InstrumentClose

InstrumentClose represents a closing price event for an instrument at a venue. It is used for end-of-session closes and contract-expiry close events.

Fields

Field	Rust type	Python type	Required/default	Notes
`instrument_id`	`InstrumentId`	`InstrumentId`	Required	Instrument being closed.
`close_price`	`Price`	`Price`	Required	Closing or settlement price.
`close_type`	`InstrumentCloseType`	`InstrumentCloseType`	Required	`END_OF_SESSION` or `CONTRACT_EXPIRED`.
`ts_event`	`UnixNanos`	`int`	Required	Event timestamp in nanoseconds.
`ts_init`	`UnixNanos`	`int`	Required	Initialization timestamp in nanoseconds.

Behavior

End-of-session closes provide session-level close prices.
Contract-expiry closes mark expiration events for dated contracts.
The close price is reference data; it does not imply a trade occurred at that price.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::InstrumentClose,
    enums::InstrumentCloseType,
    identifiers::InstrumentId,
    types::Price,
};

let close = InstrumentClose::new(
    InstrumentId::from("ESM4.XCME"),
    Price::from("5325.25"),
    InstrumentCloseType::EndOfSession,
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

InstrumentStatus covers instrument status events.
Instruments covers instrument definitions.
Python API Reference lists Python members.

InstrumentClose

Fields

Behavior

Example

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