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Version: nightly

Binance

Provides an API integration for the Binance Crypto exchange.

Config​

class BinanceDataClientConfig​

Bases: LiveDataClientConfig

Configuration for BinanceDataClient instances.

  • Parameters:
    • venue (Venue , default BINANCE_VENUE) – The venue for the client.
    • api_key (str , optional) – The Binance API public key. If None then will source the BINANCE_API_KEY or BINANCE_TESTNET_API_KEY environment variables.
    • api_secret (str , optional) – The Binance API public key. If None then will source the BINANCE_API_SECRET or BINANCE_TESTNET_API_SECRET environment variables.
    • key_type (BinanceKeyType , default 'HMAC') – The private key cryptographic algorithm type.
    • account_type (BinanceAccountType , default BinanceAccountType.SPOT) – The account type for the client.
    • base_url_http (str , optional) – The HTTP client custom endpoint override.
    • base_url_ws (str , optional) – The WebSocket client custom endpoint override.
    • us (bool , default False) – If client is connecting to Binance US.
    • testnet (bool , default False) – If the client is connecting to a Binance testnet.
    • update_instruments_interval_mins (PositiveInt or None , default 60) – The interval (minutes) between reloading instruments from the venue.
    • use_agg_trade_ticks (bool , default False) – Whether to use aggregated trade tick endpoints instead of raw trades. TradeId of ticks will be the Aggregate tradeId returned by Binance.

venue : Venue​

api_key : str | None​

api_secret : str | None​

key_type : BinanceKeyType​

account_type : BinanceAccountType​

base_url_http : str | None​

base_url_ws : str | None​

us : bool​

testnet : bool​

update_instruments_interval_mins : Annotated[int, msgspec.Meta(gt=0)] | None​

use_agg_trade_ticks : bool​

dict() → dict[str, Any]​

Return a dictionary representation of the configuration.

  • Return type: dict[str, Any]

classmethod fully_qualified_name() → str​

Return the fully qualified name for the NautilusConfig class.

  • Return type: str

handle_revised_bars : bool​

property id : str​

Return the hashed identifier for the configuration.

  • Return type: str

instrument_provider : InstrumentProviderConfig​

json() → bytes​

Return serialized JSON encoded bytes.

  • Return type: bytes

json_primitives() → dict[str, Any]​

Return a dictionary representation of the configuration with JSON primitive types as values.

  • Return type: dict[str, Any]

classmethod parse(raw: bytes | str) → Any​

Return a decoded object of the given cls.

  • Parameters:
    • cls (type) – The type to decode to.
    • raw (bytes or str) – The raw bytes or JSON string to decode.
  • Return type: Any

routing : RoutingConfig​

validate() → bool​

Return whether the configuration can be represented as valid JSON.

  • Return type: bool

class BinanceExecClientConfig​

Bases: LiveExecClientConfig

Configuration for BinanceExecutionClient instances.

  • Parameters:
    • venue (Venue , default BINANCE_VENUE) – The venue for the client.
    • api_key (str , optional) – The Binance API public key. If None then will source the BINANCE_API_KEY or BINANCE_TESTNET_API_KEY environment variables.
    • api_secret (str , optional) – The Binance API public key. If None then will source the BINANCE_API_KEY or BINANCE_TESTNET_API_KEY environment variables.
    • key_type (BinanceKeyType , default 'HMAC') – The private key cryptographic algorithm type.
    • account_type (BinanceAccountType , default BinanceAccountType.SPOT) – The account type for the client.
    • base_url_http (str , optional) – The HTTP client custom endpoint override.
    • base_url_ws (str , optional) – The WebSocket client custom endpoint override.
    • us (bool , default False) – If client is connecting to Binance US.
    • testnet (bool , default False) – If the client is connecting to a Binance testnet.
    • use_gtd (bool , default True) – If GTD orders will use the Binance GTD TIF option. If False, then GTD time in force will be remapped to GTC (this is useful if managing GTD orders locally).
    • use_reduce_only (bool , default True) – If the reduce_only execution instruction on orders is sent through to the exchange. If True, then will assign the value on orders sent to the exchange, otherwise will always be False.
    • use_position_ids (bool , default True) – If Binance Futures hedging position IDs should be used. If False, then order event position_id`(s) from the execution client will be `None, which allows virtual positions with OmsType.HEDGING.
    • treat_expired_as_canceled (bool , default False) – If the EXPIRED execution type is semantically treated as CANCELED. Binance treats cancels with certain combinations of order type and time in force as expired events. This config option allows you to treat these uniformally as cancels.
    • recv_window_ms (PositiveInt , default 5000) – The receive window (milliseconds) for Binance HTTP requests.
    • max_retries (PositiveInt , optional) – The maximum number of times a submit, cancel or modify order request will be retried.
    • retry_delay (PositiveFloat , optional) – The delay (seconds) between retries. Short delays with frequent retries may result in account bans.

WARNING​

A short retry_delay with frequent retries may result in account bans.

venue : Venue​

api_key : str | None​

api_secret : str | None​

key_type : BinanceKeyType​

account_type : BinanceAccountType​

base_url_http : str | None​

base_url_ws : str | None​

us : bool​

testnet : bool​

use_gtd : bool​

use_reduce_only : bool​

use_position_ids : bool​

treat_expired_as_canceled : bool​

recv_window_ms : Annotated[int, msgspec.Meta(gt=0)]​

max_retries : Annotated[int, msgspec.Meta(gt=0)] | None​

retry_delay : Annotated[float, msgspec.Meta(gt=0.0)] | None​

dict() → dict[str, Any]​

Return a dictionary representation of the configuration.

  • Return type: dict[str, Any]

classmethod fully_qualified_name() → str​

Return the fully qualified name for the NautilusConfig class.

  • Return type: str

property id : str​

Return the hashed identifier for the configuration.

  • Return type: str

instrument_provider : InstrumentProviderConfig​

json() → bytes​

Return serialized JSON encoded bytes.

  • Return type: bytes

json_primitives() → dict[str, Any]​

Return a dictionary representation of the configuration with JSON primitive types as values.

  • Return type: dict[str, Any]

classmethod parse(raw: bytes | str) → Any​

Return a decoded object of the given cls.

  • Parameters:
    • cls (type) – The type to decode to.
    • raw (bytes or str) – The raw bytes or JSON string to decode.
  • Return type: Any

routing : RoutingConfig​

validate() → bool​

Return whether the configuration can be represented as valid JSON.

  • Return type: bool

Factories​

get_cached_binance_http_client(clock: LiveClock, account_type: BinanceAccountType, api_key: str | None = None, api_secret: str | None = None, key_type: BinanceKeyType = BinanceKeyType.HMAC, base_url: str | None = None, is_testnet: bool = False, is_us: bool = False) → BinanceHttpClient​

Cache and return a Binance HTTP client with the given key and secret.

If a cached client with matching parameters already exists, the cached client will be returned.

  • Parameters:
    • clock (LiveClock) – The clock for the client.
    • account_type (BinanceAccountType) – The account type for the client.
    • api_key (str , optional) – The API key for the client.
    • api_secret (str , optional) – The API secret for the client.
    • key_type (BinanceKeyType , default 'HMAC') – The private key cryptographic algorithm type.
    • base_url (str , optional) – The base URL for the API endpoints.
    • is_testnet (bool , default False) – If the client is connecting to the testnet API.
    • is_us (bool , default False) – If the client is connecting to Binance US.
  • Return type: BinanceHttpClient

get_cached_binance_spot_instrument_provider(client: BinanceHttpClient, clock: LiveClock, account_type: BinanceAccountType, is_testnet: bool, config: InstrumentProviderConfig, venue: Venue) → BinanceSpotInstrumentProvider​

Cache and return an instrument provider for the Binance Spot/Margin exchange.

If a cached provider already exists, then that provider will be returned.

  • Parameters:
    • client (BinanceHttpClient) – The client for the instrument provider.
    • clock (LiveClock) – The clock for the instrument provider.
    • account_type (BinanceAccountType) – The Binance account type for the instrument provider.
    • is_testnet (bool , default False) – If the provider is for the Spot testnet.
    • config (InstrumentProviderConfig) – The configuration for the instrument provider.
    • venue (Venue) – The venue for the instrument provider.
  • Return type: BinanceSpotInstrumentProvider

get_cached_binance_futures_instrument_provider(client: BinanceHttpClient, clock: LiveClock, account_type: BinanceAccountType, config: InstrumentProviderConfig, venue: Venue) → BinanceFuturesInstrumentProvider​

Cache and return an instrument provider for the Binance Futures exchange.

If a cached provider already exists, then that provider will be returned.

class BinanceLiveDataClientFactory​

Bases: LiveDataClientFactory

Provides a Binance live data client factory.

static create(loop: AbstractEventLoop, name: str, config: BinanceDataClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → BinanceSpotDataClient | BinanceFuturesDataClient​

Create a new Binance data client.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • name (str) – The custom client ID.
    • config (BinanceDataClientConfig) – The client configuration.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
  • Return type: BinanceSpotDataClient or BinanceFuturesDataClient
  • Raises: ValueError – If config.account_type is not a valid BinanceAccountType.

class BinanceLiveExecClientFactory​

Bases: LiveExecClientFactory

Provides a Binance live execution client factory.

static create(loop: AbstractEventLoop, name: str, config: BinanceExecClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → BinanceSpotExecutionClient | BinanceFuturesExecutionClient​

Create a new Binance execution client.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • name (str) – The custom client ID.
    • config (BinanceExecClientConfig) – The configuration for the client.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
  • Return type: BinanceExecutionClient
  • Raises: ValueError – If config.account_type is not a valid BinanceAccountType.

Enums​

Defines Binance common enums.

class BinanceKeyType​

Bases: Enum

Represents a Binance private key cryptographic algorithm type.

HMAC = 'HMAC'​

RSA = 'RSA'​

ED25519 = 'Ed25519'​

class BinanceFuturesPositionSide​

Bases: Enum

Represents a Binance Futures position side.

BOTH = 'BOTH'​

LONG = 'LONG'​

SHORT = 'SHORT'​

class BinanceRateLimitType​

Bases: Enum

Represents a Binance rate limit type.

REQUEST_WEIGHT = 'REQUEST_WEIGHT'​

ORDERS = 'ORDERS'​

RAW_REQUESTS = 'RAW_REQUESTS'​

class BinanceRateLimitInterval​

Bases: Enum

Represents a Binance rate limit interval.

SECOND = 'SECOND'​

MINUTE = 'MINUTE'​

DAY = 'DAY'​

class BinanceKlineInterval​

Bases: Enum

Represents a Binance kline chart interval.

SECOND_1 = '1s'​

MINUTE_1 = '1m'​

MINUTE_3 = '3m'​

MINUTE_5 = '5m'​

MINUTE_15 = '15m'​

MINUTE_30 = '30m'​

HOUR_1 = '1h'​

HOUR_2 = '2h'​

HOUR_4 = '4h'​

HOUR_6 = '6h'​

HOUR_8 = '8h'​

HOUR_12 = '12h'​

DAY_1 = '1d'​

DAY_3 = '3d'​

WEEK_1 = '1w'​

MONTH_1 = '1M'​

class BinanceExchangeFilterType​

Bases: Enum

Represents a Binance exchange filter type.

EXCHANGE_MAX_NUM_ORDERS = 'EXCHANGE_MAX_NUM_ORDERS'​

EXCHANGE_MAX_NUM_ALGO_ORDERS = 'EXCHANGE_MAX_NUM_ALGO_ORDERS'​

class BinanceSymbolFilterType​

Bases: Enum

Represents a Binance symbol filter type.

PRICE_FILTER = 'PRICE_FILTER'​

PERCENT_PRICE = 'PERCENT_PRICE'​

PERCENT_PRICE_BY_SIDE = 'PERCENT_PRICE_BY_SIDE'​

LOT_SIZE = 'LOT_SIZE'​

MIN_NOTIONAL = 'MIN_NOTIONAL'​

NOTIONAL = 'NOTIONAL'​

ICEBERG_PARTS = 'ICEBERG_PARTS'​

MARKET_LOT_SIZE = 'MARKET_LOT_SIZE'​

MAX_NUM_ORDERS = 'MAX_NUM_ORDERS'​

MAX_NUM_ALGO_ORDERS = 'MAX_NUM_ALGO_ORDERS'​

MAX_NUM_ICEBERG_ORDERS = 'MAX_NUM_ICEBERG_ORDERS'​

MAX_POSITION = 'MAX_POSITION'​

TRAILING_DELTA = 'TRAILING_DELTA'​

class BinanceAccountType​

Bases: Enum

Represents a Binance account type.

SPOT = 'SPOT'​

MARGIN = 'MARGIN'​

ISOLATED_MARGIN = 'ISOLATED_MARGIN'​

USDT_FUTURE = 'USDT_FUTURE'​

COIN_FUTURE = 'COIN_FUTURE'​

property is_spot​

property is_margin​

property is_spot_or_margin​

property is_futures : bool​

class BinanceOrderSide​

Bases: Enum

Represents a Binance order side.

BUY = 'BUY'​

SELL = 'SELL'​

class BinanceExecutionType​

Bases: Enum

Represents a Binance execution type.

NEW = 'NEW'​

CANCELED = 'CANCELED'​

CALCULATED = 'CALCULATED'​

REJECTED = 'REJECTED'​

TRADE = 'TRADE'​

EXPIRED = 'EXPIRED'​

AMENDMENT = 'AMENDMENT'​

TRADE_PREVENTION = 'TRADE_PREVENTION'​

class BinanceOrderStatus​

Bases: Enum

Represents a Binance order status.

NEW = 'NEW'​

PARTIALLY_FILLED = 'PARTIALLY_FILLED'​

FILLED = 'FILLED'​

CANCELED = 'CANCELED'​

PENDING_CANCEL = 'PENDING_CANCEL'​

REJECTED = 'REJECTED'​

EXPIRED = 'EXPIRED'​

EXPIRED_IN_MATCH = 'EXPIRED_IN_MATCH'​

NEW_INSURANCE = 'NEW_INSURANCE'​

NEW_ADL = 'NEW_ADL'​

class BinanceTimeInForce​

Bases: Enum

Represents a Binance order time in force.

GTC = 'GTC'​

IOC = 'IOC'​

FOK = 'FOK'​

GTX = 'GTX'​

GTD = 'GTD'​

GTE_GTC = 'GTE_GTC'​

class BinanceOrderType​

Bases: Enum

Represents a Binance order type.

LIMIT = 'LIMIT'​

MARKET = 'MARKET'​

STOP = 'STOP'​

STOP_LOSS = 'STOP_LOSS'​

STOP_LOSS_LIMIT = 'STOP_LOSS_LIMIT'​

TAKE_PROFIT = 'TAKE_PROFIT'​

TAKE_PROFIT_LIMIT = 'TAKE_PROFIT_LIMIT'​

LIMIT_MAKER = 'LIMIT_MAKER'​

STOP_MARKET = 'STOP_MARKET'​

TAKE_PROFIT_MARKET = 'TAKE_PROFIT_MARKET'​

TRAILING_STOP_MARKET = 'TRAILING_STOP_MARKET'​

INSURANCE_FUND = 'INSURANCE_FUND'​

class BinanceSecurityType​

Bases: Enum

Represents a Binance endpoint security type.

NONE = 'NONE'​

TRADE = 'TRADE'​

MARGIN = 'MARGIN'​

USER_DATA = 'USER_DATA'​

USER_STREAM = 'USER_STREAM'​

MARKET_DATA = 'MARKET_DATA'​

class BinanceNewOrderRespType​

Bases: Enum

Represents a Binance newOrderRespType.

ACK = 'ACK'​

RESULT = 'RESULT'​

FULL = 'FULL'​

class BinanceErrorCode​

Bases: Enum

Represents a Binance error code (covers futures).

UNKNOWN = -1000​

DISCONNECTED = -1001​

UNAUTHORIZED = -1002​

TOO_MANY_REQUESTS = -1003​

DUPLICATE_IP = -1004​

NO_SUCH_IP = -1005​

UNEXPECTED_RESP = -1006​

TIMEOUT = -1007​

SERVER_BUSY = -1008​

ERROR_MSG_RECEIVED = -1010​

NON_WHITE_LIST = -1011​

INVALID_MESSAGE = -1013​

UNKNOWN_ORDER_COMPOSITION = -1014​

TOO_MANY_ORDERS = -1015​

SERVICE_SHUTTING_DOWN = -1016​

UNSUPPORTED_OPERATION = -1020​

INVALID_TIMESTAMP = -1021​

INVALID_SIGNATURE = -1022​

START_TIME_GREATER_THAN_END_TIME = -1023​

NOT_FOUND = -1099​

ILLEGAL_CHARS = -1100​

TOO_MANY_PARAMETERS = -1101​

MANDATORY_PARAM_EMPTY_OR_MALFORMED = -1102​

UNKNOWN_PARAM = -1103​

UNREAD_PARAMETERS = -1104​

PARAM_EMPTY = -1105​

PARAM_NOT_REQUIRED = -1106​

BAD_ASSET = -1108​

BAD_ACCOUNT = -1109​

BAD_INSTRUMENT_TYPE = -1110​

BAD_PRECISION = -1111​

NO_DEPTH = -1112​

WITHDRAW_NOT_NEGATIVE = -1113​

TIF_NOT_REQUIRED = -1114​

INVALID_TIF = -1115​

INVALID_ORDER_TYPE = -1116​

INVALID_SIDE = -1117​

EMPTY_NEW_CL_ORD_ID = -1118​

EMPTY_ORG_CL_ORD_ID = -1119​

BAD_INTERVAL = -1120​

BAD_SYMBOL = -1121​

INVALID_SYMBOL_STATUS = -1122​

INVALID_LISTEN_KEY = -1125​

ASSET_NOT_SUPPORTED = -1126​

MORE_THAN_XX_HOURS = -1127​

OPTIONAL_PARAMS_BAD_COMBO = -1128​

INVALID_PARAMETER = -1130​

INVALID_NEW_ORDER_RESP_TYPE = -1136​

INVALID_CALLBACK_RATE = -2007​

NEW_ORDER_REJECTED = -2010​

CANCEL_REJECTED = -2011​

CANCEL_ALL_FAIL = -2012​

NO_SUCH_ORDER = -2013​

BAD_API_KEY_FMT = -2014​

REJECTED_MBX_KEY = -2015​

NO_TRADING_WINDOW = -2016​

API_KEYS_LOCKED = -2017​

BALANCE_NOT_SUFFICIENT = -2018​

MARGIN_NOT_SUFFICIENT = -2019​

UNABLE_TO_FILL = -2020​

ORDER_WOULD_IMMEDIATELY_TRIGGER = -2021​

REDUCE_ONLY_REJECT = -2022​

USER_IN_LIQUIDATION = -2023​

POSITION_NOT_SUFFICIENT = -2024​

MAX_OPEN_ORDER_EXCEEDED = -2025​

REDUCE_ONLY_ORDER_TYPE_NOT_SUPPORTED = -2026​

MAX_LEVERAGE_RATIO = -2027​

MIN_LEVERAGE_RATIO = -2028​

INVALID_ORDER_STATUS = -4000​

PRICE_LESS_THAN_ZERO = -4001​

PRICE_GREATER_THAN_MAX_PRICE = -4002​

QTY_LESS_THAN_ZERO = -4003​

QTY_LESS_THAN_MIN_QTY = -4004​

QTY_GREATER_THAN_MAX_QTY = -4005​

STOP_PRICE_LESS_THAN_ZERO = -4006​

STOP_PRICE_GREATER_THAN_MAX_PRICE = -4007​

TICK_SIZE_LESS_THAN_ZERO = -4008​

MAX_PRICE_LESS_THAN_MIN_PRICE = -4009​

MAX_QTY_LESS_THAN_MIN_QTY = -4010​

STEP_SIZE_LESS_THAN_ZERO = -4011​

MAX_NUM_ORDERS_LESS_THAN_ZERO = -4012​

PRICE_LESS_THAN_MIN_PRICE = -4013​

PRICE_NOT_INCREASED_BY_TICK_SIZE = -4014​

INVALID_CL_ORD_ID_LEN = -4015​

PRICE_HIGHTER_THAN_MULTIPLIER_UP = -4016​

MULTIPLIER_UP_LESS_THAN_ZERO = -4017​

MULTIPLIER_DOWN_LESS_THAN_ZERO = -4018​

COMPOSITE_SCALE_OVERFLOW = -4019​

TARGET_STRATEGY_INVALID = -4020​

INVALID_DEPTH_LIMIT = -4021​

WRONG_MARKET_STATUS = -4022​

QTY_NOT_INCREASED_BY_STEP_SIZE = -4023​

PRICE_LOWER_THAN_MULTIPLIER_DOWN = -4024​

MULTIPLIER_DECIMAL_LESS_THAN_ZERO = -4025​

COMMISSION_INVALID = -4026​

INVALID_ACCOUNT_TYPE = -4027​

INVALID_LEVERAGE = -4028​

INVALID_TICK_SIZE_PRECISION = -4029​

INVALID_STEP_SIZE_PRECISION = -4030​

INVALID_WORKING_TYPE = -4031​

EXCEED_MAX_CANCEL_ORDER_SIZE = -4032​

INSURANCE_ACCOUNT_NOT_FOUND = -4033​

INVALID_BALANCE_TYPE = -4044​

MAX_STOP_ORDER_EXCEEDED = -4045​

NO_NEED_TO_CHANGE_MARGIN_TYPE = -4046​

THERE_EXISTS_OPEN_ORDERS = -4047​

THERE_EXISTS_QUANTITY = -4048​

ADD_ISOLATED_MARGIN_REJECT = -4049​

CROSS_BALANCE_INSUFFICIENT = -4050​

ISOLATED_BALANCE_INSUFFICIENT = -4051​

NO_NEED_TO_CHANGE_AUTO_ADD_MARGIN = -4052​

AUTO_ADD_CROSSED_MARGIN_REJECT = -4053​

ADD_ISOLATED_MARGIN_NO_POSITION_REJECT = -4054​

AMOUNT_MUST_BE_POSITIVE = -4055​

INVALID_API_KEY_TYPE = -4056​

INVALID_RSA_PUBLIC_KEY = -4057​

MAX_PRICE_TOO_LARGE = -4058​

NO_NEED_TO_CHANGE_POSITION_SIDE = -4059​

INVALID_POSITION_SIDE = -4060​

POSITION_SIDE_NOT_MATCH = -4061​

REDUCE_ONLY_CONFLICT = -4062​

INVALID_OPTIONS_REQUEST_TYPE = -4063​

INVALID_OPTIONS_TIME_FRAME = -4064​

INVALID_OPTIONS_AMOUNT = -4065​

INVALID_OPTIONS_EVENT_TYPE = -4066​

POSITION_SIDE_CHANGE_EXISTS_OPEN_ORDERS = -4067​

POSITION_SIDE_CHANGE_EXISTS_QUANTITY = -4068​

INVALID_OPTIONS_PREMIUM_FEE = -4069​

INVALID_CL_OPTIONS_ID_LEN = -4070​

INVALID_OPTIONS_DIRECTION = -4071​

OPTIONS_PREMIUM_NOT_UPDATE = -4072​

OPTIONS_PREMIUM_INPUT_LESS_THAN_ZERO = -4073​

OPTIONS_AMOUNT_BIGGER_THAN_UPPER = -4074​

OPTIONS_PREMIUM_OUTPUT_ZERO = -4075​

OPTIONS_PREMIUM_TOO_DIFF = -4076​

OPTIONS_PREMIUM_REACH_LIMIT = -4077​

OPTIONS_COMMON_ERROR = -4078​

INVALID_OPTIONS_ID = -4079​

OPTIONS_USER_NOT_FOUND = -4080​

OPTIONS_NOT_FOUND = -4081​

INVALID_BATCH_PLACE_ORDER_SIZE = -4082​

PLACE_BATCH_ORDERS_FAIL = -4083​

UPCOMING_METHOD = -4084​

INVALID_NOTIONAL_LIMIT_COEF = -4085​

INVALID_PRICE_SPREAD_THRESHOLD = -4086​

REDUCE_ONLY_ORDER_PERMISSION = -4087​

NO_PLACE_ORDER_PERMISSION = -4088​

INVALID_CONTRACT_TYPE = -4104​

INVALID_CLIENT_TRAN_ID_LEN = -4114​

DUPLICATED_CLIENT_TRAN_ID = -4115​

REDUCE_ONLY_MARGIN_CHECK_FAILED = -4118​

MARKET_ORDER_REJECT = -4131​

INVALID_ACTIVATION_PRICE = -4135​

QUANTITY_EXISTS_WITH_CLOSE_POSITION = -4137​

REDUCE_ONLY_MUST_BE_TRUE = -4138​

ORDER_TYPE_CANNOT_BE_MKT = -4139​

INVALID_OPENING_POSITION_STATUS = -4140​

SYMBOL_ALREADY_CLOSED = -4141​

STRATEGY_INVALID_TRIGGER_PRICE = -4142​

INVALID_PAIR = -4144​

ISOLATED_LEVERAGE_REJECT_WITH_POSITION = -4161​

MIN_NOTIONAL = -4164​

INVALID_TIME_INTERVAL = -4165​

ISOLATED_REJECT_WITH_JOINT_MARGIN = -4167​

JOINT_MARGIN_REJECT_WITH_ISOLATED = -4168​

JOINT_MARGIN_REJECT_WITH_MB = -4169​

JOINT_MARGIN_REJECT_WITH_OPEN_ORDER = -4170​

NO_NEED_TO_CHANGE_JOINT_MARGIN = -4171​

JOINT_MARGIN_REJECT_WITH_NEGATIVE_BALANCE = -4172​

ISOLATED_REJECT_WITH_JOINT_MARGIN_2 = -4183​

PRICE_LOWER_THAN_STOP_MULTIPLIER_DOWN = -4184​

COOLING_OFF_PERIOD = -4192​

ADJUST_LEVERAGE_KYC_FAILED = -4202​

ADJUST_LEVERAGE_ONE_MONTH_FAILED = -4203​

ADJUST_LEVERAGE_X_DAYS_FAILED = -4205​

ADJUST_LEVERAGE_KYC_LIMIT = -4206​

ADJUST_LEVERAGE_ACCOUNT_SYMBOL_FAILED = -4208​

ADJUST_LEVERAGE_SYMBOL_FAILED = -4209​

STOP_PRICE_HIGHER_THAN_PRICE_MULTIPLIER_LIMIT = -4210​

STOP_PRICE_LOWER_THAN_PRICE_MULTIPLIER_LIMIT = -4211​

TRADING_QUANTITATIVE_RULE = -4400​

COMPLIANCE_RESTRICTION = -4401​

COMPLIANCE_BLACK_SYMBOL_RESTRICTION = -4402​

ADJUST_LEVERAGE_COMPLIANCE_FAILED = -4403​

FOK_ORDER_REJECT = -5021​

GTX_ORDER_REJECT = -5022​

MOVE_ORDER_NOT_ALLOWED_SYMBOL_REASON = -5024​

LIMIT_ORDER_ONLY = 5025​

EXCEED_MAXIMUM_MODIFY_ORDER_LIMIT = -5026​

SAME_ORDER = -5027​

ME_RECVWINDOW_REJECT = -5028​

INVALID_GOOD_TILL_DATE = -5040​

class BinanceEnumParser​

Bases: object

Provides common parsing methods for enums used by the ‘Binance’ exchange.

WARNING​

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

parse_binance_order_side(order_side: BinanceOrderSide) → OrderSide​

parse_internal_order_side(order_side: OrderSide) → BinanceOrderSide​

parse_binance_time_in_force(time_in_force: BinanceTimeInForce) → TimeInForce​

parse_internal_time_in_force(time_in_force: TimeInForce) → BinanceTimeInForce​

parse_binance_order_status(order_status: BinanceOrderStatus) → OrderStatus​

parse_binance_order_type(order_type: BinanceOrderType) → OrderType​

parse_internal_order_type(order: Order) → BinanceOrderType​

parse_binance_bar_agg(bar_agg: str) → BarAggregation​

parse_nautilus_bar_aggregation(bar_agg: BarAggregation) → str​

parse_binance_kline_interval_to_bar_spec(kline_interval: BinanceKlineInterval) → BarSpecification​

parse_binance_trigger_type(trigger_type: str) → TriggerType​

parse_position_id_to_binance_futures_position_side(position_id: PositionId) → BinanceFuturesPositionSide​

Types​

class BinanceBar​

Bases: Bar

Represents an aggregated Binance bar.

This data type includes the raw data provided by Binance.

  • Parameters:
    • bar_type (BarType) – The bar type for this bar.
    • open (Price) – The bars open price.
    • high (Price) – The bars high price.
    • low (Price) – The bars low price.
    • close (Price) – The bars close price.
    • volume (Quantity) – The bars volume.
    • quote_volume (Decimal) – The bars quote asset volume.
    • count (int) – The number of trades for the bar.
    • taker_buy_base_volume (Decimal) – The liquidity taker volume on the buy side for the base asset.
    • taker_buy_quote_volume (Decimal) – The liquidity taker volume on the buy side for the quote asset.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.

static from_dict(values: dict[str, Any]) → BinanceBar​

Return a Binance bar parsed from the given values.

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

static to_dict(obj: BinanceBar) → dict[str, Any]​

Return a dictionary representation of this object.

  • Return type: dict[str, Any]

bar_type​

BarType

Return the bar type of bar.

  • Return type: BarType
  • Type: Bar.bar_type

close​

Price

Return the close price of the bar.

  • Return type: Price
  • Type: Bar.close

static from_pyo3(pyo3_bar) → Bar​

Return a legacy Cython bar converted from the given pyo3 Rust object.

  • Parameters: pyo3_bar (nautilus_pyo3.Bar) – The pyo3 Rust bar to convert from.
  • Return type: Bar

static from_pyo3_list(list pyo3_bars) → list[Bar]​

Return legacy Cython bars converted from the given pyo3 Rust objects.

  • Parameters: pyo3_bars (list *[*nautilus_pyo3.Bar ]) – The pyo3 Rust bars to convert from.
  • Return type: list[Bar]

static from_raw(BarType bar_type, int64_t open, int64_t high, int64_t low, int64_t close, uint8_t price_prec, uint64_t volume, uint8_t size_prec, uint64_t ts_event, uint64_t ts_init) → Bar​

static from_raw_arrays_to_list(BarType bar_type, uint8_t price_prec, uint8_t size_prec, int64_t[:] opens, int64_t[:] highs, int64_t[:] lows, int64_t[:] closes, uint64_t[:] volumes, uint64_t[:] ts_events, uint64_t[:] ts_inits) → list[Bar]​

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the Data class.

  • Return type: str

high​

Price

Return the high price of the bar.

  • Return type: Price
  • Type: Bar.high

is_revision​

If this bar is a revision for a previous bar with the same ts_event.

  • Returns: bool

classmethod is_signal(cls, unicode name=u'') → bool​

Determine if the current class is a signal type, optionally checking for a specific signal name.

  • Parameters: name (str , optional) – The specific signal name to check. If name not provided or if an empty string is passed, the method checks whether the class name indicates a general signal type. If name is provided, the method checks if the class name corresponds to that specific signal.
  • Returns: True if the class name matches the signal type or the specific signal name, otherwise False.
  • Return type: bool

is_single_price(self) → bool​

If the OHLC are all equal to a single price.

  • Return type: bool

low​

Price

Return the low price of the bar.

  • Return type: Price
  • Type: Bar.low

open​

Price

Return the open price of the bar.

  • Return type: Price
  • Type: Bar.open

to_pyo3(self) → nautilus_pyo3.Bar​

Return a pyo3 object from this legacy Cython instance.

  • Return type: nautilus_pyo3.Bar

static to_pyo3_list(list bars) → list[nautilus_pyo3.Bar]​

Return pyo3 Rust bars converted from the given legacy Cython objects.

  • Parameters: bars (list [Bar ]) – The legacy Cython bars to convert from.
  • Return type: list[nautilus_pyo3.Bar]

ts_event​

int

UNIX timestamp (nanoseconds) when the data event occurred.

  • Return type: int
  • Type: Bar.ts_event

ts_init​

int

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int
  • Type: Bar.ts_init

volume​

Quantity

Return the volume of the bar.

  • Return type: Quantity
  • Type: Bar.volume

class BinanceTicker​

Bases: Data

Represents a Binance 24hr statistics ticker.

This data type includes the raw data provided by Binance.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID.
    • price_change (Decimal) – The price change.
    • price_change_percent (Decimal) – The price change percent.
    • weighted_avg_price (Decimal) – The weighted average price.
    • prev_close_price (Decimal , optional) – The previous close price.
    • last_price (Decimal) – The last price.
    • last_qty (Decimal) – The last quantity.
    • bid_price (Decimal , optional) – The bid price.
    • bid_qty (Decimal , optional) – The bid quantity.
    • ask_price (Decimal , optional) – The ask price.
    • ask_qty (Decimal , optional) – The ask quantity.
    • open_price (Decimal) – The open price.
    • high_price (Decimal) – The high price.
    • low_price (Decimal) – The low price.
    • volume (Decimal) – The volume.
    • quote_volume (Decimal) – The quote volume.
    • open_time_ms (int) – UNIX timestamp (milliseconds) when the ticker opened.
    • close_time_ms (int) – UNIX timestamp (milliseconds) when the ticker closed.
    • first_id (int) – The first trade match ID (assigned by the venue) for the ticker.
    • last_id (int) – The last trade match ID (assigned by the venue) for the ticker.
    • count (int) – The count of trades over the tickers time range.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the ticker event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

property ts_event : int​

UNIX timestamp (nanoseconds) when the data event occurred.

  • Return type: int

property ts_init : int​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int

static from_dict(values: dict[str, Any]) → BinanceTicker​

Return a Binance Spot/Margin ticker parsed from the given values.

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

static to_dict(obj: BinanceTicker) → dict[str, Any]​

Return a dictionary representation of this object.

  • Return type: dict[str, Any]

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the Data class.

  • Return type: str

classmethod is_signal(cls, unicode name=u'') → bool​

Determine if the current class is a signal type, optionally checking for a specific signal name.

  • Parameters: name (str , optional) – The specific signal name to check. If name not provided or if an empty string is passed, the method checks whether the class name indicates a general signal type. If name is provided, the method checks if the class name corresponds to that specific signal.
  • Returns: True if the class name matches the signal type or the specific signal name, otherwise False.
  • Return type: bool

Futures​

Data​

class BinanceFuturesDataClient​

Bases: BinanceCommonDataClient

Provides a data client for the Binance Futures exchange.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • client (BinanceHttpClient) – The Binance HTTP client.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
    • instrument_provider (InstrumentProvider) – The instrument provider.
    • base_url_ws (str) – The base URL for the WebSocket client.
    • config (BinanceDataClientConfig) – The configuration for the client.
    • account_type (BinanceAccountType , default 'USDT_FUTURE') – The account type for the client.
    • name (str , optional) – The custom client ID.

connect() → None​

Connect the client.

create_task(coro: ~collections.abc.Coroutine, log_msg: str | None = None, actions: ~collections.abc.Callable | None = None, success_msg: str | None = None, success_color: ~nautilus_trader.core.rust.common.LogColor = <LogColor.NORMAL: 0>) → Task​

Run the given coroutine with error handling and optional callback actions when done.

  • Parameters:
    • coro (Coroutine) – The coroutine to run.
    • log_msg (str , optional) – The log message for the task.
    • actions (Callable , optional) – The actions callback to run when the coroutine is done.
    • success_msg (str , optional) – The log message to write on actions success.
    • success_color (LogColor, default NORMAL) – The log message color for actions success.
  • Return type: asyncio.Task

degrade(self) → void​

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.

disconnect() → None​

Disconnect the client.

dispose(self) → void​

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) → void​

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) → str​

Return the fully qualified name for the components class.

  • Return type: str

id​

The components ID.

  • Returns: ComponentId

is_connected​

If the client is connected.

  • Returns: bool

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

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

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

request(self, DataType data_type, UUID4 correlation_id) → void​

Request data for the given data type.

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

request_bars(self, BarType bar_type, int limit, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request historical Bar data. To load historical data from a catalog, you can pass a list[DataCatalogConfig] to the TradingNodeConfig or the BacktestEngineConfig.

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

request_instrument(self, InstrumentId instrument_id, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request Instrument data for the given instrument ID.

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

request_instruments(self, Venue venue, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request all Instrument data for the given venue.

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

request_order_book_snapshot(self, InstrumentId instrument_id, int limit, UUID4 correlation_id) → void​

Request order book snapshot data.

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

request_quote_ticks(self, InstrumentId instrument_id, int limit, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request historical QuoteTick data.

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

request_trade_ticks(self, InstrumentId instrument_id, int limit, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request historical TradeTick data.

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

reset(self) → void​

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) → void​

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.

async run_after_delay(delay: float, coro: Coroutine) → None​

Run the given coroutine after a delay.

  • Parameters:
    • delay (float) – The delay (seconds) before running the coroutine.
    • coro (Coroutine) – The coroutine to run after the initial delay.

start(self) → void​

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) → void​

Stop the component.

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

WARNING​

Do not override.

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

subscribe(self, DataType data_type) → void​

Subscribe to data for the given data type.

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

subscribe_bars(self, BarType bar_type) → void​

Subscribe to Bar data for the given bar type.

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

subscribe_instrument(self, InstrumentId instrument_id) → void​

Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close(self, InstrumentId instrument_id) → void​

Subscribe to InstrumentClose updates for the given instrument ID.

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

subscribe_instrument_status(self, InstrumentId instrument_id) → void​

Subscribe to InstrumentStatus data for the given instrument ID.

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

subscribe_instruments(self) → void​

Subscribe to all Instrument data.

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

Subscribe to OrderBookDeltas data for the given instrument ID.

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

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

Subscribe to OrderBook snapshots data for the given instrument ID.

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

subscribe_quote_ticks(self, InstrumentId instrument_id) → void​

Subscribe to QuoteTick data for the given instrument ID.

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

subscribe_trade_ticks(self, InstrumentId instrument_id) → void​

Subscribe to TradeTick data for the given instrument ID.

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

subscribed_bars(self) → list​

Return the bar types subscribed to.

subscribed_custom_data(self) → list​

Return the custom data types subscribed to.

subscribed_instrument_close(self) → list​

Return the instrument closes subscribed to.

subscribed_instrument_status(self) → list​

Return the status update instruments subscribed to.

subscribed_instruments(self) → list​

Return the instruments subscribed to.

subscribed_order_book_deltas(self) → list​

Return the order book delta instruments subscribed to.

subscribed_order_book_snapshots(self) → list​

Return the order book snapshot instruments subscribed to.

subscribed_quote_ticks(self) → list​

Return the quote tick instruments subscribed to.

subscribed_trade_ticks(self) → list​

Return the trade tick instruments subscribed to.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

unsubscribe(self, DataType data_type) → void​

Unsubscribe from data for the given data type.

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

unsubscribe_bars(self, BarType bar_type) → void​

Unsubscribe from Bar data for the given bar type.

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

unsubscribe_instrument(self, InstrumentId instrument_id) → void​

Unsubscribe from Instrument data for the given instrument ID.

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

unsubscribe_instrument_close(self, InstrumentId instrument_id) → void​

Unsubscribe from InstrumentClose data for the given instrument ID.

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

unsubscribe_instrument_status(self, InstrumentId instrument_id) → void​

Unsubscribe from InstrumentStatus data for the given instrument ID.

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

unsubscribe_instruments(self) → void​

Unsubscribe from all Instrument data.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id) → void​

Unsubscribe from OrderBookDeltas data for the given instrument ID.

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

unsubscribe_order_book_snapshots(self, InstrumentId instrument_id) → void​

Unsubscribe from OrderBook snapshots data for the given instrument ID.

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

unsubscribe_quote_ticks(self, InstrumentId instrument_id) → void​

Unsubscribe from QuoteTick data for the given instrument ID.

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

unsubscribe_trade_ticks(self, InstrumentId instrument_id) → void​

Unsubscribe from TradeTick data for the given instrument ID.

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

venue​

The clients venue ID (if applicable).

  • Returns: Venue or None

Enums​

Defines Binance Futures specific enums.

class BinanceFuturesContractType​

Bases: Enum

Represents a Binance Futures derivatives contract type.

PERPETUAL = 'PERPETUAL'​

CURRENT_MONTH = 'CURRENT_MONTH'​

NEXT_MONTH = 'NEXT_MONTH'​

CURRENT_QUARTER = 'CURRENT_QUARTER'​

NEXT_QUARTER = 'NEXT_QUARTER'​

PERPETUAL_DELIVERING = 'PERPETUAL_DELIVERING'​

CURRENT_QUARTER_DELIVERING = 'CURRENT_QUARTER DELIVERING'​

class BinanceFuturesContractStatus​

Bases: Enum

Represents a Binance Futures contract status.

PENDING_TRADING = 'PENDING_TRADING'​

TRADING = 'TRADING'​

PRE_DELIVERING = 'PRE_DELIVERING'​

DELIVERING = 'DELIVERING'​

DELIVERED = 'DELIVERED'​

PRE_SETTLE = 'PRE_SETTLE'​

SETTLING = 'SETTLING'​

CLOSE = 'CLOSE'​

class BinanceFuturesWorkingType​

Bases: Enum

Represents a Binance Futures working type.

MARK_PRICE = 'MARK_PRICE'​

CONTRACT_PRICE = 'CONTRACT_PRICE'​

class BinanceFuturesMarginType​

Bases: Enum

Represents a Binance Futures margin type.

ISOLATED = 'isolated'​

CROSS = 'cross'​

class BinanceFuturesPositionUpdateReason​

Bases: Enum

Represents a Binance Futures position and balance update reason.

DEPOSIT = 'DEPOSIT'​

WITHDRAW = 'WITHDRAW'​

ORDER = 'ORDER'​

FUNDING_FEE = 'FUNDING_FEE'​

WITHDRAW_REJECT = 'WITHDRAW_REJECT'​

ADJUSTMENT = 'ADJUSTMENT'​

INSURANCE_CLEAR = 'INSURANCE_CLEAR'​

ADMIN_DEPOSIT = 'ADMIN_DEPOSIT'​

ADMIN_WITHDRAW = 'ADMIN_WITHDRAW'​

MARGIN_TRANSFER = 'MARGIN_TRANSFER'​

MARGIN_TYPE_CHANGE = 'MARGIN_TYPE_CHANGE'​

ASSET_TRANSFER = 'ASSET_TRANSFER'​

OPTIONS_PREMIUM_FEE = 'OPTIONS_PREMIUM_FEE'​

OPTIONS_SETTLE_PROFIT = 'OPTIONS_SETTLE_PROFIT'​

AUTO_EXCHANGE = 'AUTO_EXCHANGE'​

COIN_SWAP_DEPOSIT = 'COIN_SWAP_DEPOSIT'​

COIN_SWAP_WITHDRAW = 'COIN_SWAP_WITHDRAW'​

class BinanceFuturesEventType​

Bases: Enum

Represents a Binance Futures event type.

LISTEN_KEY_EXPIRED = 'listenKeyExpired'​

MARGIN_CALL = 'MARGIN_CALL'​

ACCOUNT_UPDATE = 'ACCOUNT_UPDATE'​

ORDER_TRADE_UPDATE = 'ORDER_TRADE_UPDATE'​

ACCOUNT_CONFIG_UPDATE = 'ACCOUNT_CONFIG_UPDATE'​

TRADE_LITE = 'TRADE_LITE'​

class BinanceFuturesEnumParser​

Bases: BinanceEnumParser

Provides parsing methods for enums used by the ‘Binance Futures’ exchange.

parse_binance_order_type(order_type: BinanceOrderType) → OrderType​

parse_internal_order_type(order: Order) → BinanceOrderType​

parse_binance_trigger_type(trigger_type: str) → TriggerType​

parse_futures_position_side(net_size: Decimal) → PositionSide​

parse_binance_bar_agg(bar_agg: str) → BarAggregation​

parse_binance_kline_interval_to_bar_spec(kline_interval: BinanceKlineInterval) → BarSpecification​

parse_binance_order_side(order_side: BinanceOrderSide) → OrderSide​

parse_binance_order_status(order_status: BinanceOrderStatus) → OrderStatus​

parse_binance_time_in_force(time_in_force: BinanceTimeInForce) → TimeInForce​

parse_internal_order_side(order_side: OrderSide) → BinanceOrderSide​

parse_internal_time_in_force(time_in_force: TimeInForce) → BinanceTimeInForce​

parse_nautilus_bar_aggregation(bar_agg: BarAggregation) → str​

parse_position_id_to_binance_futures_position_side(position_id: PositionId) → BinanceFuturesPositionSide​

Execution​

class BinanceFuturesExecutionClient​

Bases: BinanceCommonExecutionClient

Provides an execution client for the Binance Futures exchange.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • client (BinanceHttpClient) – The Binance HTTP client.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
    • instrument_provider (BinanceFuturesInstrumentProvider) – The instrument provider.
    • base_url_ws (str) – The base URL for the WebSocket client.
    • config (BinanceExecClientConfig) – The configuration for the client.
    • account_type (BinanceAccountType , default 'USDT_FUTURE') – The account type for the client.
    • name (str , optional) – The custom client ID.

account_id​

The clients account ID.

  • Returns: AccountId or None

account_type​

The clients account type.

  • Returns: AccountType

base_currency​

The clients account base currency (None for multi-currency accounts).

  • Returns: Currency or None

batch_cancel_orders(self, BatchCancelOrders command) → void​

Batch cancel orders for the instrument ID contained in the given command.

cancel_all_orders(self, CancelAllOrders command) → void​

Cancel all orders for the instrument ID contained in the given command.

cancel_order(self, CancelOrder command) → void​

Cancel the order with the client order ID contained in the given command.

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

connect() → None​

Connect the client.

create_task(coro: ~collections.abc.Coroutine, log_msg: str | None = None, actions: ~collections.abc.Callable | None = None, success_msg: str | None = None, success_color: ~nautilus_trader.core.rust.common.LogColor = <LogColor.NORMAL: 0>) → Task​

Run the given coroutine with error handling and optional callback actions when done.

  • Parameters:
    • coro (Coroutine) – The coroutine to run.
    • log_msg (str , optional) – The log message for the task.
    • actions (Callable , optional) – The actions callback to run when the coroutine is done.
    • success_msg (str , optional) – The log message to write on actions success.
    • success_color (str, default NORMAL) – The log message color for actions success.
  • Return type: asyncio.Task

degrade(self) → void​

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.

disconnect() → None​

Disconnect the client.

dispose(self) → void​

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) → void​

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) → str​

Return the fully qualified name for the components class.

  • Return type: str

generate_account_state(self, list balances, list margins, bool reported, uint64_t ts_event, dict info=None) → void​

Generate an AccountState event and publish on the message bus.

  • Parameters:
    • balances (list [AccountBalance ]) – The account balances.
    • margins (list [MarginBalance ]) – The margin balances.
    • reported (bool) – If the balances are reported directly from the exchange.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
    • info (dict *[*str , object ]) – The additional implementation specific account information.

async generate_fill_reports(instrument_id: InstrumentId | None = None, venue_order_id: VenueOrderId | None = None, start: Timestamp | None = None, end: Timestamp | None = None) → list[FillReport]​

Generate a list of

`

FillReport`s with optional query filters.

The returned list may be empty if no trades match the given parameters.

  • Parameters:
    • instrument_id (InstrumentId , optional) – The instrument ID query filter.
    • venue_order_id (VenueOrderId , optional) – The venue order ID (assigned by the venue) query filter.
    • start (pd.Timestamp , optional) – The start datetime (UTC) query filter.
    • end (pd.Timestamp , optional) – The end datetime (UTC) query filter.
  • Return type: list[FillReport]

async generate_mass_status(lookback_mins: int | None = None) → ExecutionMassStatus | None​

Generate an ExecutionMassStatus report.

  • Parameters: lookback_mins (int , optional) – The maximum lookback for querying closed orders, trades and positions.
  • Return type: ExecutionMassStatus or None

generate_order_accepted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderAccepted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.

generate_order_cancel_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderCancelRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order cancel rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

generate_order_canceled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderCanceled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.

generate_order_expired(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderExpired event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.

generate_order_filled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: PositionId | None, TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event, dict info=None) → void​

Generate an OrderFilled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • trade_id (TradeId) – The trade ID.
    • venue_position_id (PositionId or None) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.
    • order_side (OrderSide {BUY, SELL}) – The execution order side.
    • order_type (OrderType) – The execution order type.
    • last_qty (Quantity) – The fill quantity for this execution.
    • last_px (Price) – The fill price for this execution (not average price).
    • quote_currency (Currency) – The currency of the price.
    • commission (Money) – The fill commission.
    • liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
    • info (dict *[*str , object ] , optional) – The additional fill information.

generate_order_modify_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderModifyRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order update rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • reason (datetime) – The order rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.

async generate_order_status_report(instrument_id: InstrumentId, client_order_id: ClientOrderId | None = None, venue_order_id: VenueOrderId | None = None) → OrderStatusReport | None​

Generate an OrderStatusReport for the given order identifier parameter(s).

If the order is not found, or an error occurs, then logs and returns None.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the report.
    • client_order_id (ClientOrderId , optional) – The client order ID for the report.
    • venue_order_id (VenueOrderId , optional) – The venue order ID for the report.
  • Return type: OrderStatusReport or None
  • Raises: ValueError – If both the client_order_id and venue_order_id are None.

async generate_order_status_reports(instrument_id: InstrumentId | None = None, start: Timestamp | None = None, end: Timestamp | None = None, open_only: bool = False) → list[OrderStatusReport]​

Generate a list of

`

OrderStatusReport`s with optional query filters.

The returned list may be empty if no orders match the given parameters.

  • Parameters:
    • instrument_id (InstrumentId , optional) – The instrument ID query filter.
    • start (pd.Timestamp , optional) – The start datetime (UTC) query filter.
    • end (pd.Timestamp , optional) – The end datetime (UTC) query filter.
    • open_only (bool , default False) – If the query is for open orders only.
  • Return type: list[OrderStatusReport]

generate_order_submitted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, uint64_t ts_event) → void​

Generate an OrderSubmitted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.

generate_order_triggered(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderTriggered event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.

generate_order_updated(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, Quantity quantity, Price price, Price trigger_price, uint64_t ts_event, bool venue_order_id_modified=False) → void​

Generate an OrderUpdated event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • quantity (Quantity) – The orders current quantity.
    • price (Price) – The orders current price.
    • trigger_price (Price or None) – The orders current trigger price.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update event occurred.
    • venue_order_id_modified (bool) – If the ID was modified for this event.

async generate_position_status_reports(instrument_id: InstrumentId | None = None, start: Timestamp | None = None, end: Timestamp | None = None) → list[PositionStatusReport]​

Generate a list of

`

PositionStatusReport`s with optional query filters.

The returned list may be empty if no positions match the given parameters.

  • Parameters:
    • instrument_id (InstrumentId , optional) – The instrument ID query filter.
    • start (pd.Timestamp , optional) – The start datetime (UTC) query filter.
    • end (pd.Timestamp , optional) – The end datetime (UTC) query filter.
  • Return type: list[PositionStatusReport]

get_account(self) → Account​

Return the account for the client (if registered).

  • Return type: Account or None

id​

The components ID.

  • Returns: ComponentId

is_connected​

If the client is connected.

  • Returns: bool

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

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

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

modify_order(self, ModifyOrder command) → void​

Modify the order with parameters contained in the command.

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

oms_type​

The venues order management system type.

  • Returns: OmsType

query_order(self, QueryOrder command) → void​

Initiate a reconciliation for the queried order which will generate an OrderStatusReport.

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

reset(self) → void​

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) → void​

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.

async run_after_delay(delay: float, coro: Coroutine) → None​

Run the given coroutine after a delay.

  • Parameters:
    • delay (float) – The delay (seconds) before running the coroutine.
    • coro (Coroutine) – The coroutine to run after the initial delay.

start(self) → void​

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) → void​

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, SubmitOrder command) → void​

Submit the order contained in the given command for execution.

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

submit_order_list(self, SubmitOrderList command) → void​

Submit the order list contained in the given command for execution.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

property treat_expired_as_canceled : bool​

Whether the EXPIRED execution type is treated as a CANCEL.

  • Return type: bool

type​

The components type.

  • Returns: type

property use_position_ids : bool​

Whether a position_id will be assigned to order events generated by the client.

  • Return type: bool

venue​

The clients venue ID (if not a routing client).

  • Returns: Venue or None

Providers​

class BinanceFuturesInstrumentProvider​

Bases: InstrumentProvider

Provides a means of loading instruments from the Binance Futures exchange.

  • Parameters:
    • client (APIClient) – The client for the provider.
    • config (InstrumentProviderConfig , optional) – The configuration for the provider.

async load_all_async(filters: dict | None = None) → None​

Load the latest instruments into the provider asynchronously, optionally applying the given filters.

async load_ids_async(instrument_ids: list[InstrumentId], filters: dict | None = None) → None​

Load the instruments for the given IDs into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_ids (list [InstrumentId ]) – The instrument IDs to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.
  • Raises: ValueError – If any instrument_id.venue is not equal to self.venue.

async load_async(instrument_id: InstrumentId, filters: dict | None = None) → None​

Load the instrument for the given ID into the provider asynchronously, optionally applying the given filters.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.
  • Raises: ValueError – If instrument_id.venue is not equal to self.venue.

add(instrument: Instrument) → None​

Add the given instrument to the provider.

  • Parameters: instrument (Instrument) – The instrument to add.

add_bulk(instruments: list[Instrument]) → None​

Add the given instruments bulk to the provider.

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

add_currency(currency: Currency) → None​

Add the given currency to the provider.

  • Parameters: currency (Currency) – The currency to add.

property count : int​

Return the count of instruments held by the provider.

  • Return type: int

currencies() → dict[str, Currency]​

Return all currencies held by the instrument provider.

currency(code: str) → Currency | None​

Return the currency with the given code (if found).

  • Parameters: code (str) – The currency code.
  • Return type: Currency or None
  • Raises: ValueError – If code is not a valid string.

find(instrument_id: InstrumentId) → Instrument | None​

Return the instrument for the given instrument ID (if found).

  • Parameters: instrument_id (InstrumentId) – The ID for the instrument
  • Return type: Instrument or None

get_all() → dict[InstrumentId, Instrument]​

Return all loaded instruments as a map keyed by instrument ID.

If no instruments loaded, will return an empty dict.

async initialize(reload: bool = False) → None​

Initialize the instrument provider.

  • Parameters: reload (bool , default False) – If True, then will always reload instruments. If False, then will immediately return if already loaded.

list_all() → list[Instrument]​

Return all loaded instruments.

load(instrument_id: InstrumentId, filters: dict | None = None) → None​

Load the instrument for the given ID into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

load_all(filters: dict | None = None) → None​

Load the latest instruments into the provider, optionally applying the given filters.

  • Parameters: filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

load_ids(instrument_ids: list[InstrumentId], filters: dict | None = None) → None​

Load the instruments for the given IDs into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_ids (list [InstrumentId ]) – The instrument IDs to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

Types​

class BinanceFuturesMarkPriceUpdate​

Bases: Data

Represents a Binance Futures mark price and funding rate update.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the update.
    • mark (Price) – The mark price for the instrument.
    • index (Price) – The index price for the instrument.
    • estimated_settle (Price) – The estimated settle price for the instrument (only useful in the last hour before the settlement starts).
    • funding_rate (Decimal) – The current funding rate for the instrument.
    • ts_next_funding (uint64_t) – UNIX timestamp (nanoseconds) when next funding will occur.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the data event occurred.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the data object was initialized.

property ts_event : int​

UNIX timestamp (nanoseconds) when the data event occurred.

  • Return type: int

property ts_init : int​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Return type: int

static from_dict(values: dict[str, Any]) → BinanceFuturesMarkPriceUpdate​

Return a Binance Futures mark price update parsed from the given values.

static to_dict(obj: BinanceFuturesMarkPriceUpdate) → dict[str, Any]​

Return a dictionary representation of this object.

  • Return type: dict[str, Any]

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the Data class.

  • Return type: str

classmethod is_signal(cls, unicode name=u'') → bool​

Determine if the current class is a signal type, optionally checking for a specific signal name.

  • Parameters: name (str , optional) – The specific signal name to check. If name not provided or if an empty string is passed, the method checks whether the class name indicates a general signal type. If name is provided, the method checks if the class name corresponds to that specific signal.
  • Returns: True if the class name matches the signal type or the specific signal name, otherwise False.
  • Return type: bool

Spot​

Data​

class BinanceSpotDataClient​

Bases: BinanceCommonDataClient

Provides a data client for the Binance Spot/Margin exchange.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • client (BinanceHttpClient) – The binance HTTP client.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
    • instrument_provider (InstrumentProvider) – The instrument provider.
    • base_url_ws (str) – The base URL for the WebSocket client.
    • config (BinanceDataClientConfig) – The configuration for the client.
    • account_type (BinanceAccountType , default 'SPOT') – The account type for the client.
    • name (str , optional) – The custom client ID.

connect() → None​

Connect the client.

create_task(coro: ~collections.abc.Coroutine, log_msg: str | None = None, actions: ~collections.abc.Callable | None = None, success_msg: str | None = None, success_color: ~nautilus_trader.core.rust.common.LogColor = <LogColor.NORMAL: 0>) → Task​

Run the given coroutine with error handling and optional callback actions when done.

  • Parameters:
    • coro (Coroutine) – The coroutine to run.
    • log_msg (str , optional) – The log message for the task.
    • actions (Callable , optional) – The actions callback to run when the coroutine is done.
    • success_msg (str , optional) – The log message to write on actions success.
    • success_color (LogColor, default NORMAL) – The log message color for actions success.
  • Return type: asyncio.Task

degrade(self) → void​

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.

disconnect() → None​

Disconnect the client.

dispose(self) → void​

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) → void​

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) → str​

Return the fully qualified name for the components class.

  • Return type: str

id​

The components ID.

  • Returns: ComponentId

is_connected​

If the client is connected.

  • Returns: bool

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

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

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

request(self, DataType data_type, UUID4 correlation_id) → void​

Request data for the given data type.

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

request_bars(self, BarType bar_type, int limit, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request historical Bar data. To load historical data from a catalog, you can pass a list[DataCatalogConfig] to the TradingNodeConfig or the BacktestEngineConfig.

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

request_instrument(self, InstrumentId instrument_id, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request Instrument data for the given instrument ID.

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

request_instruments(self, Venue venue, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request all Instrument data for the given venue.

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

request_order_book_snapshot(self, InstrumentId instrument_id, int limit, UUID4 correlation_id) → void​

Request order book snapshot data.

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

request_quote_ticks(self, InstrumentId instrument_id, int limit, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request historical QuoteTick data.

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

request_trade_ticks(self, InstrumentId instrument_id, int limit, UUID4 correlation_id, datetime start=None, datetime end=None, dict metadata=None) → void​

Request historical TradeTick data.

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

reset(self) → void​

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) → void​

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.

async run_after_delay(delay: float, coro: Coroutine) → None​

Run the given coroutine after a delay.

  • Parameters:
    • delay (float) – The delay (seconds) before running the coroutine.
    • coro (Coroutine) – The coroutine to run after the initial delay.

start(self) → void​

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) → void​

Stop the component.

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

WARNING​

Do not override.

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

subscribe(self, DataType data_type) → void​

Subscribe to data for the given data type.

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

subscribe_bars(self, BarType bar_type) → void​

Subscribe to Bar data for the given bar type.

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

subscribe_instrument(self, InstrumentId instrument_id) → void​

Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close(self, InstrumentId instrument_id) → void​

Subscribe to InstrumentClose updates for the given instrument ID.

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

subscribe_instrument_status(self, InstrumentId instrument_id) → void​

Subscribe to InstrumentStatus data for the given instrument ID.

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

subscribe_instruments(self) → void​

Subscribe to all Instrument data.

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

Subscribe to OrderBookDeltas data for the given instrument ID.

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

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

Subscribe to OrderBook snapshots data for the given instrument ID.

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

subscribe_quote_ticks(self, InstrumentId instrument_id) → void​

Subscribe to QuoteTick data for the given instrument ID.

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

subscribe_trade_ticks(self, InstrumentId instrument_id) → void​

Subscribe to TradeTick data for the given instrument ID.

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

subscribed_bars(self) → list​

Return the bar types subscribed to.

subscribed_custom_data(self) → list​

Return the custom data types subscribed to.

subscribed_instrument_close(self) → list​

Return the instrument closes subscribed to.

subscribed_instrument_status(self) → list​

Return the status update instruments subscribed to.

subscribed_instruments(self) → list​

Return the instruments subscribed to.

subscribed_order_book_deltas(self) → list​

Return the order book delta instruments subscribed to.

subscribed_order_book_snapshots(self) → list​

Return the order book snapshot instruments subscribed to.

subscribed_quote_ticks(self) → list​

Return the quote tick instruments subscribed to.

subscribed_trade_ticks(self) → list​

Return the trade tick instruments subscribed to.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

unsubscribe(self, DataType data_type) → void​

Unsubscribe from data for the given data type.

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

unsubscribe_bars(self, BarType bar_type) → void​

Unsubscribe from Bar data for the given bar type.

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

unsubscribe_instrument(self, InstrumentId instrument_id) → void​

Unsubscribe from Instrument data for the given instrument ID.

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

unsubscribe_instrument_close(self, InstrumentId instrument_id) → void​

Unsubscribe from InstrumentClose data for the given instrument ID.

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

unsubscribe_instrument_status(self, InstrumentId instrument_id) → void​

Unsubscribe from InstrumentStatus data for the given instrument ID.

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

unsubscribe_instruments(self) → void​

Unsubscribe from all Instrument data.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id) → void​

Unsubscribe from OrderBookDeltas data for the given instrument ID.

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

unsubscribe_order_book_snapshots(self, InstrumentId instrument_id) → void​

Unsubscribe from OrderBook snapshots data for the given instrument ID.

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

unsubscribe_quote_ticks(self, InstrumentId instrument_id) → void​

Unsubscribe from QuoteTick data for the given instrument ID.

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

unsubscribe_trade_ticks(self, InstrumentId instrument_id) → void​

Unsubscribe from TradeTick data for the given instrument ID.

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

venue​

The clients venue ID (if applicable).

  • Returns: Venue or None

Enums​

Defines Binance Spot/Margin specific enums.

class BinanceSpotPermissions​

Bases: Enum

Represents Binance Spot/Margin trading permissions.

SPOT = 'SPOT'​

MARGIN = 'MARGIN'​

LEVERAGED = 'LEVERAGED'​

TRD_GRP_002 = 'TRD_GRP_002'​

TRD_GRP_003 = 'TRD_GRP_003'​

TRD_GRP_004 = 'TRD_GRP_004'​

TRD_GRP_005 = 'TRD_GRP_005'​

TRD_GRP_006 = 'TRD_GRP_006'​

TRD_GRP_007 = 'TRD_GRP_007'​

TRD_GRP_008 = 'TRD_GRP_008'​

TRD_GRP_009 = 'TRD_GRP_009'​

TRD_GRP_010 = 'TRD_GRP_010'​

TRD_GRP_011 = 'TRD_GRP_011'​

TRD_GRP_012 = 'TRD_GRP_012'​

TRD_GRP_013 = 'TRD_GRP_013'​

TRD_GRP_014 = 'TRD_GRP_014'​

TRD_GRP_015 = 'TRD_GRP_015'​

TRD_GRP_016 = 'TRD_GRP_016'​

TRD_GRP_017 = 'TRD_GRP_017'​

TRD_GRP_018 = 'TRD_GRP_018'​

TRD_GRP_019 = 'TRD_GRP_019'​

TRD_GRP_020 = 'TRD_GRP_020'​

TRD_GRP_021 = 'TRD_GRP_021'​

TRD_GRP_022 = 'TRD_GRP_022'​

TRD_GRP_023 = 'TRD_GRP_023'​

TRD_GRP_024 = 'TRD_GRP_024'​

TRD_GRP_025 = 'TRD_GRP_025'​

TRD_GRP_026 = 'TRD_GRP_026'​

TRD_GRP_027 = 'TRD_GRP_027'​

TRD_GRP_028 = 'TRD_GRP_028'​

TRD_GRP_029 = 'TRD_GRP_029'​

TRD_GRP_030 = 'TRD_GRP_030'​

TRD_GRP_031 = 'TRD_GRP_031'​

TRD_GRP_032 = 'TRD_GRP_032'​

class BinanceSpotSymbolStatus​

Bases: Enum

Represents a Binance Spot/Margin symbol status.

PRE_TRADING = 'PRE_TRADING'​

TRADING = 'TRADING'​

POST_TRADING = 'POST_TRADING'​

END_OF_DAY = 'END_OF_DAY'​

HALT = 'HALT'​

AUCTION_MATCH = 'AUCTION_MATCH'​

BREAK = 'BREAK'​

class BinanceSpotEventType​

Bases: Enum

Represents a Binance Spot/Margin event type.

outboundAccountPosition = 'outboundAccountPosition'​

balanceUpdate = 'balanceUpdate'​

executionReport = 'executionReport'​

listStatus = 'listStatus'​

class BinanceSpotEnumParser​

Bases: BinanceEnumParser

Provides parsing methods for enums used by the ‘Binance Spot/Margin’ exchange.

parse_binance_order_type(order_type: BinanceOrderType) → OrderType​

parse_internal_order_type(order: Order) → BinanceOrderType​

parse_binance_bar_agg(bar_agg: str) → BarAggregation​

parse_binance_kline_interval_to_bar_spec(kline_interval: BinanceKlineInterval) → BarSpecification​

parse_binance_order_side(order_side: BinanceOrderSide) → OrderSide​

parse_binance_order_status(order_status: BinanceOrderStatus) → OrderStatus​

parse_binance_time_in_force(time_in_force: BinanceTimeInForce) → TimeInForce​

parse_binance_trigger_type(trigger_type: str) → TriggerType​

parse_internal_order_side(order_side: OrderSide) → BinanceOrderSide​

parse_internal_time_in_force(time_in_force: TimeInForce) → BinanceTimeInForce​

parse_nautilus_bar_aggregation(bar_agg: BarAggregation) → str​

parse_position_id_to_binance_futures_position_side(position_id: PositionId) → BinanceFuturesPositionSide​

Execution​

class BinanceSpotExecutionClient​

Bases: BinanceCommonExecutionClient

Provides an execution client for the Binance Spot/Margin exchange.

  • Parameters:
    • loop (asyncio.AbstractEventLoop) – The event loop for the client.
    • client (BinanceHttpClient) – The binance HTTP client.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (LiveClock) – The clock for the client.
    • instrument_provider (BinanceSpotInstrumentProvider) – The instrument provider.
    • base_url_ws (str) – The base URL for the WebSocket client.
    • config (BinanceExecClientConfig) – The configuration for the client.
    • account_type (BinanceAccountType , default 'SPOT') – The account type for the client.
    • name (str , optional) – The custom client ID.

account_id​

The clients account ID.

  • Returns: AccountId or None

account_type​

The clients account type.

  • Returns: AccountType

base_currency​

The clients account base currency (None for multi-currency accounts).

  • Returns: Currency or None

batch_cancel_orders(self, BatchCancelOrders command) → void​

Batch cancel orders for the instrument ID contained in the given command.

cancel_all_orders(self, CancelAllOrders command) → void​

Cancel all orders for the instrument ID contained in the given command.

cancel_order(self, CancelOrder command) → void​

Cancel the order with the client order ID contained in the given command.

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

connect() → None​

Connect the client.

create_task(coro: ~collections.abc.Coroutine, log_msg: str | None = None, actions: ~collections.abc.Callable | None = None, success_msg: str | None = None, success_color: ~nautilus_trader.core.rust.common.LogColor = <LogColor.NORMAL: 0>) → Task​

Run the given coroutine with error handling and optional callback actions when done.

  • Parameters:
    • coro (Coroutine) – The coroutine to run.
    • log_msg (str , optional) – The log message for the task.
    • actions (Callable , optional) – The actions callback to run when the coroutine is done.
    • success_msg (str , optional) – The log message to write on actions success.
    • success_color (str, default NORMAL) – The log message color for actions success.
  • Return type: asyncio.Task

degrade(self) → void​

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.

disconnect() → None​

Disconnect the client.

dispose(self) → void​

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) → void​

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) → str​

Return the fully qualified name for the components class.

  • Return type: str

generate_account_state(self, list balances, list margins, bool reported, uint64_t ts_event, dict info=None) → void​

Generate an AccountState event and publish on the message bus.

  • Parameters:
    • balances (list [AccountBalance ]) – The account balances.
    • margins (list [MarginBalance ]) – The margin balances.
    • reported (bool) – If the balances are reported directly from the exchange.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
    • info (dict *[*str , object ]) – The additional implementation specific account information.

async generate_fill_reports(instrument_id: InstrumentId | None = None, venue_order_id: VenueOrderId | None = None, start: Timestamp | None = None, end: Timestamp | None = None) → list[FillReport]​

Generate a list of

`

FillReport`s with optional query filters.

The returned list may be empty if no trades match the given parameters.

  • Parameters:
    • instrument_id (InstrumentId , optional) – The instrument ID query filter.
    • venue_order_id (VenueOrderId , optional) – The venue order ID (assigned by the venue) query filter.
    • start (pd.Timestamp , optional) – The start datetime (UTC) query filter.
    • end (pd.Timestamp , optional) – The end datetime (UTC) query filter.
  • Return type: list[FillReport]

async generate_mass_status(lookback_mins: int | None = None) → ExecutionMassStatus | None​

Generate an ExecutionMassStatus report.

  • Parameters: lookback_mins (int , optional) – The maximum lookback for querying closed orders, trades and positions.
  • Return type: ExecutionMassStatus or None

generate_order_accepted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderAccepted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.

generate_order_cancel_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderCancelRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order cancel rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

generate_order_canceled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderCanceled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.

generate_order_expired(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderExpired event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.

generate_order_filled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: PositionId | None, TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event, dict info=None) → void​

Generate an OrderFilled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • trade_id (TradeId) – The trade ID.
    • venue_position_id (PositionId or None) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.
    • order_side (OrderSide {BUY, SELL}) – The execution order side.
    • order_type (OrderType) – The execution order type.
    • last_qty (Quantity) – The fill quantity for this execution.
    • last_px (Price) – The fill price for this execution (not average price).
    • quote_currency (Currency) – The currency of the price.
    • commission (Money) – The fill commission.
    • liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
    • info (dict *[*str , object ] , optional) – The additional fill information.

generate_order_modify_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderModifyRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order update rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • reason (datetime) – The order rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.

async generate_order_status_report(instrument_id: InstrumentId, client_order_id: ClientOrderId | None = None, venue_order_id: VenueOrderId | None = None) → OrderStatusReport | None​

Generate an OrderStatusReport for the given order identifier parameter(s).

If the order is not found, or an error occurs, then logs and returns None.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the report.
    • client_order_id (ClientOrderId , optional) – The client order ID for the report.
    • venue_order_id (VenueOrderId , optional) – The venue order ID for the report.
  • Return type: OrderStatusReport or None
  • Raises: ValueError – If both the client_order_id and venue_order_id are None.

async generate_order_status_reports(instrument_id: InstrumentId | None = None, start: Timestamp | None = None, end: Timestamp | None = None, open_only: bool = False) → list[OrderStatusReport]​

Generate a list of

`

OrderStatusReport`s with optional query filters.

The returned list may be empty if no orders match the given parameters.

  • Parameters:
    • instrument_id (InstrumentId , optional) – The instrument ID query filter.
    • start (pd.Timestamp , optional) – The start datetime (UTC) query filter.
    • end (pd.Timestamp , optional) – The end datetime (UTC) query filter.
    • open_only (bool , default False) – If the query is for open orders only.
  • Return type: list[OrderStatusReport]

generate_order_submitted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, uint64_t ts_event) → void​

Generate an OrderSubmitted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.

generate_order_triggered(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderTriggered event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.

generate_order_updated(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, Quantity quantity, Price price, Price trigger_price, uint64_t ts_event, bool venue_order_id_modified=False) → void​

Generate an OrderUpdated event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • quantity (Quantity) – The orders current quantity.
    • price (Price) – The orders current price.
    • trigger_price (Price or None) – The orders current trigger price.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update event occurred.
    • venue_order_id_modified (bool) – If the ID was modified for this event.

async generate_position_status_reports(instrument_id: InstrumentId | None = None, start: Timestamp | None = None, end: Timestamp | None = None) → list[PositionStatusReport]​

Generate a list of

`

PositionStatusReport`s with optional query filters.

The returned list may be empty if no positions match the given parameters.

  • Parameters:
    • instrument_id (InstrumentId , optional) – The instrument ID query filter.
    • start (pd.Timestamp , optional) – The start datetime (UTC) query filter.
    • end (pd.Timestamp , optional) – The end datetime (UTC) query filter.
  • Return type: list[PositionStatusReport]

get_account(self) → Account​

Return the account for the client (if registered).

  • Return type: Account or None

id​

The components ID.

  • Returns: ComponentId

is_connected​

If the client is connected.

  • Returns: bool

is_degraded​

bool

Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool

Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool

Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool

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

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool

Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool

Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

modify_order(self, ModifyOrder command) → void​

Modify the order with parameters contained in the command.

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

oms_type​

The venues order management system type.

  • Returns: OmsType

query_order(self, QueryOrder command) → void​

Initiate a reconciliation for the queried order which will generate an OrderStatusReport.

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

reset(self) → void​

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) → void​

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.

async run_after_delay(delay: float, coro: Coroutine) → None​

Run the given coroutine after a delay.

  • Parameters:
    • delay (float) – The delay (seconds) before running the coroutine.
    • coro (Coroutine) – The coroutine to run after the initial delay.

start(self) → void​

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) → void​

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, SubmitOrder command) → void​

Submit the order contained in the given command for execution.

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

submit_order_list(self, SubmitOrderList command) → void​

Submit the order list contained in the given command for execution.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

property treat_expired_as_canceled : bool​

Whether the EXPIRED execution type is treated as a CANCEL.

  • Return type: bool

type​

The components type.

  • Returns: type

property use_position_ids : bool​

Whether a position_id will be assigned to order events generated by the client.

  • Return type: bool

venue​

The clients venue ID (if not a routing client).

  • Returns: Venue or None

Providers​

class BinanceSpotInstrumentProvider​

Bases: InstrumentProvider

Provides a means of loading instruments from the Binance Spot/Margin exchange.

  • Parameters:
    • client (APIClient) – The client for the provider.
    • clock (LiveClock) – The clock for the provider.
    • account_type (BinanceAccountType , default SPOT) – The Binance account type for the provider.
    • is_testnet (bool , default False) – If the provider is for the Spot testnet.
    • config (InstrumentProviderConfig , optional) – The configuration for the provider.

async load_all_async(filters: dict | None = None) → None​

Load the latest instruments into the provider asynchronously, optionally applying the given filters.

async load_ids_async(instrument_ids: list[InstrumentId], filters: dict | None = None) → None​

Load the instruments for the given IDs into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_ids (list [InstrumentId ]) – The instrument IDs to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.
  • Raises: ValueError – If any instrument_id.venue is not equal to self.venue.

async load_async(instrument_id: InstrumentId, filters: dict | None = None) → None​

Load the instrument for the given ID into the provider asynchronously, optionally applying the given filters.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.
  • Raises: ValueError – If instrument_id.venue is not equal to self.venue.

add(instrument: Instrument) → None​

Add the given instrument to the provider.

  • Parameters: instrument (Instrument) – The instrument to add.

add_bulk(instruments: list[Instrument]) → None​

Add the given instruments bulk to the provider.

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

add_currency(currency: Currency) → None​

Add the given currency to the provider.

  • Parameters: currency (Currency) – The currency to add.

property count : int​

Return the count of instruments held by the provider.

  • Return type: int

currencies() → dict[str, Currency]​

Return all currencies held by the instrument provider.

currency(code: str) → Currency | None​

Return the currency with the given code (if found).

  • Parameters: code (str) – The currency code.
  • Return type: Currency or None
  • Raises: ValueError – If code is not a valid string.

find(instrument_id: InstrumentId) → Instrument | None​

Return the instrument for the given instrument ID (if found).

  • Parameters: instrument_id (InstrumentId) – The ID for the instrument
  • Return type: Instrument or None

get_all() → dict[InstrumentId, Instrument]​

Return all loaded instruments as a map keyed by instrument ID.

If no instruments loaded, will return an empty dict.

async initialize(reload: bool = False) → None​

Initialize the instrument provider.

  • Parameters: reload (bool , default False) – If True, then will always reload instruments. If False, then will immediately return if already loaded.

list_all() → list[Instrument]​

Return all loaded instruments.

load(instrument_id: InstrumentId, filters: dict | None = None) → None​

Load the instrument for the given ID into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

load_all(filters: dict | None = None) → None​

Load the latest instruments into the provider, optionally applying the given filters.

  • Parameters: filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.

load_ids(instrument_ids: list[InstrumentId], filters: dict | None = None) → None​

Load the instruments for the given IDs into the provider, optionally applying the given filters.

  • Parameters:
    • instrument_ids (list [InstrumentId ]) – The instrument IDs to load.
    • filters (frozendict *[*str , Any ] or dict *[*str , Any ] , optional) – The venue specific instrument loading filters to apply.
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