Cache
The cache subpackage provides common caching infrastructure.
A running Nautilus system generally uses a single centralized cache which can be accessed by many components.
class Cache
Bases: CacheFacade
Cache(CacheDatabaseFacade database: CacheDatabaseFacade | None = None, config: CacheConfig | None = None) -> None
Provides a common object cache for market and execution related data.
- Parameters:
- database (CacheDatabaseFacade , optional) – The database adapter for the cache. If
Nonethen will bypass persistence. - config (CacheConfig , optional) – The cache configuration.
- database (CacheDatabaseFacade , optional) – The database adapter for the cache. If
- Raises: TypeError – If config is not of type CacheConfig.
account(self, AccountId account_id) → Account
Return the account matching the given ID (if found).
- Parameters: account_id (AccountId) – The account ID.
- Return type:
Account or
None
account_for_venue(self, Venue venue) → Account
Return the account matching the given client ID (if found).
- Parameters: venue (Venue) – The venue for the account.
- Return type:
Account or
None
account_id(self, Venue venue) → AccountId
Return the account ID for the given venue (if found).
- Parameters: venue (Venue) – The venue for the account ID.
- Return type:
AccountId or
None
accounts(self) → list
Return all accounts in the cache.
- Return type: list[Account]
actor_ids(self) → set
Return all actor IDs.
- Return type: set[ComponentId]
add(self, unicode key, bytes value) → void
Add the given general object value to the cache.
The cache is agnostic to what the object actually is (and how it may be serialized), offering maximum flexibility.
- Parameters:
- key (str) – The cache key for the object.
- value (bytes) – The object value to write.
add_account(self, Account account) → void
Add the given account to the cache.
- Parameters: account (Account) – The account to add.
- Raises: ValueError – If account_id is already contained in the cache.
add_bar(self, Bar bar) → void
Add the given bar to the cache.
- Parameters: bar (Bar) – The bar to add.
add_bars(self, list bars) → void
Add the given bars to the cache.
- Parameters: bars (list [Bar ]) – The bars to add.
add_currency(self, Currency currency) → void
Add the given currency to the cache.
- Parameters: currency (Currency) – The currency to add.
add_instrument(self, Instrument instrument) → void
Add the given instrument to the cache.
- Parameters: instrument (Instrument) – The instrument to add.
add_order(self, Order order, PositionId position_id=None, ClientId client_id=None, bool overwrite=False) → void
Add the given order to the cache indexed with the given position ID.
- Parameters:
- order (Order) – The order to add.
- position_id (PositionId , optional) – The position ID to index for the order.
- client_id (ClientId , optional) – The execution client ID for order routing.
- overwrite (bool , default False) – If the added order should ‘overwrite’ any existing order and replace it in the cache. This is currently used for emulated orders which are being released and transformed into another type.
- Raises: ValueError – If order.client_order_id is already contained in the cache.
add_order_book(self, OrderBook order_book) → void
Add the given order book to the cache.
- Parameters: order_book (OrderBook) – The order book to add.
add_order_list(self, OrderList order_list) → void
Add the given order list to the cache.
- Parameters: order_list (OrderList) – The order_list to add.
- Raises: ValueError – If order_list.id is already contained in the cache.
add_position(self, Position position, OmsType oms_type) → void
Add the given position to the cache.
- Parameters:
- position (Position) – The position to add.
- oms_type (OmsType) – The order management system type for the position.
- Raises:
ValueError – If oms_type is
HEDGINGand a virtual position.id is already contained in the cache.
add_position_id(self, PositionId position_id, Venue venue, ClientOrderId client_order_id, StrategyId strategy_id) → void
Index the given position ID with the other given IDs.
- Parameters:
- position_id (PositionId) – The position ID to index.
- venue (Venue) – The venue ID to index with the position ID.
- client_order_id (ClientOrderId) – The client order ID to index with the position ID.
- strategy_id (StrategyId) – The strategy ID to index with the position ID.
add_quote_tick(self, QuoteTick tick) → void
Add the given quote tick to the cache.
- Parameters: tick (QuoteTick) – The tick to add.
add_quote_ticks(self, list ticks) → void
Add the given quote ticks to the cache.
- Parameters: ticks (list [QuoteTick ]) – The ticks to add.
add_synthetic(self, SyntheticInstrument synthetic) → void
Add the given synthetic instrument to the cache.
- Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to add.
add_trade_tick(self, TradeTick tick) → void
Add the given trade tick to the cache.
- Parameters: tick (TradeTick) – The tick to add.
add_trade_ticks(self, list ticks) → void
Add the given trade ticks to the cache.
- Parameters: ticks (list [TradeTick ]) – The ticks to add.
add_venue_order_id(self, ClientOrderId client_order_id, VenueOrderId venue_order_id, bool overwrite=False) → void
Index the given client order ID with the given venue order ID.
- Parameters:
- client_order_id (ClientOrderId) – The client order ID to index.
- venue_order_id (VenueOrderId) – The venue order ID to index.
- overwrite (bool , default False) – If the venue order ID will ‘overwrite’ any existing indexing and replace it in the cache. This is currently used for updated orders where the venue order ID may change.
- Raises: ValueError – If overwrite is False and the client_order_id is already indexed with a different venue_order_id.
bar(self, BarType bar_type, int index=0) → Bar
Return the bar for the given bar type at the given index.
Last bar if no index specified.
- Parameters:
- bar_type (BarType) – The bar type to get.
- index (int , optional) – The index for the bar to get.
- Returns:
If no bars or no bar at index then returns
None. - Return type:
Bar or
None
bar_capacity
The caches bar capacity.
- Returns: int
bar_count(self, BarType bar_type) → int
The count of bars for the given bar type.
- Parameters: bar_type (BarType) – The bar type to count.
- Return type: int
bar_types(self, InstrumentId instrument_id=None, price_type=None, AggregationSource aggregation_source=AggregationSource.EXTERNAL) → list
Return a list of BarType for the given instrument ID and price type.
- Parameters:
- instrument_id (InstrumentId , optional) – The instrument ID to filter the BarType objects. If None, no filtering is done based on instrument ID.
- price_type (PriceType or None , optional) – The price type to filter the BarType objects. If None, no filtering is done based on price type.
- aggregation_source (AggregationSource , default AggregationSource.EXTERNAL) – The aggregation source to filter the BarType objects.
- Return type: list[BarType]
bars(self, BarType bar_type) → list
Return bars for the given bar type.
book_update_count(self, InstrumentId instrument_id) → int
The count of order book updates for the given instrument ID.
Will return zero if there is no book for the instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the book.
- Return type: int
build_index(self) → void
Clear the current cache index and re-build.
cache_accounts(self) → void
Clear the current accounts cache and load accounts from the cache database.
cache_currencies(self) → void
Clear the current currencies cache and load currencies from the cache database.
cache_general(self) → void
Clear the current general cache and load the general objects from the cache database.
cache_instruments(self) → void
Clear the current instruments cache and load instruments from the cache database.
cache_order_lists(self) → void
Clear the current order lists cache and load order lists using cached orders.
cache_orders(self) → void
Clear the current orders cache and load orders from the cache database.
cache_positions(self) → void
Clear the current positions cache and load positions from the cache database.
cache_synthetics(self) → void
Clear the current synthetic instruments cache and load synthetic instruments from the cache database.
calculate_unrealized_pnl(self, Position position) → Money
check_integrity(self) → bool
Check integrity of data within the cache.
All data should be loaded from the database prior to this call. If an error is found then a log error message will also be produced.
- Returns: True if checks pass, else False.
- Return type: bool
check_residuals(self) → bool
Check for any residual open state and log warnings if any are found.
‘Open state’ is considered to be open orders and open positions.
- Returns: True if residuals exist, else False.
- Return type: bool
clear_index(self) → void
client_id(self, ClientOrderId client_order_id) → ClientId
Return the specific execution client ID matching the given client order ID (if found).
- Return type:
ClientId or
None
client_order_id(self, VenueOrderId venue_order_id) → ClientOrderId
Return the client order ID matching the given venue order ID (if found).
- Parameters: venue_order_id (VenueOrderId) – The venue assigned order ID.
- Return type:
ClientOrderId or
None
client_order_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all closed client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_emulated(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all emulated client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_inflight(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all in-flight client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all open client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
delete_actor(self, Actor actor) → void
Delete the given actor from the cache.
- Parameters: actor (Actor) – The actor to deregister.
- Raises: ValueError – If actor is not contained in the actors index.
delete_strategy(self, Strategy strategy) → void
Delete the given strategy from the cache.
- Parameters: strategy (Strategy) – The strategy to deregister.
- Raises: ValueError – If strategy is not contained in the strategies index.
dispose(self) → void
Dispose of the cache which will close any underlying database adapter.
exec_algorithm_ids(self) → set
Return all execution algorithm IDs.
- Return type: set[ExecAlgorithmId]
exec_spawn_total_filled_qty(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Return the total filled quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns None.
- Parameters:
- exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- active_only (bool , default False) – The flag to filter for active execution spawn orders only.
- Return type:
Quantity or
None
exec_spawn_total_leaves_qty(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Return the total leaves quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns None.
- Parameters:
- exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- active_only (bool , default False) – The flag to filter for active execution spawn orders only.
- Return type:
Quantity or
None
exec_spawn_total_quantity(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Return the total quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns None.
- Parameters:
- exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- active_only (bool , default False) – The flag to filter for active execution spawn orders only.
- Return type:
Quantity or
None
flush_db(self) → void
Flush the caches database which permanently removes all persisted data.
WARNING
Permanent data loss.
get(self, unicode key) → bytes
Return the general object for the given key.
The cache is agnostic to what the object actually is (and how it may be serialized), offering maximum flexibility.
- Parameters: key (str) – The cache key for the object.
- Return type:
bytes or
None
get_xrate(self, Venue venue, Currency from_currency, Currency to_currency, PriceType price_type=PriceType.MID) → double
Return the calculated exchange rate.
- Parameters:
- Return type: double
- Raises:
ValueError – If price_type is
LAST.
has_backing
If the cache has a database backing.
- Returns: bool
has_bars(self, BarType bar_type) → bool
Return a value indicating whether the cache has bars for the given bar type.
- Parameters: bar_type (BarType) – The bar type for the bars.
- Return type: bool
has_order_book(self, InstrumentId instrument_id) → bool
Return a value indicating whether the cache has an order book snapshot for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the order book snapshot.
- Return type: bool
has_quote_ticks(self, InstrumentId instrument_id) → bool
Return a value indicating whether the cache has quote ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: bool
has_trade_ticks(self, InstrumentId instrument_id) → bool
Return a value indicating whether the cache has trade ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: bool
heartbeat(self, datetime timestamp) → void
Add a heartbeat at the given timestamp.
- Parameters: timestamp (datetime) – The timestamp for the heartbeat.
instrument(self, InstrumentId instrument_id) → Instrument
Return the instrument corresponding to the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID of the instrument to return.
- Return type:
Instrument or
None
instrument_ids(self, Venue venue=None) → list
Return all instrument IDs held by the cache.
- Parameters: venue (Venue , optional) – The venue filter for the query.
- Return type: list[InstrumentId]
instruments(self, Venue venue=None, unicode underlying=None) → list
Return all instruments held by the cache.
- Parameters:
- venue (Venue , optional) – The venue filter for the query.
- underlying (str , optional) – The underlying root symbol for the query.
- Return type: list[Instrument]
is_order_closed(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is closed.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_emulated(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is emulated.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_inflight(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is in-flight.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_open(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is open.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_pending_cancel_local(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is pending cancel locally.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_position_closed(self, PositionId position_id) → bool
Return a value indicating whether a position with the given ID exists and is closed.
- Parameters: position_id (PositionId) – The position ID.
- Return type: bool
is_position_open(self, PositionId position_id) → bool
Return a value indicating whether a position with the given ID exists and is open.
- Parameters: position_id (PositionId) – The position ID.
- Return type: bool
load_account(self, AccountId account_id) → Account
Load the account associated with the given account_id (if found).
- Parameters: account_id (AccountId) – The account ID to load.
- Return type:
Account or
None
load_actor(self, Actor actor) → void
Load the state dictionary into the given actor.
- Parameters: actor (Actor) – The actor to load.
load_instrument(self, InstrumentId instrument_id) → Instrument
Load the instrument associated with the given instrument_id (if found).
- Parameters: instrument_id (InstrumentId) – The instrument ID to load.
- Return type:
Instrument or
None
load_order(self, ClientOrderId client_order_id) → Order
Load the order associated with the given ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID to load.
- Return type:
Order or
None
load_position(self, PositionId position_id) → Position
Load the position associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID to load.
- Return type:
Position or
None
load_strategy(self, Strategy strategy) → void
Load the state dictionary into the given strategy.
- Parameters: strategy (Strategy) – The strategy to load.
load_synthetic(self, InstrumentId instrument_id) → SyntheticInstrument
Load the synthetic instrument associated with the given instrument_id (if found).
- Parameters: instrument_id (InstrumentId) – The synthetic instrument ID to load.
- Return type:
SyntheticInstrument or
None - Raises: ValueError – If instrument_id is not a synthetic instrument ID.
order(self, ClientOrderId client_order_id) → Order
Return the order matching the given client order ID (if found).
- Return type:
Order or
None
order_book(self, InstrumentId instrument_id) → OrderBook
Return the order book for the given instrument ID.
- Parameters: instrument_id (InstrumentId)
- Return type:
OrderBook or
None
order_exists(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID exists.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
order_list(self, OrderListId order_list_id) → OrderList
Return the order list matching the given order list ID (if found).
- Return type:
OrderList or
None
order_list_exists(self, OrderListId order_list_id) → bool
Return a value indicating whether an order list with the given ID exists.
- Parameters: order_list_id (OrderListId) – The order list ID to check.
- Return type: bool
order_list_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all order list IDs.
- Return type: set[OrderListId]
order_lists(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → list
Return all order lists matching the given query filters.
No particular order of list elements is guaranteed.
- Return type: list[OrderList]
orders(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all orders matching the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all closed orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_closed_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of closed orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_emulated(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all emulated orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_emulated_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of emulated orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_for_exec_algorithm(self, ExecAlgorithmId exec_algorithm_id, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all execution algorithm orders for the given query filters.
- Parameters:
- exec_algorithm_id (ExecAlgorithmId) – The execution algorithm ID.
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_for_exec_spawn(self, ClientOrderId exec_spawn_id) → list
Return all orders for the given execution spawn ID (if found).
Will also include the primary (original) order.
- Parameters: exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- Return type: list[Order]
orders_for_position(self, PositionId position_id) → list
Return all orders for the given position ID.
- Parameters: position_id (PositionId) – The position ID for the orders.
- Return type: list[Order]
orders_inflight(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all in-flight orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_inflight_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of in-flight orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all open orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_open_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of open orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_total_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the total count of orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
position(self, PositionId position_id) → Position
Return the position associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID.
- Return type:
Position or
None
position_closed_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all closed position IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[PositionId]
position_exists(self, PositionId position_id) → bool
Return a value indicating whether a position with the given ID exists.
- Parameters: position_id (PositionId) – The position ID.
- Return type: int
position_for_order(self, ClientOrderId client_order_id) → Position
Return the position associated with the given client order ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID.
- Return type:
Position or
None
position_id(self, ClientOrderId client_order_id) → PositionId
Return the position ID associated with the given client order ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID associated with the position.
- Return type:
PositionId or
None
position_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all position IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[PositionId]
position_open_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all open position IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[PositionId]
position_snapshots(self, PositionId position_id=None) → list
Return all position snapshots with the given optional identifier filter.
- Parameters: position_id (PositionId , optional) – The position ID query filter.
- Return type: list[Position]
positions(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → list
Return all positions with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: list[Position]
positions_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → list
Return all closed positions with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: list[Position]
positions_closed_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → int
Return the count of closed positions with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: int
positions_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → list
Return all open positions with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: list[Position]
positions_open_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → int
Return the count of open positions with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: int
positions_total_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → int
Return the total count of positions with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: int
price(self, InstrumentId instrument_id, PriceType price_type) → Price
Return the price for the given instrument ID and price type.
- Parameters:
- instrument_id (InstrumentId) – The instrument ID for the price.
- price_type (PriceType) – The price type for the query.
- Return type:
Price or
None
quote_tick(self, InstrumentId instrument_id, int index=0) → QuoteTick
Return the quote tick for the given instrument ID at the given index.
Last quote tick if no index specified.
- Parameters:
- instrument_id (InstrumentId) – The instrument ID for the tick to get.
- index (int , optional) – The index for the tick to get.
- Returns:
If no ticks or no tick at index then returns
None. - Return type:
QuoteTick or
None
quote_tick_count(self, InstrumentId instrument_id) → int
The count of quote ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: int
quote_ticks(self, InstrumentId instrument_id) → list
Return the quote ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks to get.
- Return type: list[QuoteTick]
reset(self) → void
Reset the cache.
All stateful fields are reset to their initial value.
snapshot_order_state(self, Order order) → void
Snapshot the state dictionary for the given order.
This method will persist to the backing cache database.
- Parameters: order (Order) – The order to snapshot the state for.
snapshot_position(self, Position position) → void
Snapshot the given position in its current state.
The position ID will be appended with a UUID v4 string.
- Parameters: position (Position) – The position to snapshot.
snapshot_position_state(self, Position position, uint64_t ts_snapshot, Money unrealized_pnl=None, bool open_only=True) → void
Snapshot the state dictionary for the given position.
This method will persist to the backing cache database.
- Parameters:
- position (Position) – The position to snapshot the state for.
- ts_snapshot (uint64_t) – UNIX timestamp (nanoseconds) when the snapshot was taken.
- unrealized_pnl (Money , optional) – The current unrealized PnL for the position.
- open_only (bool , default True) – If only open positions should be snapshot, this flag helps to avoid race conditions where a position is snapshot when no longer open.
strategy_id_for_order(self, ClientOrderId client_order_id) → StrategyId
Return the strategy ID associated with the given ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID associated with the strategy.
- Return type:
StrategyId or
None
strategy_id_for_position(self, PositionId position_id) → StrategyId
Return the strategy ID associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID associated with the strategy.
- Return type:
StrategyId or
None
strategy_ids(self) → set
Return all strategy IDs.
- Return type: set[StrategyId]
synthetic(self, InstrumentId instrument_id) → SyntheticInstrument
Return the synthetic instrument corresponding to the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID of the synthetic instrument to return.
- Return type:
SyntheticInstrument or
None - Raises: ValueError – If instrument_id is not a synthetic instrument ID.
synthetic_ids(self) → list
Return all synthetic instrument IDs held by the cache.
- Return type: list[InstrumentId]
synthetics(self) → list
Return all synthetic instruments held by the cache.
- Return type: list[SyntheticInstrument]
tick_capacity
The caches tick capacity.
- Returns: int
trade_tick(self, InstrumentId instrument_id, int index=0) → TradeTick
Return the trade tick for the given instrument ID at the given index
Last trade tick if no index specified.
- Parameters:
- instrument_id (InstrumentId) – The instrument ID for the tick to get.
- index (int , optional) – The index for the tick to get.
- Returns:
If no ticks or no tick at index then returns
None. - Return type:
TradeTick or
None
trade_tick_count(self, InstrumentId instrument_id) → int
The count of trade ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: int
trade_ticks(self, InstrumentId instrument_id) → list
Return trade ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks to get.
- Return type: list[TradeTick]
update_account(self, Account account) → void
Update the given account in the cache.
- Parameters: account (The account to update *(*from last event ) .)
update_actor(self, Actor actor) → void
Update the given actor state in the cache.
- Parameters: actor (Actor) – The actor to update.
update_order(self, Order order) → void
Update the given order in the cache.
- Parameters: order (Order) – The order to update (from last event).
update_order_pending_cancel_local(self, Order order) → void
Update the given order as pending cancel locally.
- Parameters: order (Order) – The order to update.
update_position(self, Position position) → void
Update the given position in the cache.
- Parameters: position (Position) – The position to update (from last event).
update_strategy(self, Strategy strategy) → void
Update the given strategy state in the cache.
- Parameters: strategy (Strategy) – The strategy to update.
venue_order_id(self, ClientOrderId client_order_id) → VenueOrderId
Return the order ID matching the given client order ID (if found).
- Return type:
VenueOrderId or
None
class CacheDatabaseAdapter
Bases: CacheDatabaseFacade
CacheDatabaseAdapter(TraderId trader_id, UUID4 instance_id, Serializer serializer, config: CacheConfig | None = None) -> None
Provides a generic cache database adapter.
- Parameters:
- trader_id (TraderId) – The trader ID for the adapter.
- instance_id (UUID4) – The instance ID for the adapter.
- serializer (Serializer) – The serializer for database operations.
- config (CacheConfig , optional) – The configuration for the instance.
- Raises: TypeError – If config is not of type CacheConfig.
WARNING
Redis can only accurately store int64 types to 17 digits of precision. Therefore nanosecond timestamp int64’s with 19 digits will lose 2 digits of precision when persisted. One way to solve this is to ensure the serializer converts timestamp int64’s to strings on the way into Redis, and converts timestamp strings back to int64’s on the way out. One way to achieve this is to set the timestamps_as_str flag to true for the MsgSpecSerializer, as per the default implementations for both TradingNode and BacktestEngine.
add(self, unicode key, bytes value) → void
Add the given general object value to the database.
- Parameters:
- key (str) – The key to write to.
- value (bytes) – The object value.
add_account(self, Account account) → void
Add the given account to the database.
- Parameters: account (Account) – The account to add.
add_currency(self, Currency currency) → void
Add the given currency to the database.
- Parameters: currency (Currency) – The currency to add.
add_instrument(self, Instrument instrument) → void
Add the given instrument to the database.
- Parameters: instrument (Instrument) – The instrument to add.
add_order(self, Order order, PositionId position_id=None, ClientId client_id=None) → void
Add the given order to the database.
- Parameters:
- order (Order) – The order to add.
- position_id (PositionId , optional) – The position ID to associate with this order.
- client_id (ClientId , optional) – The execution client ID to associate with this order.
add_position(self, Position position) → void
Add the given position to the database.
- Parameters: position (Position) – The position to add.
add_synthetic(self, SyntheticInstrument synthetic) → void
Add the given synthetic instrument to the database.
- Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to add.
close(self) → void
Close the backing database adapter.
delete_actor(self, ComponentId component_id) → void
Delete the given actor from the database.
- Parameters: component_id (ComponentId) – The ID of the actor state dictionary to delete.
delete_strategy(self, StrategyId strategy_id) → void
Delete the given strategy from the database.
- Parameters: strategy_id (StrategyId) – The ID of the strategy state dictionary to delete.
flush(self) → void
Flush the database which clears all data.
heartbeat(self, datetime timestamp) → void
Add a heartbeat at the given timestamp.
- Parameters: timestamp (datetime) – The timestamp for the heartbeat.
index_order_position(self, ClientOrderId client_order_id, PositionId position_id) → void
Add an index entry for the given client_order_id to position_id.
- Parameters:
- client_order_id (ClientOrderId) – The client order ID to index.
- position_id (PositionId) – The position ID to index.
index_venue_order_id(self, ClientOrderId client_order_id, VenueOrderId venue_order_id) → void
Add an index entry for the given venue_order_id to client_order_id.
- Parameters:
- client_order_id (ClientOrderId) – The client order ID to index.
- venue_order_id (VenueOrderId) – The venue order ID to index.
keys(self, unicode pattern=u'*') → list
Return all keys in the database matching the given pattern.
- Parameters: pattern (str , default '*') – The glob-style pattern to match against the keys in the database.
- Return type: list[str]
- Raises: ValueError – If pattern is not a valid string.
WARNING
Using the default ‘*’ pattern string can have serious performance implications and can take a long time to execute if many keys exist in the database. This operation can lead to high memory and CPU usage, and should be used with caution, especially in production environments.
load(self) → dict
Load all general objects from the database.
- Return type: dict[str, bytes]
load_account(self, AccountId account_id) → Account
Load the account associated with the given account ID (if found).
- Parameters: account_id (AccountId) – The account ID to load.
- Return type:
Account or
None
load_accounts(self) → dict
Load all accounts from the database.
- Return type: dict[AccountId, Account]
load_actor(self, ComponentId component_id) → dict
Load the state for the given actor.
- Parameters: component_id (ComponentId) – The ID of the actor state dictionary to load.
- Return type: dict[str, Any]
load_currencies(self) → dict
Load all currencies from the database.
- Return type: dict[str, Currency]
load_currency(self, unicode code) → Currency
Load the currency associated with the given currency code (if found).
- Parameters: code (str) – The currency code to load.
- Return type:
Currency or
None
load_index_order_client(self) → dict
Load the order to execution client index from the database.
- Return type: dict[ClientOrderId, ClientId]
load_index_order_position(self) → dict
Load the order to position index from the database.
- Return type: dict[ClientOrderId, PositionId]
load_instrument(self, InstrumentId instrument_id) → Instrument
Load the instrument associated with the given instrument ID (if found).
- Parameters: instrument_id (InstrumentId) – The instrument ID to load.
- Return type:
Instrument or
None
load_instruments(self) → dict
Load all instruments from the database.
- Return type: dict[InstrumentId, Instrument]
load_order(self, ClientOrderId client_order_id) → Order
Load the order associated with the given client order ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID to load.
- Return type:
Order or
None
load_orders(self) → dict
Load all orders from the database.
- Return type: dict[ClientOrderId, Order]
load_position(self, PositionId position_id) → Position
Load the position associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID to load.
- Return type:
Position or
None
load_positions(self) → dict
Load all positions from the database.
- Return type: dict[PositionId, Position]
load_strategy(self, StrategyId strategy_id) → dict
Load the state for the given strategy.
- Parameters: strategy_id (StrategyId) – The ID of the strategy state dictionary to load.
- Return type: dict[str, bytes]
load_synthetic(self, InstrumentId instrument_id) → SyntheticInstrument
Load the synthetic instrument associated with the given synthetic instrument ID (if found).
- Parameters: instrument_id (InstrumentId) – The synthetic instrument ID to load.
- Return type:
SyntheticInstrument or
None - Raises: ValueError – If instrument_id is not for a synthetic instrument.
load_synthetics(self) → dict
Load all synthetic instruments from the database.
- Return type: dict[InstrumentId, SyntheticInstrument]
snapshot_order_state(self, Order order) → void
Snapshot the state of the given order.
- Parameters: order (Order) – The order for the state snapshot.
snapshot_position_state(self, Position position, uint64_t ts_snapshot, Money unrealized_pnl=None) → void
Snapshot the state of the given position.
- Parameters:
update_account(self, Account account) → void
Update the given account in the database.
- Parameters: account (The account to update *(*from last event ) .)
update_actor(self, Actor actor) → void
Update the given actor state in the database.
- Parameters: actor (Actor) – The actor to update.
update_order(self, Order order) → void
Update the given order in the database.
- Parameters: order (Order) – The order to update (from last event).
update_position(self, Position position) → void
Update the given position in the database.
- Parameters: position (Position) – The position to update (from last event).
update_strategy(self, Strategy strategy) → void
Update the given strategy state in the database.
- Parameters: strategy (Strategy) – The strategy to update.
class Cache
Bases: CacheFacade
Cache(CacheDatabaseFacade database: CacheDatabaseFacade | None = None, config: CacheConfig | None = None) -> None
Provides a common object cache for market and execution related data.
- Parameters:
- database (CacheDatabaseFacade , optional) – The database adapter for the cache. If
Nonethen will bypass persistence. - config (CacheConfig , optional) – The cache configuration.
- database (CacheDatabaseFacade , optional) – The database adapter for the cache. If
- Raises: TypeError – If config is not of type CacheConfig.
account(self, AccountId account_id) → Account
Return the account matching the given ID (if found).
- Parameters: account_id (AccountId) – The account ID.
- Return type:
Account or
None
account_for_venue(self, Venue venue) → Account
Return the account matching the given client ID (if found).
- Parameters: venue (Venue) – The venue for the account.
- Return type:
Account or
None
account_id(self, Venue venue) → AccountId
Return the account ID for the given venue (if found).
- Parameters: venue (Venue) – The venue for the account ID.
- Return type:
AccountId or
None
accounts(self) → list
Return all accounts in the cache.
- Return type: list[Account]
actor_ids(self) → set
Return all actor IDs.
- Return type: set[ComponentId]
add(self, unicode key, bytes value) → void
Add the given general object value to the cache.
The cache is agnostic to what the object actually is (and how it may be serialized), offering maximum flexibility.
- Parameters:
- key (str) – The cache key for the object.
- value (bytes) – The object value to write.
add_account(self, Account account) → void
Add the given account to the cache.
- Parameters: account (Account) – The account to add.
- Raises: ValueError – If account_id is already contained in the cache.
add_bar(self, Bar bar) → void
Add the given bar to the cache.
- Parameters: bar (Bar) – The bar to add.
add_bars(self, list bars) → void
Add the given bars to the cache.
- Parameters: bars (list [Bar ]) – The bars to add.
add_currency(self, Currency currency) → void
Add the given currency to the cache.
- Parameters: currency (Currency) – The currency to add.
add_instrument(self, Instrument instrument) → void
Add the given instrument to the cache.
- Parameters: instrument (Instrument) – The instrument to add.
add_order(self, Order order, PositionId position_id=None, ClientId client_id=None, bool overwrite=False) → void
Add the given order to the cache indexed with the given position ID.
- Parameters:
- order (Order) – The order to add.
- position_id (PositionId , optional) – The position ID to index for the order.
- client_id (ClientId , optional) – The execution client ID for order routing.
- overwrite (bool , default False) – If the added order should ‘overwrite’ any existing order and replace it in the cache. This is currently used for emulated orders which are being released and transformed into another type.
- Raises: ValueError – If order.client_order_id is already contained in the cache.
add_order_book(self, OrderBook order_book) → void
Add the given order book to the cache.
- Parameters: order_book (OrderBook) – The order book to add.
add_order_list(self, OrderList order_list) → void
Add the given order list to the cache.
- Parameters: order_list (OrderList) – The order_list to add.
- Raises: ValueError – If order_list.id is already contained in the cache.
add_position(self, Position position, OmsType oms_type) → void
Add the given position to the cache.
- Parameters:
- position (Position) – The position to add.
- oms_type (OmsType) – The order management system type for the position.
- Raises:
ValueError – If oms_type is
HEDGINGand a virtual position.id is already contained in the cache.
add_position_id(self, PositionId position_id, Venue venue, ClientOrderId client_order_id, StrategyId strategy_id) → void
Index the given position ID with the other given IDs.
- Parameters:
- position_id (PositionId) – The position ID to index.
- venue (Venue) – The venue ID to index with the position ID.
- client_order_id (ClientOrderId) – The client order ID to index with the position ID.
- strategy_id (StrategyId) – The strategy ID to index with the position ID.
add_quote_tick(self, QuoteTick tick) → void
Add the given quote tick to the cache.
- Parameters: tick (QuoteTick) – The tick to add.
add_quote_ticks(self, list ticks) → void
Add the given quote ticks to the cache.
- Parameters: ticks (list [QuoteTick ]) – The ticks to add.
add_synthetic(self, SyntheticInstrument synthetic) → void
Add the given synthetic instrument to the cache.
- Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to add.
add_trade_tick(self, TradeTick tick) → void
Add the given trade tick to the cache.
- Parameters: tick (TradeTick) – The tick to add.
add_trade_ticks(self, list ticks) → void
Add the given trade ticks to the cache.
- Parameters: ticks (list [TradeTick ]) – The ticks to add.
add_venue_order_id(self, ClientOrderId client_order_id, VenueOrderId venue_order_id, bool overwrite=False) → void
Index the given client order ID with the given venue order ID.
- Parameters:
- client_order_id (ClientOrderId) – The client order ID to index.
- venue_order_id (VenueOrderId) – The venue order ID to index.
- overwrite (bool , default False) – If the venue order ID will ‘overwrite’ any existing indexing and replace it in the cache. This is currently used for updated orders where the venue order ID may change.
- Raises: ValueError – If overwrite is False and the client_order_id is already indexed with a different venue_order_id.
bar(self, BarType bar_type, int index=0) → Bar
Return the bar for the given bar type at the given index.
Last bar if no index specified.
- Parameters:
- bar_type (BarType) – The bar type to get.
- index (int , optional) – The index for the bar to get.
- Returns:
If no bars or no bar at index then returns
None. - Return type:
Bar or
None
bar_capacity
The caches bar capacity.
- Returns: int
bar_count(self, BarType bar_type) → int
The count of bars for the given bar type.
- Parameters: bar_type (BarType) – The bar type to count.
- Return type: int
bar_types(self, InstrumentId instrument_id=None, price_type=None, AggregationSource aggregation_source=AggregationSource.EXTERNAL) → list
Return a list of BarType for the given instrument ID and price type.
- Parameters:
- instrument_id (InstrumentId , optional) – The instrument ID to filter the BarType objects. If None, no filtering is done based on instrument ID.
- price_type (PriceType or None , optional) – The price type to filter the BarType objects. If None, no filtering is done based on price type.
- aggregation_source (AggregationSource , default AggregationSource.EXTERNAL) – The aggregation source to filter the BarType objects.
- Return type: list[BarType]
bars(self, BarType bar_type) → list
Return bars for the given bar type.
book_update_count(self, InstrumentId instrument_id) → int
The count of order book updates for the given instrument ID.
Will return zero if there is no book for the instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the book.
- Return type: int
build_index(self) → void
Clear the current cache index and re-build.
cache_accounts(self) → void
Clear the current accounts cache and load accounts from the cache database.
cache_currencies(self) → void
Clear the current currencies cache and load currencies from the cache database.
cache_general(self) → void
Clear the current general cache and load the general objects from the cache database.
cache_instruments(self) → void
Clear the current instruments cache and load instruments from the cache database.
cache_order_lists(self) → void
Clear the current order lists cache and load order lists using cached orders.
cache_orders(self) → void
Clear the current orders cache and load orders from the cache database.
cache_positions(self) → void
Clear the current positions cache and load positions from the cache database.
cache_synthetics(self) → void
Clear the current synthetic instruments cache and load synthetic instruments from the cache database.
calculate_unrealized_pnl(self, Position position) → Money
check_integrity(self) → bool
Check integrity of data within the cache.
All data should be loaded from the database prior to this call. If an error is found then a log error message will also be produced.
- Returns: True if checks pass, else False.
- Return type: bool
check_residuals(self) → bool
Check for any residual open state and log warnings if any are found.
‘Open state’ is considered to be open orders and open positions.
- Returns: True if residuals exist, else False.
- Return type: bool
clear_index(self) → void
client_id(self, ClientOrderId client_order_id) → ClientId
Return the specific execution client ID matching the given client order ID (if found).
- Return type:
ClientId or
None
client_order_id(self, VenueOrderId venue_order_id) → ClientOrderId
Return the client order ID matching the given venue order ID (if found).
- Parameters: venue_order_id (VenueOrderId) – The venue assigned order ID.
- Return type:
ClientOrderId or
None
client_order_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all closed client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_emulated(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all emulated client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_inflight(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all in-flight client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
client_order_ids_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all open client order IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[ClientOrderId]
delete_actor(self, Actor actor) → void
Delete the given actor from the cache.
- Parameters: actor (Actor) – The actor to deregister.
- Raises: ValueError – If actor is not contained in the actors index.
delete_strategy(self, Strategy strategy) → void
Delete the given strategy from the cache.
- Parameters: strategy (Strategy) – The strategy to deregister.
- Raises: ValueError – If strategy is not contained in the strategies index.
dispose(self) → void
Dispose of the cache which will close any underlying database adapter.
exec_algorithm_ids(self) → set
Return all execution algorithm IDs.
- Return type: set[ExecAlgorithmId]
exec_spawn_total_filled_qty(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Return the total filled quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns None.
- Parameters:
- exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- active_only (bool , default False) – The flag to filter for active execution spawn orders only.
- Return type:
Quantity or
None
exec_spawn_total_leaves_qty(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Return the total leaves quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns None.
- Parameters:
- exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- active_only (bool , default False) – The flag to filter for active execution spawn orders only.
- Return type:
Quantity or
None
exec_spawn_total_quantity(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Return the total quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns None.
- Parameters:
- exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- active_only (bool , default False) – The flag to filter for active execution spawn orders only.
- Return type:
Quantity or
None
flush_db(self) → void
Flush the caches database which permanently removes all persisted data.
WARNING
Permanent data loss.
get(self, unicode key) → bytes
Return the general object for the given key.
The cache is agnostic to what the object actually is (and how it may be serialized), offering maximum flexibility.
- Parameters: key (str) – The cache key for the object.
- Return type:
bytes or
None
get_xrate(self, Venue venue, Currency from_currency, Currency to_currency, PriceType price_type=PriceType.MID) → double
Return the calculated exchange rate.
- Parameters:
- Return type: double
- Raises:
ValueError – If price_type is
LAST.
has_backing
If the cache has a database backing.
- Returns: bool
has_bars(self, BarType bar_type) → bool
Return a value indicating whether the cache has bars for the given bar type.
- Parameters: bar_type (BarType) – The bar type for the bars.
- Return type: bool
has_order_book(self, InstrumentId instrument_id) → bool
Return a value indicating whether the cache has an order book snapshot for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the order book snapshot.
- Return type: bool
has_quote_ticks(self, InstrumentId instrument_id) → bool
Return a value indicating whether the cache has quote ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: bool
has_trade_ticks(self, InstrumentId instrument_id) → bool
Return a value indicating whether the cache has trade ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: bool
heartbeat(self, datetime timestamp) → void
Add a heartbeat at the given timestamp.
- Parameters: timestamp (datetime) – The timestamp for the heartbeat.
instrument(self, InstrumentId instrument_id) → Instrument
Return the instrument corresponding to the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID of the instrument to return.
- Return type:
Instrument or
None
instrument_ids(self, Venue venue=None) → list
Return all instrument IDs held by the cache.
- Parameters: venue (Venue , optional) – The venue filter for the query.
- Return type: list[InstrumentId]
instruments(self, Venue venue=None, unicode underlying=None) → list
Return all instruments held by the cache.
- Parameters:
- venue (Venue , optional) – The venue filter for the query.
- underlying (str , optional) – The underlying root symbol for the query.
- Return type: list[Instrument]
is_order_closed(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is closed.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_emulated(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is emulated.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_inflight(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is in-flight.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_open(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is open.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_order_pending_cancel_local(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID is pending cancel locally.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
is_position_closed(self, PositionId position_id) → bool
Return a value indicating whether a position with the given ID exists and is closed.
- Parameters: position_id (PositionId) – The position ID.
- Return type: bool
is_position_open(self, PositionId position_id) → bool
Return a value indicating whether a position with the given ID exists and is open.
- Parameters: position_id (PositionId) – The position ID.
- Return type: bool
load_account(self, AccountId account_id) → Account
Load the account associated with the given account_id (if found).
- Parameters: account_id (AccountId) – The account ID to load.
- Return type:
Account or
None
load_actor(self, Actor actor) → void
Load the state dictionary into the given actor.
- Parameters: actor (Actor) – The actor to load.
load_instrument(self, InstrumentId instrument_id) → Instrument
Load the instrument associated with the given instrument_id (if found).
- Parameters: instrument_id (InstrumentId) – The instrument ID to load.
- Return type:
Instrument or
None
load_order(self, ClientOrderId client_order_id) → Order
Load the order associated with the given ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID to load.
- Return type:
Order or
None
load_position(self, PositionId position_id) → Position
Load the position associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID to load.
- Return type:
Position or
None
load_strategy(self, Strategy strategy) → void
Load the state dictionary into the given strategy.
- Parameters: strategy (Strategy) – The strategy to load.
load_synthetic(self, InstrumentId instrument_id) → SyntheticInstrument
Load the synthetic instrument associated with the given instrument_id (if found).
- Parameters: instrument_id (InstrumentId) – The synthetic instrument ID to load.
- Return type:
SyntheticInstrument or
None - Raises: ValueError – If instrument_id is not a synthetic instrument ID.
order(self, ClientOrderId client_order_id) → Order
Return the order matching the given client order ID (if found).
- Return type:
Order or
None
order_book(self, InstrumentId instrument_id) → OrderBook
Return the order book for the given instrument ID.
- Parameters: instrument_id (InstrumentId)
- Return type:
OrderBook or
None
order_exists(self, ClientOrderId client_order_id) → bool
Return a value indicating whether an order with the given ID exists.
- Parameters: client_order_id (ClientOrderId) – The client order ID to check.
- Return type: bool
order_list(self, OrderListId order_list_id) → OrderList
Return the order list matching the given order list ID (if found).
- Return type:
OrderList or
None
order_list_exists(self, OrderListId order_list_id) → bool
Return a value indicating whether an order list with the given ID exists.
- Parameters: order_list_id (OrderListId) – The order list ID to check.
- Return type: bool
order_list_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all order list IDs.
- Return type: set[OrderListId]
order_lists(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → list
Return all order lists matching the given query filters.
No particular order of list elements is guaranteed.
- Return type: list[OrderList]
orders(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all orders matching the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all closed orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_closed_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of closed orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_emulated(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all emulated orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_emulated_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of emulated orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_for_exec_algorithm(self, ExecAlgorithmId exec_algorithm_id, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all execution algorithm orders for the given query filters.
- Parameters:
- exec_algorithm_id (ExecAlgorithmId) – The execution algorithm ID.
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_for_exec_spawn(self, ClientOrderId exec_spawn_id) → list
Return all orders for the given execution spawn ID (if found).
Will also include the primary (original) order.
- Parameters: exec_spawn_id (ClientOrderId) – The execution algorithm spawning primary (original) client order ID.
- Return type: list[Order]
orders_for_position(self, PositionId position_id) → list
Return all orders for the given position ID.
- Parameters: position_id (PositionId) – The position ID for the orders.
- Return type: list[Order]
orders_inflight(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all in-flight orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_inflight_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of in-flight orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Return all open orders with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: list[Order]
orders_open_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the count of open orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
orders_total_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Return the total count of orders with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (OrderSide, default
NO_ORDER_SIDE(no filter)) – The order side query filter.
- Return type: int
position(self, PositionId position_id) → Position
Return the position associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID.
- Return type:
Position or
None
position_closed_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all closed position IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[PositionId]
position_exists(self, PositionId position_id) → bool
Return a value indicating whether a position with the given ID exists.
- Parameters: position_id (PositionId) – The position ID.
- Return type: int
position_for_order(self, ClientOrderId client_order_id) → Position
Return the position associated with the given client order ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID.
- Return type:
Position or
None
position_id(self, ClientOrderId client_order_id) → PositionId
Return the position ID associated with the given client order ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID associated with the position.
- Return type:
PositionId or
None
position_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all position IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[PositionId]
position_open_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Return all open position IDs with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: set[PositionId]
position_snapshots(self, PositionId position_id=None) → list
Return all position snapshots with the given optional identifier filter.
- Parameters: position_id (PositionId , optional) – The position ID query filter.
- Return type: list[Position]
positions(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → list
Return all positions with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: list[Position]
positions_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → list
Return all closed positions with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: list[Position]
positions_closed_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → int
Return the count of closed positions with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- Return type: int
positions_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → list
Return all open positions with the given query filters.
No particular order of list elements is guaranteed.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: list[Position]
positions_open_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → int
Return the count of open positions with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: int
positions_total_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → int
Return the total count of positions with the given query filters.
- Parameters:
- venue (Venue , optional) – The venue ID query filter.
- instrument_id (InstrumentId , optional) – The instrument ID query filter.
- strategy_id (StrategyId , optional) – The strategy ID query filter.
- side (PositionSide, default
NO_POSITION_SIDE(no filter)) – The position side query filter.
- Return type: int
price(self, InstrumentId instrument_id, PriceType price_type) → Price
Return the price for the given instrument ID and price type.
- Parameters:
- instrument_id (InstrumentId) – The instrument ID for the price.
- price_type (PriceType) – The price type for the query.
- Return type:
Price or
None
quote_tick(self, InstrumentId instrument_id, int index=0) → QuoteTick
Return the quote tick for the given instrument ID at the given index.
Last quote tick if no index specified.
- Parameters:
- instrument_id (InstrumentId) – The instrument ID for the tick to get.
- index (int , optional) – The index for the tick to get.
- Returns:
If no ticks or no tick at index then returns
None. - Return type:
QuoteTick or
None
quote_tick_count(self, InstrumentId instrument_id) → int
The count of quote ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: int
quote_ticks(self, InstrumentId instrument_id) → list
Return the quote ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks to get.
- Return type: list[QuoteTick]
reset(self) → void
Reset the cache.
All stateful fields are reset to their initial value.
snapshot_order_state(self, Order order) → void
Snapshot the state dictionary for the given order.
This method will persist to the backing cache database.
- Parameters: order (Order) – The order to snapshot the state for.
snapshot_position(self, Position position) → void
Snapshot the given position in its current state.
The position ID will be appended with a UUID v4 string.
- Parameters: position (Position) – The position to snapshot.
snapshot_position_state(self, Position position, uint64_t ts_snapshot, Money unrealized_pnl=None, bool open_only=True) → void
Snapshot the state dictionary for the given position.
This method will persist to the backing cache database.
- Parameters:
- position (Position) – The position to snapshot the state for.
- ts_snapshot (uint64_t) – UNIX timestamp (nanoseconds) when the snapshot was taken.
- unrealized_pnl (Money , optional) – The current unrealized PnL for the position.
- open_only (bool , default True) – If only open positions should be snapshot, this flag helps to avoid race conditions where a position is snapshot when no longer open.
strategy_id_for_order(self, ClientOrderId client_order_id) → StrategyId
Return the strategy ID associated with the given ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID associated with the strategy.
- Return type:
StrategyId or
None
strategy_id_for_position(self, PositionId position_id) → StrategyId
Return the strategy ID associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID associated with the strategy.
- Return type:
StrategyId or
None
strategy_ids(self) → set
Return all strategy IDs.
- Return type: set[StrategyId]
synthetic(self, InstrumentId instrument_id) → SyntheticInstrument
Return the synthetic instrument corresponding to the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID of the synthetic instrument to return.
- Return type:
SyntheticInstrument or
None - Raises: ValueError – If instrument_id is not a synthetic instrument ID.
synthetic_ids(self) → list
Return all synthetic instrument IDs held by the cache.
- Return type: list[InstrumentId]
synthetics(self) → list
Return all synthetic instruments held by the cache.
- Return type: list[SyntheticInstrument]
tick_capacity
The caches tick capacity.
- Returns: int
trade_tick(self, InstrumentId instrument_id, int index=0) → TradeTick
Return the trade tick for the given instrument ID at the given index
Last trade tick if no index specified.
- Parameters:
- instrument_id (InstrumentId) – The instrument ID for the tick to get.
- index (int , optional) – The index for the tick to get.
- Returns:
If no ticks or no tick at index then returns
None. - Return type:
TradeTick or
None
trade_tick_count(self, InstrumentId instrument_id) → int
The count of trade ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks.
- Return type: int
trade_ticks(self, InstrumentId instrument_id) → list
Return trade ticks for the given instrument ID.
- Parameters: instrument_id (InstrumentId) – The instrument ID for the ticks to get.
- Return type: list[TradeTick]
update_account(self, Account account) → void
Update the given account in the cache.
- Parameters: account (The account to update *(*from last event ) .)
update_actor(self, Actor actor) → void
Update the given actor state in the cache.
- Parameters: actor (Actor) – The actor to update.
update_order(self, Order order) → void
Update the given order in the cache.
- Parameters: order (Order) – The order to update (from last event).
update_order_pending_cancel_local(self, Order order) → void
Update the given order as pending cancel locally.
- Parameters: order (Order) – The order to update.
update_position(self, Position position) → void
Update the given position in the cache.
- Parameters: position (Position) – The position to update (from last event).
update_strategy(self, Strategy strategy) → void
Update the given strategy state in the cache.
- Parameters: strategy (Strategy) – The strategy to update.
venue_order_id(self, ClientOrderId client_order_id) → VenueOrderId
Return the order ID matching the given client order ID (if found).
- Return type:
VenueOrderId or
None
class CacheDatabaseAdapter
Bases: CacheDatabaseFacade
CacheDatabaseAdapter(TraderId trader_id, UUID4 instance_id, Serializer serializer, config: CacheConfig | None = None) -> None
Provides a generic cache database adapter.
- Parameters:
- trader_id (TraderId) – The trader ID for the adapter.
- instance_id (UUID4) – The instance ID for the adapter.
- serializer (Serializer) – The serializer for database operations.
- config (CacheConfig , optional) – The configuration for the instance.
- Raises: TypeError – If config is not of type CacheConfig.
WARNING
Redis can only accurately store int64 types to 17 digits of precision. Therefore nanosecond timestamp int64’s with 19 digits will lose 2 digits of precision when persisted. One way to solve this is to ensure the serializer converts timestamp int64’s to strings on the way into Redis, and converts timestamp strings back to int64’s on the way out. One way to achieve this is to set the timestamps_as_str flag to true for the MsgSpecSerializer, as per the default implementations for both TradingNode and BacktestEngine.
add(self, unicode key, bytes value) → void
Add the given general object value to the database.
- Parameters:
- key (str) – The key to write to.
- value (bytes) – The object value.
add_account(self, Account account) → void
Add the given account to the database.
- Parameters: account (Account) – The account to add.
add_currency(self, Currency currency) → void
Add the given currency to the database.
- Parameters: currency (Currency) – The currency to add.
add_instrument(self, Instrument instrument) → void
Add the given instrument to the database.
- Parameters: instrument (Instrument) – The instrument to add.
add_order(self, Order order, PositionId position_id=None, ClientId client_id=None) → void
Add the given order to the database.
- Parameters:
- order (Order) – The order to add.
- position_id (PositionId , optional) – The position ID to associate with this order.
- client_id (ClientId , optional) – The execution client ID to associate with this order.
add_position(self, Position position) → void
Add the given position to the database.
- Parameters: position (Position) – The position to add.
add_synthetic(self, SyntheticInstrument synthetic) → void
Add the given synthetic instrument to the database.
- Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to add.
close(self) → void
Close the backing database adapter.
delete_actor(self, ComponentId component_id) → void
Delete the given actor from the database.
- Parameters: component_id (ComponentId) – The ID of the actor state dictionary to delete.
delete_strategy(self, StrategyId strategy_id) → void
Delete the given strategy from the database.
- Parameters: strategy_id (StrategyId) – The ID of the strategy state dictionary to delete.
flush(self) → void
Flush the database which clears all data.
heartbeat(self, datetime timestamp) → void
Add a heartbeat at the given timestamp.
- Parameters: timestamp (datetime) – The timestamp for the heartbeat.
index_order_position(self, ClientOrderId client_order_id, PositionId position_id) → void
Add an index entry for the given client_order_id to position_id.
- Parameters:
- client_order_id (ClientOrderId) – The client order ID to index.
- position_id (PositionId) – The position ID to index.
index_venue_order_id(self, ClientOrderId client_order_id, VenueOrderId venue_order_id) → void
Add an index entry for the given venue_order_id to client_order_id.
- Parameters:
- client_order_id (ClientOrderId) – The client order ID to index.
- venue_order_id (VenueOrderId) – The venue order ID to index.
keys(self, unicode pattern=u'*') → list
Return all keys in the database matching the given pattern.
- Parameters: pattern (str , default '*') – The glob-style pattern to match against the keys in the database.
- Return type: list[str]
- Raises: ValueError – If pattern is not a valid string.
WARNING
Using the default ‘*’ pattern string can have serious performance implications and can take a long time to execute if many keys exist in the database. This operation can lead to high memory and CPU usage, and should be used with caution, especially in production environments.
load(self) → dict
Load all general objects from the database.
- Return type: dict[str, bytes]
load_account(self, AccountId account_id) → Account
Load the account associated with the given account ID (if found).
- Parameters: account_id (AccountId) – The account ID to load.
- Return type:
Account or
None
load_accounts(self) → dict
Load all accounts from the database.
- Return type: dict[AccountId, Account]
load_actor(self, ComponentId component_id) → dict
Load the state for the given actor.
- Parameters: component_id (ComponentId) – The ID of the actor state dictionary to load.
- Return type: dict[str, Any]
load_currencies(self) → dict
Load all currencies from the database.
- Return type: dict[str, Currency]
load_currency(self, unicode code) → Currency
Load the currency associated with the given currency code (if found).
- Parameters: code (str) – The currency code to load.
- Return type:
Currency or
None
load_index_order_client(self) → dict
Load the order to execution client index from the database.
- Return type: dict[ClientOrderId, ClientId]
load_index_order_position(self) → dict
Load the order to position index from the database.
- Return type: dict[ClientOrderId, PositionId]
load_instrument(self, InstrumentId instrument_id) → Instrument
Load the instrument associated with the given instrument ID (if found).
- Parameters: instrument_id (InstrumentId) – The instrument ID to load.
- Return type:
Instrument or
None
load_instruments(self) → dict
Load all instruments from the database.
- Return type: dict[InstrumentId, Instrument]
load_order(self, ClientOrderId client_order_id) → Order
Load the order associated with the given client order ID (if found).
- Parameters: client_order_id (ClientOrderId) – The client order ID to load.
- Return type:
Order or
None
load_orders(self) → dict
Load all orders from the database.
- Return type: dict[ClientOrderId, Order]
load_position(self, PositionId position_id) → Position
Load the position associated with the given ID (if found).
- Parameters: position_id (PositionId) – The position ID to load.
- Return type:
Position or
None
load_positions(self) → dict
Load all positions from the database.
- Return type: dict[PositionId, Position]
load_strategy(self, StrategyId strategy_id) → dict
Load the state for the given strategy.
- Parameters: strategy_id (StrategyId) – The ID of the strategy state dictionary to load.
- Return type: dict[str, bytes]
load_synthetic(self, InstrumentId instrument_id) → SyntheticInstrument
Load the synthetic instrument associated with the given synthetic instrument ID (if found).
- Parameters: instrument_id (InstrumentId) – The synthetic instrument ID to load.
- Return type:
SyntheticInstrument or
None - Raises: ValueError – If instrument_id is not for a synthetic instrument.
load_synthetics(self) → dict
Load all synthetic instruments from the database.
- Return type: dict[InstrumentId, SyntheticInstrument]
snapshot_order_state(self, Order order) → void
Snapshot the state of the given order.
- Parameters: order (Order) – The order for the state snapshot.
snapshot_position_state(self, Position position, uint64_t ts_snapshot, Money unrealized_pnl=None) → void
Snapshot the state of the given position.
- Parameters:
update_account(self, Account account) → void
Update the given account in the database.
- Parameters: account (The account to update *(*from last event ) .)
update_actor(self, Actor actor) → void
Update the given actor state in the database.
- Parameters: actor (Actor) – The actor to update.
update_order(self, Order order) → void
Update the given order in the database.
- Parameters: order (Order) – The order to update (from last event).
update_position(self, Position position) → void
Update the given position in the database.
- Parameters: position (Position) – The position to update (from last event).
update_strategy(self, Strategy strategy) → void
Update the given strategy state in the database.
- Parameters: strategy (Strategy) – The strategy to update.
class CacheFacade
Bases: object
Provides a read-only facade for the common Cache.
account(self, AccountId account_id) → Account
Abstract method (implement in subclass).
account_for_venue(self, Venue venue) → Account
Abstract method (implement in subclass).
account_id(self, Venue venue) → AccountId
Abstract method (implement in subclass).
accounts(self) → list
Abstract method (implement in subclass).
actor_ids(self) → set
Abstract method (implement in subclass).
add(self, unicode key, bytes value) → void
Abstract method (implement in subclass).
bar(self, BarType bar_type, int index=0) → Bar
Abstract method (implement in subclass).
bar_count(self, BarType bar_type) → int
Abstract method (implement in subclass).
bars(self, BarType bar_type) → list
Abstract method (implement in subclass).
book_update_count(self, InstrumentId instrument_id) → int
Abstract method (implement in subclass).
client_id(self, ClientOrderId client_order_id) → ClientId
Abstract method (implement in subclass).
client_order_id(self, VenueOrderId venue_order_id) → ClientOrderId
Abstract method (implement in subclass).
client_order_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
client_order_ids_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
client_order_ids_emulated(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
client_order_ids_inflight(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
client_order_ids_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
exec_algorithm_ids(self) → set
Abstract method (implement in subclass).
exec_spawn_total_filled_qty(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Abstract method (implement in subclass).
exec_spawn_total_leaves_qty(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Abstract method (implement in subclass).
exec_spawn_total_quantity(self, ClientOrderId exec_spawn_id, bool active_only=False) → Quantity
Abstract method (implement in subclass).
get(self, unicode key) → bytes
Abstract method (implement in subclass).
get_xrate(self, Venue venue, Currency from_currency, Currency to_currency, PriceType price_type=PriceType.MID) → double
Abstract method (implement in subclass).
has_bars(self, BarType bar_type) → bool
Abstract method (implement in subclass).
has_order_book(self, InstrumentId instrument_id) → bool
Abstract method (implement in subclass).
has_quote_ticks(self, InstrumentId instrument_id) → bool
Abstract method (implement in subclass).
has_trade_ticks(self, InstrumentId instrument_id) → bool
Abstract method (implement in subclass).
instrument(self, InstrumentId instrument_id) → Instrument
Abstract method (implement in subclass).
instrument_ids(self, Venue venue=None) → list
Abstract method (implement in subclass).
instruments(self, Venue venue=None, unicode underlying=None) → list
Abstract method (implement in subclass).
is_order_closed(self, ClientOrderId client_order_id) → bool
Abstract method (implement in subclass).
is_order_emulated(self, ClientOrderId client_order_id) → bool
Abstract method (implement in subclass).
is_order_inflight(self, ClientOrderId client_order_id) → bool
Abstract method (implement in subclass).
is_order_open(self, ClientOrderId client_order_id) → bool
Abstract method (implement in subclass).
is_order_pending_cancel_local(self, ClientOrderId client_order_id) → bool
Abstract method (implement in subclass).
is_position_closed(self, PositionId position_id) → bool
Abstract method (implement in subclass).
is_position_open(self, PositionId position_id) → bool
Abstract method (implement in subclass).
order(self, ClientOrderId client_order_id) → Order
Abstract method (implement in subclass).
order_book(self, InstrumentId instrument_id) → OrderBook
Abstract method (implement in subclass).
order_exists(self, ClientOrderId client_order_id) → bool
Abstract method (implement in subclass).
order_list(self, OrderListId order_list_id) → OrderList
Abstract method (implement in subclass).
order_list_exists(self, OrderListId order_list_id) → bool
Abstract method (implement in subclass).
order_list_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
order_lists(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → list
Abstract method (implement in subclass).
orders(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Abstract method (implement in subclass).
orders_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Abstract method (implement in subclass).
orders_closed_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Abstract method (implement in subclass).
orders_emulated(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Abstract method (implement in subclass).
orders_emulated_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Abstract method (implement in subclass).
orders_for_exec_algorithm(self, ExecAlgorithmId exec_algorithm_id, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Abstract method (implement in subclass).
orders_for_exec_spawn(self, ClientOrderId exec_spawn_id) → list
Abstract method (implement in subclass).
orders_for_position(self, PositionId position_id) → list
Abstract method (implement in subclass).
orders_inflight(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Abstract method (implement in subclass).
orders_inflight_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Abstract method (implement in subclass).
orders_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → list
Abstract method (implement in subclass).
orders_open_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Abstract method (implement in subclass).
orders_total_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, OrderSide side=OrderSide.NO_ORDER_SIDE) → int
Abstract method (implement in subclass).
position(self, PositionId position_id) → Position
Abstract method (implement in subclass).
position_closed_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
position_exists(self, PositionId position_id) → bool
Abstract method (implement in subclass).
position_for_order(self, ClientOrderId client_order_id) → Position
Abstract method (implement in subclass).
position_id(self, ClientOrderId client_order_id) → PositionId
Abstract method (implement in subclass).
position_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
position_open_ids(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → set
Abstract method (implement in subclass).
position_snapshots(self, PositionId position_id=None) → list
Abstract method (implement in subclass).
positions(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → list
Abstract method (implement in subclass).
positions_closed(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → list
Abstract method (implement in subclass).
positions_closed_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None) → int
Abstract method (implement in subclass).
positions_open(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → list
Abstract method (implement in subclass).
positions_open_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → int
Abstract method (implement in subclass).
positions_total_count(self, Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → int
Abstract method (implement in subclass).
price(self, InstrumentId instrument_id, PriceType price_type) → Price
Abstract method (implement in subclass).
quote_tick(self, InstrumentId instrument_id, int index=0) → QuoteTick
Abstract method (implement in subclass).
quote_tick_count(self, InstrumentId instrument_id) → int
Abstract method (implement in subclass).
quote_ticks(self, InstrumentId instrument_id) → list
Abstract method (implement in subclass).
strategy_id_for_order(self, ClientOrderId client_order_id) → StrategyId
Abstract method (implement in subclass).
strategy_id_for_position(self, PositionId position_id) → StrategyId
Abstract method (implement in subclass).
strategy_ids(self) → set
Abstract method (implement in subclass).
synthetic(self, InstrumentId instrument_id) → SyntheticInstrument
Abstract method (implement in subclass).
synthetic_ids(self) → list
Abstract method (implement in subclass).
synthetics(self) → list
Abstract method (implement in subclass).
trade_tick(self, InstrumentId instrument_id, int index=0) → TradeTick
Abstract method (implement in subclass).
trade_tick_count(self, InstrumentId instrument_id) → int
Abstract method (implement in subclass).
trade_ticks(self, InstrumentId instrument_id) → list
Abstract method (implement in subclass).
venue_order_id(self, ClientOrderId client_order_id) → VenueOrderId
Abstract method (implement in subclass).