dYdX

DYdX v4 cryptocurrency exchange adapter (Rust-backed implementation).

The v4 adapter uses Rust-backed HTTP, WebSocket, and gRPC clients for: - Native Cosmos SDK transaction signing via Rust - Direct validator node communication - Improved performance and reliability - Real-time market data streaming

Usage:

from nautilus_trader.adapters.dydx import DydxDataClientConfig from nautilus_trader.adapters.dydx import DydxExecClientConfig from nautilus_trader.adapters.dydx import DydxLiveDataClientFactory from nautilus_trader.adapters.dydx import DydxLiveExecClientFactory

class DydxDataClient

Bases: LiveMarketDataClient

Provides a data client for the dYdX v4 decentralized crypto exchange.

This client uses Rust-backed HTTP and WebSocket clients for market data.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• client (nautilus_pyo3.DydxHttpClient) – The dYdX HTTP client (Rust-backed).

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

• instrument_provider (DydxInstrumentProvider) – The instrument provider.

• config (DydxDataClientConfig) – The configuration for the client.

• name (str, optional) – The custom client ID.

property instrument_provider: DydxInstrumentProvider

async cancel_pending_tasks(timeout_secs: float = 5.0) → None

Cancel all pending tasks and await their cancellation.

Parameters:

timeout_secs (float, default 5.0) – The timeout in seconds to wait for tasks to cancel.

connect() → None

Connect the client.

create_task(coro: Coroutine, log_msg: str | None = None, actions: Callable | None = None, success_msg: str | None = None, success_color: LogColor = <LogColor.NORMAL: 0>) → Task | None

Run the given coroutine with error handling and optional callback actions when done.

Parameters:

• coro (Coroutine) – The coroutine to run.

• log_msg (str, optional) – The log message for the task.

• actions (Callable, optional) – The actions callback to run when the coroutine is done.

• success_msg (str, optional) – The log message to write on actions success.

• success_color (LogColor, default NORMAL) – The log message color for actions success.

Return type:

asyncio.Task

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.

disconnect() → None

Disconnect the client.

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

References

https://www.python.org/dev/peps/pep-3155/

id

The components ID.

Returns:

ComponentId

is_connected

If the client is connected.

Returns:

bool

is_degraded

bool

Return whether the current component state is DEGRADED.

Return type:

bool

Type:

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

Return type:

bool

Type:

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

Return type:

bool

Type:

Component.is_faulted

is_initialized

bool

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

Return type:

bool

Type:

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING.

Return type:

bool

Type:

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

Return type:

bool

Type:

Component.is_stopped

request(self, RequestData request) → void

Request data for the given data type.

Parameters:

request (RequestData) – The message for the data request.

request_bars(self, RequestBars request) → void

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

Parameters:

request (RequestBars) – The message for the data request.

request_funding_rates(self, RequestFundingRates request) → void

Request historical FundingRateUpdate data.

Parameters:

request (RequestFundingRates) – The message for the data request.

request_instrument(self, RequestInstrument request) → void

Request Instrument data for the given instrument ID.

Parameters:

request (RequestInstrument) – The message for the data request.

request_instruments(self, RequestInstruments request) → void

Request all Instrument data for the given venue.

Parameters:

request (RequestInstruments) – The message for the data request.

request_order_book_deltas(self, RequestOrderBookDeltas request) → void

Request historical OrderBookDeltas data.

Parameters:

request (RequestOrderBookDeltas) – The message for the data request.

request_order_book_depth(request: RequestOrderBookDepth) → None

request_order_book_snapshot(self, RequestOrderBookSnapshot request) → void

Request order book snapshot data.

Parameters:

request (RequestOrderBookSnapshot) – The message for the data request.

request_quote_ticks(self, RequestQuoteTicks request) → void

Request historical QuoteTick data.

Parameters:

request (RequestQuoteTicks) – The message for the data request.

request_trade_ticks(self, RequestTradeTicks request) → void

Request historical TradeTick data.

Parameters:

request (RequestTradeTicks) – The message for the data request.

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

async run_after_delay(delay: float, coro: Coroutine) → None

Run the given coroutine after a delay.

Parameters:

• delay (float) – The delay (seconds) before running the coroutine.

• coro (Coroutine) – The coroutine to run after the initial delay.

shutdown_system(self, str reason=None) → void

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

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

Parameters:

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

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

subscribe(self, SubscribeData command) → void

Subscribe to data for the given data type.

Parameters:

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

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

subscribe_bars(self, SubscribeBars command) → void

Subscribe to Bar data for the given bar type.

Parameters:

• bar_type (BarType) – The bar type to subscribe to.

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

subscribe_funding_rates(self, SubscribeFundingRates command) → void

Subscribe to FundingRateUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

subscribe_index_prices(self, SubscribeIndexPrices command) → void

Subscribe to IndexPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

subscribe_instrument(self, SubscribeInstrument command) → void

Subscribe to the Instrument with the given instrument ID.

Parameters:

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

subscribe_instrument_close(self, SubscribeInstrumentClose command) → void

Subscribe to InstrumentClose updates for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribe_instrument_status(self, SubscribeInstrumentStatus command) → void

Subscribe to InstrumentStatus data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribe_instruments(self, SubscribeInstruments command) → void

Subscribe to all Instrument data.

Parameters:

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

subscribe_mark_prices(self, SubscribeMarkPrices command) → void

Subscribe to MarkPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

subscribe_order_book_deltas(self, SubscribeOrderBook command) → void

Subscribe to OrderBookDeltas data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to subscribe to.

• book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.

• depth (int, optional, default None) – The maximum depth for the subscription.

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

subscribe_order_book_depth(self, SubscribeOrderBook command) → void

Subscribe to OrderBookDepth10 data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to subscribe to.

• depth (int, optional) – The maximum depth for the order book (defaults to 10).

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

subscribe_quote_ticks(self, SubscribeQuoteTicks command) → void

Subscribe to QuoteTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribe_trade_ticks(self, SubscribeTradeTicks command) → void

Subscribe to TradeTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribed_bars(self) → list

Return the bar types subscribed to.

Return type:

list[BarType]

subscribed_custom_data(self) → list

Return the custom data types subscribed to.

Return type:

list[DataType]

subscribed_funding_rates(self) → list

Return the funding rate update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_index_prices(self) → list

Return the index price update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_instrument_close(self) → list

Return the instrument closes subscribed to.

Return type:

list[InstrumentId]

subscribed_instrument_status(self) → list

Return the status update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_instruments(self) → list

Return the instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_mark_prices(self) → list

Return the mark price update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_order_book_deltas(self) → list

Return the order book delta instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_order_book_depth(self) → list

Return the order book depth instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_quote_ticks(self) → list

Return the quote tick instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_trade_ticks(self) → list

Return the trade tick instruments subscribed to.

Return type:

list[InstrumentId]

trader_id

The trader ID associated with the component.

Returns:

TraderId

type

The components type.

Returns:

type

unsubscribe(self, UnsubscribeData command) → void

Unsubscribe from data for the given data type.

Parameters:

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

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

unsubscribe_bars(self, UnsubscribeBars command) → void

Unsubscribe from Bar data for the given bar type.

Parameters:

• bar_type (BarType) – The bar type to unsubscribe from.

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

unsubscribe_funding_rates(self, UnsubscribeFundingRates command) → void

Unsubscribe from FundingRateUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

unsubscribe_index_prices(self, UnsubscribeIndexPrices command) → void

Unsubscribe from IndexPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

unsubscribe_instrument(self, UnsubscribeInstrument command) → void

Unsubscribe from Instrument data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to unsubscribe from.

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

unsubscribe_instrument_close(self, UnsubscribeInstrumentClose command) → void

Unsubscribe from InstrumentClose data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

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

unsubscribe_instrument_status(self, UnsubscribeInstrumentStatus command) → void

Unsubscribe from InstrumentStatus data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument status updates to unsubscribe from.

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

unsubscribe_instruments(self, UnsubscribeInstruments command) → void

Unsubscribe from all Instrument data.

Parameters:

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

unsubscribe_mark_prices(self, UnsubscribeMarkPrices command) → void

Unsubscribe from MarkPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

unsubscribe_order_book_deltas(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBookDeltas data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to unsubscribe from.

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

unsubscribe_order_book_depth(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBookDepth10 data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to unsubscribe from.

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

unsubscribe_quote_ticks(self, UnsubscribeQuoteTicks command) → void

Unsubscribe from QuoteTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

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

unsubscribe_trade_ticks(self, UnsubscribeTradeTicks command) → void

Unsubscribe from TradeTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

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

venue

The clients venue ID (if applicable).

Returns:

Venue or None

class DydxDataClientConfig

Bases: LiveDataClientConfig

Configuration for DydxDataClient instances.

Parameters:

• wallet_address (str, optional) – The dYdX wallet address. If None then will source DYDX_WALLET_ADDRESS or DYDX_TESTNET_WALLET_ADDRESS environment variables.

• is_testnet (bool, default False) – If the client is connecting to the dYdX testnet API.

• base_url_http (str, optional) – The base URL for HTTP API endpoints. If None then will use the default URL for the selected network.

• base_url_ws (str, optional) – The base URL for WebSocket connections. If None then will use the default URL for the selected network.

• bars_timestamp_on_close (bool, default True) – If bar ts_event timestamps should be the bar close time. If False, the venue-native open time will be used.

• max_retries (PositiveInt, optional) – The maximum number of retries for HTTP requests or websocket reconnects.

• retry_delay_initial_ms (PositiveInt, optional) – The initial delay (milliseconds) between retries.

• retry_delay_max_ms (PositiveInt, optional) – The maximum delay (milliseconds) between retries.

wallet_address: str | None

is_testnet: bool

bars_timestamp_on_close: bool

base_url_http: str | None

base_url_ws: str | None

max_retries: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_initial_ms: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_max_ms: Annotated[int, msgspec.Meta(gt=0)] | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

Return type:

dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the NautilusConfig class.

Return type:

str

References

https://www.python.org/dev/peps/pep-3155/

handle_revised_bars: bool

property id: str

Return the hashed identifier for the configuration.

Return type:

str

instrument_provider: InstrumentProviderConfig

json() → bytes

Return serialized JSON encoded bytes.

Return type:

bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

Return type:

dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

Return type:

dict[str, Any]

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

Parameters:

• cls (type) – The type to decode to.

• raw (bytes or str) – The raw bytes or JSON string to decode.

Return type:

Any

routing: RoutingConfig

validate() → bool

Return whether the configuration can be represented as valid JSON.

Return type:

bool

class DydxExecClientConfig

Bases: LiveExecClientConfig

Configuration for DydxExecutionClient instances.

Parameters:

• wallet_address (str, optional) – The dYdX wallet address. If None then will source DYDX_WALLET_ADDRESS or DYDX_TESTNET_WALLET_ADDRESS environment variables.

• subaccount (int, default 0) – The subaccount number. The venue creates subaccount 0 by default.

• private_key (str, optional) – The hex-encoded private key used to sign transactions like submitting orders. If None then will source DYDX_PRIVATE_KEY or DYDX_TESTNET_PRIVATE_KEY environment variables.

• authenticator_ids (list[int], optional) – List of authenticator IDs for permissioned key trading. When provided, transactions will include a TxExtension to enable trading via sub-accounts using delegated signing keys. This is an advanced feature for institutional setups with separated hot/cold wallet architectures.

• is_testnet (bool, default False) – If the client is connecting to the dYdX testnet API.

• base_url_http (str, optional) – The HTTP client custom endpoint override. If None then will use the default URL for the selected network.

• base_url_ws (str, optional) – The WebSocket client custom endpoint override. If None then will use the default URL for the selected network.

• base_url_grpc (str, optional) – The gRPC client custom endpoint override. If None then will use the default URL for the selected network.

• max_retries (PositiveInt, optional) – The maximum number of times a submit, cancel or modify order request will be retried.

• retry_delay_initial_ms (PositiveInt, optional) – The initial delay (milliseconds) between retries.

• retry_delay_max_ms (PositiveInt, optional) – The maximum delay (milliseconds) between retries.

• grpc_rate_limit_per_second (PositiveInt, optional) – The maximum number of gRPC requests per second. Default 4 is safe for all known providers (Polkachu 5/s, KingNodes ~4.2/s, AutoStake 4/s). Set to None to disable rate limiting.

wallet_address: str | None

subaccount: int

private_key: str | None

authenticator_ids: list[int] | None

is_testnet: bool

base_url_http: str | None

base_url_ws: str | None

base_url_grpc: str | None

max_retries: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_initial_ms: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_max_ms: Annotated[int, msgspec.Meta(gt=0)] | None

grpc_rate_limit_per_second: Annotated[int, msgspec.Meta(gt=0)] | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

Return type:

dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the NautilusConfig class.

Return type:

str

References

https://www.python.org/dev/peps/pep-3155/

property id: str

Return the hashed identifier for the configuration.

Return type:

str

instrument_provider: InstrumentProviderConfig

json() → bytes

Return serialized JSON encoded bytes.

Return type:

bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

Return type:

dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

Return type:

dict[str, Any]

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

Parameters:

• cls (type) – The type to decode to.

• raw (bytes or str) – The raw bytes or JSON string to decode.

Return type:

Any

routing: RoutingConfig

validate() → bool

Return whether the configuration can be represented as valid JSON.

Return type:

bool

class DydxExecutionClient

Bases: LiveExecutionClient

Provides an execution client for the dYdX v4 decentralized crypto exchange.

This client uses Rust-backed HTTP, WebSocket, and gRPC clients for order execution. Order submission uses the gRPC client for low-latency Cosmos SDK transactions.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• client (nautilus_pyo3.DydxHttpClient) – The dYdX HTTP client (Rust-backed).

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

• instrument_provider (DydxInstrumentProvider) – The instrument provider.

• config (DydxExecClientConfig) – The configuration for the client.

• name (str, optional) – The custom client ID.

property pyo3_account_id: AccountId

Return the PyO3 account ID, caching it if not already created.

async generate_order_status_report(command: GenerateOrderStatusReport) → OrderStatusReport | None

Generate a single order status report by searching for the specified order.

async generate_order_status_reports(command: GenerateOrderStatusReports) → list[OrderStatusReport]

Generate order status reports for the configured subaccount.

async generate_fill_reports(command: GenerateFillReports) → list[FillReport]

Generate fill reports for the configured subaccount.

async generate_position_status_reports(command: GeneratePositionStatusReports) → list[PositionStatusReport]

Generate position status reports for the configured subaccount.

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.

Parameters:

command (BatchCancelOrders) – The command to execute.

cancel_all_orders(self, CancelAllOrders command) → void

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

Parameters:

command (CancelAllOrders) – The command to execute.

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.

async cancel_pending_tasks(timeout_secs: float = 5.0) → None

Cancel all pending tasks and await their cancellation.

Parameters:

timeout_secs (float, default 5.0) – The timeout in seconds to wait for tasks to cancel.

connect() → None

Connect the client.

create_task(coro: Coroutine, log_msg: str | None = None, actions: Callable | None = None, success_msg: str | None = None, success_color: LogColor = <LogColor.NORMAL: 0>) → Task

Run the given coroutine with error handling and optional callback actions when done.

Parameters:

• coro (Coroutine) – The coroutine to run.

• log_msg (str, optional) – The log message for the task.

• actions (Callable, optional) – The actions callback to run when the coroutine is done.

• success_msg (str, optional) – The log message to write on actions success.

• success_color (str, default NORMAL) – The log message color for actions success.

Return type:

asyncio.Task

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.

disconnect() → None

Disconnect the client.

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

References

https://www.python.org/dev/peps/pep-3155/

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.

async generate_mass_status(lookback_mins: int | None = None) → ExecutionMassStatus | None

Generate an ExecutionMassStatus report.

Parameters:

lookback_mins (int, optional) – The maximum lookback for querying closed orders, trades and positions.

Return type:

ExecutionMassStatus or None

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, str 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_denied(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, str reason, uint64_t ts_event) → void

Generate an OrderDenied 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 (str) – The order denied reason.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order denied 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, str 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, str reason, uint64_t ts_event, bool due_post_only=False) → 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.

• due_post_only (bool, default False) – If the order was rejected because it was post-only and would execute immediately as a taker.

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_account(self, QueryAccount command) → void

Query the account specified by the command which will generate an AccountState event.

Parameters:

command (QueryAccount) – The command to execute.

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.

async run_after_delay(delay: float, coro: Coroutine) → None

Run the given coroutine after a delay.

Parameters:

• delay (float) – The delay (seconds) before running the coroutine.

• coro (Coroutine) – The coroutine to run after the initial delay.

shutdown_system(self, str reason=None) → void

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

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

Parameters:

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

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

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.

Parameters:

command (SubmitOrderList) – The command to execute.

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 DydxInstrumentProvider

Bases: InstrumentProvider

Provides Nautilus instrument definitions from dYdX v4.

This provider uses the Rust-backed HTTP client to fetch instruments from the dYdX Indexer API.

Parameters:

• client (nautilus_pyo3.DydxHttpClient) – The dYdX HTTP client (Rust-backed).

• config (InstrumentProviderConfig, optional) – The instrument provider configuration, by default None.

instruments_pyo3() → list[Any]

Return all dYdX PyO3 instrument definitions held by the provider.

Return type:

list[nautilus_pyo3.Instrument]

async load_all_async(filters: dict | None = None) → None

Load the latest instruments into the provider asynchronously, optionally applying the given filters.

add(instrument: Instrument) → None

Add the given instrument to the provider.

Parameters:

instrument (Instrument) – The instrument to add.

add_bulk(instruments: list[Instrument]) → None

Add the given instruments bulk to the provider.

Parameters:

instruments (list[Instrument]) – The instruments to add.

add_currency(currency: Currency) → None

Add the given currency to the provider.

Parameters:

currency (Currency) – The currency to add.

property count: int

Return the count of instruments held by the provider.

Return type:

int

currencies() → dict[str, Currency]

Return all currencies held by the instrument provider.

Return type:

dict[str, Currency]

currency(code: str) → Currency | None

Return the currency with the given code (if found).

Parameters:

code (str) – The currency code.

Return type:

Currency or None

Raises:

ValueError – If code is not a valid string.

find(instrument_id: InstrumentId) → Instrument | None

Return the instrument for the given instrument ID (if found).

Parameters:

instrument_id (InstrumentId) – The ID for the instrument

Return type:

Instrument or None

get_all() → dict[InstrumentId, Instrument]

Return all loaded instruments as a map keyed by instrument ID.

If no instruments loaded, will return an empty dict.

Return type:

dict[InstrumentId, Instrument]

async initialize(reload: bool = False) → None

Initialize the instrument provider.

Parameters:

reload (bool, default False) – If True, then will always reload instruments. If False, then will immediately return if already loaded.

list_all() → list[Instrument]

Return all loaded instruments.

Return type:

list[Instrument]

load(instrument_id: InstrumentId, filters: dict | None = None) → None

Load the instrument for the given ID into the provider, optionally applying the given filters.

Parameters:

• instrument_id (InstrumentId) – The instrument ID to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

load_all(filters: dict | None = None) → None

Load the latest instruments into the provider, optionally applying the given filters.

Parameters:

filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

async load_async(instrument_id: InstrumentId, filters: dict | None = None) → None

Load the instrument for the given ID into the provider asynchronously, optionally applying the given filters.

The default implementation delegates to load_ids_async. Subclasses with per-instrument fetch capability should override this method.

Parameters:

• instrument_id (InstrumentId) – The instrument ID to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

load_ids(instrument_ids: list[InstrumentId], filters: dict | None = None) → None

Load the instruments for the given IDs into the provider, optionally applying the given filters.

Parameters:

• instrument_ids (list[InstrumentId]) – The instrument IDs to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

async load_ids_async(instrument_ids: list[InstrumentId], filters: dict | None = None) → None

Load the instruments for the given IDs into the provider, optionally applying the given filters.

The default implementation calls load_all_async (since many venue APIs only support bulk fetches) and then filters the provider to retain only the requested instruments plus any previously loaded ones.

Subclasses with per-instrument fetch capability should override this method.

Parameters:

• instrument_ids (list[InstrumentId]) – The instrument IDs to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

class DydxLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a dYdX v4 live data client factory.

static create(loop: AbstractEventLoop, name: str, config: DydxDataClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → DydxDataClient

Create a new dYdX v4 data client.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• name (str) – The custom client ID.

• config (DydxDataClientConfig) – The client configuration.

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

Return type:

DydxDataClient

class DydxLiveExecClientFactory

Bases: LiveExecClientFactory

Provides a dYdX v4 live execution client factory.

static create(loop: AbstractEventLoop, name: str, config: DydxExecClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → DydxExecutionClient

Create a new dYdX v4 execution client.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• name (str) – The custom client ID.

• config (DydxExecClientConfig) – The client configuration.

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

Return type:

DydxExecutionClient

Config

Configuration classes for dYdX v4 adapter.

These classes provide Python-side configuration for the Rust-backed dYdX v4 clients.

class DydxDataClientConfig

Bases: LiveDataClientConfig

Configuration for DydxDataClient instances.

Parameters:

• wallet_address (str, optional) – The dYdX wallet address. If None then will source DYDX_WALLET_ADDRESS or DYDX_TESTNET_WALLET_ADDRESS environment variables.

• is_testnet (bool, default False) – If the client is connecting to the dYdX testnet API.

• base_url_http (str, optional) – The base URL for HTTP API endpoints. If None then will use the default URL for the selected network.

• base_url_ws (str, optional) – The base URL for WebSocket connections. If None then will use the default URL for the selected network.

• bars_timestamp_on_close (bool, default True) – If bar ts_event timestamps should be the bar close time. If False, the venue-native open time will be used.

• max_retries (PositiveInt, optional) – The maximum number of retries for HTTP requests or websocket reconnects.

• retry_delay_initial_ms (PositiveInt, optional) – The initial delay (milliseconds) between retries.

• retry_delay_max_ms (PositiveInt, optional) – The maximum delay (milliseconds) between retries.

wallet_address: str | None

is_testnet: bool

bars_timestamp_on_close: bool

base_url_http: str | None

base_url_ws: str | None

max_retries: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_initial_ms: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_max_ms: Annotated[int, msgspec.Meta(gt=0)] | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

Return type:

dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the NautilusConfig class.

Return type:

str

References

https://www.python.org/dev/peps/pep-3155/

handle_revised_bars: bool

property id: str

Return the hashed identifier for the configuration.

Return type:

str

instrument_provider: InstrumentProviderConfig

json() → bytes

Return serialized JSON encoded bytes.

Return type:

bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

Return type:

dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

Return type:

dict[str, Any]

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

Parameters:

• cls (type) – The type to decode to.

• raw (bytes or str) – The raw bytes or JSON string to decode.

Return type:

Any

routing: RoutingConfig

validate() → bool

Return whether the configuration can be represented as valid JSON.

Return type:

bool

class DydxExecClientConfig

Bases: LiveExecClientConfig

Configuration for DydxExecutionClient instances.

Parameters:

• wallet_address (str, optional) – The dYdX wallet address. If None then will source DYDX_WALLET_ADDRESS or DYDX_TESTNET_WALLET_ADDRESS environment variables.

• subaccount (int, default 0) – The subaccount number. The venue creates subaccount 0 by default.

• private_key (str, optional) – The hex-encoded private key used to sign transactions like submitting orders. If None then will source DYDX_PRIVATE_KEY or DYDX_TESTNET_PRIVATE_KEY environment variables.

• authenticator_ids (list[int], optional) – List of authenticator IDs for permissioned key trading. When provided, transactions will include a TxExtension to enable trading via sub-accounts using delegated signing keys. This is an advanced feature for institutional setups with separated hot/cold wallet architectures.

• is_testnet (bool, default False) – If the client is connecting to the dYdX testnet API.

• base_url_http (str, optional) – The HTTP client custom endpoint override. If None then will use the default URL for the selected network.

• base_url_ws (str, optional) – The WebSocket client custom endpoint override. If None then will use the default URL for the selected network.

• base_url_grpc (str, optional) – The gRPC client custom endpoint override. If None then will use the default URL for the selected network.

• max_retries (PositiveInt, optional) – The maximum number of times a submit, cancel or modify order request will be retried.

• retry_delay_initial_ms (PositiveInt, optional) – The initial delay (milliseconds) between retries.

• retry_delay_max_ms (PositiveInt, optional) – The maximum delay (milliseconds) between retries.

• grpc_rate_limit_per_second (PositiveInt, optional) – The maximum number of gRPC requests per second. Default 4 is safe for all known providers (Polkachu 5/s, KingNodes ~4.2/s, AutoStake 4/s). Set to None to disable rate limiting.

wallet_address: str | None

subaccount: int

private_key: str | None

authenticator_ids: list[int] | None

is_testnet: bool

base_url_http: str | None

base_url_ws: str | None

base_url_grpc: str | None

max_retries: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_initial_ms: Annotated[int, msgspec.Meta(gt=0)] | None

retry_delay_max_ms: Annotated[int, msgspec.Meta(gt=0)] | None

grpc_rate_limit_per_second: Annotated[int, msgspec.Meta(gt=0)] | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

Return type:

dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the NautilusConfig class.

Return type:

str

References

https://www.python.org/dev/peps/pep-3155/

property id: str

Return the hashed identifier for the configuration.

Return type:

str

instrument_provider: InstrumentProviderConfig

json() → bytes

Return serialized JSON encoded bytes.

Return type:

bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

Return type:

dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

Return type:

dict[str, Any]

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

Parameters:

• cls (type) – The type to decode to.

• raw (bytes or str) – The raw bytes or JSON string to decode.

Return type:

Any

routing: RoutingConfig

validate() → bool

Return whether the configuration can be represented as valid JSON.

Return type:

bool

Factories

Factories for creating dYdX v4 data and execution clients.

get_cached_dydx_http_client(base_url: str | None = None, is_testnet: bool = False) → DydxHttpClient

Cache and return a dYdX HTTP client.

If a cached client with matching parameters already exists, the cached client will be returned.

Parameters:

• base_url (str, optional) – The base URL for the API endpoints.

• is_testnet (bool, default False) – If the client is for the dYdX testnet API.

Return type:

DydxHttpClient

get_cached_dydx_instrument_provider(client: DydxHttpClient, config: InstrumentProviderConfig | None = None) → DydxInstrumentProvider

Cache and return a dYdX instrument provider.

If a cached provider already exists, then that provider will be returned.

Parameters:

• client (DydxHttpClient) – The dYdX HTTP client.

• config (InstrumentProviderConfig, optional) – The instrument provider configuration.

Return type:

DydxInstrumentProvider

class DydxLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a dYdX v4 live data client factory.

static create(loop: AbstractEventLoop, name: str, config: DydxDataClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → DydxDataClient

Create a new dYdX v4 data client.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• name (str) – The custom client ID.

• config (DydxDataClientConfig) – The client configuration.

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

Return type:

DydxDataClient

class DydxLiveExecClientFactory

Bases: LiveExecClientFactory

Provides a dYdX v4 live execution client factory.

static create(loop: AbstractEventLoop, name: str, config: DydxExecClientConfig, msgbus: MessageBus, cache: Cache, clock: LiveClock) → DydxExecutionClient

Create a new dYdX v4 execution client.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• name (str) – The custom client ID.

• config (DydxExecClientConfig) – The client configuration.

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

Return type:

DydxExecutionClient

Providers

Instrument provider for the dYdX v4 venue.

This provider uses the Rust-backed HTTP client to fetch instruments from dYdX.

class DydxInstrumentProvider

Bases: InstrumentProvider

Provides Nautilus instrument definitions from dYdX v4.

This provider uses the Rust-backed HTTP client to fetch instruments from the dYdX Indexer API.

Parameters:

• client (nautilus_pyo3.DydxHttpClient) – The dYdX HTTP client (Rust-backed).

• config (InstrumentProviderConfig, optional) – The instrument provider configuration, by default None.

instruments_pyo3() → list[Any]

Return all dYdX PyO3 instrument definitions held by the provider.

Return type:

list[nautilus_pyo3.Instrument]

async load_all_async(filters: dict | None = None) → None

Load the latest instruments into the provider asynchronously, optionally applying the given filters.

add(instrument: Instrument) → None

Add the given instrument to the provider.

Parameters:

instrument (Instrument) – The instrument to add.

add_bulk(instruments: list[Instrument]) → None

Add the given instruments bulk to the provider.

Parameters:

instruments (list[Instrument]) – The instruments to add.

add_currency(currency: Currency) → None

Add the given currency to the provider.

Parameters:

currency (Currency) – The currency to add.

property count: int

Return the count of instruments held by the provider.

Return type:

int

currencies() → dict[str, Currency]

Return all currencies held by the instrument provider.

Return type:

dict[str, Currency]

currency(code: str) → Currency | None

Return the currency with the given code (if found).

Parameters:

code (str) – The currency code.

Return type:

Currency or None

Raises:

ValueError – If code is not a valid string.

find(instrument_id: InstrumentId) → Instrument | None

Return the instrument for the given instrument ID (if found).

Parameters:

instrument_id (InstrumentId) – The ID for the instrument

Return type:

Instrument or None

get_all() → dict[InstrumentId, Instrument]

Return all loaded instruments as a map keyed by instrument ID.

If no instruments loaded, will return an empty dict.

Return type:

dict[InstrumentId, Instrument]

async initialize(reload: bool = False) → None

Initialize the instrument provider.

Parameters:

reload (bool, default False) – If True, then will always reload instruments. If False, then will immediately return if already loaded.

list_all() → list[Instrument]

Return all loaded instruments.

Return type:

list[Instrument]

load(instrument_id: InstrumentId, filters: dict | None = None) → None

Load the instrument for the given ID into the provider, optionally applying the given filters.

Parameters:

• instrument_id (InstrumentId) – The instrument ID to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

load_all(filters: dict | None = None) → None

Load the latest instruments into the provider, optionally applying the given filters.

Parameters:

filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

async load_async(instrument_id: InstrumentId, filters: dict | None = None) → None

Load the instrument for the given ID into the provider asynchronously, optionally applying the given filters.

The default implementation delegates to load_ids_async. Subclasses with per-instrument fetch capability should override this method.

Parameters:

• instrument_id (InstrumentId) – The instrument ID to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

load_ids(instrument_ids: list[InstrumentId], filters: dict | None = None) → None

Load the instruments for the given IDs into the provider, optionally applying the given filters.

Parameters:

• instrument_ids (list[InstrumentId]) – The instrument IDs to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

async load_ids_async(instrument_ids: list[InstrumentId], filters: dict | None = None) → None

Load the instruments for the given IDs into the provider, optionally applying the given filters.

The default implementation calls load_all_async (since many venue APIs only support bulk fetches) and then filters the provider to retain only the requested instruments plus any previously loaded ones.

Subclasses with per-instrument fetch capability should override this method.

Parameters:

• instrument_ids (list[InstrumentId]) – The instrument IDs to load.

• filters (frozendict[str, Any] or dict[str, Any], optional) – The venue specific instrument loading filters to apply.

Data

Data client for the dYdX v4 decentralized crypto exchange.

This client uses the Rust-backed HTTP and WebSocket clients for market data.

class DydxDataClient

Bases: LiveMarketDataClient

Provides a data client for the dYdX v4 decentralized crypto exchange.

This client uses Rust-backed HTTP and WebSocket clients for market data.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• client (nautilus_pyo3.DydxHttpClient) – The dYdX HTTP client (Rust-backed).

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

• instrument_provider (DydxInstrumentProvider) – The instrument provider.

• config (DydxDataClientConfig) – The configuration for the client.

• name (str, optional) – The custom client ID.

property instrument_provider: DydxInstrumentProvider

async cancel_pending_tasks(timeout_secs: float = 5.0) → None

Cancel all pending tasks and await their cancellation.

Parameters:

timeout_secs (float, default 5.0) – The timeout in seconds to wait for tasks to cancel.

connect() → None

Connect the client.

create_task(coro: Coroutine, log_msg: str | None = None, actions: Callable | None = None, success_msg: str | None = None, success_color: LogColor = <LogColor.NORMAL: 0>) → Task | None

Run the given coroutine with error handling and optional callback actions when done.

Parameters:

• coro (Coroutine) – The coroutine to run.

• log_msg (str, optional) – The log message for the task.

• actions (Callable, optional) – The actions callback to run when the coroutine is done.

• success_msg (str, optional) – The log message to write on actions success.

• success_color (LogColor, default NORMAL) – The log message color for actions success.

Return type:

asyncio.Task

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.

disconnect() → None

Disconnect the client.

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

References

https://www.python.org/dev/peps/pep-3155/

id

The components ID.

Returns:

ComponentId

is_connected

If the client is connected.

Returns:

bool

is_degraded

bool

Return whether the current component state is DEGRADED.

Return type:

bool

Type:

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

Return type:

bool

Type:

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

Return type:

bool

Type:

Component.is_faulted

is_initialized

bool

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

Return type:

bool

Type:

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING.

Return type:

bool

Type:

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

Return type:

bool

Type:

Component.is_stopped

request(self, RequestData request) → void

Request data for the given data type.

Parameters:

request (RequestData) – The message for the data request.

request_bars(self, RequestBars request) → void

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

Parameters:

request (RequestBars) – The message for the data request.

request_funding_rates(self, RequestFundingRates request) → void

Request historical FundingRateUpdate data.

Parameters:

request (RequestFundingRates) – The message for the data request.

request_instrument(self, RequestInstrument request) → void

Request Instrument data for the given instrument ID.

Parameters:

request (RequestInstrument) – The message for the data request.

request_instruments(self, RequestInstruments request) → void

Request all Instrument data for the given venue.

Parameters:

request (RequestInstruments) – The message for the data request.

request_order_book_deltas(self, RequestOrderBookDeltas request) → void

Request historical OrderBookDeltas data.

Parameters:

request (RequestOrderBookDeltas) – The message for the data request.

request_order_book_depth(request: RequestOrderBookDepth) → None

request_order_book_snapshot(self, RequestOrderBookSnapshot request) → void

Request order book snapshot data.

Parameters:

request (RequestOrderBookSnapshot) – The message for the data request.

request_quote_ticks(self, RequestQuoteTicks request) → void

Request historical QuoteTick data.

Parameters:

request (RequestQuoteTicks) – The message for the data request.

request_trade_ticks(self, RequestTradeTicks request) → void

Request historical TradeTick data.

Parameters:

request (RequestTradeTicks) – The message for the data request.

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

async run_after_delay(delay: float, coro: Coroutine) → None

Run the given coroutine after a delay.

Parameters:

• delay (float) – The delay (seconds) before running the coroutine.

• coro (Coroutine) – The coroutine to run after the initial delay.

shutdown_system(self, str reason=None) → void

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

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

Parameters:

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

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

subscribe(self, SubscribeData command) → void

Subscribe to data for the given data type.

Parameters:

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

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

subscribe_bars(self, SubscribeBars command) → void

Subscribe to Bar data for the given bar type.

Parameters:

• bar_type (BarType) – The bar type to subscribe to.

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

subscribe_funding_rates(self, SubscribeFundingRates command) → void

Subscribe to FundingRateUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

subscribe_index_prices(self, SubscribeIndexPrices command) → void

Subscribe to IndexPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

subscribe_instrument(self, SubscribeInstrument command) → void

Subscribe to the Instrument with the given instrument ID.

Parameters:

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

subscribe_instrument_close(self, SubscribeInstrumentClose command) → void

Subscribe to InstrumentClose updates for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribe_instrument_status(self, SubscribeInstrumentStatus command) → void

Subscribe to InstrumentStatus data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribe_instruments(self, SubscribeInstruments command) → void

Subscribe to all Instrument data.

Parameters:

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

subscribe_mark_prices(self, SubscribeMarkPrices command) → void

Subscribe to MarkPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

subscribe_order_book_deltas(self, SubscribeOrderBook command) → void

Subscribe to OrderBookDeltas data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to subscribe to.

• book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.

• depth (int, optional, default None) – The maximum depth for the subscription.

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

subscribe_order_book_depth(self, SubscribeOrderBook command) → void

Subscribe to OrderBookDepth10 data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to subscribe to.

• depth (int, optional) – The maximum depth for the order book (defaults to 10).

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

subscribe_quote_ticks(self, SubscribeQuoteTicks command) → void

Subscribe to QuoteTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribe_trade_ticks(self, SubscribeTradeTicks command) → void

Subscribe to TradeTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to subscribe to.

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

subscribed_bars(self) → list

Return the bar types subscribed to.

Return type:

list[BarType]

subscribed_custom_data(self) → list

Return the custom data types subscribed to.

Return type:

list[DataType]

subscribed_funding_rates(self) → list

Return the funding rate update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_index_prices(self) → list

Return the index price update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_instrument_close(self) → list

Return the instrument closes subscribed to.

Return type:

list[InstrumentId]

subscribed_instrument_status(self) → list

Return the status update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_instruments(self) → list

Return the instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_mark_prices(self) → list

Return the mark price update instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_order_book_deltas(self) → list

Return the order book delta instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_order_book_depth(self) → list

Return the order book depth instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_quote_ticks(self) → list

Return the quote tick instruments subscribed to.

Return type:

list[InstrumentId]

subscribed_trade_ticks(self) → list

Return the trade tick instruments subscribed to.

Return type:

list[InstrumentId]

trader_id

The trader ID associated with the component.

Returns:

TraderId

type

The components type.

Returns:

type

unsubscribe(self, UnsubscribeData command) → void

Unsubscribe from data for the given data type.

Parameters:

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

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

unsubscribe_bars(self, UnsubscribeBars command) → void

Unsubscribe from Bar data for the given bar type.

Parameters:

• bar_type (BarType) – The bar type to unsubscribe from.

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

unsubscribe_funding_rates(self, UnsubscribeFundingRates command) → void

Unsubscribe from FundingRateUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

unsubscribe_index_prices(self, UnsubscribeIndexPrices command) → void

Unsubscribe from IndexPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

unsubscribe_instrument(self, UnsubscribeInstrument command) → void

Unsubscribe from Instrument data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to unsubscribe from.

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

unsubscribe_instrument_close(self, UnsubscribeInstrumentClose command) → void

Unsubscribe from InstrumentClose data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

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

unsubscribe_instrument_status(self, UnsubscribeInstrumentStatus command) → void

Unsubscribe from InstrumentStatus data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument status updates to unsubscribe from.

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

unsubscribe_instruments(self, UnsubscribeInstruments command) → void

Unsubscribe from all Instrument data.

Parameters:

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

unsubscribe_mark_prices(self, UnsubscribeMarkPrices command) → void

Unsubscribe from MarkPriceUpdate data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to.

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

unsubscribe_order_book_deltas(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBookDeltas data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to unsubscribe from.

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

unsubscribe_order_book_depth(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBookDepth10 data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The order book instrument to unsubscribe from.

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

unsubscribe_quote_ticks(self, UnsubscribeQuoteTicks command) → void

Unsubscribe from QuoteTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

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

unsubscribe_trade_ticks(self, UnsubscribeTradeTicks command) → void

Unsubscribe from TradeTick data for the given instrument ID.

Parameters:

• instrument_id (InstrumentId) – The tick instrument to unsubscribe from.

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

venue

The clients venue ID (if applicable).

Returns:

Venue or None

Execution

Execution client for the dYdX v4 decentralized crypto exchange.

This client uses Rust-backed HTTP, WebSocket, and gRPC clients for order execution.

Supported order types:

• MARKET: Immediate execution at best available price

• LIMIT: Maker orders with optional post-only flag

• STOP_MARKET: Triggered when price crosses trigger_price

• STOP_LIMIT: Triggered stop with limit price

• MARKET_IF_TOUCHED: Take profit market (triggers on price touch)

• LIMIT_IF_TOUCHED: Take profit limit (triggers on price touch)

class DydxExecutionClient

Bases: LiveExecutionClient

Provides an execution client for the dYdX v4 decentralized crypto exchange.

This client uses Rust-backed HTTP, WebSocket, and gRPC clients for order execution. Order submission uses the gRPC client for low-latency Cosmos SDK transactions.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop for the client.

• client (nautilus_pyo3.DydxHttpClient) – The dYdX HTTP client (Rust-backed).

• msgbus (MessageBus) – The message bus for the client.

• cache (Cache) – The cache for the client.

• clock (LiveClock) – The clock for the client.

• instrument_provider (DydxInstrumentProvider) – The instrument provider.

• config (DydxExecClientConfig) – The configuration for the client.

• name (str, optional) – The custom client ID.

property pyo3_account_id: AccountId

Return the PyO3 account ID, caching it if not already created.

async generate_order_status_report(command: GenerateOrderStatusReport) → OrderStatusReport | None

Generate a single order status report by searching for the specified order.

async generate_order_status_reports(command: GenerateOrderStatusReports) → list[OrderStatusReport]

Generate order status reports for the configured subaccount.

async generate_fill_reports(command: GenerateFillReports) → list[FillReport]

Generate fill reports for the configured subaccount.

async generate_position_status_reports(command: GeneratePositionStatusReports) → list[PositionStatusReport]

Generate position status reports for the configured subaccount.

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.

Parameters:

command (BatchCancelOrders) – The command to execute.

cancel_all_orders(self, CancelAllOrders command) → void

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

Parameters:

command (CancelAllOrders) – The command to execute.

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.

async cancel_pending_tasks(timeout_secs: float = 5.0) → None

Cancel all pending tasks and await their cancellation.

Parameters:

timeout_secs (float, default 5.0) – The timeout in seconds to wait for tasks to cancel.

connect() → None

Connect the client.

create_task(coro: Coroutine, log_msg: str | None = None, actions: Callable | None = None, success_msg: str | None = None, success_color: LogColor = <LogColor.NORMAL: 0>) → Task

Run the given coroutine with error handling and optional callback actions when done.

Parameters:

• coro (Coroutine) – The coroutine to run.

• log_msg (str, optional) – The log message for the task.

• actions (Callable, optional) – The actions callback to run when the coroutine is done.

• success_msg (str, optional) – The log message to write on actions success.

• success_color (str, default NORMAL) – The log message color for actions success.

Return type:

asyncio.Task

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.

disconnect() → None

Disconnect the client.

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

References

https://www.python.org/dev/peps/pep-3155/

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.

async generate_mass_status(lookback_mins: int | None = None) → ExecutionMassStatus | None

Generate an ExecutionMassStatus report.

Parameters:

lookback_mins (int, optional) – The maximum lookback for querying closed orders, trades and positions.

Return type:

ExecutionMassStatus or None

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, str 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_denied(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, str reason, uint64_t ts_event) → void

Generate an OrderDenied 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 (str) – The order denied reason.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order denied 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, str 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, str reason, uint64_t ts_event, bool due_post_only=False) → 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.

• due_post_only (bool, default False) – If the order was rejected because it was post-only and would execute immediately as a taker.

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_account(self, QueryAccount command) → void

Query the account specified by the command which will generate an AccountState event.

Parameters:

command (QueryAccount) – The command to execute.

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.

async run_after_delay(delay: float, coro: Coroutine) → None

Run the given coroutine after a delay.

Parameters:

• delay (float) – The delay (seconds) before running the coroutine.

• coro (Coroutine) – The coroutine to run after the initial delay.

shutdown_system(self, str reason=None) → void

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

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

Parameters:

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

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

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.

Parameters:

command (SubmitOrderList) – The command to execute.

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