategies.

  • Parameters:
    • trader_id (TraderId) – The ID for the trader.
    • instance_id (UUID4) – The instance ID for the trader.
    • msgbus (MessageBus) – The message bus for the trader.
    • cache (Cache) – The cache for the trader.
    • portfolio (Portfolio) – The portfolio for the trader.
    • data_engine (DataEngine) – The data engine for the trader.
    • risk_engine (RiskEngine) – The risk engine for the trader.
    • exec_engine (ExecutionEngine) – The execution engine for the trader.
    • clock (Clock) – The clock for the trader.
    • has_controller (bool , default False) – If the trader has a controller.
    • loop (asyncio.AbstractEventLoop , optional) – The event loop for the trader.
  • Raises:
    • ValueError – If portfolio is not equal to the exec_engine portfolio.
    • ValueError – If strategies is None.
    • ValueError – If strategies is empty.
    • TypeError – If strategies contains a type other than Strategy.

property instance_id : UUID4​

Return the traders instance ID.

actors()​

Return the actors loaded in the trader.

  • Return type: list[Actor]

strategies()​

Return the strategies loaded in the trader.

exec_algorithms()​

Return the execution algorithms loaded in the trader.

  • Return type: list[ExecAlgorithms]

actor_ids()​

Return the actor IDs loaded in the trader.

strategy_ids()​

Return the strategy IDs loaded in the trader.

exec_algorithm_ids()​

Return the execution algorithm IDs loaded in the trader.

actor_states()​

Return the traders actor states.

strategy_states()​

Return the traders strategy states.

exec_algorithm_states()​

Return the traders execution algorithm states.

add_actor(actor: Actor)​

Add the given custom component to the trader.

  • Parameters: actor (Actor) – The actor to add and register.
  • Raises:
    • ValueError – If actor.state is RUNNING or DISPOSED.
    • RuntimeError – If actor.id already exists in the trader.

add_actors(actors: list[Actor])​

Add the given actors to the trader.

  • Parameters: actors (list *[*TradingStrategies ]) – The actors to add and register.
  • Raises: ValueError – If actors is None or empty.

add_strategy(strategy: Strategy)​

Add the given trading strategy to the trader.

  • Parameters: strategy (Strategy) – The trading strategy to add and register.
  • Raises:
    • ValueError – If strategy.state is RUNNING or DISPOSED.
    • RuntimeError – If strategy.id already exists in the trader.

add_strategies(strategies: list[Strategy])​

Add the given trading strategies to the trader.

  • Parameters: strategies (list *[*TradingStrategies ]) – The trading strategies to add and register.
  • Raises: ValueError – If strategies is None or empty.

add_exec_algorithm(exec_algorithm: Any)​

Add the given execution algorithm to the trader.

  • Parameters: exec_algorithm (ExecAlgorithm) – The execution algorithm to add and register.
  • Raises:
    • KeyError – If exec_algorithm.id already exists in the trader.
    • ValueError – If exec_algorithm.state is RUNNING or DISPOSED.

add_exec_algorithms(exec_algorithms: list[Any])​

Add the given execution algorithms to the trader.

  • Parameters: exec_algorithms (list [ExecAlgorithm ]) – The execution algorithms to add and register.
  • Raises: ValueError – If exec_algorithms is None or empty.

start_actor(actor_id: ComponentId)​

Start the actor with the given actor_id.

  • Parameters: actor_id (ComponentId) – The component ID to start.
  • Raises: ValueError – If an actor with the given actor_id is not found.

start_strategy(strategy_id: StrategyId)​

Start the strategy with the given strategy_id.

  • Parameters: strategy_id (StrategyId) – The strategy ID to start.
  • Raises: ValueError – If a strategy with the given strategy_id is not found.

stop_actor(actor_id: ComponentId)​

Stop the actor with the given actor_id.

  • Parameters: actor_id (ComponentId) – The actor ID to stop.
  • Raises: ValueError – If an actor with the given actor_id is not found.

stop_strategy(strategy_id: StrategyId)​

Stop the strategy with the given strategy_id.

  • Parameters: strategy_id (StrategyId) – The strategy ID to stop.
  • Raises: ValueError – If a strategy with the given strategy_id is not found.

remove_actor(actor_id: ComponentId)​

Remove the actor with the given actor_id.

Will stop the actor first if state is RUNNING.

  • Parameters: actor_id (ComponentId) – The actor ID to remove.
  • Raises: ValueError – If an actor with the given actor_id is not found.

remove_strategy(strategy_id: StrategyId)​

Remove the strategy with the given strategy_id.

Will stop the strategy first if state is RUNNING.

  • Parameters: strategy_id (StrategyId) – The strategy ID to remove.
  • Raises: ValueError – If a strategy with the given strategy_id is not found.

clear_actors()​

Dispose and clear all actors held by the trader.

  • Raises: ValueError – If state is RUNNING.

clear_strategies()​

Dispose and clear all strategies held by the trader.

  • Raises: ValueError – If state is RUNNING.

clear_exec_algorithms()​

Dispose and clear all execution algorithms held by the trader.

  • Raises: ValueError – If state is RUNNING.

subscribe(topic: str, handler: Callable[[Any], None])​

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

  • Parameters:
    • topic (str) – The topic for the subscription. May include wildcard glob patterns.
    • handler (Callable [ *[*Any ] , None ]) – The handler for the subscription.

unsubscribe(topic: str, handler: Callable[[Any], None])​

Unsubscribe the given handler from the given message topic.

  • Parameters:
    • topic (str , optional) – The topic to unsubscribe from. May include wildcard glob patterns.
    • handler (Callable [ *[*Any ] , None ]) – The handler for the subscription.

save()​

Save all actor and strategy states to the cache.

load()​

Load all actor and strategy states from the cache.

check_residuals()​

Check for residual open state such as open orders or open positions.

generate_orders_report()​

Generate an orders report.

  • Return type: pd.DataFrame

generate_order_fills_report()​

Generate an order fills report.

  • Return type: pd.DataFrame

generate_fills_report()​

Generate a fills report.

  • Return type: pd.DataFrame

generate_positions_report()​

Generate a positions report.

  • Return type: pd.DataFrame

generate_account_report(venue: Venue)​

Generate an account report.

  • Return type: pd.DataFrame

degrade(self)​

Degrade the component.

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

WARNING​

Do not override.

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

dispose(self)​

Dispose of the component.

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

WARNING​

Do not override.

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

fault(self)​

Fault the component.

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

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

WARNING​

Do not override.

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

classmethod fully_qualified_name(cls)​

Return the fully qualified name for the components class.

  • Return type: str

id​

The components ID.

  • Returns: ComponentId

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

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

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

reset(self)​

Reset the component.

All stateful fields are reset to their initial value.

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

WARNING​

Do not override.

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

resume(self)​

Resume the component.

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

WARNING​

Do not override.

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

start(self)​

Start the component.

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

WARNING​

Do not override.

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

state​

ComponentState

Return the components current state.

  • Return type: ComponentState
  • Type: Component.state

stop(self)​

Stop the component.

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

WARNING​

Do not override.

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

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type
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