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Version: nightly

Data

The data subpackage groups components relating to the data stack and data tooling for the platform.

The layered architecture of the data stack somewhat mirrors the execution stack with a central engine, cache layer beneath, database layer beneath, with alternative implementations able to be written on top.

Due to the high-performance, the core components are reusable between both backtest and live implementations - helping to ensure consistent logic for trading operations.

Aggregation​

class BarAggregator​

Bases: object

BarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], bool await_partial=False) -> None Provides a means of aggregating specified bars and sending to a registered handler.

  • Parameters:
    • instrument (Instrument) – The instrument for the aggregator.
    • bar_type (BarType) – The bar type for the aggregator.
    • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
    • await_partial (bool , default False) – If the aggregator should await an initial partial bar prior to aggregating.
  • Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type​

The aggregators bar type.

  • Returns: BarType

handle_bar(self, Bar bar) → void​

Update the aggregator with the given bar.

  • Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (TradeTick) – The tick for the update.

is_running​

‘bool’

  • Type: is_running

set_await_partial(self, bool value)​

set_partial(self, Bar partial_bar) → void​

Set the initial values for a partially completed bar.

This method can only be called once per instance.

  • Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None​

stop_batch_update(self) → None​

class BarBuilder​

Bases: object

BarBuilder(Instrument instrument, BarType bar_type) -> None Provides a generic bar builder for aggregation.

  • Parameters:
    • instrument (Instrument) – The instrument for the builder.
    • bar_type (BarType) – The bar type for the builder.
  • Raises: ValueError – If instrument.id != bar_type.instrument_id.

build(self, uint64_t ts_event, uint64_t ts_init) → Bar​

Return the aggregated bar with the given closing timestamp, and reset.

  • Parameters:
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) for the bar event.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) for the bar initialization.
  • Return type: Bar

build_now(self) → Bar​

Return the aggregated bar and reset.

  • Return type: Bar

count​

The builders current update count.

  • Returns: int

initialized​

If the builder is initialized.

  • Returns: bool

price_precision​

The price precision for the builders instrument.

  • Returns: uint8

reset(self) → void​

Reset the bar builder.

All stateful fields are reset to their initial value.

set_partial(self, Bar partial_bar) → void​

Set the initial values for a partially completed bar.

This method can only be called once per instance.

  • Parameters: partial_bar (Bar) – The partial bar with values to set.

size_precision​

The size precision for the builders instrument.

  • Returns: uint8

ts_last​

UNIX timestamp (nanoseconds) when the builder last updated.

  • Returns: uint64_t

update(self, Price price, Quantity size, uint64_t ts_event) → void​

Update the bar builder.

  • Parameters:
    • price (Price) – The update price.
    • size (Decimal) – The update size.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) of the update.

update_bar(self, Bar bar, Quantity volume, uint64_t ts_init) → void​

Update the bar builder.

  • Parameters: bar (Bar) – The update Bar.

class TickBarAggregator​

Bases: BarAggregator

TickBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None Provides a means of building tick bars from ticks.

When received tick count reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

  • Parameters:
    • instrument (Instrument) – The instrument for the aggregator.
    • bar_type (BarType) – The bar type for the aggregator.
    • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
  • Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type​

The aggregators bar type.

  • Returns: BarType

handle_bar(self, Bar bar) → void​

Update the aggregator with the given bar.

  • Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (TradeTick) – The tick for the update.

is_running​

‘bool’

  • Type: is_running

set_await_partial(self, bool value)​

set_partial(self, Bar partial_bar) → void​

Set the initial values for a partially completed bar.

This method can only be called once per instance.

  • Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None​

stop_batch_update(self) → None​

class TimeBarAggregator​

Bases: BarAggregator

TimeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Clock clock, str interval_type=’left-open’, bool timestamp_on_close=True, bool skip_first_non_full_bar=False, bool build_with_no_updates=True, time_bars_origin: pd.Timedelta | pd.DateOffset = None, int composite_bar_build_delay=15) -> None Provides a means of building time bars from ticks with an internal timer.

When the time reaches the next time interval of the bar specification, then a bar is created and sent to the handler.

  • Parameters:
    • instrument (Instrument) – The instrument for the aggregator.
    • bar_type (BarType) – The bar type for the aggregator.
    • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
    • clock (Clock) – The clock for the aggregator.
    • interval_type (str , default 'left-open') – Determines the type of interval used for time aggregation.
      • ‘left-open’: start time is excluded and end time is included (default).
      • ‘right-open’: start time is included and end time is excluded.
    • timestamp_on_close (bool , default True) – If True, then timestamp will be the bar close time. If False, then timestamp will be the bar open time.
    • skip_first_non_full_bar (bool , default False) – If will skip emitting a bar if the aggregation starts mid-interval.
    • build_with_no_updates (bool , default True) – If build and emit bars with no new market updates.
    • time_bars_origin (pd.Timedelta or pd.DateOffset , optional) – The origin time offset.
    • composite_bar_build_delay (int , default 15) – The time delay (microseconds) before building and emitting a composite bar type.
  • Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type​

The aggregators bar type.

  • Returns: BarType

get_start_time(self, datetime now: datetime) → datetime​

Return the start time for the aggregators next bar.

  • Returns: The timestamp (UTC).
  • Return type: datetime

handle_bar(self, Bar bar) → void​

Update the aggregator with the given bar.

  • Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (TradeTick) – The tick for the update.

interval​

The aggregators time interval.

  • Returns: timedelta

interval_ns​

The aggregators time interval.

  • Returns: uint64_t

is_running​

‘bool’

  • Type: is_running

next_close_ns​

The aggregators next closing time.

  • Returns: uint64_t

set_await_partial(self, bool value)​

set_partial(self, Bar partial_bar) → void​

Set the initial values for a partially completed bar.

This method can only be called once per instance.

  • Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None​

stop(self) → void​

Stop the bar aggregator.

stop_batch_update(self) → None​

class ValueBarAggregator​

Bases: BarAggregator

ValueBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None Provides a means of building value bars from ticks.

When received value reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

  • Parameters:
    • instrument (Instrument) – The instrument for the aggregator.
    • bar_type (BarType) – The bar type for the aggregator.
    • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
  • Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type​

The aggregators bar type.

  • Returns: BarType

get_cumulative_value(self)​

Return the current cumulative value of the aggregator.

  • Return type: Decimal

handle_bar(self, Bar bar) → void​

Update the aggregator with the given bar.

  • Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (TradeTick) – The tick for the update.

is_running​

‘bool’

  • Type: is_running

set_await_partial(self, bool value)​

set_partial(self, Bar partial_bar) → void​

Set the initial values for a partially completed bar.

This method can only be called once per instance.

  • Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None​

stop_batch_update(self) → None​

class VolumeBarAggregator​

Bases: BarAggregator

VolumeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None Provides a means of building volume bars from ticks.

When received volume reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

  • Parameters:
    • instrument (Instrument) – The instrument for the aggregator.
    • bar_type (BarType) – The bar type for the aggregator.
    • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
  • Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type​

The aggregators bar type.

  • Returns: BarType

handle_bar(self, Bar bar) → void​

Update the aggregator with the given bar.

  • Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void​

Update the aggregator with the given tick.

  • Parameters: tick (TradeTick) – The tick for the update.

is_running​

‘bool’

  • Type: is_running

set_await_partial(self, bool value)​

set_partial(self, Bar partial_bar) → void​

Set the initial values for a partially completed bar.

This method can only be called once per instance.

  • Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None​

stop_batch_update(self) → None​

Client​

class DataClient​

Bases: Component

DataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: NautilusConfig | None = None) The base class for all data clients.

  • Parameters:
    • client_id (ClientId) – The data client ID.
    • msgbus (MessageBus) – The message bus for the client.
    • clock (Clock) – The clock for the client.
    • venue (Venue , optional) – The client venue. If multi-venue then can be None.
    • config (NautilusConfig , optional) – The configuration for the instance.

WARNING​

This class should not be used directly, but through a concrete subclass.

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.

dispose(self) → void​

Dispose of the component.

While executing on_dispose() any exception will be logged and reraised, then the component will remain in a DISPOSING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

fault(self) → void​

Fault the component.

Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.

While executing on_fault() any exception will be logged and reraised, then the component will remain in a FAULTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the components class.

  • Return type: str

id​

The components ID.

  • Returns: ComponentId

is_connected​

If the client is connected.

  • Returns: bool

is_degraded​

bool Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool Return whether the component has been initialized (component.state >= INITIALIZED).

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

request(self, RequestData request) → void​

Request data for the given data type.

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

reset(self) → void​

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() any exception will be logged and reraised, then the component will remain in a RESETTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

resume(self) → void​

Resume the component.

While executing on_resume() any exception will be logged and reraised, then the component will remain in a RESUMING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

shutdown_system(self, str reason=None) → void​

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

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

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

start(self) → void​

Start the component.

While executing on_start() any exception will be logged and reraised, then the component will remain in a STARTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state​

ComponentState Return the components current state.

  • Return type: ComponentState
  • Type: Component.state

stop(self) → void​

Stop the component.

While executing on_stop() any exception will be logged and reraised, then the component will remain in a STOPPING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

subscribe(self, SubscribeData command) → void​

Subscribe to data for the given data type.

  • Parameters: data_type (DataType) – The data type for the subscription.

subscribed_custom_data(self) → list​

Return the custom data types subscribed to.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

unsubscribe(self, UnsubscribeData command) → void​

Unsubscribe from data for the given data type.

  • Parameters: data_type (DataType) – The data type for the subscription.

venue​

The clients venue ID (if applicable).

  • Returns: Venue or None

class MarketDataClient​

Bases: DataClient

MarketDataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: NautilusConfig | None = None) The base class for all market data clients.

  • Parameters:
    • client_id (ClientId) – The data client ID.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (Clock) – The clock for the client.
    • venue (Venue , optional) – The client venue. If multi-venue then can be None.
    • config (NautilusConfig , optional) – The configuration for the instance.

WARNING​

This class should not be used directly, but through a concrete subclass.

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.

dispose(self) → void​

Dispose of the component.

While executing on_dispose() any exception will be logged and reraised, then the component will remain in a DISPOSING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

fault(self) → void​

Fault the component.

Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.

While executing on_fault() any exception will be logged and reraised, then the component will remain in a FAULTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the components class.

  • Return type: str

id​

The components ID.

  • Returns: ComponentId

is_connected​

If the client is connected.

  • Returns: bool

is_degraded​

bool Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool Return whether the component has been initialized (component.state >= INITIALIZED).

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

request(self, RequestData request) → void​

Request data for the given data type.

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

request_bars(self, RequestBars request) → void​

Request historical Bar data. To load historical data from a catalog, you can pass a list[DataCatalogConfig] to the TradingNodeConfig or the BacktestEngineConfig.

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

request_instrument(self, RequestInstrument request) → void​

Request Instrument data for the given instrument ID.

request_instruments(self, RequestInstruments request) → void​

Request all Instrument data for the given venue.

request_order_book_snapshot(self, RequestOrderBookSnapshot request) → void​

Request order book snapshot data.

request_quote_ticks(self, RequestQuoteTicks request) → void​

Request historical QuoteTick data.

request_trade_ticks(self, RequestTradeTicks request) → void​

Request historical TradeTick data.

reset(self) → void​

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() any exception will be logged and reraised, then the component will remain in a RESETTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

resume(self) → void​

Resume the component.

While executing on_resume() any exception will be logged and reraised, then the component will remain in a RESUMING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

shutdown_system(self, str reason=None) → void​

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

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

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

start(self) → void​

Start the component.

While executing on_start() any exception will be logged and reraised, then the component will remain in a STARTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state​

ComponentState Return the components current state.

  • Return type: ComponentState
  • Type: Component.state

stop(self) → void​

Stop the component.

While executing on_stop() any exception will be logged and reraised, then the component will remain in a STOPPING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

subscribe(self, SubscribeData command) → void​

Subscribe to data for the given data type.

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

subscribe_bars(self, SubscribeBars command) → void​

Subscribe to Bar data for the given bar type.

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

subscribe_instrument(self, SubscribeInstrument command) → void​

Subscribe to the Instrument with the given instrument ID.

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

subscribe_instrument_close(self, SubscribeInstrumentClose command) → void​

Subscribe to InstrumentClose updates for the given instrument ID.

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

subscribe_instrument_status(self, SubscribeInstrumentStatus command) → void​

Subscribe to InstrumentStatus data for the given instrument ID.

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

subscribe_instruments(self, SubscribeInstruments command) → void​

Subscribe to all Instrument data.

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

subscribe_order_book_deltas(self, SubscribeOrderBook command) → void​

Subscribe to OrderBookDeltas data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional , default None) – The maximum depth for the subscription.
    • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_order_book_snapshots(self, SubscribeOrderBook command) → void​

Subscribe to OrderBook snapshots data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book level.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_quote_ticks(self, SubscribeQuoteTicks command) → void​

Subscribe to QuoteTick data for the given instrument ID.

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

subscribe_trade_ticks(self, SubscribeTradeTicks command) → void​

Subscribe to TradeTick data for the given instrument ID.

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

subscribed_bars(self) → list​

Return the bar types subscribed to.

subscribed_custom_data(self) → list​

Return the custom data types subscribed to.

subscribed_instrument_close(self) → list​

Return the instrument closes subscribed to.

subscribed_instrument_status(self) → list​

Return the status update instruments subscribed to.

subscribed_instruments(self) → list​

Return the instruments subscribed to.

subscribed_order_book_deltas(self) → list​

Return the order book delta instruments subscribed to.

subscribed_order_book_snapshots(self) → list​

Return the order book snapshot instruments subscribed to.

subscribed_quote_ticks(self) → list​

Return the quote tick instruments subscribed to.

subscribed_trade_ticks(self) → list​

Return the trade tick instruments subscribed to.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

unsubscribe(self, UnsubscribeData command) → void​

Unsubscribe from data for the given data type.

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

unsubscribe_bars(self, UnsubscribeBars command) → void​

Unsubscribe from Bar data for the given bar type.

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

unsubscribe_instrument(self, UnsubscribeInstrument command) → void​

Unsubscribe from Instrument data for the given instrument ID.

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

unsubscribe_instrument_close(self, UnsubscribeInstrumentClose command) → void​

Unsubscribe from InstrumentClose data for the given instrument ID.

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

unsubscribe_instrument_status(self, UnsubscribeInstrumentStatus command) → void​

Unsubscribe from InstrumentStatus data for the given instrument ID.

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

unsubscribe_instruments(self, UnsubscribeInstruments command) → void​

Unsubscribe from all Instrument data.

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

unsubscribe_order_book_deltas(self, UnsubscribeOrderBook command) → void​

Unsubscribe from OrderBookDeltas data for the given instrument ID.

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

unsubscribe_order_book_snapshots(self, UnsubscribeOrderBook command) → void​

Unsubscribe from OrderBook snapshots data for the given instrument ID.

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

unsubscribe_quote_ticks(self, UnsubscribeQuoteTicks command) → void​

Unsubscribe from QuoteTick data for the given instrument ID.

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

unsubscribe_trade_ticks(self, UnsubscribeTradeTicks command) → void​

Unsubscribe from TradeTick data for the given instrument ID.

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

venue​

The clients venue ID (if applicable).

  • Returns: Venue or None

Engine​

The DataEngine is the central component of the entire data stack.

The data engines primary responsibility is to orchestrate interactions between the DataClient instances, and the rest of the platform. This includes sending requests to, and receiving responses from, data endpoints via its registered data clients.

The engine employs a simple fan-in fan-out messaging pattern to execute DataCommand type messages, and process DataResponse messages or market data objects.

Alternative implementations can be written on top of the generic engine - which just need to override the execute, process, send and receive methods.

class DataEngine​

Bases: Component

DataEngine(MessageBus msgbus, Cache cache, Clock clock, config: DataEngineConfig | None = None) -> None Provides a high-performance data engine for managing many DataClient instances, for the asynchronous ingest of data.

  • Parameters:
    • msgbus (MessageBus) – The message bus for the engine.
    • cache (Cache) – The cache for the engine.
    • clock (Clock) – The clock for the engine.
    • config (DataEngineConfig , optional) – The configuration for the instance.

check_connected(self) → bool​

Check all of the engines clients are connected.

  • Returns: True if all clients connected, else False.
  • Return type: bool

check_disconnected(self) → bool​

Check all of the engines clients are disconnected.

  • Returns: True if all clients disconnected, else False.
  • Return type: bool

command_count​

The total count of data commands received by the engine.

  • Returns: int

connect(self) → None​

Connect the engine by calling connect on all registered clients.

data_count​

The total count of data stream objects received by the engine.

  • Returns: int

debug​

If debug mode is active (will provide extra debug logging).

  • Returns: bool

default_client​

ClientId | None Return the default data client registered with the engine.

  • Return type: ClientId or None
  • Type: DataEngine.default_client

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_client(self, DataClient client) → void​

Deregister the given data client from the data engine.

  • Parameters: client (DataClient) – The data client to deregister.

disconnect(self) → None​

Disconnect the engine by calling disconnect on all registered clients.

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.

execute(self, DataCommand command) → void​

Execute the given data command.

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

fault(self) → void​

Fault the component.

Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.

While executing on_fault() any exception will be logged and reraised, then the component will remain in a FAULTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the components class.

  • Return type: str

id​

The components ID.

  • Returns: ComponentId

is_degraded​

bool Return whether the current component state is DEGRADED.

  • Return type: bool
  • Type: Component.is_degraded

is_disposed​

bool Return whether the current component state is DISPOSED.

  • Return type: bool
  • Type: Component.is_disposed

is_faulted​

bool Return whether the current component state is FAULTED.

  • Return type: bool
  • Type: Component.is_faulted

is_initialized​

bool Return whether the component has been initialized (component.state >= INITIALIZED).

  • Return type: bool
  • Type: Component.is_initialized

is_running​

bool Return whether the current component state is RUNNING.

  • Return type: bool
  • Type: Component.is_running

is_stopped​

bool Return whether the current component state is STOPPED.

  • Return type: bool
  • Type: Component.is_stopped

process(self, Data data) → void​

Process the given data.

  • Parameters: data (Data) – The data to process.

register_catalog(self, catalog: ParquetDataCatalog, str name: str = 'catalog_0') → None​

Register the given data catalog with the engine.

  • Parameters:
    • catalog (ParquetDataCatalog) – The data catalog to register.
    • name (str , default 'catalog_0') – The name of the catalog to register.

register_client(self, DataClient client) → void​

Register the given data client with the data engine.

  • Parameters: client (DataClient) – The client to register.
  • Raises: ValueError – If client is already registered.

register_default_client(self, DataClient client) → void​

Register the given client as the default routing client (when a specific venue routing cannot be found).

Any existing default routing client will be overwritten.

  • Parameters: client (DataClient) – The client to register.

register_venue_routing(self, DataClient client, Venue venue) → void​

Register the given client to route messages to the given venue.

Any existing client in the routing map for the given venue will be overwritten.

  • Parameters:
    • venue (Venue) – The venue to route messages to.
    • client (DataClient) – The client for the venue routing.

registered_clients​

list[ClientId] Return the execution clients registered with the engine.

  • Return type: list[ClientId]
  • Type: DataEngine.registered_clients

request(self, RequestData request) → void​

Handle the given request.

  • Parameters: request (RequestData) – The request to handle.

request_count​

The total count of data requests received by the engine.

  • Returns: int

reset(self) → void​

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() any exception will be logged and reraised, then the component will remain in a RESETTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

response(self, DataResponse response) → void​

Handle the given response.

  • Parameters: response (DataResponse) – The response to handle.

response_count​

The total count of data responses received by the engine.

  • Returns: int

resume(self) → void​

Resume the component.

While executing on_resume() any exception will be logged and reraised, then the component will remain in a RESUMING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

shutdown_system(self, str reason=None) → void​

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

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

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

start(self) → void​

Start the component.

While executing on_start() any exception will be logged and reraised, then the component will remain in a STARTING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state​

ComponentState Return the components current state.

  • Return type: ComponentState
  • Type: Component.state

stop(self) → void​

Stop the component.

While executing on_stop() any exception will be logged and reraised, then the component will remain in a STOPPING state.

WARNING​

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

stop_clients(self) → void​

Stop the registered clients.

subscribed_bars(self) → list​

Return the bar types subscribed to.

subscribed_custom_data(self) → list​

Return the custom data types subscribed to.

subscribed_instrument_close(self) → list​

Return the close price instruments subscribed to.

subscribed_instrument_status(self) → list​

Return the status update instruments subscribed to.

subscribed_instruments(self) → list​

Return the instruments subscribed to.

subscribed_order_book_deltas(self) → list​

Return the order book delta instruments subscribed to.

subscribed_order_book_snapshots(self) → list​

Return the order book snapshot instruments subscribed to.

subscribed_quote_ticks(self) → list​

Return the quote tick instruments subscribed to.

subscribed_synthetic_quotes(self) → list​

Return the synthetic instrument quotes subscribed to.

subscribed_synthetic_trades(self) → list​

Return the synthetic instrument trades subscribed to.

subscribed_trade_ticks(self) → list​

Return the trade tick instruments subscribed to.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

class SnapshotInfo​

Bases: object

Messages​

class DataCommand​

Bases: Command

DataCommand(DataType data_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None The base class for all data commands.

  • Parameters:
    • data_type (type) – The data type for the command.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the command.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

WARNING​

This class should not be used directly, but through a concrete subclass.

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class DataResponse​

Bases: Response

DataResponse(ClientId client_id: ClientId | None, Venue venue: Venue | None, DataType data_type, data, UUID4 correlation_id, UUID4 response_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a response with data.

  • Parameters:
    • client_id (ClientId or None) – The data client ID of the response.
    • venue (Venue or None) – The venue for the response.
    • data_type (type) – The data type of the response.
    • data (object) – The data of the response.
    • correlation_id (UUID4) – The correlation ID.
    • response_id (UUID4) – The response ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the response.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the response.

  • Returns: ClientId or None

correlation_id​

The response correlation ID.

  • Returns: UUID4

data​

The response data.

  • Returns: object

data_type​

The response data type.

  • Returns: type

id​

The response message ID.

  • Returns: UUID4

params​

Additional specific parameters for the response.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the response.

  • Returns: Venue or None

class RequestBars​

Bases: RequestData

RequestBars(BarType bar_type, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init, dict params: dict | None) -> None Represents a request for bars.

  • Parameters:
    • bar_type (BarType) – The bar type for the request.
    • start (datetime) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int) – The limit on the amount of bars received.
    • client_id (ClientId or None) – The data client ID for the request.
    • venue (Venue or None) – The venue for the request.
    • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
    • request_id (UUID4) – The request ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ]) – Additional parameters for the request.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

bar_type​

The bar type for the request.

  • Returns: BarType

callback​

The callback for the response.

  • Returns: Callable

client_id​

The data client ID for the request.

  • Returns: ClientId or None

data_type​

The request data type.

  • Returns: type

end​

The end datetime (UTC) of request time range.

id​

The request message ID.

  • Returns: UUID4

limit​

The limit on the amount of data to return for the request.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

start​

The start datetime (UTC) of request time range (inclusive).

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the request.

  • Returns: Venue or None

class RequestData​

Bases: Request

RequestData(DataType data_type, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init, dict params: dict | None) -> None Represents a request for data.

  • Parameters:
    • data_type (type) – The data type for the request.
    • start (datetime) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int) – The limit on the amount of data to return for the request.
    • client_id (ClientId or None) – The data client ID for the request.
    • venue (Venue or None) – The venue for the request.
    • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
    • request_id (UUID4) – The request ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ]) – Additional parameters for the request.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

callback​

The callback for the response.

  • Returns: Callable

client_id​

The data client ID for the request.

  • Returns: ClientId or None

data_type​

The request data type.

  • Returns: type

end​

The end datetime (UTC) of request time range.

id​

The request message ID.

  • Returns: UUID4

limit​

The limit on the amount of data to return for the request.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

start​

The start datetime (UTC) of request time range (inclusive).

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the request.

  • Returns: Venue or None

class RequestInstrument​

Bases: RequestData

RequestInstrument(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init, dict params: dict | None) -> None Represents a request for an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • start (datetime) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId or None) – The data client ID for the request.
    • venue (Venue or None) – The venue for the request.
    • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
    • request_id (UUID4) – The request ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ]) – Additional parameters for the request.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

callback​

The callback for the response.

  • Returns: Callable

client_id​

The data client ID for the request.

  • Returns: ClientId or None

data_type​

The request data type.

  • Returns: type

end​

The end datetime (UTC) of request time range.

id​

The request message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the request.

  • Returns: InstrumentId

limit​

The limit on the amount of data to return for the request.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

start​

The start datetime (UTC) of request time range (inclusive).

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the request.

  • Returns: Venue or None

class RequestInstruments​

Bases: RequestData

RequestInstruments(datetime start: datetime | None, datetime end: datetime | None, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init, dict params: dict | None) -> None Represents a request for instruments.

  • Parameters:
    • start (datetime) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId or None) – The data client ID for the request.
    • venue (Venue or None) – The venue for the request.
    • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
    • request_id (UUID4) – The request ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ]) – Additional parameters for the request.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

callback​

The callback for the response.

  • Returns: Callable

client_id​

The data client ID for the request.

  • Returns: ClientId or None

data_type​

The request data type.

  • Returns: type

end​

The end datetime (UTC) of request time range.

id​

The request message ID.

  • Returns: UUID4

limit​

The limit on the amount of data to return for the request.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

start​

The start datetime (UTC) of request time range (inclusive).

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the request.

  • Returns: Venue or None

class RequestOrderBookSnapshot​

Bases: RequestData

RequestOrderBookSnapshot(InstrumentId instrument_id, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init, dict params: dict | None) -> None Represents a request for an order book snapshot.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • limit (int) – The limit on the depth of the order book snapshot (default is None).
    • client_id (ClientId or None) – The data client ID for the request.
    • venue (Venue or None) – The venue for the request.
    • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
    • request_id (UUID4) – The request ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ]) – Additional parameters for the request.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

callback​

The callback for the response.

  • Returns: Callable

client_id​

The data client ID for the request.

  • Returns: ClientId or None

data_type​

The request data type.

  • Returns: type

end​

The end datetime (UTC) of request time range.

id​

The request message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the request.

  • Returns: InstrumentId

limit​

The limit on the amount of data to return for the request.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

start​

The start datetime (UTC) of request time range (inclusive).

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the request.

  • Returns: Venue or None

class RequestQuoteTicks​

Bases: RequestData

RequestQuoteTicks(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init, dict params: dict | None) -> None Represents a request for quote ticks.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • start (datetime) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int) – The limit on the amount of quote ticks received.
    • client_id (ClientId or None) – The data client ID for the request.
    • venue (Venue or None) – The venue for the request.
    • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
    • request_id (UUID4) – The request ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ]) – Additional parameters for the request.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

callback​

The callback for the response.

  • Returns: Callable

client_id​

The data client ID for the request.

  • Returns: ClientId or None

data_type​

The request data type.

  • Returns: type

end​

The end datetime (UTC) of request time range.

id​

The request message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the request.

  • Returns: InstrumentId

limit​

The limit on the amount of data to return for the request.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

start​

The start datetime (UTC) of request time range (inclusive).

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the request.

  • Returns: Venue or None

class RequestTradeTicks​

Bases: RequestData

RequestTradeTicks(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init, dict params: dict | None) -> None Represents a request for trade ticks.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • start (datetime) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int) – The limit on the amount of trade ticks received.
    • client_id (ClientId or None) – The data client ID for the request.
    • venue (Venue or None) – The venue for the request.
    • callback (Callable [ *[*Any ] , None ]) – The delegate to call with the data.
    • request_id (UUID4) – The request ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ]) – Additional parameters for the request.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

callback​

The callback for the response.

  • Returns: Callable

client_id​

The data client ID for the request.

  • Returns: ClientId or None

data_type​

The request data type.

  • Returns: type

end​

The end datetime (UTC) of request time range.

id​

The request message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the request.

  • Returns: InstrumentId

limit​

The limit on the amount of data to return for the request.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

start​

The start datetime (UTC) of request time range (inclusive).

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the request.

  • Returns: Venue or None

class SubscribeBars​

Bases: SubscribeData

SubscribeBars(BarType bar_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, bool await_partial=False, dict params: dict | None = None) -> None Represents a command to subscribe to bars of an instrument.

  • Parameters:
    • bar_type (BarType) – The bar type for the subscription.
    • await_partial (bool) – If the bar aggregator should await the arrival of a historical partial bar prior to actively aggregating new bars.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

await_partial​

If the bar aggregator should await the arrival of a historical partial bar prior to actively aggregating new bars.

bar_type​

The bar type for the subscription.

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeData​

Bases: DataCommand

SubscribeData(DataType data_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to subscribe to data.

  • Parameters:
    • data_type (type) – The data type for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeInstrument​

Bases: SubscribeData

SubscribeInstrument(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to subscribe to an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeInstrumentClose​

Bases: SubscribeData

SubscribeInstrumentClose(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to subscribe to the close of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeInstrumentStatus​

Bases: SubscribeData

SubscribeInstrumentStatus(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to subscribe to the status of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeInstruments​

Bases: SubscribeData

SubscribeInstruments(ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to subscribe to all instruments of a venue.

  • Parameters:
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeOrderBook​

Bases: SubscribeData

SubscribeOrderBook(InstrumentId instrument_id, BookType book_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, int depth=0, bool managed=True, int interval_ms=1000, bool only_deltas=True, dict params: dict | None = None) -> None Represents a command to subscribe to order book deltas of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • book_type (BookType) – The order book type.
    • depth (int) – The maximum depth for the subscription.
    • managed (bool) – If an order book should be managed by the data engine based on the subscribed feed.
    • interval_ms (int) – The interval (milliseconds) between snapshots.
    • only_deltas (bool) – If the subscription is for OrderBookDeltas or OrderBook snapshots.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises:
    • ValueError – If both client_id and venue are both None (not enough routing info).
    • ValueError – If interval_ms is not positive (> 0).

book_type​

The order book type.

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

depth​

The maximum depth for the subscription.

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

interval_ms​

The order book snapshot interval in milliseconds (must be positive).

managed​

If an order book should be managed by the data engine based on the subscribed feed.

only_deltas​

If the subscription is for OrderBookDeltas or OrderBook snapshots.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeQuoteTicks​

Bases: SubscribeData

SubscribeQuoteTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to subscribe to quote ticks.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class SubscribeTradeTicks​

Bases: SubscribeData

SubscribeTradeTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to subscribe to trade ticks.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeBars​

Bases: UnsubscribeData

UnsubscribeBars(BarType bar_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to bars of an instrument.

  • Parameters:
    • bar_type (BarType) – The bar type for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

bar_type​

The bar type for the subscription.

  • Returns: BarType

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeData​

Bases: DataCommand

UnsubscribeData(DataType data_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to data.

  • Parameters:
    • data_type (type) – The data type for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeInstrument​

Bases: UnsubscribeData

UnsubscribeInstrument(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeInstrumentClose​

Bases: UnsubscribeData

UnsubscribeInstrumentClose(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to instrument close of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeInstrumentStatus​

Bases: UnsubscribeData

UnsubscribeInstrumentStatus(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to instrument status of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeInstruments​

Bases: UnsubscribeData

UnsubscribeInstruments(ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to all instruments.

  • Parameters:
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeOrderBook​

Bases: UnsubscribeData

UnsubscribeOrderBook(InstrumentId instrument_id, only_deltas: bool, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to order book updates of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • only_deltas (bool) – If the subscription is for OrderBookDeltas or OrderBook snapshots.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

only_deltas​

If the subscription is for OrderBookDeltas or OrderBook snapshots.

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeQuoteTicks​

Bases: UnsubscribeData

UnsubscribeQuoteTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to quote ticks of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None

class UnsubscribeTradeTicks​

Bases: UnsubscribeData

UnsubscribeTradeTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None) -> None Represents a command to unsubscribe to trade ticks of an instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId or None) – The data client ID for the command.
    • venue (Venue or None) – The venue for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • params (dict *[*str , object ] , optional) – Additional parameters for the subscription.
  • Raises: ValueError – If both client_id and venue are both None (not enough routing info).

client_id​

The data client ID for the command.

  • Returns: ClientId or None

data_type​

The command data type.

  • Returns: type

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID for the subscription.

  • Returns: InstrumentId or None

params​

Additional specific parameters for the command.

  • Returns: dict[str, object] or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue​

The venue for the command.

  • Returns: Venue or None
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