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Version: nightly

Execution

The execution subpackage groups components relating to the execution stack for the platform.

The layered architecture of the execution stack somewhat mirrors the data 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.

Components​

class ExecAlgorithm​

Bases: Actor

ExecAlgorithm(config: ExecAlgorithmConfig | None = None)

The base class for all execution algorithms.

This class allows traders to implement their own customized execution algorithms.

  • Parameters: config (ExecAlgorithmConfig , optional) – The execution algorithm configuration.
  • Raises: TypeError – If config is not of type ExecAlgorithmConfig.

WARNING​

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

active_task_ids(self) → list​

Return the active task identifiers.

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_order(self, Order order, ClientId client_id=None) → void​

Cancel the given order with optional routing instructions.

A CancelOrder command will be created and then sent to either the OrderEmulator or the ExecutionEngine (depending on whether the order is emulated).

Logs an error if no VenueOrderId has been assigned to the order.

  • Parameters:
    • order (Order) – The order to cancel.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

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.

execute(self, TradingCommand command) → void​

Handle the given trading command by processing it with the execution algorithm.

  • Parameters: command (SubmitOrder) – The command to handle.
  • Raises: ValueError – If command.exec_algorithm_id is not equal to self.id.

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.

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.

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_signal(self, Data signal) → void​

Handle the given signal.

If state is RUNNING then passes to on_signal.

  • Parameters: signal (Data) – The signal 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

modify_order(self, Order order, Quantity quantity=None, Price price=None, Price trigger_price=None, ClientId client_id=None) → void​

Modify the given order with optional parameters and routing instructions.

An ModifyOrder command will be created and then sent to the RiskEngine.

At least one value must differ from the original order for the command to be valid.

Will use an Order Cancel/Replace Request (a.k.a Order Modification) for FIX protocols, otherwise if order update is not available for the API, then will cancel and replace with a new order using the original ClientOrderId.

  • Parameters:
    • order (Order) – The order to update.
    • quantity (Quantity , optional) – The updated quantity for the given order.
    • price (Price , optional) – The updated price for the given order (if applicable).
    • trigger_price (Price , optional) – The updated trigger price for the given order (if applicable).
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • Raises:
    • ValueError – If price is not None and order does not have a price.
    • ValueError – If trigger is not None and order does not have a trigger_price.

WARNING​

If the order is already closed or at PENDING_CANCEL status then the command will not be generated, and a warning will be logged.

modify_order_in_place(self, Order order, Quantity quantity=None, Price price=None, Price trigger_price=None) → void​

Modify the given INITIALIZED order in place (immediately) with optional parameters.

At least one value must differ from the original order for the command to be valid.

  • Parameters:
    • order (Order) – The order to update.
    • quantity (Quantity , optional) – The updated quantity for the given order.
    • price (Price , optional) – The updated price for the given order (if applicable).
    • trigger_price (Price , optional) – The updated trigger price for the given order (if applicable).
  • Raises:
    • ValueError – If order.status is not INITIALIZED or RELEASED.
    • ValueError – If price is not None and order does not have a price.
    • ValueError – If trigger is not None and order does not have a trigger_price.

WARNING​

If the order is already closed or at PENDING_CANCEL status then the command will not be generated, and a warning will be logged.

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).

on_fault(self) → void​

Actions to be performed on fault.

Cleanup any resources used by the actor here.

WARNING​

System method (not intended to be called by user code).

Should be overridden in the actor implementation.

on_historical_data(self, data) → void​

Actions to be performed when running and receives historical data.

  • Parameters: data (Data) – The historical data received.

WARNING​

System method (not intended to be called by user code).

on_instrument(self, Instrument instrument) → void​

Actions to be performed when running and receives an instrument.

  • Parameters: instrument (Instrument) – The instrument received.

WARNING​

System method (not intended to be called by user code).

on_instrument_close(self, InstrumentClose update) → void​

Actions to be performed when running and receives an instrument close update.

WARNING​

System method (not intended to be called by user code).

on_instrument_status(self, InstrumentStatus data) → void​

Actions to be performed when running and receives an instrument status update.

  • Parameters: data (InstrumentStatus) – The instrument status update received.

WARNING​

System method (not intended to be called by user code).

on_load(self, dict state) → void​

Actions to be performed when the actor state is loaded.

Saved state values will be contained in the give state dictionary.

WARNING​

System method (not intended to be called by user code).

on_order(self, Order order) → void​

Actions to be performed when running and receives an order.

  • Parameters: order (Order) – The order to be handled.

WARNING​

System method (not intended to be called by user code).

on_order_accepted(self, OrderAccepted event) → void​

Actions to be performed when running and receives an order accepted event.

WARNING​

System method (not intended to be called by user code).

on_order_book(self, OrderBook order_book) → void​

Actions to be performed when running and receives an order book.

  • Parameters: order_book (OrderBook) – The order book received.

WARNING​

System method (not intended to be called by user code).

on_order_book_deltas(self, deltas) → void​

Actions to be performed when running and receives order book deltas.

  • Parameters: deltas (OrderBookDeltas or nautilus_pyo3.OrderBookDeltas) – The order book deltas received.

WARNING​

System method (not intended to be called by user code).

on_order_cancel_rejected(self, OrderCancelRejected event) → void​

Actions to be performed when running and receives an order cancel rejected event.

WARNING​

System method (not intended to be called by user code).

on_order_canceled(self, OrderCanceled event) → void​

Actions to be performed when running and receives an order canceled event.

WARNING​

System method (not intended to be called by user code).

on_order_denied(self, OrderDenied event) → void​

Actions to be performed when running and receives an order denied event.

  • Parameters: event (OrderDenied) – The event received.

WARNING​

System method (not intended to be called by user code).

on_order_emulated(self, OrderEmulated event) → void​

Actions to be performed when running and receives an order initialized event.

WARNING​

System method (not intended to be called by user code).

on_order_event(self, OrderEvent event) → void​

Actions to be performed when running and receives an order event.

  • Parameters: event (OrderEvent) – The event received.

WARNING​

System method (not intended to be called by user code).

on_order_expired(self, OrderExpired event) → void​

Actions to be performed when running and receives an order expired event.

WARNING​

System method (not intended to be called by user code).

on_order_filled(self, OrderFilled event) → void​

Actions to be performed when running and receives an order filled event.

  • Parameters: event (OrderFilled) – The event received.

WARNING​

System method (not intended to be called by user code).

on_order_initialized(self, OrderInitialized event) → void​

Actions to be performed when running and receives an order initialized event.

WARNING​

System method (not intended to be called by user code).

on_order_list(self, OrderList order_list) → void​

Actions to be performed when running and receives an order list.

  • Parameters: order_list (OrderList) – The order list to be handled.

WARNING​

System method (not intended to be called by user code).

on_order_modify_rejected(self, OrderModifyRejected event) → void​

Actions to be performed when running and receives an order modify rejected event.

WARNING​

System method (not intended to be called by user code).

on_order_pending_cancel(self, OrderPendingCancel event) → void​

Actions to be performed when running and receives an order pending cancel event.

WARNING​

System method (not intended to be called by user code).

on_order_pending_update(self, OrderPendingUpdate event) → void​

Actions to be performed when running and receives an order pending update event.

WARNING​

System method (not intended to be called by user code).

on_order_rejected(self, OrderRejected event) → void​

Actions to be performed when running and receives an order rejected event.

WARNING​

System method (not intended to be called by user code).

on_order_released(self, OrderReleased event) → void​

Actions to be performed when running and receives an order released event.

WARNING​

System method (not intended to be called by user code).

on_order_submitted(self, OrderSubmitted event) → void​

Actions to be performed when running and receives an order submitted event.

WARNING​

System method (not intended to be called by user code).

on_order_triggered(self, OrderTriggered event) → void​

Actions to be performed when running and receives an order triggered event.

WARNING​

System method (not intended to be called by user code).

on_order_updated(self, OrderUpdated event) → void​

Actions to be performed when running and receives an order updated event.

WARNING​

System method (not intended to be called by user code).

on_position_changed(self, PositionChanged event) → void​

Actions to be performed when running and receives a position changed event.

WARNING​

System method (not intended to be called by user code).

on_position_closed(self, PositionClosed event) → void​

Actions to be performed when running and receives a position closed event.

WARNING​

System method (not intended to be called by user code).

on_position_event(self, PositionEvent event) → void​

Actions to be performed when running and receives a position event.

WARNING​

System method (not intended to be called by user code).

on_position_opened(self, PositionOpened event) → void​

Actions to be performed when running and receives a position opened event.

WARNING​

System method (not intended to be called by user code).

on_quote_tick(self, QuoteTick tick) → void​

Actions to be performed when running and receives a quote tick.

  • Parameters: tick (QuoteTick) – The tick received.

WARNING​

System method (not intended to be called by user code).

on_reset(self) → void​

Actions to be performed on reset.

WARNING​

System method (not intended to be called by user code).

Should be overridden in a user implementation.

on_resume(self) → void​

Actions to be performed on resume.

WARNING​

System method (not intended to be called by user code).

on_save(self) → dict​

Actions to be performed when the actor state is saved.

Create and return a state dictionary of values to be saved.

  • Returns: The strategy state dictionary.
  • Return type: dict[str, bytes]

WARNING​

System method (not intended to be called by user code).

on_signal(self, signal) → void​

Actions to be performed when running and receives signal data.

  • Parameters: signal (Data) – The signal received.

WARNING​

System method (not intended to be called by user code).

on_start(self) → void​

Actions to be performed on start.

The intent is that this method is called once per trading ‘run’, when initially starting.

It is recommended to subscribe/request for data here.

WARNING​

System method (not intended to be called by user code).

Should be overridden in a user implementation.

on_stop(self) → void​

Actions to be performed on stop.

The intent is that this method is called to pause, or when done for day.

WARNING​

System method (not intended to be called by user code).

Should be overridden in a user implementation.

on_trade_tick(self, TradeTick tick) → void​

Actions to be performed when running and receives a trade tick.

  • Parameters: tick (TradeTick) – The tick received.

WARNING​

System method (not intended to be called by user code).

pending_requests(self) → set​

Return the request IDs which are currently pending processing.

  • Return type: set[UUID4]

portfolio​

The read-only portfolio for the actor.

  • Returns: PortfolioFacade

portfolio_greeks(self, unicode underlying=u'', Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → PortfolioGreeks​

Calculate the portfolio Greeks for a given set of positions.

This method aggregates the Greeks data for all open positions that match the specified criteria.

  • Parameters:
    • underlying (str , optional) – The underlying asset symbol to filter positions. If provided, only positions with instruments starting with this symbol will be included. Default is an empty string (no filtering).
    • venue (Venue , optional) – The venue to filter positions. If provided, only positions from this venue will be included.
    • instrument_id (InstrumentId , optional) – The instrument ID to filter positions. If provided, only positions for this instrument will be included.
    • strategy_id (StrategyId , optional) – The strategy ID to filter positions. If provided, only positions for this strategy will be included.
    • side (PositionSide , optional) – The position side to filter. If provided, only positions with this side will be included. Default is PositionSide.NO_POSITION_SIDE (no filtering).
  • Returns: The aggregated Greeks data for the portfolio, including delta, gamma, vega, theta.
  • Return type: PortfolioGreeks

publish_data(self, DataType data_type, Data data) → void​

Publish the given data to the message bus.

  • Parameters:
    • data_type (DataType) – The data type being published.
    • data (Data) – The data to publish.

publish_signal(self, unicode name, value, uint64_t ts_event=0) → void​

Publish the given value as a signal to the message bus.

  • Parameters:
    • name (str) – The name of the signal being published. The signal name will be converted to title case, with each word capitalized (e.g., ‘example’ becomes ‘SignalExample’).
    • value (object) – The signal data to publish.
    • ts_event (uint64_t , optional) – UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

queue_for_executor(self, func: Callable[..., Any], tuple args=None, dict kwargs=None)​

Queues the callable func to be executed as fn(*args, **kwargs) sequentially.

  • Parameters:
    • func (Callable) – The function to be executed.
    • args (positional arguments) – The positional arguments for the call to func.
    • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
  • Raises: TypeError – If func is not of type Callable.

queued_task_ids(self) → list​

Return the queued task identifiers.

register(self, TraderId trader_id, PortfolioFacade portfolio, MessageBus msgbus, CacheFacade cache, Clock clock) → void​

Register the execution algorithm with a trader.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the execution algorithm.
    • portfolio (PortfolioFacade) – The read-only portfolio for the execution algorithm.
    • msgbus (MessageBus) – The message bus for the execution algorithm.
    • cache (CacheFacade) – The read-only cache for the execution algorithm.
    • clock (Clock) – The clock for the execution algorithm.

WARNING​

System method (not intended to be called by user code).

register_base(self, PortfolioFacade portfolio, MessageBus msgbus, CacheFacade cache, Clock clock) → void​

Register with a trader.

  • Parameters:
    • portfolio (PortfolioFacade) – The read-only portfolio for the actor.
    • msgbus (MessageBus) – The message bus for the actor.
    • cache (CacheFacade) – The read-only cache for the actor.
    • clock (Clock) – The clock for the actor.

WARNING​

System method (not intended to be called by user code).

register_executor(self, loop: asyncio.AbstractEventLoop, executor: Executor) → void​

Register the given Executor for the actor.

  • Parameters:
    • loop (asyncio.AsbtractEventLoop) – The event loop of the application.
    • executor (concurrent.futures.Executor) – The executor to register.
  • Raises: TypeError – If executor is not of type concurrent.futures.Executor

register_indicator_for_bars(self, BarType bar_type, Indicator indicator) → void​

Register the given indicator with the actor/strategy to receive bar data for the given bar type.

  • Parameters:
    • bar_type (BarType) – The bar type for bar updates.
    • indicator (Indicator) – The indicator to register.

register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator) → void​

Register the given indicator with the actor/strategy to receive quote tick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for tick updates.
    • indicator (Indicator) – The indicator to register.

register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator) → void​

Register the given indicator with the actor/strategy to receive trade tick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for tick updates.
    • indicator (indicator) – The indicator to register.

register_warning_event(self, type event) → void​

Register the given event type for warning log levels.

  • Parameters: event (type) – The event class to register.

registered_indicators​

Return the registered indicators for the strategy.

request_aggregated_bars(self, list bar_types, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool include_external_data=False, bool update_existing_subscriptions=False, bool update_catalog=False) → UUID4​

Request historical aggregated Bar data for multiple bar types. The first bar is used to determine which market data type will be queried. This can either be quotes, trades or bars. If bars are queried, the first bar type needs to have a composite bar that is external (i.e. not internal/aggregated). This external bar type will be queried.

If end is None then will request up to the most recent data.

  • Parameters:
    • bar_types (list [BarType ]) – The list of bar types for the request. Composite bars can also be used and need to figure in the list after a BarType on which it depends.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • include_external_data (bool , default False) – If True, includes the queried external data in the response.
    • update_existing_subscriptions (bool , default False) – If True, updates the aggregators of any existing subscription with the queried external data.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • ValueError – If bar_types is empty.
    • TypeError – If callback is not None and not of type Callable.
    • TypeError – If bar_types is empty or contains elements not of type BarType.

request_bars(self, BarType bar_type, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request historical Bar data.

If end is None then will request up to the most recent data.

  • Parameters:
    • bar_type (BarType) – The bar type for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_data(self, DataType data_type, ClientId client_id, callback: Callable[[UUID4], None] | None = None) → UUID4​

Request custom data for the given data type from the given data client.

  • Parameters:
    • data_type (DataType) – The data type for the request.
    • client_id (ClientId) – The data client ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises: TypeError – If callback is not None and not of type Callable.

request_instrument(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request Instrument data for the given instrument ID.

If end is None then will request up to the most recent data.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_instruments(self, Venue venue, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request all Instrument data for the given venue.

If end is None then will request up to the most recent data.

  • Parameters:
    • venue (Venue) – The venue for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_order_book_snapshot(self, InstrumentId instrument_id, int limit, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None) → UUID4​

Request an order book snapshot.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the order book snapshot request.
    • limit (int , optional) – The limit on the depth of the order book snapshot (default is None).
    • client_id (ClientId , optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If the instrument_id is None.
    • TypeError – If callback is not None and not of type Callable.

request_quote_ticks(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, unicode quote_type=u'', bool update_catalog=False) → UUID4​

Request historical QuoteTick data.

If end is None then will request up to the most recent data.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • quote_type (str , default '') – The specified quote type applicable to certain client implementations.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_trade_ticks(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request historical TradeTick data.

If end is None then will request up to the most recent data.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

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.

run_in_executor(self, func: Callable[..., Any], tuple args=None, dict kwargs=None)​

Schedules the callable func to be executed as fn(*args, **kwargs).

  • Parameters:
    • func (Callable) – The function to be executed.
    • args (positional arguments) – The positional arguments for the call to func.
    • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
  • Returns: The unique task identifier for the execution. This also corresponds to any future objects memory address.
  • Return type: TaskId
  • Raises: TypeError – If func is not of type Callable.

save(self) → dict​

Return the actor/strategy state dictionary to be saved.

Calls on_save.

  • Raises: RuntimeError – If actor/strategy is not registered with a trader.

WARNING​

Exceptions raised will be caught, logged, and reraised.

spawn_limit(self, Order primary, Quantity quantity, Price price, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool post_only=False, bool reduce_only=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, list tags=None, bool reduce_primary=True) → LimitOrder​

Spawn a new LIMIT order from the given primary order.

  • Parameters:
    • primary (Order) – The primary order from which this order will spawn.
    • quantity (Quantity) – The spawned orders quantity (> 0). Must be less than primary.quantity.
    • price (Price) – The spawned orders price.
    • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force.
    • expire_time (datetime , optional) – The spawned order expiration (for GTD orders).
    • post_only (bool , default False) – If the spawned order will only provide liquidity (make a market).
    • reduce_only (bool , default False) – If the spawned order carries the ‘reduce-only’ execution instruction.
    • display_qty (Quantity , optional) – The quantity of the spawned order to display on the public book (iceberg).
    • emulation_trigger (TriggerType, default NO_TRIGGER) – The spawned orders emulation trigger.
    • tags (list *[*str ] , optional) – The custom user tags for the order.
    • reduce_primary (bool , default True) – If the primary order quantity should be reduced by the given quantity.
  • Return type: LimitOrder
  • Raises:
    • ValueError – If primary.exec_algorithm_id is not equal to self.id.
    • ValueError – If quantity is not positive (> 0).
    • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
    • ValueError – If display_qty is negative (< 0) or greater than quantity.

spawn_market(self, Order primary, Quantity quantity, TimeInForce time_in_force=TimeInForce.GTC, bool reduce_only=False, list tags=None, bool reduce_primary=True) → MarketOrder​

Spawn a new MARKET order from the given primary order.

  • Parameters:
    • primary (Order) – The primary order from which this order will spawn.
    • quantity (Quantity) – The spawned orders quantity (> 0).
    • time_in_force (TimeInForce {GTC, IOC, FOK, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force. Often not applicable for market orders.
    • reduce_only (bool , default False) – If the spawned order carries the ‘reduce-only’ execution instruction.
    • tags (list *[*str ] , optional) – The custom user tags for the order.
    • reduce_primary (bool , default True) – If the primary order quantity should be reduced by the given quantity.
  • Return type: MarketOrder
  • Raises:
    • ValueError – If primary.exec_algorithm_id is not equal to self.id.
    • ValueError – If quantity is not positive (> 0).
    • ValueError – If time_in_force is GTD.

spawn_market_to_limit(self, Order primary, Quantity quantity, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool reduce_only=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, list tags=None, bool reduce_primary=True) → MarketToLimitOrder​

Spawn a new MARKET_TO_LIMIT order from the given primary order.

  • Parameters:
    • primary (Order) – The primary order from which this order will spawn.
    • quantity (Quantity) – The spawned orders quantity (> 0). Must be less than primary.quantity.
    • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force.
    • expire_time (datetime , optional) – The spawned order expiration (for GTD orders).
    • reduce_only (bool , default False) – If the spawned order carries the ‘reduce-only’ execution instruction.
    • display_qty (Quantity , optional) – The quantity of the spawned order to display on the public book (iceberg).
    • emulation_trigger (TriggerType, default NO_TRIGGER) – The spawned orders emulation trigger.
    • tags (list *[*str ] , optional) – The custom user tags for the order.
    • reduce_primary (bool , default True) – If the primary order quantity should be reduced by the given quantity.
  • Return type: MarketToLimitOrder
  • Raises:
    • ValueError – If primary.exec_algorithm_id is not equal to self.id.
    • ValueError – If quantity is not positive (> 0).
    • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
    • ValueError – If display_qty is negative (< 0) or greater than quantity.

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.

submit_order(self, Order order) → void​

Submit the given order (may be the primary or spawned order).

A SubmitOrder command will be created and sent to the RiskEngine.

If the client order ID is duplicate, then the order will be denied.

  • Parameters:
    • order (Order) – The order to submit.
    • parent_order_id (ClientOrderId , optional) – The parent client order identifier. If provided then will be considered a child order of the parent.
  • Raises:
    • ValueError – If order.status is not INITIALIZED or RELEASED.
    • ValueError – If order.emulation_trigger is not NO_TRIGGER.

WARNING​

If a position_id is passed and a position does not yet exist, then any position opened by the order will have this position ID assigned. This may not be what you intended.

Emulated orders cannot be sent from execution algorithms (intentionally constraining complexity).

subscribe_bars(self, BarType bar_type, ClientId client_id=None, bool await_partial=False) → void​

Subscribe to streaming Bar data for the given bar type.

  • Parameters:
    • bar_type (BarType) – The bar type to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • await_partial (bool , default False) – If the bar aggregator should await the arrival of a historical partial bar prior to actively aggregating new bars.

subscribe_data(self, DataType data_type, ClientId client_id=None) → void​

Subscribe to data of the given data type.

  • Parameters:
    • data_type (DataType) – The data type to subscribe to.
    • client_id (ClientId , optional) – The data client ID. If supplied then a Subscribe command will be sent to the corresponding data client.

subscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to update Instrument data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to close updates for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to subscribe to status updates for.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to status updates for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to subscribe to status updates for.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instruments(self, Venue venue, ClientId client_id=None) → void​

Subscribe to update Instrument data for the given venue.

  • Parameters:
    • venue (Venue) – The venue for the subscription.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

subscribe_order_book_at_interval(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, int interval_ms=1000, dict kwargs=None, ClientId client_id=None, bool managed=True) → void​

Subscribe to an OrderBook at a specified interval for the given instrument ID.

The DataEngine will only maintain one order book for each instrument. Because of this - the level, depth and kwargs for the stream will be set as per the last subscription request (this will also affect all subscribers).

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • interval_ms (int) – The order book snapshot interval in milliseconds (must be positive).
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
  • Raises:
    • ValueError – If depth is negative (< 0).
    • ValueError – If interval_ms is not positive (> 0).

WARNING​

Consider subscribing to order book deltas if you need intervals less than 100 milliseconds.

subscribe_order_book_deltas(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, dict kwargs=None, ClientId client_id=None, bool managed=True, bool pyo3_conversion=False) → void​

Subscribe to the order book data stream, being a snapshot then deltas for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
    • pyo3_conversion (bool , default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to streaming QuoteTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_signal(self, unicode name=u'') → void​

Subscribe to a specific signal by name, or to all signals if no name is provided.

  • Parameters: name (str , optional) – The name of the signal to subscribe to. If not provided or an empty string is passed, the subscription will include all signals. The signal name is case-insensitive and will be capitalized (e.g., ‘example’ becomes ‘SignalExample*’).

subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to streaming TradeTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

to_importable_config(self) → ImportableExecAlgorithmConfig​

Returns an importable configuration for this execution algorithm.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

unsubscribe_bars(self, BarType bar_type, ClientId client_id=None) → void​

Unsubscribe from streaming Bar data for the given bar type.

  • Parameters:
    • bar_type (BarType) – The bar type to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_data(self, DataType data_type, ClientId client_id=None) → void​

Unsubscribe from data of the given data type.

  • Parameters:
    • data_type (DataType) – The data type to unsubscribe from.
    • client_id (ClientId , optional) – The data client ID. If supplied then an Unsubscribe command will be sent to the data client.

unsubscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe from update Instrument data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe to status updates of the given venue.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to unsubscribe to status updates for.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_instruments(self, Venue venue, ClientId client_id=None) → void​

Unsubscribe from update Instrument data for the given venue.

  • Parameters:
    • venue (Venue) – The venue for the subscription.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_order_book_at_interval(self, InstrumentId instrument_id, int interval_ms=1000, ClientId client_id=None) → void​

Unsubscribe from an OrderBook at a specified interval for the given instrument ID.

The interval must match the previously subscribed interval.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • interval_ms (int) – The order book snapshot interval in milliseconds.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe the order book deltas stream for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe from streaming QuoteTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe from streaming TradeTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

update_synthetic(self, SyntheticInstrument synthetic) → void​

Update the synthetic instrument in the cache.

  • Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to update in the cache.
  • Raises: KeyError – If synthetic does not already exist in the cache.

class ExecutionClient​

Bases: Component

ExecutionClient(ClientId client_id, Venue venue: Venue | None, OmsType oms_type, AccountType account_type, Currency base_currency: Currency | None, MessageBus msgbus, Cache cache, Clock clock, config: NautilusConfig | None = None)

The base class for all execution clients.

  • Parameters:
    • client_id (ClientId) – The client ID.
    • venue (Venue or None) – The client venue. If multi-venue then can be None.
    • oms_type (OmsType) – The venues order management system type.
    • account_type (AccountType) – The account type for the client.
    • base_currency (Currency or None) – The account base currency. Use None for multi-currency accounts.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (Clock) – The clock for the client.
    • config (NautilusConfig , optional) – The configuration for the instance.
  • Raises:
    • ValueError – If client_id is not equal to account_id.get_issuer().
    • ValueError – If oms_type is UNSPECIFIED (must be specified).

WARNING​

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

account_id​

The clients account ID.

  • Returns: AccountId or None

account_type​

The clients account type.

  • Returns: AccountType

base_currency​

The clients account base currency (None for multi-currency accounts).

  • Returns: Currency or None

batch_cancel_orders(self, BatchCancelOrders command) → void​

Batch cancel orders for the instrument ID contained in the given command.

cancel_all_orders(self, CancelAllOrders command) → void​

Cancel all orders for the instrument ID contained in the given command.

cancel_order(self, CancelOrder command) → void​

Cancel the order with the client order ID contained in the given command.

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

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

generate_account_state(self, list balances, list margins, bool reported, uint64_t ts_event, dict info=None) → void​

Generate an AccountState event and publish on the message bus.

  • Parameters:
    • balances (list [AccountBalance ]) – The account balances.
    • margins (list [MarginBalance ]) – The margin balances.
    • reported (bool) – If the balances are reported directly from the exchange.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
    • info (dict *[*str , object ]) – The additional implementation specific account information.

generate_order_accepted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderAccepted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.

generate_order_cancel_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderCancelRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order cancel rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

generate_order_canceled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderCanceled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.

generate_order_expired(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderExpired event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.

generate_order_filled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: PositionId | None, TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event, dict info=None) → void​

Generate an OrderFilled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • trade_id (TradeId) – The trade ID.
    • venue_position_id (PositionId or None) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.
    • order_side (OrderSide {BUY, SELL}) – The execution order side.
    • order_type (OrderType) – The execution order type.
    • last_qty (Quantity) – The fill quantity for this execution.
    • last_px (Price) – The fill price for this execution (not average price).
    • quote_currency (Currency) – The currency of the price.
    • commission (Money) – The fill commission.
    • liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
    • info (dict *[*str , object ] , optional) – The additional fill information.

generate_order_modify_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderModifyRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order update rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, unicode reason, uint64_t ts_event) → void​

Generate an OrderRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • reason (datetime) – The order rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.

generate_order_submitted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, uint64_t ts_event) → void​

Generate an OrderSubmitted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.

generate_order_triggered(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderTriggered event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.

generate_order_updated(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, Quantity quantity, Price price, Price trigger_price, uint64_t ts_event, bool venue_order_id_modified=False) → void​

Generate an OrderUpdated event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • quantity (Quantity) – The orders current quantity.
    • price (Price) – The orders current price.
    • trigger_price (Price or None) – The orders current trigger price.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update event occurred.
    • venue_order_id_modified (bool) – If the ID was modified for this event.

get_account(self) → Account​

Return the account for the client (if registered).

  • Return type: Account or None

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

modify_order(self, ModifyOrder command) → void​

Modify the order with parameters contained in the command.

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

oms_type​

The venues order management system type.

  • Returns: OmsType

query_order(self, QueryOrder command) → void​

Initiate a reconciliation for the queried order which will generate an OrderStatusReport.

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

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.

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.

submit_order(self, SubmitOrder command) → void​

Submit the order contained in the given command for execution.

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

submit_order_list(self, SubmitOrderList command) → void​

Submit the order list contained in the given command for execution.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

venue​

The clients venue ID (if not a routing client).

  • Returns: Venue or None

class OrderEmulator​

Bases: Actor

OrderEmulator(PortfolioFacade portfolio, MessageBus msgbus, Cache cache, Clock clock, config: OrderEmulatorConfig | None = None)

Provides order emulation for specified trigger types.

  • Parameters:
    • portfolio (PortfolioFacade) – The read-only portfolio for the order emulator.
    • msgbus (MessageBus) – The message bus for the order emulator.
    • cache (Cache) – The cache for the order emulator.
    • clock (Clock) – The clock for the order emulator.
    • config (OrderEmulatorConfig , optional) – The configuration for the order emulator.

active_task_ids(self) → list​

Return the active task identifiers.

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

command_count​

The total count of commands received by the emulator.

  • Returns: int

config​

The actors configuration.

  • Returns: NautilusConfig

create_matching_core(self, InstrumentId instrument_id, Price price_increment) → MatchingCore​

Create an internal matching core for the given instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the matching core.
    • price_increment (Price) – The minimum price increment (tick size) for the matching core.
  • Return type: MatchingCore
  • Raises: KeyError – If a matching core for the given instrument_id already exists.

debug​

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

  • Returns: bool

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.

event_count​

The total count of events received by the emulator.

  • Returns: int

execute(self, TradingCommand command) → void​

Execute the given command.

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

get_matching_core(self, InstrumentId instrument_id) → MatchingCore | None​

Return the emulators matching core for the given instrument ID.

  • Return type: MatchingCore or None

get_submit_order_commands(self) → dict[ClientOrderId, SubmitOrder]​

Return the emulators cached submit order commands.

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.

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.

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_signal(self, Data signal) → void​

Handle the given signal.

If state is RUNNING then passes to on_signal.

  • Parameters: signal (Data) – The signal 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​

on_event(self, Event event) → void​

Handle the given event.

  • Parameters: event (Event) – The received event to handle.

on_fault(self) → void​

Actions to be performed on fault.

Cleanup any resources used by the actor here.

WARNING​

System method (not intended to be called by user code).

Should be overridden in the actor implementation.

on_historical_data(self, data) → void​

Actions to be performed when running and receives historical data.

  • Parameters: data (Data) – The historical data received.

WARNING​

System method (not intended to be called by user code).

on_instrument(self, Instrument instrument) → void​

Actions to be performed when running and receives an instrument.

  • Parameters: instrument (Instrument) – The instrument received.

WARNING​

System method (not intended to be called by user code).

on_instrument_close(self, InstrumentClose update) → void​

Actions to be performed when running and receives an instrument close update.

WARNING​

System method (not intended to be called by user code).

on_instrument_status(self, InstrumentStatus data) → void​

Actions to be performed when running and receives an instrument status update.

  • Parameters: data (InstrumentStatus) – The instrument status update received.

WARNING​

System method (not intended to be called by user code).

on_load(self, dict state) → void​

Actions to be performed when the actor state is loaded.

Saved state values will be contained in the give state dictionary.

WARNING​

System method (not intended to be called by user code).

on_order_book(self, OrderBook order_book) → void​

Actions to be performed when running and receives an order book.

  • Parameters: order_book (OrderBook) – The order book received.

WARNING​

System method (not intended to be called by user code).

on_order_book_deltas(self, deltas) → void​

on_quote_tick(self, QuoteTick tick) → void​

on_reset(self) → void​

on_resume(self) → void​

Actions to be performed on resume.

WARNING​

System method (not intended to be called by user code).

on_save(self) → dict​

Actions to be performed when the actor state is saved.

Create and return a state dictionary of values to be saved.

  • Returns: The strategy state dictionary.
  • Return type: dict[str, bytes]

WARNING​

System method (not intended to be called by user code).

on_signal(self, signal) → void​

Actions to be performed when running and receives signal data.

  • Parameters: signal (Data) – The signal received.

WARNING​

System method (not intended to be called by user code).

on_start(self) → void​

on_stop(self) → void​

on_trade_tick(self, TradeTick tick) → void​

pending_requests(self) → set​

Return the request IDs which are currently pending processing.

  • Return type: set[UUID4]

portfolio​

The read-only portfolio for the actor.

  • Returns: PortfolioFacade

portfolio_greeks(self, unicode underlying=u'', Venue venue=None, InstrumentId instrument_id=None, StrategyId strategy_id=None, PositionSide side=PositionSide.NO_POSITION_SIDE) → PortfolioGreeks​

Calculate the portfolio Greeks for a given set of positions.

This method aggregates the Greeks data for all open positions that match the specified criteria.

  • Parameters:
    • underlying (str , optional) – The underlying asset symbol to filter positions. If provided, only positions with instruments starting with this symbol will be included. Default is an empty string (no filtering).
    • venue (Venue , optional) – The venue to filter positions. If provided, only positions from this venue will be included.
    • instrument_id (InstrumentId , optional) – The instrument ID to filter positions. If provided, only positions for this instrument will be included.
    • strategy_id (StrategyId , optional) – The strategy ID to filter positions. If provided, only positions for this strategy will be included.
    • side (PositionSide , optional) – The position side to filter. If provided, only positions with this side will be included. Default is PositionSide.NO_POSITION_SIDE (no filtering).
  • Returns: The aggregated Greeks data for the portfolio, including delta, gamma, vega, theta.
  • Return type: PortfolioGreeks

publish_data(self, DataType data_type, Data data) → void​

Publish the given data to the message bus.

  • Parameters:
    • data_type (DataType) – The data type being published.
    • data (Data) – The data to publish.

publish_signal(self, unicode name, value, uint64_t ts_event=0) → void​

Publish the given value as a signal to the message bus.

  • Parameters:
    • name (str) – The name of the signal being published. The signal name will be converted to title case, with each word capitalized (e.g., ‘example’ becomes ‘SignalExample’).
    • value (object) – The signal data to publish.
    • ts_event (uint64_t , optional) – UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

queue_for_executor(self, func: Callable[..., Any], tuple args=None, dict kwargs=None)​

Queues the callable func to be executed as fn(*args, **kwargs) sequentially.

  • Parameters:
    • func (Callable) – The function to be executed.
    • args (positional arguments) – The positional arguments for the call to func.
    • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
  • Raises: TypeError – If func is not of type Callable.

queued_task_ids(self) → list​

Return the queued task identifiers.

register_base(self, PortfolioFacade portfolio, MessageBus msgbus, CacheFacade cache, Clock clock) → void​

Register with a trader.

  • Parameters:
    • portfolio (PortfolioFacade) – The read-only portfolio for the actor.
    • msgbus (MessageBus) – The message bus for the actor.
    • cache (CacheFacade) – The read-only cache for the actor.
    • clock (Clock) – The clock for the actor.

WARNING​

System method (not intended to be called by user code).

register_executor(self, loop: asyncio.AbstractEventLoop, executor: Executor) → void​

Register the given Executor for the actor.

  • Parameters:
    • loop (asyncio.AsbtractEventLoop) – The event loop of the application.
    • executor (concurrent.futures.Executor) – The executor to register.
  • Raises: TypeError – If executor is not of type concurrent.futures.Executor

register_indicator_for_bars(self, BarType bar_type, Indicator indicator) → void​

Register the given indicator with the actor/strategy to receive bar data for the given bar type.

  • Parameters:
    • bar_type (BarType) – The bar type for bar updates.
    • indicator (Indicator) – The indicator to register.

register_indicator_for_quote_ticks(self, InstrumentId instrument_id, Indicator indicator) → void​

Register the given indicator with the actor/strategy to receive quote tick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for tick updates.
    • indicator (Indicator) – The indicator to register.

register_indicator_for_trade_ticks(self, InstrumentId instrument_id, Indicator indicator) → void​

Register the given indicator with the actor/strategy to receive trade tick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for tick updates.
    • indicator (indicator) – The indicator to register.

register_warning_event(self, type event) → void​

Register the given event type for warning log levels.

  • Parameters: event (type) – The event class to register.

registered_indicators​

Return the registered indicators for the strategy.

request_aggregated_bars(self, list bar_types, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool include_external_data=False, bool update_existing_subscriptions=False, bool update_catalog=False) → UUID4​

Request historical aggregated Bar data for multiple bar types. The first bar is used to determine which market data type will be queried. This can either be quotes, trades or bars. If bars are queried, the first bar type needs to have a composite bar that is external (i.e. not internal/aggregated). This external bar type will be queried.

If end is None then will request up to the most recent data.

  • Parameters:
    • bar_types (list [BarType ]) – The list of bar types for the request. Composite bars can also be used and need to figure in the list after a BarType on which it depends.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • include_external_data (bool , default False) – If True, includes the queried external data in the response.
    • update_existing_subscriptions (bool , default False) – If True, updates the aggregators of any existing subscription with the queried external data.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • ValueError – If bar_types is empty.
    • TypeError – If callback is not None and not of type Callable.
    • TypeError – If bar_types is empty or contains elements not of type BarType.

request_bars(self, BarType bar_type, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request historical Bar data.

If end is None then will request up to the most recent data.

  • Parameters:
    • bar_type (BarType) – The bar type for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_data(self, DataType data_type, ClientId client_id, callback: Callable[[UUID4], None] | None = None) → UUID4​

Request custom data for the given data type from the given data client.

  • Parameters:
    • data_type (DataType) – The data type for the request.
    • client_id (ClientId) – The data client ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises: TypeError – If callback is not None and not of type Callable.

request_instrument(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request Instrument data for the given instrument ID.

If end is None then will request up to the most recent data.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_instruments(self, Venue venue, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request all Instrument data for the given venue.

If end is None then will request up to the most recent data.

  • Parameters:
    • venue (Venue) – The venue for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_order_book_snapshot(self, InstrumentId instrument_id, int limit, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None) → UUID4​

Request an order book snapshot.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the order book snapshot request.
    • limit (int , optional) – The limit on the depth of the order book snapshot (default is None).
    • client_id (ClientId , optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If the instrument_id is None.
    • TypeError – If callback is not None and not of type Callable.

request_quote_ticks(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, unicode quote_type=u'', bool update_catalog=False) → UUID4​

Request historical QuoteTick data.

If end is None then will request up to the most recent data.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • quote_type (str , default '') – The specified quote type applicable to certain client implementations.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_trade_ticks(self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False) → UUID4​

Request historical TradeTick data.

If end is None then will request up to the most recent data.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range (inclusive).
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog (bool , default False) – If True then updates the catalog with new data received from a client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

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.

run_in_executor(self, func: Callable[..., Any], tuple args=None, dict kwargs=None)​

Schedules the callable func to be executed as fn(*args, **kwargs).

  • Parameters:
    • func (Callable) – The function to be executed.
    • args (positional arguments) – The positional arguments for the call to func.
    • kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.
  • Returns: The unique task identifier for the execution. This also corresponds to any future objects memory address.
  • Return type: TaskId
  • Raises: TypeError – If func is not of type Callable.

save(self) → dict​

Return the actor/strategy state dictionary to be saved.

Calls on_save.

  • Raises: RuntimeError – If actor/strategy is not registered with a trader.

WARNING​

Exceptions raised will be caught, logged, and reraised.

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_bars(self, BarType bar_type, ClientId client_id=None, bool await_partial=False) → void​

Subscribe to streaming Bar data for the given bar type.

  • Parameters:
    • bar_type (BarType) – The bar type to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • await_partial (bool , default False) – If the bar aggregator should await the arrival of a historical partial bar prior to actively aggregating new bars.

subscribe_data(self, DataType data_type, ClientId client_id=None) → void​

Subscribe to data of the given data type.

  • Parameters:
    • data_type (DataType) – The data type to subscribe to.
    • client_id (ClientId , optional) – The data client ID. If supplied then a Subscribe command will be sent to the corresponding data client.

subscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to update Instrument data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the subscription.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to close updates for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to subscribe to status updates for.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to status updates for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to subscribe to status updates for.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instruments(self, Venue venue, ClientId client_id=None) → void​

Subscribe to update Instrument data for the given venue.

  • Parameters:
    • venue (Venue) – The venue for the subscription.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

subscribe_order_book_at_interval(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, int interval_ms=1000, dict kwargs=None, ClientId client_id=None, bool managed=True) → void​

Subscribe to an OrderBook at a specified interval for the given instrument ID.

The DataEngine will only maintain one order book for each instrument. Because of this - the level, depth and kwargs for the stream will be set as per the last subscription request (this will also affect all subscribers).

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • interval_ms (int) – The order book snapshot interval in milliseconds (must be positive).
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
  • Raises:
    • ValueError – If depth is negative (< 0).
    • ValueError – If interval_ms is not positive (> 0).

WARNING​

Consider subscribing to order book deltas if you need intervals less than 100 milliseconds.

subscribe_order_book_deltas(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, dict kwargs=None, ClientId client_id=None, bool managed=True, bool pyo3_conversion=False) → void​

Subscribe to the order book data stream, being a snapshot then deltas for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument ID to subscribe to.
    • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
    • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
    • kwargs (dict , optional) – The keyword arguments for exchange specific parameters.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
    • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
    • pyo3_conversion (bool , default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to streaming QuoteTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_signal(self, unicode name=u'') → void​

Subscribe to a specific signal by name, or to all signals if no name is provided.

  • Parameters: name (str , optional) – The name of the signal to subscribe to. If not provided or an empty string is passed, the subscription will include all signals. The signal name is case-insensitive and will be capitalized (e.g., ‘example’ becomes ‘SignalExample*’).

subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Subscribe to streaming TradeTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribed_quotes​

list[InstrumentId]

Return the subscribed quote feeds for the emulator.

  • Return type: list[InstrumentId]
  • Type: OrderEmulator.subscribed_quotes

subscribed_trades​

list[InstrumentId]

Return the subscribed trade feeds for the emulator.

  • Return type: list[InstrumentId]
  • Type: OrderEmulator.subscribed_trades

to_importable_config(self) → ImportableActorConfig​

Returns an importable configuration for this actor.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

unsubscribe_bars(self, BarType bar_type, ClientId client_id=None) → void​

Unsubscribe from streaming Bar data for the given bar type.

  • Parameters:
    • bar_type (BarType) – The bar type to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_data(self, DataType data_type, ClientId client_id=None) → void​

Unsubscribe from data of the given data type.

  • Parameters:
    • data_type (DataType) – The data type to unsubscribe from.
    • client_id (ClientId , optional) – The data client ID. If supplied then an Unsubscribe command will be sent to the data client.

unsubscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe from update Instrument data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe to status updates of the given venue.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument to unsubscribe to status updates for.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_instruments(self, Venue venue, ClientId client_id=None) → void​

Unsubscribe from update Instrument data for the given venue.

  • Parameters:
    • venue (Venue) – The venue for the subscription.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_order_book_at_interval(self, InstrumentId instrument_id, int interval_ms=1000, ClientId client_id=None) → void​

Unsubscribe from an OrderBook at a specified interval for the given instrument ID.

The interval must match the previously subscribed interval.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • interval_ms (int) – The order book snapshot interval in milliseconds.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe the order book deltas stream for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The order book instrument to subscribe to.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe from streaming QuoteTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None) → void​

Unsubscribe from streaming TradeTick data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID to unsubscribe from.
    • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

update_synthetic(self, SyntheticInstrument synthetic) → void​

Update the synthetic instrument in the cache.

  • Parameters: synthetic (SyntheticInstrument) – The synthetic instrument to update in the cache.
  • Raises: KeyError – If synthetic does not already exist in the cache.

The ExecutionEngine is the central component of the entire execution stack.

The execution engines primary responsibility is to orchestrate interactions between the ExecutionClient instances, and the rest of the platform. This includes sending commands to, and receiving events from, the trading venue endpoints via its registered execution clients.

The engine employs a simple fan-in fan-out messaging pattern to execute TradingCommand messages, and process AccountState or OrderEvent type messages.

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

class ExecutionEngine​

Bases: Component

ExecutionEngine(MessageBus msgbus, Cache cache, Clock clock, config: ExecEngineConfig | None = None) -> None

Provides a high-performance execution engine for the management of many ExecutionClient instances, and the asynchronous ingest and distribution of trading commands and events.

  • Parameters:
    • msgbus (MessageBus) – The message bus for the engine.
    • cache (Cache) – The cache for the engine.
    • clock (Clock) – The clock for the engine.
    • config (ExecEngineConfig , optional) – The configuration for the instance.
  • Raises: TypeError – If config is not of type ExecEngineConfig.

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

check_integrity(self) → bool​

Check integrity of data within the cache and clients.

  • Returns: True if checks pass, else False.
  • Return type: bool

check_residuals(self) → bool​

Check for any residual open state and log warnings if found.

‘Open state’ is considered to be open orders and open positions.

  • Returns: True if residuals exist, else False.
  • Return type: bool

command_count​

The total count of commands received by the engine.

  • Returns: int

connect(self) → None​

Connect the engine by calling connect on all registered clients.

debug​

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

  • Returns: bool

default_client​

ClientId | None

Return the default execution client registered with the engine.

  • Return type: ClientId or None
  • Type: ExecutionEngine.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, ExecutionClient client) → void​

Deregister the given execution client from the execution engine.

  • Parameters: client (ExecutionClient) – The execution client to deregister.
  • Raises: ValueError – If client is not registered with the execution engine.

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.

event_count​

The total count of events received by the engine.

  • Returns: int

execute(self, TradingCommand command) → void​

Execute the given command.

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.

flush_db(self) → void​

Flush the execution database which permanently removes all persisted data.

WARNING​

Permanent data loss.

classmethod fully_qualified_name(cls) → str​

Return the fully qualified name for the components class.

  • Return type: str

get_external_order_claim(self, InstrumentId instrument_id) → StrategyId​

Get any external order claim for the given instrument ID.

  • Parameters: instrument_id (InstrumentId) – The instrument ID for the claim.
  • Return type: StrategyId or None

get_external_order_claims_instruments(self) → set​

Get all external order claims instrument IDs.

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

load_cache(self) → void​

Load the cache up from the execution database.

position_id_count(self, StrategyId strategy_id) → int​

The position ID count for the given strategy ID.

  • Parameters: strategy_id (StrategyId) – The strategy ID for the position count.
  • Return type: int

process(self, OrderEvent event) → void​

Process the given order event.

  • Parameters: event (OrderEvent) – The order event to process.

reconcile_mass_status(self, report: ExecutionMassStatus) → None​

Reconcile the given execution mass status report.

reconcile_report(self, report: ExecutionReport) → bool​

Check the given execution report.

  • Parameters: report (ExecutionReport) – The execution report to check.
  • Returns: True if reconciliation successful, else False.
  • Return type: bool

async reconcile_state(self, double timeout_secs: float = 10.0) → bool​

Reconcile the internal execution state with all execution clients (external state).

  • Parameters: timeout_secs (double , default 10.0) – The timeout (seconds) for reconciliation to complete.
  • Returns: True if states reconcile within timeout, else False.
  • Return type: bool
  • Raises: ValueError – If timeout_secs is not positive (> 0).

reconciliation​

bool

Return whether the reconciliation process will be run on start.

  • Return type: bool
  • Type: ExecutionEngine.reconciliation

register_client(self, ExecutionClient client) → void​

Register the given execution client with the execution engine.

If the client.venue is None and a default routing client has not been previously registered then will be registered as such.

  • Parameters: client (ExecutionClient) – The execution client to register.
  • Raises: ValueError – If client is already registered with the execution engine.

register_default_client(self, ExecutionClient 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.

register_external_order_claims(self, Strategy strategy) → void​

Register the given strategies external order claim instrument IDs (if any)

  • Parameters: strategy (Strategy) – The strategy for the registration.
  • Raises: InvalidConfiguration – If a strategy is already registered to claim external orders for an instrument ID.

register_oms_type(self, Strategy strategy) → void​

Register the given trading strategies OMS (Order Management System) type.

  • Parameters: strategy (Strategy) – The strategy for the registration.

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

Register the given client to route orders 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 orders to.
    • client (ExecutionClient) – The client for the venue routing.

registered_clients​

list[ClientId]

Return the execution clients registered with the engine.

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

report_count​

‘int’ The total count of reports received by the engine.

  • Returns: int
  • Type: report_count

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.

snapshot_orders​

If order state snapshots should be persisted.

  • Returns: bool

snapshot_positions​

If position state snapshots should be persisted.

  • Returns: bool

snapshot_positions_interval_secs​

The interval (seconds) at which additional position state snapshots are persisted.

  • Returns: double

snapshot_positions_timer_name​

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.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

class OrderManager​

Bases: object

OrderManager(Clock clock, MessageBus msgbus, Cache cache, unicode component_name, bool active_local, submit_order_handler: Callable[[SubmitOrder], None] = None, cancel_order_handler: Callable[[Order], None] = None, modify_order_handler: Callable[[Order, Quantity], None] = None, bool debug=False)

Provides a generic order execution manager.

  • Parameters:
    • clock (Clock) – The clock for the order manager.
    • msgbus (MessageBus) – The message bus for the order manager.
    • cache (Cache) – The cache for the order manager.
    • component_name (str) – The component name for the order manager.
    • active_local (str) – If the manager is for active local orders.
    • submit_order_handler (Callable [ [SubmitOrder ] , None ] , optional) – The handler to call when submitting orders.
    • cancel_order_handler (Callable [ [Order ] , None ] , optional) – The handler to call when canceling orders.
    • modify_order_handler (Callable [ [Order , Quantity ] , None ] , optional) – The handler to call when modifying orders (limited to modifying quantity).
    • debug (bool , default False) – If debug mode is active (will provide extra debug logging).
  • Raises:
    • TypeError – If submit_order_handler is not None and not of type Callable.
    • TypeError – If cancel_order_handler is not None and not of type Callable.
    • TypeError – If modify_order_handler is not None and not of type Callable.

active_local​

cache_submit_order_command(self, SubmitOrder command) → void​

Cache the given submit order command with the manager.

  • Parameters: command (SubmitOrder) – The submit order command to cache.

cancel_order(self, Order order) → void​

Cancel the given order with the manager.

  • Parameters: order (Order) – The order to cancel.

create_new_submit_order(self, Order order, PositionId position_id=None, ClientId client_id=None) → void​

Create a new submit order command for the given order.

  • Parameters:
    • order (Order) – The order for the command.
    • position_id (PositionId , optional) – The position ID for the command.
    • client_id (ClientId , optional) – The client ID for the command.

debug​

get_submit_order_commands(self) → dict​

Return the managers cached submit order commands.

handle_contingencies(self, Order order) → void​

handle_contingencies_update(self, Order order) → void​

handle_event(self, Event event) → void​

Handle the given event.

If a handler for the given event is not implemented then this will simply be a no-op.

  • Parameters: event (Event) – The event to handle

handle_order_canceled(self, OrderCanceled canceled) → void​

handle_order_expired(self, OrderExpired expired) → void​

handle_order_filled(self, OrderFilled filled) → void​

handle_order_rejected(self, OrderRejected rejected) → void​

handle_order_updated(self, OrderUpdated updated) → void​

handle_position_event(self, PositionEvent event) → void​

modify_order_quantity(self, Order order, Quantity new_quantity) → void​

Modify the given order with the manager.

  • Parameters: order (Order) – The order to modify.

pop_submit_order_command(self, ClientOrderId client_order_id) → SubmitOrder​

Pop the submit order command for the given client_order_id out of the managers cache (if found).

  • Parameters: client_order_id (ClientOrderId) – The client order ID for the command to pop.
  • Return type: SubmitOrder or None

reset(self) → void​

Reset the manager, clearing all stateful values.

send_algo_command(self, TradingCommand command, ExecAlgorithmId exec_algorithm_id) → void​

send_emulator_command(self, TradingCommand command) → void​

send_exec_command(self, TradingCommand command) → void​

send_exec_event(self, OrderEvent event) → void​

send_risk_command(self, TradingCommand command) → void​

send_risk_event(self, OrderEvent event) → void​

should_manage_order(self, Order order) → bool​

Check if the given order should be managed.

  • Parameters: order (Order) – The order to check.
  • Returns: True if the order should be managed, else False.
  • Return type: bool

class MatchingCore​

Bases: object

MatchingCore(InstrumentId instrument_id, Price price_increment, trigger_stop_order: Callable, fill_market_order: Callable, fill_limit_order: Callable)

Provides a generic order matching core.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the matching core.
    • price_increment (Price) – The minimum price increment (tick size) for the matching core.
    • trigger_stop_order (Callable [ [Order ] , None ]) – The callable when a stop order is triggered.
    • fill_market_order (Callable [ [Order ] , None ]) – The callable when a market order is filled.
    • fill_limit_order (Callable [ [Order ] , None ]) – The callable when a limit order is filled.

add_order(self, Order order) → void​

ask​

Price | None

Return the current ask price for the matching core.

  • Return type: Price or None
  • Type: MatchingCore.ask

ask_raw​

bid​

Price | None

Return the current bid price for the matching core.

  • Return type: Price or None
  • Type: MatchingCore.bid

bid_raw​

delete_order(self, Order order) → void​

get_order(self, ClientOrderId client_order_id) → Order​

get_orders(self) → list​

get_orders_ask(self) → list​

get_orders_bid(self) → list​

instrument_id​

InstrumentId

Return the instrument ID for the matching core.

  • Return type: InstrumentId
  • Type: MatchingCore.instrument_id

is_ask_initialized​

is_bid_initialized​

is_last_initialized​

is_limit_matched(self, OrderSide side, Price price) → bool​

is_stop_triggered(self, OrderSide side, Price trigger_price) → bool​

is_touch_triggered(self, OrderSide side, Price trigger_price) → bool​

iterate(self, uint64_t timestamp_ns) → void​

last​

Price | None

Return the current last price for the matching core.

  • Return type: Price or None
  • Type: MatchingCore.last

last_raw​

match_limit_if_touched_order(self, Order order, bool initial) → void​

match_limit_order(self, Order order) → void​

match_market_if_touched_order(self, Order order) → void​

match_order(self, Order order, bool initial=False) → void​

Match the given order.

  • Parameters:
    • order (Order) – The order to match.
    • initial (bool , default False) – If this is an initial match.
  • Raises: TypeError – If the order.order_type is an invalid type for the core (e.g. MARKET).

match_stop_limit_order(self, Order order, bool initial) → void​

match_stop_market_order(self, Order order) → void​

order_exists(self, ClientOrderId client_order_id) → bool​

price_increment​

Price

Return the instruments minimum price increment (tick size) for the matching core.

  • Return type: Price
  • Type: MatchingCore.price_increment

price_precision​

int

Return the instruments price precision for the matching core.

  • Return type: int
  • Type: MatchingCore.price_precision

reset(self) → void​

Messages​

class BatchCancelOrders​

Bases: TradingCommand

BatchCancelOrders(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, list cancels, UUID4 command_id, uint64_t ts_init, ClientId client_id=None)

Represents a command to batch cancel orders working on a venue for an instrument.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • instrument_id (InstrumentId) – The instrument ID for the command.
    • cancels (list [CancelOrder ]) – The inner list of cancel order commands.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • client_id (ClientId , optional) – The execution client ID for the command.
  • Raises:
    • ValueError – If cancels is empty.
    • ValueError – If cancels contains a type other than CancelOrder.

cancels​

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

static from_dict(dict values) → BatchCancelOrders​

Return a batch cancel order command from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: BatchCancelOrders

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

static to_dict(BatchCancelOrders obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class CancelAllOrders​

Bases: TradingCommand

CancelAllOrders(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, OrderSide order_side, UUID4 command_id, uint64_t ts_init, ClientId client_id=None)

Represents a command to cancel all orders for an instrument.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • instrument_id (InstrumentId) – The instrument ID for the command.
    • order_side (OrderSide) – The order side for the command.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • client_id (ClientId , optional) – The execution client ID for the command.

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

static from_dict(dict values) → CancelAllOrders​

Return a cancel order command from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: CancelAllOrders

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

order_side​

The order side for the command.

  • Returns: OrderSide

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

static to_dict(CancelAllOrders obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class CancelOrder​

Bases: TradingCommand

CancelOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, UUID4 command_id, uint64_t ts_init, ClientId client_id=None)

Represents a command to cancel an order.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • instrument_id (InstrumentId) – The instrument ID for the command.
    • client_order_id (ClientOrderId) – The client order ID to cancel.
    • venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to cancel.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • client_id (ClientId , optional) – The execution client ID for the command.

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

client_order_id​

The client order ID associated with the command.

  • Returns: ClientOrderId

static from_dict(dict values) → CancelOrder​

Return a cancel order command from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: CancelOrder

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

static to_dict(CancelOrder obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue_order_id​

The venue order ID associated with the command.

  • Returns: VenueOrderId or None

class ModifyOrder​

Bases: TradingCommand

ModifyOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, Quantity quantity: Quantity | None, Price price: Price | None, Price trigger_price: Price | None, UUID4 command_id, uint64_t ts_init, ClientId client_id=None)

Represents a command to modify the properties of an existing order.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • instrument_id (InstrumentId) – The instrument ID for the command.
    • client_order_id (ClientOrderId) – The client order ID to update.
    • venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to update.
    • quantity (Quantity or None) – The quantity for the order update.
    • price (Price or None) – The price for the order update.
    • trigger_price (Price or None) – The trigger price for the order update.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • client_id (ClientId , optional) – The execution client ID for the command.

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

client_order_id​

The client order ID associated with the command.

  • Returns: ClientOrderId

static from_dict(dict values) → ModifyOrder​

Return a modify order command from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: ModifyOrder

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

price​

The updated price for the command.

  • Returns: Price or None

quantity​

The updated quantity for the command.

  • Returns: Quantity or None

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

static to_dict(ModifyOrder obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

trigger_price​

The updated trigger price for the command.

  • Returns: Price or None

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue_order_id​

The venue order ID associated with the command.

  • Returns: VenueOrderId or None

class QueryOrder​

Bases: TradingCommand

QueryOrder(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, UUID4 command_id, uint64_t ts_init, ClientId client_id=None)

Represents a command to query an order.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • instrument_id (InstrumentId) – The instrument ID for the command.
    • client_order_id (ClientOrderId) – The client order ID for the order to query.
    • venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to query.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • client_id (ClientId , optional) – The execution client ID for the command.

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

client_order_id​

The client order ID for the order to query.

  • Returns: ClientOrderId

static from_dict(dict values) → QueryOrder​

Return a query order command from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: QueryOrder

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

static to_dict(QueryOrder obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

venue_order_id​

The venue order ID for the order to query.

  • Returns: VenueOrderId or None

class SubmitOrder​

Bases: TradingCommand

SubmitOrder(TraderId trader_id, StrategyId strategy_id, Order order, UUID4 command_id, uint64_t ts_init, PositionId position_id: PositionId | None = None, ClientId client_id=None)

Represents a command to submit the given order.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • order (Order) – The order to submit.
    • command_id (UUID4) – The commands ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • position_id (PositionId , optional) – The position ID for the command.
    • client_id (ClientId , optional) – The execution client ID for the command.

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

exec_algorithm_id​

The execution algorithm ID for the order.

  • Returns: ExecAlgorithmId or None

static from_dict(dict values) → SubmitOrder​

Return a submit order command from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: SubmitOrder

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

order​

The order to submit.

  • Returns: Order

position_id​

The position ID to associate with the order.

  • Returns: PositionId or None

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

static to_dict(SubmitOrder obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class SubmitOrderList​

Bases: TradingCommand

SubmitOrderList(TraderId trader_id, StrategyId strategy_id, OrderList order_list, UUID4 command_id, uint64_t ts_init, PositionId position_id: PositionId | None = None, ClientId client_id=None)

Represents a command to submit an order list consisting of an order batch/bulk of related parent-child contingent orders.

This command can correspond to a NewOrderList message for the FIX protocol.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • order_list (OrderList) – The order list to submit.
    • command_id (UUID4) – The command ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
    • position_id (PositionId , optional) – The position ID for the command.
    • client_id (ClientId , optional) – The execution client ID for the command.

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

exec_algorithm_id​

The execution algorithm ID for the order list.

  • Returns: ExecAlgorithmId or None

static from_dict(dict values) → SubmitOrderList​

Return a submit order list command from the given dict values.

  • Parameters: values (dict *[*str , object ]) – The values for initialization.
  • Return type: SubmitOrderList

has_emulated_order​

If the contained order_list holds at least one emulated order.

  • Returns: bool

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

order_list​

The order list to submit.

  • Returns: OrderList

position_id​

The position ID to associate with the orders.

  • Returns: PositionId or None

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

static to_dict(SubmitOrderList obj)​

Return a dictionary representation of this object.

  • Return type: dict[str, object]

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class TradingCommand​

Bases: Command

TradingCommand(ClientId client_id: ClientId | None, TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, UUID4 command_id, uint64_t ts_init)

The base class for all trading related commands.

  • Parameters:
    • client_id (ClientId or None) – The execution client ID for the command.
    • trader_id (TraderId) – The trader ID for the command.
    • strategy_id (StrategyId) – The strategy ID for the command.
    • instrument_id (InstrumentId) – The instrument ID for the command.
    • command_id (UUID4) – The commands ID.
    • ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

WARNING​

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

client_id​

The execution client ID for the command.

  • Returns: ClientId or None

id​

The command message ID.

  • Returns: UUID4

instrument_id​

The instrument ID associated with the command.

  • Returns: InstrumentId

strategy_id​

The strategy ID associated with the command.

  • Returns: StrategyId

trader_id​

The trader ID associated with the command.

  • Returns: TraderId

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

Reports​

class ExecutionReport​

Bases: Document

The base class for all execution reports.

id​

The document message ID.

  • Returns: UUID4

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class OrderStatusReport​

Bases: ExecutionReport

Represents an order status at a point in time.

  • Parameters:
    • account_id (AccountId) – The account ID for the report.
    • instrument_id (InstrumentId) – The instrument ID for the report.
    • venue_order_id (VenueOrderId) – The reported order ID (assigned by the venue).
    • order_side (OrderSide {BUY, SELL}) – The reported order side.
    • order_type (OrderType) – The reported order type.
    • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}) – The reported order time in force.
    • order_status (OrderStatus) – The reported order status at the exchange.
    • quantity (Quantity) – The reported order original quantity.
    • filled_qty (Quantity) – The reported filled quantity at the exchange.
    • report_id (UUID4) – The report ID.
    • ts_accepted (int) – UNIX timestamp (nanoseconds) when the reported order was accepted.
    • ts_last (int) – UNIX timestamp (nanoseconds) of the last order status change.
    • ts_init (int) – UNIX timestamp (nanoseconds) when the object was initialized.
    • client_order_id (ClientOrderId , optional) – The reported client order ID.
    • order_list_id (OrderListId , optional) – The reported order list ID associated with the order.
    • contingency_type (ContingencyType, default NO_CONTINGENCY) – The reported order contingency type.
    • expire_time (datetime , optional) – The order expiration.
    • price (Price , optional) – The reported order price (LIMIT).
    • trigger_price (Price , optional) – The reported order trigger price (STOP).
    • trigger_type (TriggerType, default NO_TRIGGER) – The reported order trigger type.
    • limit_offset (Decimal , optional) – The trailing offset for the order price (LIMIT).
    • trailing_offset (Decimal , optional) – The trailing offset for the trigger price (STOP).
    • trailing_offset_type (TrailingOffsetType, default NO_TRAILING_OFFSET) – The order trailing offset type.
    • avg_px (Decimal , optional) – The reported order average fill price.
    • display_qty (Quantity , optional) – The reported order quantity displayed on the public book (iceberg).
    • post_only (bool , default False) – If the reported order will only provide liquidity (make a market).
    • reduce_only (bool , default False) – If the reported order carries the ‘reduce-only’ execution instruction.
    • cancel_reason (str , optional) – The reported reason for order cancellation.
    • ts_triggered (int , optional) – UNIX timestamp (nanoseconds) when the object was initialized.
  • Raises:
    • ValueError – If quantity is not positive (> 0).
    • ValueError – If filled_qty is negative (< 0).
    • ValueError – If trigger_price is not None and trigger_price is equal to NO_TRIGGER.
    • ValueError – If limit_offset or trailing_offset is not None and trailing_offset_type is equal to NO_TRAILING_OFFSET.

property is_open : bool​

Return whether the reported order status is ‘open’.

  • Return type: bool

id​

The document message ID.

  • Returns: UUID4

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class FillReport​

Bases: ExecutionReport

Represents a report of a single order fill.

  • Parameters:
    • account_id (AccountId) – The account ID for the report.
    • instrument_id (InstrumentId) – The reported instrument ID for the trade.
    • venue_order_id (VenueOrderId) – The reported venue order ID (assigned by the venue) for the trade.
    • trade_id (TradeId) – The reported trade match ID (assigned by the venue).
    • order_side (OrderSide {BUY, SELL}) – The reported order side for the trade.
    • last_qty (Quantity) – The reported quantity of the trade.
    • last_px (Price) – The reported price of the trade.
    • commission (Money) – The reported commission for the trade. If no commission then use a zero Money amount of the commission currency.
    • liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The reported liquidity side for the trade.
    • report_id (UUID4) – The report ID.
    • ts_event (int) – UNIX timestamp (nanoseconds) when the trade occurred.
    • ts_init (int) – UNIX timestamp (nanoseconds) when the object was initialized.
    • client_order_id (ClientOrderId , optional) – The reported client order ID for the trade.
    • venue_position_id (PositionId , optional) – The reported venue position ID for the trade. If the trading venue has assigned a position ID / ticket for the trade then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.
  • Raises: ValueError – If last_qty is not positive (> 0).

id​

The document message ID.

  • Returns: UUID4

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class PositionStatusReport​

Bases: ExecutionReport

Represents a position status at a point in time.

  • Parameters:
    • account_id (AccountId) – The account ID for the report.
    • instrument_id (InstrumentId) – The reported instrument ID for the position.
    • position_side (PositionSide {FLAT, LONG, SHORT}) – The reported position side at the exchange.
    • quantity (Quantity) – The reported position quantity at the exchange.
    • report_id (UUID4) – The report ID.
    • ts_last (int) – UNIX timestamp (nanoseconds) of the last position change.
    • ts_init (int) – UNIX timestamp (nanoseconds) when the object was initialized.
    • venue_position_id (PositionId , optional) – The reported venue position ID (assigned by the venue). If the trading venue has assigned a position ID / ticket for the trade then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.

id​

The document message ID.

  • Returns: UUID4

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t

class ExecutionMassStatus​

Bases: Document

Represents an execution mass status report for an execution client - including status of all orders, trades for those orders and open positions.

  • Parameters:
    • venue (Venue) – The venue for the report.
    • client_id (ClientId) – The client ID for the report.
    • account_id (AccountId) – The account ID for the report.
    • report_id (UUID4) – The report ID.
    • ts_init (int) – UNIX timestamp (nanoseconds) when the object was initialized.

property order_reports : dict[VenueOrderId, OrderStatusReport]​

The order status reports.

property fill_reports : dict[VenueOrderId, list[FillReport]]​

The fill reports.

property position_reports : dict[InstrumentId, list[PositionStatusReport]]​

The position status reports.

add_order_reports(reports: list[OrderStatusReport]) → None​

Add the order reports to the mass status.

  • Parameters: reports (list [OrderStatusReport ]) – The list of reports to add.
  • Raises: TypeError – If reports contains a type other than FillReport.

add_fill_reports(reports: list[FillReport]) → None​

Add the fill reports to the mass status.

  • Parameters: reports (list [FillReport ]) – The list of reports to add.
  • Raises: TypeError – If reports contains a type other than FillReport.

add_position_reports(reports: list[PositionStatusReport]) → None​

Add the position status reports to the mass status.

id​

The document message ID.

  • Returns: UUID4

ts_init​

UNIX timestamp (nanoseconds) when the object was initialized.

  • Returns: uint64_t
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