Polymarket

Polymarket decentralized prediction market integration adapter.

This subpackage provides instrument providers, data and execution client configurations, factories, constants, and credential helpers for connecting to and interacting with the Polymarket Central Limit Order Book (CLOB) API.

For convenience, the most commonly used symbols are re-exported at the subpackage’s top level, so downstream code can simply import from nautilus_trader.adapters.polymarket.

class PolymarketDataClientConfig

Bases: LiveDataClientConfig

Configuration for PolymarketDataClient instances.

Parameters:

• instrument_config (PolymarketInstrumentProviderConfig, optional) – The Polymarket instrument provider config.

• venue (Venue, default POLYMARKET_VENUE) – The venue for the client.

• private_key (str, optional) – The private key for the wallet on the Polygon network. If None then will source the POLYMARKET_PK environment variable.

• signature_type (int, default 0 (EOA)) – The Polymarket signature type: - 0: EOA (Externally Owned Account) - 1: Email/Magic Wallet Proxy - 2: Browser Wallet Proxy

• funder (str, optional) – The wallet address (public key) on the Polygon network used for funding USDC. If None then will source the POLYMARKET_FUNDER environment variable.

• api_key (str, optional) – The Polymarket API key. If None then will source the POLYMARKET_API_KEY environment variable.

• api_secret (str, optional) – The Polymarket API secret. If None then will source the POLYMARKET_API_SECRET environment variable.

• passphrase (str, optional) – The Polymarket API passphrase. If None then will source the POLYMARKET_PASSPHRASE environment variable.

• base_url_http (str, optional) – The HTTP client custom endpoint override.

• base_url_ws (str, optional) – The WebSocket client custom endpoint override.

• ws_connection_initial_delay_secs (PositiveFloat, default 5) – The delay (seconds) prior to the first websocket connection to allow initial subscriptions to arrive.

• ws_connection_delay_secs (PositiveFloat, default 0.1) – The delay (seconds) prior to making a new websocket connection to allow non-initial subscriptions to arrive.

• ws_max_subscriptions_per_connection (PositiveInt, default 200) – The maximum number of subscriptions per WebSocket connection (Polymarket limit is 500).

• update_instruments_interval_mins (PositiveInt or None, default 60) – The interval (minutes) between updating Polymarket instruments.

• compute_effective_deltas (bool, default False) – If True, computes effective deltas by comparing old and new order book states, reducing snapshot size. This takes ~1 millisecond, so is not recommended for latency-sensitive strategies.

• drop_quotes_missing_side (bool, default True) – If True, drops QuoteTick messages when bid or ask prices are missing (can occur near market resolution). If False, uses boundary prices (0.001/0.999) with zero volume for missing sides.

instrument_config: PolymarketInstrumentProviderConfig | None

venue: Venue

private_key: str | None

signature_type: int

funder: str | None

api_key: str | None

api_secret: str | None

passphrase: str | None

base_url_http: str | None

base_url_ws: str | None

ws_connection_initial_delay_secs: Annotated[float, msgspec.Meta(gt=0.0)]

ws_connection_delay_secs: Annotated[float, msgspec.Meta(gt=0.0)]

ws_max_subscriptions_per_connection: Annotated[int, msgspec.Meta(gt=0)]

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

compute_effective_deltas: bool

drop_quotes_missing_side: bool

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 PolymarketDataLoader

Bases: object

Provides a data loader for historical Polymarket market data.

This loader fetches data from: - Polymarket Gamma API (market and event information) - Polymarket CLOB API (market details) - Polymarket Data API (historical trades)

If no http_client is provided, the loader creates one with a default rate limit of 100 requests per minute, matching Polymarket’s public endpoint limit.

Parameters:

• instrument (BinaryOption) – The binary option instrument to load data for.

• token_id (str, optional) – The Polymarket token ID for this instrument.

• condition_id (str, optional) – The Polymarket condition ID for this instrument’s market.

• http_client (nautilus_pyo3.HttpClient, optional) – The HTTP client to use for requests. If not provided, a new client will be created.

async classmethod from_market_slug(slug: str, token_index: int = 0, http_client: HttpClient | None = None) → PolymarketDataLoader

Create a loader by fetching market data from Polymarket APIs.

Parameters:

• slug (str) – The market slug to search for.

• token_index (int, default 0) – The index of the token to use (0 for first outcome, 1 for second).

• http_client (nautilus_pyo3.HttpClient, optional) – The HTTP client to use for requests. If not provided, a new client will be created.

Return type:

PolymarketDataLoader

Raises:

• ValueError – If market with slug is not found or has no tokens.

• RuntimeError – If HTTP requests fail.

async classmethod from_event_slug(slug: str, token_index: int = 0, http_client: HttpClient | None = None) → list[PolymarketDataLoader]

Create loaders for all markets in an event.

This is useful for events that contain multiple related markets, such as temperature bucket markets where each bucket is a separate market.

Parameters:

• slug (str) – The event slug to fetch.

• token_index (int, default 0) – The index of the token to use (0 for first outcome, 1 for second).

• http_client (nautilus_pyo3.HttpClient, optional) – The HTTP client to use for requests. If not provided, a new client will be created.

Returns:

List of loaders, one for each market in the event.

Return type:

list[PolymarketDataLoader]

Raises:

ValueError – If event with slug is not found, has no markets, or token_index is out of range.

async static query_market_by_slug(slug: str, http_client: HttpClient | None = None) → dict[str, Any]

Query market data by slug without requiring a loader instance.

Parameters:

• slug (str) – The market slug to fetch.

• http_client (nautilus_pyo3.HttpClient, optional) – The HTTP client to use for the request.

Returns:

Market data dictionary.

Return type:

dict[str, Any]

Raises:

• ValueError – If market with the given slug is not found.

• RuntimeError – If HTTP request fails.

async static query_market_details(condition_id: str, http_client: HttpClient | None = None) → dict[str, Any]

Query detailed market information without requiring a loader instance.

Parameters:

• condition_id (str) – The market condition ID.

• http_client (nautilus_pyo3.HttpClient, optional) – The HTTP client to use for the request.

Returns:

Detailed market information.

Return type:

dict[str, Any]

Raises:

RuntimeError – If HTTP request fails.

async static query_event_by_slug(slug: str, http_client: HttpClient | None = None) → dict[str, Any]

Query event data by slug without requiring a loader instance.

Parameters:

• slug (str) – The event slug to fetch.

• http_client (nautilus_pyo3.HttpClient, optional) – The HTTP client to use for the request.

Returns:

Event data dictionary containing ‘markets’ array and event metadata.

Return type:

dict[str, Any]

Raises:

• ValueError – If event with the given slug is not found.

• RuntimeError – If HTTP request fails.

property instrument: BinaryOption

Return the instrument for this loader.

property token_id: str | None

Return the token ID for this loader.

property condition_id: str | None

Return the condition ID for this loader.

async load_trades(start: Timestamp | None = None, end: Timestamp | None = None) → list[TradeTick]

Load trade ticks from the Polymarket Data API.

This is a convenience method that fetches and parses historical trades using the loader’s stored condition_id and token_id.

Parameters:

• start (pd.Timestamp, optional) – Start time filter (client-side). If None, no lower bound.

• end (pd.Timestamp, optional) – End time filter (client-side). If None, no upper bound.

Returns:

Parsed trade ticks sorted chronologically, ready for backtesting.

Return type:

list[TradeTick]

Raises:

ValueError – If condition_id or token_id was not provided during initialization.

async fetch_event_by_slug(slug: str) → dict[str, Any]

Fetch an event by slug from the Polymarket Gamma API.

Events contain multiple markets (e.g., temperature bucket markets are grouped under a single event like “highest-temperature-in-nyc-on-january-26”).

Parameters:

slug (str) – The event slug to fetch.

Returns:

Event data dictionary containing ‘markets’ array and event metadata.

Return type:

dict[str, Any]

Raises:

• ValueError – If event with the given slug is not found.

• RuntimeError – If HTTP requests fail.

async fetch_events(active: bool = True, closed: bool = False, archived: bool = False, limit: int = 100, offset: int = 0) → list[dict[str, Any]]

Fetch events from Polymarket Gamma API.

Parameters:

• active (bool, default True) – Filter for active events.

• closed (bool, default False) – Include closed events.

• archived (bool, default False) – Include archived events.

• limit (int, default 100) – Maximum number of events to return.

• offset (int, default 0) – Offset for pagination.

Returns:

List of event data dictionaries.

Return type:

list[dict[str, Any]]

async get_event_markets(slug: str) → list[dict[str, Any]]

Get all markets within an event by slug.

This is a convenience method that fetches an event and extracts its markets.

Parameters:

slug (str) – The event slug to fetch markets from.

Returns:

List of market dictionaries within the event.

Return type:

list[dict[str, Any]]

Raises:

ValueError – If event with the given slug is not found.

async fetch_markets(active: bool = True, closed: bool = False, archived: bool = False, limit: int = 100, offset: int = 0) → list[dict]

Fetch markets from Polymarket Gamma API.

Parameters:

• active (bool, default True) – Filter for active markets.

• closed (bool, default False) – Include closed markets.

• archived (bool, default False) – Include archived markets.

• limit (int, default 100) – Maximum number of markets to return.

• offset (int, default 0) – Offset for pagination.

Returns:

List of market data dictionaries.

Return type:

list[dict]

async fetch_market_by_slug(slug: str) → dict[str, Any]

Fetch a single market by slug using the Polymarket Gamma API slug endpoint.

Parameters:

slug (str) – The market slug to fetch.

Returns:

Market data dictionary.

Return type:

dict[str, Any]

Raises:

• ValueError – If market with the given slug is not found.

• RuntimeError – If HTTP requests fail.

async find_market_by_slug(slug: str) → dict[str, Any]

Find a specific market by slug.

Parameters:

slug (str) – The market slug to search for.

Returns:

Market data dictionary.

Return type:

dict[str, Any]

Raises:

ValueError – If market with the given slug is not found.

async fetch_market_details(condition_id: str) → dict[str, Any]

Fetch detailed market information from Polymarket CLOB API.

Parameters:

condition_id (str) – The market condition ID.

Returns:

Detailed market information.

Return type:

dict[str, Any]

async fetch_trades(condition_id: str, limit: int = 10000) → list[dict[str, Any]]

Fetch trades from the Polymarket Data API.

Parameters:

• condition_id (str) – The market condition ID.

• limit (int, default 10_000) – Number of trades per request (max 10,000).

Returns:

List of trade dictionaries (newest first).

Return type:

list[dict[str, Any]]

Notes

This method automatically handles pagination using offset-based requests. The API caps offset at 10,000, so a maximum of ~20,000 trades can be fetched per condition.

parse_trades(trades_data: list[dict]) → list[TradeTick]

Parse trade data into TradeTicks.

Parameters:

trades_data (list[dict]) – Raw trade data from the Polymarket Data API.

Returns:

List of TradeTicks for backtesting.

Return type:

list[TradeTick]

class PolymarketExecClientConfig

Bases: LiveExecClientConfig

Configuration for PolymarketExecutionClient instances.

Parameters:

• instrument_config (PolymarketInstrumentProviderConfig, optional) – The Polymarket instrument provider config.

• venue (Venue, default POLYMARKET_VENUE) – The venue for the client.

• private_key (str, optional) – The private key for the wallet on the Polygon network. If None then will source the POLYMARKET_PK environment variable.

• signature_type (int, default 0 (EOA)) – The Polymarket signature type: - 0: EOA (Externally Owned Account) - 1: Email/Magic Wallet Proxy - 2: Browser Wallet Proxy

• funder (str, optional) – The wallet address (public key) on the Polygon network used for funding USDC. If None then will source the POLYMARKET_FUNDER environment variable.

• api_key (str, optional) – The Polymarket API key. If None then will source the POLYMARKET_API_KEY environment variable.

• api_secret (str, optional) – The Polymarket API secret. If None then will source the POLYMARKET_API_SECRET environment variable.

• passphrase (str, optional) – The Polymarket API passphrase. If None then will source the POLYMARKET_PASSPHRASE environment variable.

• base_url_http (str, optional) – The HTTP client custom endpoint override.

• base_url_ws (str, optional) – The WebSocket client custom endpoint override.

• ws_max_subscriptions_per_connection (PositiveInt, default 200) – The maximum number of subscriptions per WebSocket connection (Polymarket limit is 500).

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

• retry_delay_initial_ms (PositiveInt, optional) – The initial delay (milliseconds) between retries. Short delays with frequent retries may result in account bans.

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

• generate_order_history_from_trades (bool, default False) – If True, uses trades history to generate reports for orders which are no longer active. The Polymarket API only returns active orders and trades. This feature is experimental and is not currently recommended (leave set to False).

• log_raw_ws_messages (bool, default False) – If raw websocket messages should be logged with INFO level. Note: there will be a performance penalty parsing the JSON without an efficient msgspec decoder.

• ack_timeout_secs (PositiveFloat, default 5.0) – The timeout (seconds) to wait for order/trade acknowledgment from cache.

• use_data_api (bool, default False) – Determines which API to use for fetching user positions: - True: Data API (experimental) - efficient for large workloads, fewer API calls - False: CLOB API (stable, default) - balance/allowance endpoint, one request per instrument

instrument_config: PolymarketInstrumentProviderConfig | None

venue: Venue

private_key: str | None

signature_type: int

funder: str | None

api_key: str | None

api_secret: str | None

passphrase: str | None

base_url_http: str | None

base_url_ws: str | None

ws_max_subscriptions_per_connection: Annotated[int, msgspec.Meta(gt=0)]

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

generate_order_history_from_trades: bool

log_raw_ws_messages: bool

ack_timeout_secs: Annotated[float, msgspec.Meta(gt=0.0)]

use_data_api: bool

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 PolymarketInstrumentProvider

Bases: InstrumentProvider

Provides Nautilus instrument definitions from Polymarket.

Parameters:

• client (ClobClient) – The Polymarket CLOB HTTP client.

• clock (LiveClock) – The clock instance.

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

• http_client (HttpClient, optional) – The HTTP client for Gamma API requests.

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

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

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.

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.

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.

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.

class PolymarketLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a Polymarket live data client factory.

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

Create a new Polymarket data client.

Parameters:

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

• name (str) – The custom client ID.

• config (PolymarketDataClientConfig) – The client configuration.

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

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

• clock (LiveClock) – The clock for the instrument provider.

Return type:

PolymarketDataClient

class PolymarketLiveExecClientFactory

Bases: LiveExecClientFactory

Provides a Polymarket live execution client factory.

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

Create a new Polymarket execution client.

Parameters:

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

• name (str) – The custom client ID.

• config (PolymarketExecClientConfig) – The client configuration.

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

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

• clock (LiveClock) – The clock for the instrument provider.

Return type:

PolymarketExecutionClient

get_polymarket_http_client(api_key: str | None = None, api_secret: str | None = None, passphrase: str | None = None, base_url: str | None = None, chain_id: int = 137, signature_type: int = 0, private_key: str | None = None, funder: str | None = None) → ClobClient

Cache and return a Polymarket CLOB client.

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

Parameters:

• api_key (str, optional) – The API key for the client.

• api_secret (str, optional) – The API secret for the client.

• passphrase (str, optional) – The passphrase for the client.

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

• chain_id (int, default POLYGON) – The chain ID for the client.

• signature_type (int, default 0 (EOA)) – The Polymarket signature type.

• private_key (str, optional) – The private key for the wallet on the Polygon network.

• funder (str, optional) – The wallet address (public key) on the Polygon network used for funding USDC.

Return type:

ClobClient

get_polymarket_instrument_id(condition_id: str, token_id: str | int) → InstrumentId

get_polymarket_instrument_provider(client: ClobClient, clock: LiveClock, config: PolymarketInstrumentProviderConfig | None) → PolymarketInstrumentProvider

Cache and return a Polymarket instrument provider.

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

Parameters:

• client (py_clob_client.client.ClobClient) – The client for the instrument provider.

• clock (LiveClock) – The clock for the instrument provider.

• config (PolymarketInstrumentProviderConfig, optional) – The configuration for the instrument provider.

Return type:

PolymarketInstrumentProvider

parse_polymarket_instrument(market_info: dict[str, Any], token_id: str, outcome: str, ts_init: int | None = None) → BinaryOption

Config

class PolymarketDataClientConfig

Bases: LiveDataClientConfig

Configuration for PolymarketDataClient instances.

Parameters:

• instrument_config (PolymarketInstrumentProviderConfig, optional) – The Polymarket instrument provider config.

• venue (Venue, default POLYMARKET_VENUE) – The venue for the client.

• private_key (str, optional) – The private key for the wallet on the Polygon network. If None then will source the POLYMARKET_PK environment variable.

• signature_type (int, default 0 (EOA)) – The Polymarket signature type: - 0: EOA (Externally Owned Account) - 1: Email/Magic Wallet Proxy - 2: Browser Wallet Proxy

• funder (str, optional) – The wallet address (public key) on the Polygon network used for funding USDC. If None then will source the POLYMARKET_FUNDER environment variable.

• api_key (str, optional) – The Polymarket API key. If None then will source the POLYMARKET_API_KEY environment variable.

• api_secret (str, optional) – The Polymarket API secret. If None then will source the POLYMARKET_API_SECRET environment variable.

• passphrase (str, optional) – The Polymarket API passphrase. If None then will source the POLYMARKET_PASSPHRASE environment variable.

• base_url_http (str, optional) – The HTTP client custom endpoint override.

• base_url_ws (str, optional) – The WebSocket client custom endpoint override.

• ws_connection_initial_delay_secs (PositiveFloat, default 5) – The delay (seconds) prior to the first websocket connection to allow initial subscriptions to arrive.

• ws_connection_delay_secs (PositiveFloat, default 0.1) – The delay (seconds) prior to making a new websocket connection to allow non-initial subscriptions to arrive.

• ws_max_subscriptions_per_connection (PositiveInt, default 200) – The maximum number of subscriptions per WebSocket connection (Polymarket limit is 500).

• update_instruments_interval_mins (PositiveInt or None, default 60) – The interval (minutes) between updating Polymarket instruments.

• compute_effective_deltas (bool, default False) – If True, computes effective deltas by comparing old and new order book states, reducing snapshot size. This takes ~1 millisecond, so is not recommended for latency-sensitive strategies.

• drop_quotes_missing_side (bool, default True) – If True, drops QuoteTick messages when bid or ask prices are missing (can occur near market resolution). If False, uses boundary prices (0.001/0.999) with zero volume for missing sides.

instrument_config: PolymarketInstrumentProviderConfig | None

venue: Venue

private_key: str | None

signature_type: int

funder: str | None

api_key: str | None

api_secret: str | None

passphrase: str | None

base_url_http: str | None

base_url_ws: str | None

ws_connection_initial_delay_secs: Annotated[float, msgspec.Meta(gt=0.0)]

ws_connection_delay_secs: Annotated[float, msgspec.Meta(gt=0.0)]

ws_max_subscriptions_per_connection: Annotated[int, msgspec.Meta(gt=0)]

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

compute_effective_deltas: bool

drop_quotes_missing_side: bool

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 PolymarketExecClientConfig

Bases: LiveExecClientConfig

Configuration for PolymarketExecutionClient instances.

Parameters:

• instrument_config (PolymarketInstrumentProviderConfig, optional) – The Polymarket instrument provider config.

• venue (Venue, default POLYMARKET_VENUE) – The venue for the client.

• private_key (str, optional) – The private key for the wallet on the Polygon network. If None then will source the POLYMARKET_PK environment variable.

• signature_type (int, default 0 (EOA)) – The Polymarket signature type: - 0: EOA (Externally Owned Account) - 1: Email/Magic Wallet Proxy - 2: Browser Wallet Proxy

• funder (str, optional) – The wallet address (public key) on the Polygon network used for funding USDC. If None then will source the POLYMARKET_FUNDER environment variable.

• api_key (str, optional) – The Polymarket API key. If None then will source the POLYMARKET_API_KEY environment variable.

• api_secret (str, optional) – The Polymarket API secret. If None then will source the POLYMARKET_API_SECRET environment variable.

• passphrase (str, optional) – The Polymarket API passphrase. If None then will source the POLYMARKET_PASSPHRASE environment variable.

• base_url_http (str, optional) – The HTTP client custom endpoint override.

• base_url_ws (str, optional) – The WebSocket client custom endpoint override.

• ws_max_subscriptions_per_connection (PositiveInt, default 200) – The maximum number of subscriptions per WebSocket connection (Polymarket limit is 500).

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

• retry_delay_initial_ms (PositiveInt, optional) – The initial delay (milliseconds) between retries. Short delays with frequent retries may result in account bans.

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

• generate_order_history_from_trades (bool, default False) – If True, uses trades history to generate reports for orders which are no longer active. The Polymarket API only returns active orders and trades. This feature is experimental and is not currently recommended (leave set to False).

• log_raw_ws_messages (bool, default False) – If raw websocket messages should be logged with INFO level. Note: there will be a performance penalty parsing the JSON without an efficient msgspec decoder.

• ack_timeout_secs (PositiveFloat, default 5.0) – The timeout (seconds) to wait for order/trade acknowledgment from cache.

• use_data_api (bool, default False) – Determines which API to use for fetching user positions: - True: Data API (experimental) - efficient for large workloads, fewer API calls - False: CLOB API (stable, default) - balance/allowance endpoint, one request per instrument

instrument_config: PolymarketInstrumentProviderConfig | None

venue: Venue

private_key: str | None

signature_type: int

funder: str | None

api_key: str | None

api_secret: str | None

passphrase: str | None

base_url_http: str | None

base_url_ws: str | None

ws_max_subscriptions_per_connection: Annotated[int, msgspec.Meta(gt=0)]

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

generate_order_history_from_trades: bool

log_raw_ws_messages: bool

ack_timeout_secs: Annotated[float, msgspec.Meta(gt=0.0)]

use_data_api: bool

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

get_polymarket_http_client(api_key: str | None = None, api_secret: str | None = None, passphrase: str | None = None, base_url: str | None = None, chain_id: int = 137, signature_type: int = 0, private_key: str | None = None, funder: str | None = None) → ClobClient

Cache and return a Polymarket CLOB client.

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

Parameters:

• api_key (str, optional) – The API key for the client.

• api_secret (str, optional) – The API secret for the client.

• passphrase (str, optional) – The passphrase for the client.

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

• chain_id (int, default POLYGON) – The chain ID for the client.

• signature_type (int, default 0 (EOA)) – The Polymarket signature type.

• private_key (str, optional) – The private key for the wallet on the Polygon network.

• funder (str, optional) – The wallet address (public key) on the Polygon network used for funding USDC.

Return type:

ClobClient

get_polymarket_instrument_provider(client: ClobClient, clock: LiveClock, config: PolymarketInstrumentProviderConfig | None) → PolymarketInstrumentProvider

Cache and return a Polymarket instrument provider.

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

Parameters:

• client (py_clob_client.client.ClobClient) – The client for the instrument provider.

• clock (LiveClock) – The clock for the instrument provider.

• config (PolymarketInstrumentProviderConfig, optional) – The configuration for the instrument provider.

Return type:

PolymarketInstrumentProvider

class PolymarketLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a Polymarket live data client factory.

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

Create a new Polymarket data client.

Parameters:

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

• name (str) – The custom client ID.

• config (PolymarketDataClientConfig) – The client configuration.

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

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

• clock (LiveClock) – The clock for the instrument provider.

Return type:

PolymarketDataClient

class PolymarketLiveExecClientFactory

Bases: LiveExecClientFactory

Provides a Polymarket live execution client factory.

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

Create a new Polymarket execution client.

Parameters:

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

• name (str) – The custom client ID.

• config (PolymarketExecClientConfig) – The client configuration.

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

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

• clock (LiveClock) – The clock for the instrument provider.

Return type:

PolymarketExecutionClient

Enums

class PolymarketSignatureType

Bases: Enum

EOA = 0

POLY_PROXY = 1

POLY_GNOSIS_SAFE = 2

class PolymarketOrderSide

Bases: Enum

BUY = 'BUY'

SELL = 'SELL'

class PolymarketLiquiditySide

Bases: Enum

MAKER = 'MAKER'

TAKER = 'TAKER'

class PolymarketOrderType

Bases: Enum

FOK = 'FOK'

FAK = 'FAK'

GTC = 'GTC'

GTD = 'GTD'

class PolymarketEventType

Bases: Enum

PLACEMENT = 'PLACEMENT'

UPDATE = 'UPDATE'

CANCELLATION = 'CANCELLATION'

TRADE = 'TRADE'

class PolymarketOrderStatus

Bases: Enum

INVALID = 'INVALID'

LIVE = 'LIVE'

DELAYED = 'DELAYED'

MATCHED = 'MATCHED'

UNMATCHED = 'UNMATCHED'

CANCELED = 'CANCELED'

CANCELED_MARKET_RESOLVED = 'CANCELED_MARKET_RESOLVED'

class PolymarketTradeStatus

Bases: Enum

MATCHED = 'MATCHED'

MINED = 'MINED'

CONFIRMED = 'CONFIRMED'

RETRYING = 'RETRYING'

FAILED = 'FAILED'

Providers

class PolymarketInstrumentProviderConfig

Bases: InstrumentProviderConfig

Configuration for PolymarketInstrumentProvider instances.

Parameters:

event_slug_builder (str, optional) –

A fully qualified path to a callable that returns a list of event slugs to fetch. The callable should have signature: () -> list[str].

When set, the provider will call this function on each initialization/refresh cycle to dynamically generate event slugs, then fetch only those specific events from the Gamma API. This is much more efficient for niche markets with predictable slug patterns (e.g., temperature markets, UpDown crypto markets).

Example: “myproject.slugs:build_temperature_slugs”

event_slug_builder: str | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

Return type:

dict[str, Any]

filter_callable: str | None

filters: dict[str, Any] | None

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

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]

load_all: bool

load_ids: frozenset[InstrumentId] | None

log_warnings: bool

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

use_gamma_markets: bool

validate() → bool

Return whether the configuration can be represented as valid JSON.

Return type:

bool

class PolymarketInstrumentProvider

Bases: InstrumentProvider

Provides Nautilus instrument definitions from Polymarket.

Parameters:

• client (ClobClient) – The Polymarket CLOB HTTP client.

• clock (LiveClock) – The clock instance.

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

• http_client (HttpClient, optional) – The HTTP client for Gamma API requests.

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

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

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.

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.

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.

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.

Data

class PolymarketDataClient

Bases: LiveMarketDataClient

Provides a data client for Polymarket, a decentralized predication market.

Parameters:

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

• http_client (py_clob_client.client.ClobClient) – The Polymarket HTTP client.

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

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

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

• instrument_provider (PolymarketInstrumentProvider) – The instrument provider.

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

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

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

class PolymarketExecutionClient

Bases: LiveExecutionClient

Provides an execution client for Polymarket, a decentralized predication market.

Parameters:

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

• http_client (py_clob_client.client.ClobClient) – The Polymarket HTTP client.

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

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

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

• instrument_provider (PolymarketInstrumentProvider) – The instrument provider.

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

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

PROCESSED_TRADES_LIMIT = 10000

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

Generate a list of `OrderStatusReport`s with optional query filters.

The returned list may be empty if no orders match the given parameters.

Parameters:

command (GenerateOrderStatusReports) – The command for generating the reports.

Return type:

list[OrderStatusReport]

async generate_order_status_report(command: GenerateOrderStatusReport) → OrderStatusReport | None

Generate an OrderStatusReport for the given order identifier parameter(s).

If the order is not found, or an error occurs, then logs and returns None.

Parameters:

command (GenerateOrderStatusReport) – The command to generate the report.

Return type:

OrderStatusReport or None

Raises:

ValueError – If both the client_order_id and venue_order_id are None.

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

Generate a list of `FillReport`s with optional query filters.

The returned list may be empty if no trades match the given parameters.

Parameters:

command (GenerateFillReports) – The command for generating the reports.

Return type:

list[FillReport]

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

Generate a list of `PositionStatusReport`s with optional query filters.

The returned list may be empty if no positions match the given parameters.

Parameters:

command (GeneratePositionStatusReports) – The command for generating the position status reports.

Return type:

list[PositionStatusReport]

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