OKX

OKX cryptocurreny exchange integration adapter.

This subpackage provides an instrument provider, data and execution clients, configurations, and constants for connecting to and interacting with OKX’s API.

For convenience, the most commonly used symbols are re-exported at the subpackage’s top level, so downstream code can simply import from nautilus_trader.adapters.okx.

class OKXDataClientConfig

Bases: LiveDataClientConfig

Configuration for OKXDataClient instances.

• Parameters:
  • api_key (str , *[*default=None ]) – The OKX API public key. If None then will source the OKX_API_KEY environment variable.
  • api_secret (str , *[*default=None ]) – The OKX API secret key. If None then will source the OKX_API_SECRET environment variable.
  • api_passphrase (str , *[*default=None ]) – The passphrase used when creating the OKX API keys. If None then will source the OKX_PASSPHRASE environment variable.
  • instrument_types (tuple[OKXInstrumentType], default (OKXInstrumentType.SPOT,)) – The OKX instrument types of instruments to load. If None, all instrument types are loaded (subject to contract types and their compatibility with instrument types).
  • contract_types (tuple *[*OKXInstrumentType ] , optional) – The OKX contract types of instruments to load. If None, all contract types are loaded (subject to instrument types and their compatibility with contract types).
  • base_url_http (str , optional) – The base url to OKX’s http api. If None then will source the get_http_base_url().
  • base_url_ws (str , optional) – The base url to OKX’s websocket API. If None then will source the url from get_ws_base_url().
  • is_demo (bool , default False) – If the client is connecting to the OKX demo API.
  • update_instruments_interval_mins (PositiveInt or None , default 60) – The interval (minutes) between reloading instruments from the venue.
  • vip_level (int , optional) – The account VIP level to determine book subscriptions.
    • Only VIP4 and above in trading fee tier are allowed to subscribe to “books50-l2-tbt” 50 depth channels (10 ms updates)
    • Only VIP5 and above in trading fee tier are allowed to subscribe to “books-l2-tbt” 400 depth channels (10 ms updates)

api_key : str | None

api_passphrase : str | None

api_secret : str | None

base_url_http : str | None

base_url_ws : str | None

contract_types : tuple[OKXContractType, ...] | None

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

instrument_types : tuple[OKXInstrumentType, ...]

is_demo : bool

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

vip_level : Annotated[int, msgspec.Meta(gt=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

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 json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• 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 OKXExecClientConfig

Bases: LiveExecClientConfig

Configuration for OKXExecutionClient instances.

• Parameters:
  • api_key (str , *[*default=None ]) – The OKX API public key. If None then will source the OKX_API_KEY environment variable.
  • api_secret (str , *[*default=None ]) – The OKX API secret key. If None then will source the OKX_API_SECRET environment variable.
  • api_passphrase (str , *[*default=None ]) – The passphrase used when creating the OKX API keys. If None then will source the OKX_PASSPHRASE environment variable.
  • instrument_types (tuple[OKXInstrumentType], default (OKXInstrumentType.SPOT,)) – The OKX instrument types of instruments to load. If None, all instrument types are loaded (subject to contract types and their compatibility with instrument types).
  • contract_types (tuple *[*OKXInstrumentType ] , optional) – The OKX contract types of instruments to load. If None, all contract types are loaded (subject to instrument types and their compatibility with contract types).
  • base_url_http (str , optional) – The base url to OKX’s http api. If None then will source the get_http_base_url().
  • base_url_ws (str , optional) – The base url to OKX’s websocket API. If None then will source the url from get_ws_base_url().
  • margin_mode (OKXMarginMode , optional) – The intended OKX account margin mode (referred to as mgnMode by OKX’s docs).
  • is_demo (bool , default False) – If the client is connecting to the OKX demo API.
  • use_fills_channel (bool , default False) – If True, subscribes to the fills channel for separate fill reports (requires VIP5+). If False, generates fill reports from order status reports (works for all users).

api_key : str | None

api_passphrase : str | None

api_secret : str | None

base_url_http : str | None

base_url_ws : str | None

contract_types : tuple[OKXContractType, ...] | None

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

instrument_types : tuple[OKXInstrumentType, ...]

is_demo : bool

margin_mode : OKXMarginMode | None

use_fills_channel : 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

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 json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• 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 OKXInstrumentProvider

Bases: InstrumentProvider

Provides Nautilus instrument definitions from OKX.

• Parameters:
  • client (nautilus_pyo3.OKXHttpClient) – The OKX HTTP client.
  • instrument_types (tuple *[*OKXInstrumentType , ... ]) – The instrument types to load.
  • contract_types (tuple *[*OKXContractType , ... ] , optional) – The contract types to load.
  • config (InstrumentProviderConfig , optional) – The instrument provider configuration, by default None.

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 contract_types : tuple[OKXContractType, ...] | None

Return the OKX contract types configured for the provider.

• Return type: tuple[OKXContractType, …] | None

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.

• Return type: dict[str, Currency]

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.

• Return type: dict[InstrumentId, Instrument]

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.

property instrument_types : tuple[OKXInstrumentType, ...]

Return the OKX instrument types configured for the provider.

• Return type: tuple[OKXInstrumentType, …]

instruments_pyo3() → list[Any]

Return all OKX PyO3 instrument definitions held by the provider.

• Return type: list[nautilus_pyo3.Instrument]

list_all() → list[Instrument]

Return all loaded instruments.

• Return type: list[Instrument]

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.

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

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

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.

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.

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.

class OKXLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a OKX live data client factory.

static create(loop: AbstractEventLoop, name: str, config: OKXDataClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → OKXDataClient

Create a new OKX data client.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop for the client.
  • name (str) – The custom client ID.
  • config (OKXDataClientConfig) – The client configuration.
  • msgbus (MessageBus) – The message bus for the client.
  • cache (Cache) – The cache for the client.
  • clock (LiveClock) – The clock for the instrument provider.
• Return type: OKXDataClient

class OKXLiveExecClientFactory

Bases: LiveExecClientFactory

Provides a OKX live execution client factory.

static create(loop: AbstractEventLoop, name: str, config: OKXExecClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → OKXExecutionClient

Create a new OKX execution client.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop for the client.
  • name (str) – The custom client ID.
  • config (OKXExecClientConfig) – 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: OKXExecutionClient

Config

class OKXDataClientConfig

Bases: LiveDataClientConfig

Configuration for OKXDataClient instances.

• Parameters:
  • api_key (str , *[*default=None ]) – The OKX API public key. If None then will source the OKX_API_KEY environment variable.
  • api_secret (str , *[*default=None ]) – The OKX API secret key. If None then will source the OKX_API_SECRET environment variable.
  • api_passphrase (str , *[*default=None ]) – The passphrase used when creating the OKX API keys. If None then will source the OKX_PASSPHRASE environment variable.
  • instrument_types (tuple[OKXInstrumentType], default (OKXInstrumentType.SPOT,)) – The OKX instrument types of instruments to load. If None, all instrument types are loaded (subject to contract types and their compatibility with instrument types).
  • contract_types (tuple *[*OKXInstrumentType ] , optional) – The OKX contract types of instruments to load. If None, all contract types are loaded (subject to instrument types and their compatibility with contract types).
  • base_url_http (str , optional) – The base url to OKX’s http api. If None then will source the get_http_base_url().
  • base_url_ws (str , optional) – The base url to OKX’s websocket API. If None then will source the url from get_ws_base_url().
  • is_demo (bool , default False) – If the client is connecting to the OKX demo API.
  • update_instruments_interval_mins (PositiveInt or None , default 60) – The interval (minutes) between reloading instruments from the venue.
  • vip_level (int , optional) – The account VIP level to determine book subscriptions.
    • Only VIP4 and above in trading fee tier are allowed to subscribe to “books50-l2-tbt” 50 depth channels (10 ms updates)
    • Only VIP5 and above in trading fee tier are allowed to subscribe to “books-l2-tbt” 400 depth channels (10 ms updates)

api_key : str | None

api_secret : str | None

api_passphrase : str | None

instrument_types : tuple[OKXInstrumentType, ...]

contract_types : tuple[OKXContractType, ...] | None

base_url_http : str | None

base_url_ws : str | None

is_demo : bool

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

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

vip_level : Annotated[int, msgspec.Meta(gt=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

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 json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• 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 OKXExecClientConfig

Bases: LiveExecClientConfig

Configuration for OKXExecutionClient instances.

• Parameters:
  • api_key (str , *[*default=None ]) – The OKX API public key. If None then will source the OKX_API_KEY environment variable.
  • api_secret (str , *[*default=None ]) – The OKX API secret key. If None then will source the OKX_API_SECRET environment variable.
  • api_passphrase (str , *[*default=None ]) – The passphrase used when creating the OKX API keys. If None then will source the OKX_PASSPHRASE environment variable.
  • instrument_types (tuple[OKXInstrumentType], default (OKXInstrumentType.SPOT,)) – The OKX instrument types of instruments to load. If None, all instrument types are loaded (subject to contract types and their compatibility with instrument types).
  • contract_types (tuple *[*OKXInstrumentType ] , optional) – The OKX contract types of instruments to load. If None, all contract types are loaded (subject to instrument types and their compatibility with contract types).
  • base_url_http (str , optional) – The base url to OKX’s http api. If None then will source the get_http_base_url().
  • base_url_ws (str , optional) – The base url to OKX’s websocket API. If None then will source the url from get_ws_base_url().
  • margin_mode (OKXMarginMode , optional) – The intended OKX account margin mode (referred to as mgnMode by OKX’s docs).
  • is_demo (bool , default False) – If the client is connecting to the OKX demo API.
  • use_fills_channel (bool , default False) – If True, subscribes to the fills channel for separate fill reports (requires VIP5+). If False, generates fill reports from order status reports (works for all users).

api_key : str | None

api_secret : str | None

api_passphrase : str | None

instrument_types : tuple[OKXInstrumentType, ...]

contract_types : tuple[OKXContractType, ...] | None

base_url_http : str | None

base_url_ws : str | None

margin_mode : OKXMarginMode | None

is_demo : bool

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

use_fills_channel : 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

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 json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• 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_okx_http_client(api_key: str | None = None, api_secret: str | None = None, api_passphrase: str | None = None, base_url: str | None = None, timeout_secs: int = 60, is_demo: bool = False) → OKXHttpClient

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

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

• Parameters:
  • api_key (str , optional) – The API key for the client.
  • api_secret (str , optional) – The API secret for the client.
  • api_passphrase (str , optional) – The passphrase used to create the API key.
  • base_url (str , optional) – The base URL for the API endpoints.
  • timeout_secs (int , default 60) – The timeout (seconds) for HTTP requests to OKX.
  • is_demo (bool , default False) – If the client is connecting to the demo API. Note: Currently only affects WebSocket URLs, HTTP requests to demo require the x-simulated-trading header which is not yet implemented.
• Return type: OKXHttpClient

get_cached_okx_instrument_provider(client: OKXHttpClient, instrument_types: tuple[OKXInstrumentType, ...], contract_types: tuple[OKXContractType, ...] | None = None, config: InstrumentProviderConfig | None = None) → OKXInstrumentProvider

Cache and return a OKX instrument provider.

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

• Parameters:
  • client (OKXHttpClient) – The OKX HTTP client.
  • instrument_types (tuple *[*OKXInstrumentType , ... ]) – The product types to load.
  • contract_types (tuple *[*OKXInstrumentType , ... ] , optional) – The contract types of instruments to load.
  • config (InstrumentProviderConfig , optional) – The instrument provider configuration, by default None.
• Return type: OKXInstrumentProvider

class OKXLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a OKX live data client factory.

static create(loop: AbstractEventLoop, name: str, config: OKXDataClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → OKXDataClient

Create a new OKX data client.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop for the client.
  • name (str) – The custom client ID.
  • config (OKXDataClientConfig) – The client configuration.
  • msgbus (MessageBus) – The message bus for the client.
  • cache (Cache) – The cache for the client.
  • clock (LiveClock) – The clock for the instrument provider.
• Return type: OKXDataClient

class OKXLiveExecClientFactory

Bases: LiveExecClientFactory

Provides a OKX live execution client factory.

static create(loop: AbstractEventLoop, name: str, config: OKXExecClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → OKXExecutionClient

Create a new OKX execution client.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop for the client.
  • name (str) – The custom client ID.
  • config (OKXExecClientConfig) – 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: OKXExecutionClient

Providers

class OKXInstrumentProvider

Bases: InstrumentProvider

Provides Nautilus instrument definitions from OKX.

• Parameters:
  • client (nautilus_pyo3.OKXHttpClient) – The OKX HTTP client.
  • instrument_types (tuple *[*OKXInstrumentType , ... ]) – The instrument types to load.
  • contract_types (tuple *[*OKXContractType , ... ] , optional) – The contract types to load.
  • config (InstrumentProviderConfig , optional) – The instrument provider configuration, by default None.

property instrument_types : tuple[OKXInstrumentType, ...]

Return the OKX instrument types configured for the provider.

• Return type: tuple[OKXInstrumentType, …]

property contract_types : tuple[OKXContractType, ...] | None

Return the OKX contract types configured for the provider.

• Return type: tuple[OKXContractType, …] | None

instruments_pyo3() → list[Any]

Return all OKX PyO3 instrument definitions held by the provider.

• Return type: list[nautilus_pyo3.Instrument]

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.

• Return type: dict[str, Currency]

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.

• Return type: dict[InstrumentId, Instrument]

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.

• Return type: list[Instrument]

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.

Data

class OKXDataClient

Bases: LiveMarketDataClient

Provides a data client for the OKX centralized crypto exchange.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop for the client.
  • client (nautilus_pyo3.OKXHttpClient) – The OKX 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 (OKXInstrumentProvider) – The instrument provider.
  • config (OKXDataClientConfig) – The configuration for the client.
  • name (str , optional) – The custom client ID.

property instrument_provider : OKXInstrumentProvider

async cancel_pending_tasks(timeout_secs: float = 5.0) → None

Cancel all pending tasks and await their cancellation.

• Parameters: timeout_secs (float , default 5.0) – The timeout in seconds to wait for tasks to cancel.

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 | None

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, RequestData request) → void

Request data for the given data type.

• Parameters: request (RequestData) – The message for the data request.

request_bars(self, RequestBars request) → 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: request (RequestBars) – The message for the data request.

request_instrument(self, RequestInstrument request) → void

Request Instrument data for the given instrument ID.

• Parameters: request (RequestInstrument) – The message for the data request.

request_instruments(self, RequestInstruments request) → void

Request all Instrument data for the given venue.

• Parameters: request (RequestInstruments) – The message for the data request.

request_order_book_snapshot(self, RequestOrderBookSnapshot request) → void

Request order book snapshot data.

• Parameters: request (RequestOrderBookSnapshot) – The message for the data request.

request_quote_ticks(self, RequestQuoteTicks request) → void

Request historical QuoteTick data.

• Parameters: request (RequestQuoteTicks) – The message for the data request.

request_trade_ticks(self, RequestTradeTicks request) → void

Request historical TradeTick data.

• Parameters: request (RequestTradeTicks) – The message for the data 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.

shutdown_system(self, str reason=None) → void

Initiate a system-wide shutdown by generating and publishing a ShutdownSystem command.

The command is handled by the system’s NautilusKernel, which will invoke either stop (synchronously) or stop_async (asynchronously) depending on the execution context and the presence of an active event loop.

• Parameters: reason (str , optional) – The reason for issuing the shutdown command.

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, SubscribeData command) → void

Subscribe to data for the given data type.

• Parameters:
  • data_type (DataType) – The data type for the subscription.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_bars(self, SubscribeBars command) → void

Subscribe to Bar data for the given bar type.

• Parameters:
  • bar_type (BarType) – The bar type to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_funding_rates(self, SubscribeFundingRates command) → void

Subscribe to FundingRateUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_index_prices(self, SubscribeIndexPrices command) → void

Subscribe to IndexPriceUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instrument(self, SubscribeInstrument command) → void

Subscribe to the Instrument with the given instrument ID.

• Parameters: params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instrument_close(self, SubscribeInstrumentClose command) → void

Subscribe to InstrumentClose updates for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instrument_status(self, SubscribeInstrumentStatus command) → void

Subscribe to InstrumentStatus data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instruments(self, SubscribeInstruments command) → void

Subscribe to all Instrument data.

• Parameters: params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_mark_prices(self, SubscribeMarkPrices command) → void

Subscribe to MarkPriceUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_order_book_deltas(self, SubscribeOrderBook command) → 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.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_order_book_snapshots(self, SubscribeOrderBook command) → 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.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_quote_ticks(self, SubscribeQuoteTicks command) → void

Subscribe to QuoteTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_trade_ticks(self, SubscribeTradeTicks command) → void

Subscribe to TradeTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribed_bars(self) → list

Return the bar types subscribed to.

• Return type: list[BarType]

subscribed_custom_data(self) → list

Return the custom data types subscribed to.

• Return type: list[DataType]

subscribed_funding_rates(self) → list

Return the funding rate update instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_index_prices(self) → list

Return the index price update instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_instrument_close(self) → list

Return the instrument closes subscribed to.

• Return type: list[InstrumentId]

subscribed_instrument_status(self) → list

Return the status update instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_instruments(self) → list

Return the instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_mark_prices(self) → list

Return the mark price update instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_order_book_deltas(self) → list

Return the order book delta instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_order_book_snapshots(self) → list

Return the order book snapshot instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_quote_ticks(self) → list

Return the quote tick instruments subscribed to.

• Return type: list[InstrumentId]

subscribed_trade_ticks(self) → list

Return the trade tick instruments subscribed to.

• Return type: list[InstrumentId]

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

unsubscribe(self, UnsubscribeData command) → void

Unsubscribe from data for the given data type.

• Parameters:
  • data_type (DataType) – The data type for the subscription.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_bars(self, UnsubscribeBars command) → void

Unsubscribe from Bar data for the given bar type.

• Parameters:
  • bar_type (BarType) – The bar type to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_funding_rates(self, UnsubscribeFundingRates command) → void

Unsubscribe from FundingRateUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_index_prices(self, UnsubscribeIndexPrices command) → void

Unsubscribe from IndexPriceUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_instrument(self, UnsubscribeInstrument command) → void

Unsubscribe from Instrument data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_instrument_close(self, UnsubscribeInstrumentClose command) → void

Unsubscribe from InstrumentClose data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_instrument_status(self, UnsubscribeInstrumentStatus command) → void

Unsubscribe from InstrumentStatus data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument status updates to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_instruments(self, UnsubscribeInstruments command) → void

Unsubscribe from all Instrument data.

• Parameters: params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_mark_prices(self, UnsubscribeMarkPrices command) → void

Unsubscribe from MarkPriceUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_order_book_deltas(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBookDeltas data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_order_book_snapshots(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBook snapshots data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_quote_ticks(self, UnsubscribeQuoteTicks command) → void

Unsubscribe from QuoteTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_trade_ticks(self, UnsubscribeTradeTicks command) → void

Unsubscribe from TradeTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

venue

The clients venue ID (if applicable).

• Returns: Venue or None

Execution

class OKXExecutionClient

Bases: LiveExecutionClient

Provides an execution client for the OKX centralized crypto exchange.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop for the client.
  • client (nautilus_pyo3.OKXHttpClient) – The OKX 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 (OKXInstrumentProvider) – The instrument provider.
  • config (OKXExecClientConfig) – The configuration for the client.
  • name (str , optional) – The custom client ID.

property okx_instrument_provider : OKXInstrumentProvider

async generate_order_status_reports(command: GenerateOrderStatusReports) → 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: command (GenerateOrderStatusReports) – The command for generating the reports.
• Return type: list[OrderStatusReport]

async generate_order_status_report(command: GenerateOrderStatusReport) → 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: command (GenerateOrderStatusReport) – The command to generate the report.
• Return type: OrderStatusReport or None
• Raises: ValueError – If both the client_order_id and venue_order_id are None.

async generate_fill_reports(command: GenerateFillReports) → 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: command (GenerateFillReports) – The command for generating the reports.
• Return type: list[FillReport]

async generate_position_status_reports(command: GeneratePositionStatusReports) → 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: command (GeneratePositionStatusReports) – The command for generating the position status reports.
• Return type: list[PositionStatusReport]

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.

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

cancel_all_orders(self, CancelAllOrders command) → void

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

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

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.

async cancel_pending_tasks(timeout_secs: float = 5.0) → None

Cancel all pending tasks and await their cancellation.

• Parameters: timeout_secs (float , default 5.0) – The timeout in seconds to wait for tasks to cancel.

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_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, str 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, str 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, str reason, uint64_t ts_event, bool due_post_only=False) → 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.
  • due_post_only (bool , default False) – If the order was rejected because it was post-only and would execute immediately as a taker.

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.

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_account(self, QueryAccount command) → void

Query the account specified by the command which will generate an AccountState event.

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

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.

shutdown_system(self, str reason=None) → void

Initiate a system-wide shutdown by generating and publishing a ShutdownSystem command.

The command is handled by the system’s NautilusKernel, which will invoke either stop (synchronously) or stop_async (asynchronously) depending on the execution context and the presence of an active event loop.

• Parameters: reason (str , optional) – The reason for issuing the shutdown command.

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.

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

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

venue

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

• Returns: Venue or None

is_order_updated(order: Order, report: OrderStatusReport) → bool