Data

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

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

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

Aggregation

class BarAggregator

Bases: object

BarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of aggregating specified bars and sending to a registered handler.

The aggregator maintains two state flags exposed as properties: - historical_mode: Indicates the aggregator is processing historical data. - is_running: Indicates the aggregator is receiving data from the message bus.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (TradeTick) – The tick for the update.

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class BarBuilder

Bases: object

BarBuilder(Instrument instrument, BarType bar_type) -> None

Provides a generic bar builder for aggregation.

Parameters:

• instrument (Instrument) – The instrument for the builder.

• bar_type (BarType) – The bar type for the builder.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

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

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

Parameters:

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) for the bar event.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) for the bar initialization.

Return type:

Bar

build_now(self) → Bar

Return the aggregated bar and reset.

Return type:

Bar

count

The builders current update count.

Returns:

int

initialized

If the builder is initialized.

Returns:

bool

price_precision

The price precision for the builders instrument.

Returns:

uint8

reset(self) → void

Reset the bar builder.

All stateful fields are reset to their initial value.

size_precision

The size precision for the builders instrument.

Returns:

uint8

ts_last

UNIX timestamp (nanoseconds) when the builder last updated.

Returns:

uint64_t

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

Update the bar builder.

Parameters:

• price (Price) – The update price.

• size (Decimal) – The update size.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) of the update.

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

Update the bar builder.

Parameters:

bar (Bar) – The update Bar.

class RenkoBarAggregator

Bases: BarAggregator

RenkoBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building Renko bars from ticks.

Renko bars are created when the price moves by a fixed amount (brick size) regardless of time or volume. Each bar represents a price movement equal to the step size in the bar specification.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

brick_size

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (TradeTick) – The tick for the update.

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class SpreadQuoteAggregator

Bases: object

SpreadQuoteAggregator(Instrument spread_instrument, handler: Callable[[QuoteTick], None], GreeksCalculator greeks_calculator, Clock clock, bool historical, update_interval_seconds=None, int quote_build_delay=0)

Provides a spread quote generator for creating synthetic quotes from leg instruments.

The generator receives quote ticks from leg instruments via handler callbacks and generates synthetic quotes for the spread instrument. Pricing logic differs by instrument type:

• Futures spreads: Calculates weighted bid/ask prices based on leg ratios (positive ratios use bid/ask directly, negative ratios invert bid/ask).

• Option spreads: Uses vega-weighted spread calculation to determine bid/ask spreads, then applies to the weighted mid-price based on leg ratios.

The aggregator requires quotes from all legs before building a spread quote. It can operate in two modes:

1. Quote-driven mode (update_interval_seconds=None): Receives quote tick updates via handler and builds spread quotes immediately when all legs have received quotes. This is the default and recommended mode for most use cases.

2. Timer-driven mode (update_interval_seconds=int): Uses a periodic timer to read quotes from internal state and build spread quotes at regular intervals. In historical mode, timer events are processed when quotes arrive, ensuring all quotes for a given timestamp are received before processing timer events for that timestamp.

In historical mode, the aggregator advances the provided clock independently with incoming data timestamps, similar to TimeBarAggregator. Timer events are generated by advancing the clock and are processed only when all legs have received quotes for the corresponding timestamp.

Parameters:

• spread_instrument (Instrument) – The spread instrument to generate quotes for.

• handler (Callable[[QuoteTick], None]) – The quote handler callback that receives generated spread quotes.

• greeks_calculator (GreeksCalculator) – The greeks calculator for calculating option greeks (required for option spreads).

• clock (Clock) – The clock for timing operations and timer management.

• historical (bool) – Whether the aggregator is processing historical data. When True, the clock is advanced independently with incoming data timestamps.

• update_interval_seconds (int | None, default None) – The interval in seconds for timer-driven quote building. If None, uses quote-driven mode (builds immediately when all legs have quotes). If an integer, uses timer-driven mode (reads from internal state at the specified interval).

• quote_build_delay (int, default 0) – The time delay (microseconds) before building and emitting a quote.

Raises:

ValueError – If spread_instrument has one or fewer legs.

handle_quote_tick(self, QuoteTick tick) → void

historical_mode

‘bool’

Type:

historical_mode

is_running

‘bool’

Type:

is_running

set_clock(self, Clock clock) → void

set_historical_mode(self, bool historical_mode, handler: Callable[[QuoteTick], None], GreeksCalculator greeks_calculator) → void

set_running(self, bool is_running) → void

start_timer(self) → void

stop_timer(self) → void

class TickBarAggregator

Bases: BarAggregator

TickBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building tick bars from ticks.

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

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (TradeTick) – The tick for the update.

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class TickImbalanceBarAggregator

Bases: BarAggregator

TickImbalanceBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building tick imbalance bars from ticks.

When the absolute difference between buy and sell ticks reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class TickRunsBarAggregator

Bases: BarAggregator

TickRunsBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building tick runs bars from ticks.

When consecutive ticks of the same aggressor side reach the step threshold of the bar specification, then a bar is created and sent to the handler. The run resets when the aggressor side changes.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class TimeBarAggregator

Bases: BarAggregator

TimeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Clock clock, str interval_type=’left-open’, bool timestamp_on_close=True, bool skip_first_non_full_bar=False, bool build_with_no_updates=True, time_bars_origin_offset: pd.Timedelta | pd.DateOffset = None, int bar_build_delay=0) -> None

Provides a means of building time bars from ticks with an internal timer.

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

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

• clock (Clock) – The clock for the aggregator.

• interval_type (str, default 'left-open') – Determines the type of interval used for time aggregation. - ‘left-open’: start time is excluded and end time is included (default). - ‘right-open’: start time is included and end time is excluded.

• timestamp_on_close (bool, default True) – If True, then timestamp will be the bar close time. If False, then timestamp will be the bar open time.

• skip_first_non_full_bar (bool, default False) – If will skip emitting a bar if the aggregation starts mid-interval.

• build_with_no_updates (bool, default True) – If build and emit bars with no new market updates.

• time_bars_origin_offset (pd.Timedelta or pd.DateOffset, optional) – The origin time offset.

• bar_build_delay (int, default 0) – The time delay (microseconds) before building and emitting a composite bar type.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

first_close_ns

get_start_time(self, datetime now: datetime) → datetime

Return the start time for the aggregator’s next bar.

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (TradeTick) – The tick for the update.

historical_mode

If the aggregator is processing historical data.

Returns:

bool

interval

interval_ns

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

next_close_ns

set_clock(self, Clock clock) → void

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

start_timer(self) → void

stop_timer(self) → void

stored_open_ns

class ValueBarAggregator

Bases: BarAggregator

ValueBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building value bars from ticks.

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

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

get_cumulative_value(self)

Return the current cumulative value of the aggregator.

Return type:

Decimal

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (TradeTick) – The tick for the update.

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class ValueImbalanceBarAggregator

Bases: BarAggregator

ValueImbalanceBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building value imbalance bars from ticks.

When the absolute difference between buy and sell notional value reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class ValueRunsBarAggregator

Bases: BarAggregator

ValueRunsBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building value runs bars from ticks.

When consecutive notional value of the same aggressor side reaches the step threshold of the bar specification, then a bar is created and sent to the handler. The run resets when the aggressor side changes.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class VolumeBarAggregator

Bases: BarAggregator

VolumeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building volume bars from ticks.

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

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (TradeTick) – The tick for the update.

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class VolumeImbalanceBarAggregator

Bases: BarAggregator

VolumeImbalanceBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building volume imbalance bars from ticks.

When the absolute difference between buy and sell volume reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

class VolumeRunsBarAggregator

Bases: BarAggregator

VolumeRunsBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None

Provides a means of building volume runs bars from ticks.

When consecutive volume of the same aggressor side reaches the step threshold of the bar specification, then a bar is created and sent to the handler. The run resets when the aggressor side changes.

Parameters:

• instrument (Instrument) – The instrument for the aggregator.

• bar_type (BarType) – The bar type for the aggregator.

• handler (Callable[[Bar], None]) – The bar handler for the aggregator.

Raises:

ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

Returns:

BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

Parameters:

bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

Parameters:

tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

historical_mode

If the aggregator is processing historical data.

Returns:

bool

is_running

If the aggregator is receiving data from the message bus.

Returns:

bool

set_historical_mode(self, bool historical_mode, handler: Callable[[Bar], None]) → void

Set the historical mode state of the aggregator.

Parameters:

• historical_mode (bool) – Whether the aggregator is processing historical data.

• handler (Callable[[Bar], None]) – The bar handler to use in this mode.

Raises:

TypeError – If handler is None or not callable.

set_running(self, bool is_running) → void

Set the running state of the aggregator.

Parameters:

is_running (bool) – Whether the aggregator is running (receiving data from message bus).

find_closest_smaller_time(now: pd.Timestamp, daily_time_origin: pd.Timedelta, period: pd.Timedelta) → pd.Timestamp

Find the closest bar start_time <= now

Client

class DataClient

Bases: Component

DataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: NautilusConfig | None = None)

The base class for all data clients.

Parameters:

• client_id (ClientId) – The data client ID.

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

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

• venue (Venue, optional) – The client venue. If multi-venue then can be None.

• config (NautilusConfig, optional) – The configuration for the instance.

Warning

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

degrade(self) → void

Degrade the component.

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

Warning

Do not override.

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

dispose(self) → void

Dispose of the component.

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

Warning

Do not override.

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

fault(self) → void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name(cls) → str

Return the fully qualified name for the components class.

Return type:

str

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.

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

shutdown_system(self, str reason=None) → void

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

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

Parameters:

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

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

subscribe(self, SubscribeData command) → void

Subscribe to data for the given data type.

Parameters:

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

subscribed_custom_data(self) → list

Return the custom data types subscribed to.

Return type:

list[DataType]

trader_id

The trader ID associated with the component.

Returns:

TraderId

type

The components type.

Returns:

type

unsubscribe(self, UnsubscribeData command) → void

Unsubscribe from data for the given data type.

Parameters:

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

venue

The clients venue ID (if applicable).

Returns:

Venue or None

class MarketDataClient

Bases: DataClient

MarketDataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: NautilusConfig | None = None)

The base class for all market data clients.

Parameters:

• client_id (ClientId) – The data client ID.

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

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

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

• venue (Venue, optional) – The client venue. If multi-venue then can be None.

• config (NautilusConfig, optional) – The configuration for the instance.

Warning

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

degrade(self) → void

Degrade the component.

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

Warning

Do not override.

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

dispose(self) → void

Dispose of the component.

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

Warning

Do not override.

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

fault(self) → void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name(cls) → str

Return the fully qualified name for the components class.

Return type:

str

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_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.

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

Engine

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

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

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

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

class DataEngine

Bases: Component

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

Provides a high-performance data engine for managing many DataClient instances, for the asynchronous ingest of data.

Parameters:

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

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

• clock (Clock) – The clock for the engine.

• config (DataEngineConfig, optional) – The configuration for the instance.

check_connected(self) → bool

Check all of the engines clients are connected.

Returns:

True if all clients connected, else False.

Return type:

bool

check_disconnected(self) → bool

Check all of the engines clients are disconnected.

Returns:

True if all clients disconnected, else False.

Return type:

bool

command_count

The total count of data commands received by the engine.

Returns:

int

connect(self) → None

Connect the engine by calling connect on all registered clients.

data_count

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

Returns:

int

debug

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

Returns:

bool

default_client

ClientId | None

Return the default data client registered with the engine.

Return type:

ClientId or None

Type:

DataEngine.default_client

degrade(self) → void

Degrade the component.

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

Warning

Do not override.

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

deregister_client(self, DataClient client) → void

Deregister the given data client from the data engine.

Parameters:

client (DataClient) – The data client to deregister.

disconnect(self) → None

Disconnect the engine by calling disconnect on all registered clients.

dispose(self) → void

Dispose of the component.

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

Warning

Do not override.

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

execute(self, DataCommand command) → void

Execute the given data command.

Parameters:

command (DataCommand) – The command to execute.

fault(self) → void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name(cls) → str

Return the fully qualified name for the components class.

Return type:

str

References

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

get_external_client_ids(self) → set

Returns the configured external client order IDs.

Return type:

set[ClientId]

id

The components ID.

Returns:

ComponentId

is_degraded

bool

Return whether the current component state is DEGRADED.

Return type:

bool

Type:

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

Return type:

bool

Type:

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

Return type:

bool

Type:

Component.is_faulted

is_initialized

bool

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

Return type:

bool

Type:

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING.

Return type:

bool

Type:

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

Return type:

bool

Type:

Component.is_stopped

process(self, Data data, bool historical=False) → void

Process the given data.

Parameters:

data (Data) – The data to process.

process_historical(self, Data data) → void

Process historical data.

Parameters:

data (Data) – The historical data to process.

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

Register the given data catalog with the engine.

Parameters:

• catalog (ParquetDataCatalog) – The data catalog to register.

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

register_client(self, DataClient client) → void

Register the given data client with the data engine.

Parameters:

client (DataClient) – The client to register.

Raises:

ValueError – If client is already registered.

register_default_client(self, DataClient client) → void

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

Any existing default routing client will be overwritten.

Parameters:

client (DataClient) – The client to register.

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

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

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

Parameters:

• venue (Venue) – The venue to route messages to.

• client (DataClient) – The client for the venue routing.

registered_clients

list[ClientId]

Return the execution clients registered with the engine.

Return type:

list[ClientId]

Type:

DataEngine.registered_clients

request(self, RequestData request) → void

Handle the given request.

Parameters:

request (RequestData) – The request to handle.

request_count

The total count of data requests received by the engine.

Returns:

int

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

response(self, DataResponse response) → void

Handle the given response.

Parameters:

response (DataResponse) – The response to handle.

response_count

The total count of data responses received by the engine.

Returns:

int

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

routing_map

dict[Venue, DataClient]

Return the default data client registered with the engine.

Return type:

ClientId or None

Type:

DataEngine.routing_map

shutdown_system(self, str reason=None) → void

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

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

Parameters:

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

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

stop_clients(self) → void

Stop the registered clients.

subscribed_bars(self) → list

Return the bar types subscribed to.

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 close price instruments 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_synthetic_quotes(self) → list

Return the synthetic instrument quotes subscribed to.

Return type:

list[InstrumentId]

subscribed_synthetic_trades(self) → list

Return the synthetic instrument trades 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

class SnapshotInfo

Bases: object

default_time_range_generator(RequestData request)

Generator that yields (request_start_ns, request_end_ns) tuples for subrequests.

This generator handles the duration logic and receives data_received feedback via .send().

get_time_range_generator(str name: str)

register_time_range_generator(str name: str, function: TimeRangeGenerator)

Messages

class DataCommand

Bases: Command

DataCommand(DataType data_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

The base class for all data commands.

Parameters:

• data_type (type) – The data type for the command.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object], optional) – Additional parameters for the command.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

Warning

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

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class DataResponse

Bases: Response

DataResponse(ClientId client_id: ClientId | None, Venue venue: Venue | None, DataType data_type, data, UUID4 correlation_id, UUID4 response_id, uint64_t ts_init, datetime start, datetime end, dict params: dict | None = None) -> None

Represents a response with data.

Parameters:

• client_id (ClientId or None) – The data client ID of the response.

• venue (Venue or None) – The venue for the response.

• data_type (type) – The data type of the response.

• data (object) – The data of the response.

• correlation_id (UUID4) – The correlation ID.

• response_id (UUID4) – The response ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• start (datetime) – The start datetime (UTC) of response time range (inclusive).

• end (datetime) – The end datetime (UTC) of response time range (inclusive).

• params (dict[str, object], optional) – Additional parameters for the response.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the response.

Returns:

ClientId or None

correlation_id

The response correlation ID.

Returns:

UUID4

data

The response data.

Returns:

object

data_type

The response data type.

Returns:

type

end

The end datetime (UTC) of response time range.

id

The response message ID.

Returns:

UUID4

params

Additional specific parameters for the response.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the response.

Returns:

Venue or None

class RequestBars

Bases: RequestData

RequestBars(BarType bar_type, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for bars.

Parameters:

• bar_type (BarType) – The bar type for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• limit (int) – The limit on the amount of bars received.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

bar_type

The bar type for the request.

Returns:

BarType

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestData

Bases: Request

RequestData(DataType data_type, InstrumentId instrument_id: InstrumentId | None, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for data.

Parameters:

• data_type (type) – The data type for the request.

• instrument_id (InstrumentId) – The instrument ID for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• limit (int) – The limit on the amount of data to return for the request.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestFundingRates

Bases: RequestData

RequestFundingRates(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for funding rates.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• limit (int) – The limit on the amount of trade ticks received.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestInstrument

Bases: RequestData

RequestInstrument(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestInstruments

Bases: RequestData

RequestInstruments(datetime start: datetime | None, datetime end: datetime | None, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for instruments.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestJoin

Bases: RequestData

RequestJoin(tuple request_ids, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request to join multiple data requests.

Parameters:

• request_ids (tuple[UUID4]) – The tuple of sub-request IDs to join.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

request_ids

The tuple of sub-request IDs.

Returns:

tuple[UUID4]

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestOrderBookDeltas

Bases: RequestData

RequestOrderBookDeltas(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for historical OrderBookDeltas data.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• limit (int) – The limit on the amount of deltas received.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestOrderBookDepth

Bases: RequestData

RequestOrderBookDepth(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, int limit, int depth, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for historical OrderBookDepth10 data.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• limit (int) – The limit on the amount of depth snapshots received.

• depth (int) – The maximum depth for the order book depth data (default is 10).

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

depth

The maximum depth for the order book depths.

Returns:

int

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestOrderBookSnapshot

Bases: RequestData

RequestOrderBookSnapshot(InstrumentId instrument_id, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for an order book snapshot.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the request.

• limit (int) – The limit on the depth of the order book snapshot (default is None).

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestQuoteTicks

Bases: RequestData

RequestQuoteTicks(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for quote ticks.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• limit (int) – The limit on the amount of quote ticks received.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class RequestTradeTicks

Bases: RequestData

RequestTradeTicks(InstrumentId instrument_id, datetime start: datetime | None, datetime end: datetime | None, int limit, ClientId client_id: ClientId | None, Venue venue: Venue | None, callback: Callable[[Any], None] | None, UUID4 request_id, uint64_t ts_init, dict params: dict | None, UUID4 correlation_id=None) -> None

Represents a request for trade ticks.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the request.

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• limit (int) – The limit on the amount of trade ticks received.

• client_id (ClientId or None) – The data client ID for the request.

• venue (Venue or None) – The venue for the request.

• callback (Callable[[Any], None]) – The delegate to call with the data.

• request_id (UUID4) – The request ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• params (dict[str, object]) – Additional parameters for the request.

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns:

Callable

client_id

The data client ID for the request.

Returns:

ClientId or None

correlation_id

The request correlation ID.

Returns:

UUID4 or None

data_type

The request data type.

Returns:

type

end

The end datetime (UTC) of request time range.

id

The request message ID.

Returns:

UUID4

instrument_id

The instrument ID for the request.

Returns:

InstrumentId

limit

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the request.

Returns:

Venue or None

with_dates(self, datetime start, datetime end, uint64_t ts_init, callback: Callable[[Any], None] | None = None)

class SubscribeBars

Bases: SubscribeData

SubscribeBars(BarType bar_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to bars for an instrument.

Parameters:

• bar_type (BarType) – The bar type for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

bar_type

The bar type for the subscription.

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestBars

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestBars

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeData

Bases: DataCommand

SubscribeData(DataType data_type, InstrumentId instrument_id: InstrumentId | None, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to data.

Parameters:

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

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestData

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeFundingRates

Bases: SubscribeData

SubscribeFundingRates(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to funding rates.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestData

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeIndexPrices

Bases: SubscribeData

SubscribeIndexPrices(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to index prices.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestData

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeInstrument

Bases: SubscribeData

SubscribeInstrument(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestData

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeInstrumentClose

Bases: SubscribeData

SubscribeInstrumentClose(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to the close of an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestData

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeInstrumentStatus

Bases: SubscribeData

SubscribeInstrumentStatus(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to the status of an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestData

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeInstruments

Bases: SubscribeData

SubscribeInstruments(ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to all instruments of a venue.

Parameters:

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestInstruments

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestInstruments

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeMarkPrices

Bases: SubscribeData

SubscribeMarkPrices(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to mark prices.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestData

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeOrderBook

Bases: SubscribeData

SubscribeOrderBook(InstrumentId instrument_id, type book_data_type, BookType book_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, int depth=0, bool managed=True, int interval_ms=0, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to order book deltas for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• data_type (DataType, {OrderBookDeltas, OrderBookDepth10}) – The data type for book updates.

• book_type (BookType) – The order book type.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

• depth (int, optional, default 0) – The maximum depth for the subscription.

• managed (bool, optional, default True) – If an order book should be managed by the data engine based on the subscribed feed.

• interval_ms (int, default 0 (no interval snapshots)) – The interval (milliseconds) between snapshots.

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

Raises:

• ValueError – If both client_id and venue are both None (not enough routing info).

• ValueError – If interval_ms is negative (< 0).

book_type

The order book type.

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

depth

The maximum depth for the subscription.

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

interval_ms

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

managed

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

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestOrderBookDepth | RequestOrderBookDeltas

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestOrderBookDepth | RequestOrderBookDeltas

Raises:

ValueError – If the data type is neither OrderBookDepth10 nor OrderBookDelta.

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeQuoteTicks

Bases: SubscribeData

SubscribeQuoteTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to quote ticks.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestQuoteTicks

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestQuoteTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class SubscribeTradeTicks

Bases: SubscribeData

SubscribeTradeTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to subscribe to trade ticks.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

to_request(self, datetime start: datetime | None, datetime end: datetime | None, callback: Callable[[Any], None] | None) → RequestTradeTicks

Convert this subscribe message to a request message.

Parameters:

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

• end (datetime) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

• callback (Callable[[Any], None]) – The delegate to call with the data.

Returns:

The converted request message.

Return type:

RequestTradeTicks

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeBars

Bases: UnsubscribeData

UnsubscribeBars(BarType bar_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from bars for an instrument.

Parameters:

• bar_type (BarType) – The bar type for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

bar_type

The bar type for the subscription.

Returns:

BarType

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeData

Bases: DataCommand

UnsubscribeData(DataType data_type, InstrumentId instrument_id: InstrumentId | None, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe to data.

Parameters:

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

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeFundingRates

Bases: UnsubscribeData

UnsubscribeFundingRates(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from funding rates for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeIndexPrices

Bases: UnsubscribeData

UnsubscribeIndexPrices(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from index prices for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeInstrument

Bases: UnsubscribeData

UnsubscribeInstrument(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe to an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeInstrumentClose

Bases: UnsubscribeData

UnsubscribeInstrumentClose(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from instrument close for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeInstrumentStatus

Bases: UnsubscribeData

UnsubscribeInstrumentStatus(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from instrument status.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeInstruments

Bases: UnsubscribeData

UnsubscribeInstruments(ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe to all instruments.

Parameters:

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeMarkPrices

Bases: UnsubscribeData

UnsubscribeMarkPrices(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from mark prices for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeOrderBook

Bases: UnsubscribeData

UnsubscribeOrderBook(InstrumentId instrument_id, type book_data_type, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from order book updates for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• book_data_type (type, {OrderBookDelta, OrderBookDepth10}) – The data type for book updates.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeQuoteTicks

Bases: UnsubscribeData

UnsubscribeQuoteTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from quote ticks for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None

class UnsubscribeTradeTicks

Bases: UnsubscribeData

UnsubscribeTradeTicks(InstrumentId instrument_id, ClientId client_id: ClientId | None, Venue venue: Venue | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to unsubscribe from trade ticks for an instrument.

Parameters:

• instrument_id (InstrumentId) – The instrument ID for the subscription.

• client_id (ClientId or None) – The data client ID for the command.

• venue (Venue or None) – The venue for the command.

• command_id (UUID4) – The command ID.

• ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

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

Raises:

ValueError – If both client_id and venue are both None (not enough routing info).

client_id

The data client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

data_type

The command data type.

Returns:

type

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID for the subscription.

Returns:

InstrumentId or None

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue for the command.

Returns:

Venue or None