Tardis

Provides a data integration for Tardis https://tardis.dev/.

Loaders

class TardisCSVDataLoader

Bases: object

Provides a means of loading data from CSV files in Tardis format.

• Parameters:
  • price_precision (int) – The price precision for parsing. Necessary as implicit precision in the text data may not be consistent.
  • size_precision (int) – The size precision for parsing. Necessary as implicit precision in the text data may not be consistent.
  • instrument_id (InstrumentId , optional) – The instrument ID to override in the data. This can be more efficient if the instrument is definitely know (file does not contain mixed instruments), or to maintain consistent symbology (such as BTCUSDT-PERP.BINANCE).

load_deltas(filepath: PathLike[str] | str, as_legacy_cython: bool = True, limit: int | None = None) → list[OrderBookDelta] | list[OrderBookDelta]

Load order book deltas data from the given filepath.

CSV file must be Tardis incremental book L2 format.

• Parameters:
  • filepath (PathLike *[*str ] | str) – The path for the CSV data file (must be Tardis trades format).
  • as_legacy_cython (bool , True) – If data should be converted to ‘legacy Cython’ objects. You would typically only set this False if passing the objects directly to a data catalog for the data to then be written in Nautilus Parquet format.
  • limit (int , optional) – The limit for the number of records to read.
• Return type: list[OrderBookDelta] | list[nautilus_pyo3.OrderBookDelta]

load_depth10(filepath: PathLike[str] | str, levels: int, as_legacy_cython: bool = True, limit: int | None = None) → list[OrderBookDepth10] | list[OrderBookDepth10]

Load order book depth snapshots from the given filepath.

CSV file must be Tardis book snapshot 5 or snapshot 25 format.

• For snapshot 5, levels beyond 5 will be filled with null orders.
• For snapshot 25, levels beyond 10 are discarded.

• Parameters:
  • filepath (PathLike *[*str ] | str) – The path for the CSV data file (must be Tardis trades format).
  • levels (int) – The number of levels in the snapshots CSV data (must be either 5 or 25).
  • as_legacy_cython (bool , True) – If data should be converted to ‘legacy Cython’ objects. You would typically only set this False if passing the objects directly to a data catalog for the data to then be written in Nautilus Parquet format.
  • limit (int , optional) – The limit for the number of records to read.
• Return type: list[OrderBookDepth10] | list[nautilus_pyo3.OrderBookDepth10]
• Raises: ValueError – If levels is not either 5 or 25.

load_quotes(filepath: PathLike[str] | str, as_legacy_cython: bool = True, limit: int | None = None) → list[QuoteTick] | list[QuoteTick]

Load quote tick data from the given filepath.

CSV file must be Tardis quotes format.

• Parameters:
  • filepath (PathLike *[*str ] | str) – The path for the CSV data file.
  • as_legacy_cython (bool , True) – If data should be converted to ‘legacy Cython’ objects. You would typically only set this False if passing the objects directly to a data catalog for the data to then be written in Nautilus Parquet format.
  • limit (int , optional) – The limit for the number of records to read.
• Return type: list[QuoteTick] | list[nautilus_pyo3.QuoteTick]

load_trades(filepath: PathLike[str] | str, as_legacy_cython: bool = True, limit: int | None = None) → list[TradeTick] | list[TradeTick]

Load trade tick data from the given filepath.

CSV file must be Tardis trades format.

• Parameters:
  • filepath (PathLike *[*str ] | str) – The path for the CSV data file.
  • as_legacy_cython (bool , True) – If data should be converted to ‘legacy Cython’ objects. You would typically only set this False if passing the objects directly to a data catalog for the data to then be written in Nautilus Parquet format.
  • limit (int , optional) – The limit for the number of records to read.
• Return type: list[TradeTick] | list[nautilus_pyo3.TradeTick]

Config

class TardisDataClientConfig

Bases: LiveDataClientConfig

Configuration for TardisDataClient instances.

• Parameters:
  • api_key (str , optional) – The Tardis API secret key. If None then will source the TARDIS_API_KEY environment variable.
  • base_url_http (str , optional) – The base url for the Tardis HTTP API. If None then will default to https://api.tardis.dev/v1.
  • base_url_ws (str , optional) – The base url for the locally running Tardis Machine server. If None then will source the TARDIS_MACHINE_WS_URL.
  • update_instruments_interval_mins (PositiveInt or None , default 60) – The interval (minutes) between reloading instruments from the venue.
  • ws_connection_delay_secs (PositiveInt , default 5) – The delay (seconds) prior to main websocket connection to allow initial subscriptions to arrive.

api_key : str | None

base_url_http : str | None

base_url_ws : str | None

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

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

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

Providers

class TardisInstrumentProvider

Bases: InstrumentProvider

Provides Nautilus instrument definitions from Tardis.

• Parameters:
  • client (TardisHttpClient) – The Tardis HTTP client.
  • config (InstrumentProviderConfig , optional) – The instrument provider configuration, by default None.

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.

Factories

get_tardis_http_client(api_key: str | None = None, base_url: str | None = None, timeout_secs: int = 60) → TardisHttpClient

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

If a cached client with matching key and secret already exists, then that cached client will be returned.

• Parameters:
  • api_key (str , optional) – The Tardis API key for the client.
  • base_url (str , optional) – The base URL for the API endpoints.
  • timeout_secs (int , default 60) – The timeout (seconds) for HTTP requests to Tardis.
• Return type: TardisHttpClient

get_tardis_instrument_provider(client: TardisHttpClient, config: InstrumentProviderConfig) → TardisInstrumentProvider

Cache and return a Tardis instrument provider.

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

• Parameters:
  • client (TardisHttpClient) – The client for the instrument provider.
  • config (InstrumentProviderConfig) – The configuration for the instrument provider.
• Return type: TardisInstrumentProvider

class TardisLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a Tardis live data client factory.

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

Create a new Tardis data client.

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

Data

class TardisDataClient

Bases: LiveMarketDataClient

Provides a data client for the Tardis data provider.

Both instrument metadata HTTP API and Tardis Machine API are leveraged to provide historical data for requests, and live data feeds based on subscriptions.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop 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.
  • instrument_provider (TardisInstrumentProvider) – The instrument provider.
  • config (TardisDataClientConfig) – The configuration 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.

• Return type: list[BarType]

subscribed_custom_data(self) → list

Return the custom data types subscribed to.

• Return type: list[DataType]

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_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, 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