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 None then will bypass persistence.
  • config (CacheConfig , optional) – The cache configuration.
• 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, str 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 HEDGING and 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 quotes 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 trades 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, aggregation_source=None) → list

Return all bar types with the given query filters.

If a filter parameter is None, then no filtering occurs for that parameter.

• Parameters:
  • instrument_id (InstrumentId , optional) – The instrument ID query filter.
  • price_type (PriceType , optional) – The price type query filter.
  • aggregation_source (AggregationSource , optional) – The aggregation source query filter.
• Return type: list[BarType]

bars(self, BarType bar_type) → list

Return bars for the given bar type.

• Parameters: bar_type (BarType) – The bar type for bars to get.
• Return type: list[Bar]

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, str 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:
  • venue (Venue) – The venue for the exchange rate.
  • from_currency (Currency) – The currency to convert from.
  • to_currency (Currency) – The currency to convert to.
  • price_type (PriceType) – The price type for the exchange rate.
• 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 quotes 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 trades 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, str 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 quotes 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 quotes 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 trades 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 trades 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, str 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, str pattern='*') → 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, str 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:
  • position (Position) – The position for the state snapshot.
  • ts_snapshot (uint64_t) – UNIX timestamp (nanoseconds) when the snapshot was taken.
  • unrealized_pnl (Money , optional) – The unrealized PnL for the state snapshot.

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 None then will bypass persistence.
  • config (CacheConfig , optional) – The cache configuration.
• 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, str 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 HEDGING and 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 quotes 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 trades 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, aggregation_source=None) → list

Return all bar types with the given query filters.

If a filter parameter is None, then no filtering occurs for that parameter.

• Parameters:
  • instrument_id (InstrumentId , optional) – The instrument ID query filter.
  • price_type (PriceType , optional) – The price type query filter.
  • aggregation_source (AggregationSource , optional) – The aggregation source query filter.
• Return type: list[BarType]

bars(self, BarType bar_type) → list

Return bars for the given bar type.

• Parameters: bar_type (BarType) – The bar type for bars to get.
• Return type: list[Bar]

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, str 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:
  • venue (Venue) – The venue for the exchange rate.
  • from_currency (Currency) – The currency to convert from.
  • to_currency (Currency) – The currency to convert to.
  • price_type (PriceType) – The price type for the exchange rate.
• 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 quotes 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 trades 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, str 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 quotes 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 quotes 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 trades 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 trades 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, str 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, str pattern='*') → 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, str 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:
  • position (Position) – The position for the state snapshot.
  • ts_snapshot (uint64_t) – UNIX timestamp (nanoseconds) when the snapshot was taken.
  • unrealized_pnl (Money , optional) – The unrealized PnL for the state snapshot.

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, str 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, str 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, str 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).