Common
The common subpackage provides generic/common parts for assembling the frameworks various components.
More domain specific concepts are introduced above the core base layer. The ID cache is implemented, a base Clock with Test and Live implementations which can control many Timer instances.
Trading domain specific components for generating Order and Identifier objects, common logging components, a high performance Queue and UUID4 factory.
class Environment
Bases: Enum
Represents the environment context for a Nautilus system.
BACKTEST = 'backtest'
SANDBOX = 'sandbox'
LIVE = 'live'
The Actor class allows traders to implement their own customized components.
A user can inherit from Actor and optionally override any of the “on” named event handler methods. The class is not entirely initialized in a stand-alone way, the intended usage is to pass actors to a Trader so that they can be fully “wired” into the platform. Exceptions will be raised if an Actor attempts to operate without a managing Trader instance.
class Actor
Bases: Component
Actor(config: ActorConfig | None = None)
The base class for all actor components.
- Parameters: config (ActorConfig , optional) – The actor configuration.
- Raises: TypeError – If config is not of type ActorConfig.
WARNING
- This class should not be used directly, but through a concrete subclass.
- Do not call components such as clock and logger in the __init__ prior to registration.
active_task_ids(self) → list
Return the active task identifiers.
- Return type: list[TaskId]
add_synthetic(self, SyntheticInstrument synthetic) → void
Add the created synthetic instrument to the cache.
- Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to add to the cache.
- Raises: KeyError – If synthetic is already in the cache.
cache
The read-only cache for the actor.
- Returns: CacheFacade
cancel_all_tasks(self) → void
Cancel all queued and active tasks.
cancel_task(self, task_id: TaskId) → void
Cancel the task with the given task_id (if queued or active).
If the task is not found then a warning is logged.
- Parameters: task_id (TaskId) – The task identifier.
clock
The actors clock.
- Returns: Clock
config
The actors configuration.
- Returns: NautilusConfig
degrade(self) → void
Degrade the component.
While executing on_degrade() any exception will be logged and reraised, then the component
will remain in a DEGRADING
state.
WARNING
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
deregister_warning_event(self, type event) → void
Deregister the given event type from warning log levels.
- Parameters: event (type) – The event class to deregister.
dispose(self) → void
Dispose of the component.
While executing on_dispose() any exception will be logged and reraised, then the component
will remain in a DISPOSING
state.
WARNING
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
fault(self) → void
Fault the component.
Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.
While executing on_fault() any exception will be logged and reraised, then the component
will remain in a FAULTING
state.
WARNING
Do not override.
If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.
classmethod fully_qualified_name(cls) → str
Return the fully qualified name for the components class.
- Return type: str
handle_bar(self, Bar bar) → void
Handle the given bar data.
If state is RUNNING
then passes to on_bar.
- Parameters: bar (Bar) – The bar received.
WARNING
System method (not intended to be called by user code).
handle_bars(self, list bars) → void
Handle the given historical bar data by handling each bar individually.
- Parameters: bars (list [Bar ]) – The bars to handle.
WARNING
System method (not intended to be called by user code).
handle_data(self, Data data) → void
Handle the given data.
If state is RUNNING
then passes to on_data.
- Parameters: data (Data) – The data received.
WARNING
System method (not intended to be called by user code).
handle_event(self, Event event) → void
Handle the given event.
If state is RUNNING
then passes to on_event.
- Parameters: event (Event) – The event received.
WARNING
System method (not intended to be called by user code).
handle_historical_data(self, data) → void
Handle the given historical data.
- Parameters: data (Data) – The historical data received.
WARNING
System method (not intended to be called by user code).
handle_instrument(self, Instrument instrument) → void
Handle the given instrument.
Passes to on_instrument if state is RUNNING
.
- Parameters: instrument (Instrument) – The instrument received.
WARNING
System method (not intended to be called by user code).
handle_instrument_close(self, InstrumentClose update) → void
Handle the given instrument close update.
If state is RUNNING
then passes to on_instrument_close.
- Parameters: update (InstrumentClose) – The update received.
WARNING
System method (not intended to be called by user code).
handle_instrument_status(self, InstrumentStatus data) → void
Handle the given instrument status update.
If state is RUNNING
then passes to on_instrument_status.
- Parameters: data (InstrumentStatus) – The status update received.
WARNING
System method (not intended to be called by user code).
handle_instruments(self, list instruments) → void
Handle the given instruments data by handling each instrument individually.
- Parameters: instruments (list [Instrument ]) – The instruments received.
WARNING
System method (not intended to be called by user code).
handle_order_book(self, OrderBook order_book) → void
Handle the given order book.
Passes to on_order_book if state is RUNNING
.
- Parameters: order_book (OrderBook) – The order book received.
WARNING
System method (not intended to be called by user code).
handle_order_book_deltas(self, deltas) → void
Handle the given order book deltas.
Passes to on_order_book_deltas if state is RUNNING
.
The deltas will be nautilus_pyo3.OrderBookDeltas if the
pyo3_conversion flag was set for the subscription.
- Parameters: deltas (OrderBookDeltas or nautilus_pyo3.OrderBookDeltas) – The order book deltas received.
WARNING
System method (not intended to be called by user code).
handle_quote_tick(self, QuoteTick tick) → void
Handle the given quote tick.
If state is RUNNING
then passes to on_quote_tick.
- Parameters: tick (QuoteTick) – The tick received.
WARNING
System method (not intended to be called by user code).
handle_quote_ticks(self, list ticks) → void
Handle the given historical quote tick data by handling each tick individually.
- Parameters: ticks (list [QuoteTick ]) – The ticks received.
WARNING
System method (not intended to be called by user code).
handle_trade_tick(self, TradeTick tick) → void
Handle the given trade tick.
If state is RUNNING
then passes to on_trade_tick.
- Parameters: tick (TradeTick) – The tick received.
WARNING
System method (not intended to be called by user code).
handle_trade_ticks(self, list ticks) → void
Handle the given historical trade tick data by handling each tick individually.
- Parameters: ticks (list [TradeTick ]) – The ticks received.
WARNING
System method (not intended to be called by user code).
has_active_tasks(self) → bool
Return a value indicating whether there are any active tasks.
- Return type: bool
has_any_tasks(self) → bool
Return a value indicating whether there are any queued or active tasks.
- Return type: bool
has_pending_requests(self) → bool
Return whether the actor is pending processing for any requests.
- Returns: True if any requests are pending, else False.
- Return type: bool
has_queued_tasks(self) → bool
Return a value indicating whether there are any queued tasks.
- Return type: bool
id
The components ID.
- Returns: ComponentId
indicators_initialized(self) → bool
Return a value indicating whether all indicators are initialized.
- Returns: True if all initialized, else False
- Return type: bool
instrument_greeks_data(self, InstrumentId instrument_id) → GreeksData
Retrieve the Greeks data for a given instrument.
This method handles both options and futures instruments. For options, it retrieves the Greeks data from the cache. For futures, it creates a GreeksData object based on the instrument’s delta and multiplier.
- Parameters: instrument_id (InstrumentId) – The identifier of the instrument for which to retrieve Greeks data.
- Returns: The Greeks data for the specified instrument, including vol, price, delta, gamma, vega, theta.
- Return type: GreeksData
is_degraded
bool
Return whether the current component state is DEGRADED
.
- Return type: bool
- Type: Component.is_degraded
is_disposed
bool
Return whether the current component state is DISPOSED
.
- Return type: bool
- Type: Component.is_disposed
is_faulted
bool
Return whether the current component state is FAULTED
.
- Return type: bool
- Type: Component.is_faulted
is_initialized
bool
Return whether the component has been initialized (component.state >= INITIALIZED
).
- Return type: bool
- Type: Component.is_initialized
is_pending_request(self, UUID4 request_id) → bool
Return whether the request for the given identifier is pending processing.
- Parameters: request_id (UUID4) – The request ID to check.
- Returns: True if request is pending, else False.
- Return type: bool
is_running
bool
Return whether the current component state is RUNNING
.
- Return type: bool
- Type: Component.is_running
is_stopped
bool
Return whether the current component state is STOPPED
.
- Return type: bool
- Type: Component.is_stopped
load(self, dict state) → void
Load the actor/strategy state from the give state dictionary.
Calls on_load and passes the state.
- Parameters: state (dict *[*str , object ]) – The state dictionary.
- Raises: RuntimeError – If actor/strategy is not registered with a trader.
WARNING
Exceptions raised will be caught, logged, and reraised.
log
The actors logger.
- Returns: Logger
msgbus
The message bus for the actor (if registered).
- Returns:
MessageBus or
None
on_bar(self, Bar bar) → void
Actions to be performed when running and receives a bar.
- Parameters: bar (Bar) – The bar received.
WARNING
System method (not intended to be called by user code).
on_data(self, data) → void
Actions to be performed when running and receives data.
- Parameters: data (Data) – The data received.
WARNING
System method (not intended to be called by user code).
on_degrade(self) → void
Actions to be performed on degrade.
WARNING
System method (not intended to be called by user code).
Should be overridden in the actor implementation.
on_dispose(self) → void
Actions to be performed on dispose.
Cleanup/release any resources used here.
WARNING
System method (not intended to be called by user code).
on_event(self, Event event) → void
Actions to be performed running and receives an event.
- Parameters: event (Event) – The event received.
WARNING
System method (not intended to be called by user code).