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Message Bus

The MessageBus is a fundamental part of the platform, facilitating communicate between various system components through message passing. This approach enables a loosely coupled architecture, where components can interact without strong dependencies. Messages exchanged via the message bus can be categorized into three distinct types:

  • Data
  • Events
  • Commands

Data and signal publishing​

The message bus is a lower-level component, which users typically interact with indirectly. Actor and Strategy classes provide two convenience methods built on top of the underlying MessageBus:

def publish_data(self, data_type: DataType, data: Data) -> None:
def publish_signal(self, name: str, value, ts_event: int | None = None) -> None:

These methods allow you to publish custom data and signals efficiently without needing to work directly with the MessageBus interface.

Direct access​

For advanced users or specialized use cases, direct access to the message bus is available within Actor and Strategy classes through the self.msgbus reference, which provides the full message bus interface.

To publish a custom message directly, you can specify a topic as a str and any Python object as the message payload, for example:


self.msgbus.publish("MyTopic", "MyMessage")

External publishing​

The MessageBus can be backed with any database or message broker technology which has an integration written for it, this then enables external publishing of messages.

info

Redis is currently supported for all serializable messages which are published externally. The minimum supported Redis version is 6.2 or higher (required for streams functionality).

Under the hood, when a backing database (or any other compatible technology) is configured, all outgoing messages are first serialized. These serialized messages are then transmitted via a Multiple-Producer Single-Consumer (MPSC) channel to a separate thread, which is implemented in Rust. In this separate thread, the message is written to its final destination, which is presently Redis streams.

This design is primarily driven by performance considerations. By offloading the I/O operations to a separate thread, we ensure that the main thread remains unblocked and can continue its tasks without being hindered by the potentially time-consuming operations involved in interacting with a database or client.

Serialization​

Most Nautilus built-in objects are serializable, dictionaries dict[str, Any] containing serializable primitives, as well as primitive types themselves such as str, int, float, bool and bytes. Additional custom types can be registered by calling the following registration function from the serialization subpackage:

def register_serializable_type(
    cls,
    to_dict: Callable[[Any], dict[str, Any]],
    from_dict: Callable[[dict[str, Any]], Any],
):
    ...
  • cls: The type to register.
  • to_dict: The delegate to instantiate a dict of primitive types from the object.
  • from_dict: The delegate to instantiate the object from a dict of primitive types.

Configuration​

The message bus external backing technology can be configured by importing the MessageBusConfig object and passing this to your TradingNodeConfig. Each of these config options will be described below.

...  # Other config omitted
message_bus=MessageBusConfig(
    database=DatabaseConfig(),
    encoding="json",
    timestamps_as_iso8601=True,
    buffer_interval_ms=100,
    autotrim_mins=30,
    use_trader_prefix=True,
    use_trader_id=True,
    use_instance_id=False,
    streams_prefix="streams",
    types_filter=[QuoteTick, TradeTick],
)
...

Database config​

A DatabaseConfig must be provided, for a default Redis setup on the local loopback you can pass a DatabaseConfig(), which will use defaults to match.

Encoding​

Two encodings are currently supported by the built-in Serializer used by the MessageBus:

  • JSON (json)
  • MessagePack (msgpack)

Use the encoding config option to control the message writing encoding.

tip

The msgpack encoding is used by default as it offers the most optimal serialization and memory performance. It's recommended to use json encoding for human readability when performance is not a primary concern.

Timestamp formatting​

By default timestamps are formatted as UNIX epoch nanosecond integers. Alternatively you can configure ISO 8601 string formatting by setting the timestamps_as_iso8601 to True.

Message stream keys​

Message stream keys are essential for identifying individual trader nodes and organizing messages within streams. They can be tailored to meet your specific requirements and use cases. In the context of message bus streams, a trader key is typically structured as follows:

trader:{trader_id}:{instance_id}:{streams_prefix}

The following options are available for configuring message stream keys:

Trader prefix​

If the key should begin with the trader string.

Trader ID​

If the key should include the trader ID for the node.

Instance ID​

Each trader node is assigned a unique 'instance ID,' which is a UUIDv4. This instance ID helps distinguish individual traders when messages are distributed across multiple streams. You can include the instance ID in the trader key by setting the use_instance_id configuration option to True. This is particularly useful when you need to track and identify traders across various streams in a multi-node trading system.

Streams prefix​

The streams_prefix string enables you to group all streams for a single trader instance or organize messages for multiple instances. Configure this by passing a string to the streams_prefix configuration option, ensuring other prefixes are set to false.

Stream per topic​

Indicates whether the producer will write a separate stream for each topic. This is particularly useful for Redis backings, which do not support wildcard topics when listening to streams. If set to False, all messages will be written to the same stream.

info

Redis does not support wildcard stream topics. For better compatibility with Redis, it is recommended to set this option to False.

Types filtering​

When messages are published on the message bus, they are serialized and written to a stream if a backing for the message bus is configured and enabled. To prevent flooding the stream with data like high-frequency quotes, you may filter out certain types of messages from external publication.

To enable this filtering mechanism, pass a list of type objects to the types_filter parameter in the message bus configuration, specifying which types of messages should be excluded from external publication.

from nautilus_trader.config import MessageBusConfig
from nautilus_trader.data import TradeTick
from nautilus_trader.data import QuoteTick

# Create a MessageBusConfig instance with types filtering
message_bus = MessageBusConfig(
    types_filter=[QuoteTick, TradeTick]
)

Stream auto-trimming​

The autotrim_mins configuration parameter allows you to specify the lookback window in minutes for automatic stream trimming in your message streams. Automatic stream trimming helps manage the size of your message streams by removing older messages, ensuring that the streams remain manageable in terms of storage and performance.

info

The current Redis implementation will maintain the autotrim_mins as a maximum width (plus roughly a minute, as streams are trimmed no more than once per minute). Rather than a maximum lookback window based on the current wall clock time.

External streams​

The message bus within a TradingNode (node) is referred to as the "internal message bus". A producer node is one which publishes messages onto an external stream (see external publishing). The consumer node listens to external streams to receive and publish deserialized message payloads on its internal message bus.

                  ┌───────────────────────────┐                      
                  │                           │                      
                  │                           │                      
                  │                           │                      
                  │      Producer Node        │                      
                  │                           │                      
                  │                           │                      
                  │                           │                      
                  │                           │                      
                  │                           │                      
                  │                           │                      
                  └─────────────┬─────────────┘                      
                                │                                    
                                │                                    
┌───────────────────────────────▼──────────────────────────────┐     
│                                                              │     
│                            Stream                            │     
│                                                              │     
└─────────────┬────────────────────────────────────┬───────────┘     
              │                                    │                 
              │                                    │                 
┌─────────────▼───────────┐          ┌─────────────▼───────────┐     
│                         │          │                         │     
│                         │          │                         │     
│     Consumer Node 1     │          │     Consumer Node 2     │     
│                         │          │                         │     
│                         │          │                         │     
│                         │          │                         │     
│                         │          │                         │     
│                         │          │                         │     
│                         │          │                         │     
│                         │          │                         │     
└─────────────────────────┘          └─────────────────────────┘
tip

Set the LiveDataEngineConfig.external_clients with the list of client_ids intended to represent the external streaming clients. The DataEngine will filter out subscription commands for these clients, ensuring that the external streaming provides the necessary data for any subscriptions to these clients.

Example configuration​

The following example details a streaming setup where a producer node publishes Binance data externally, and a downstream consumer node publishes these data messages onto its internal message bus.

Producer node​

We configure the MessageBus of the producer node to publish to a "binance" stream. The settings use_trader_id, use_trader_prefix, and use_instance_id are all set to False to ensure a simple and predictable stream key that the consumer nodes can register for.

    message_bus=MessageBusConfig(
        database=DatabaseConfig(timeout=2),
        use_trader_id=False,
        use_trader_prefix=False,
        use_instance_id=False,
        streams_prefix="binance",  # <---
        stream_per_topic=False,
        autotrim_mins=30,
    ),

Consumer node​

We configure the MessageBus of the consumer node to receive messages from the same "binance" stream. The node will listen to the external stream keys to publish these messages onto its internal message bus. Additionally, we declare the client ID "BINANCE_EXT" as an external client. This ensures that the DataEngine does not attempt to send data commands to this client ID, as we expect these messages to be published onto the internal message bus from the external stream, to which the node has subscribed to the relevant topics.

    data_engine=LiveDataEngineConfig(
        external_clients=[ClientId("BINANCE_EXT")],
    ),
    message_bus=MessageBusConfig(
        database=DatabaseConfig(timeout=2),
        external_streams=["binance"],  # <---
    ),
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