Execution

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

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

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

Components

class ExecAlgorithm

Bases: Actor

ExecAlgorithm(config: ExecAlgorithmConfig | None = None)

The base class for all execution algorithms.

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

Parameters:

config (ExecAlgorithmConfig, optional) – The execution algorithm configuration.

Raises:

TypeError – If config is not of type ExecAlgorithmConfig.

Warning

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

active_task_ids(self) → list

Return the active task identifiers.

Return type:

list[TaskId]

add_synthetic(self, SyntheticInstrument synthetic) → void

Add the created synthetic instrument to the cache.

Parameters:

synthetic (SyntheticInstrument) – The synthetic instrument to add to the cache.

Raises:

KeyError – If synthetic is already in the cache.

Notes

If you are updating the synthetic instrument then you should use the update_synthetic method.

cache

The read-only cache for the actor.

Returns:

CacheFacade

cancel_all_tasks(self) → void

Cancel all queued and active tasks.

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

Cancel the given order with optional routing instructions.

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

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

Parameters:

• order (Order) – The order to cancel.

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

cancel_task(self, task_id: TaskId) → void

Cancel the task with the given task_id (if queued or active).

If the task is not found then a warning is logged.

Parameters:

task_id (TaskId) – The task identifier.

clock

The actors clock.

Returns:

Clock

config

The actors configuration.

Returns:

NautilusConfig

degrade(self) → void

Degrade the component.

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

Warning

Do not override.

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

deregister_warning_event(self, type event) → void

Deregister the given event type from warning log levels.

Parameters:

event (type) – The event class to deregister.

dispose(self) → void

Dispose of the component.

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

Warning

Do not override.

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

execute(self, TradingCommand command) → void

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

Parameters:

command (SubmitOrder) – The command to handle.

Raises:

ValueError – If command.exec_algorithm_id is not equal to self.id.

fault(self) → void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name(cls) → str

Return the fully qualified name for the components class.

Return type:

str

References

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

greeks

The read-only greeks calculator for the actor.

Returns:

GreeksCalculator

handle_bar(self, Bar bar, bool historical=False) → void

Handle the given bar data.

If state is RUNNING then passes to on_bar.

Parameters:

bar (Bar) – The bar received.

Warning

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

handle_data(self, Data data) → void

Handle the given data.

If state is RUNNING then passes to on_data.

Parameters:

data (Data) – The data received.

Warning

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

handle_event(self, Event event) → void

Handle the given event.

If state is RUNNING then passes to on_event.

Parameters:

event (Event) – The event received.

Warning

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

handle_funding_rate(self, FundingRateUpdate funding_rate, bool historical=False) → void

Handle the given funding rate update.

If state is RUNNING then passes to on_funding_rate.

Parameters:

funding_rate (FundingRateUpdate) – The funding rate update received.

Warning

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

handle_historical_bar(self, Bar bar) → void

handle_historical_data(self, data) → void

Handle the given historical data.

Parameters:

data (Data) – The historical data received.

Warning

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

handle_historical_funding_rate(self, FundingRateUpdate funding_rate) → void

handle_historical_order_book_deltas(self, OrderBookDeltas deltas) → void

handle_historical_order_book_depth(self, OrderBookDepth10 depth) → void

handle_historical_quote_tick(self, QuoteTick tick) → void

handle_historical_trade_tick(self, TradeTick tick) → void

handle_index_price(self, IndexPriceUpdate index_price) → void

Handle the given index price update.

If state is RUNNING then passes to on_index_price.

Parameters:

index_price (IndexPriceUpdate) – The index price update received.

Warning

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

handle_instrument(self, Instrument instrument) → void

Handle the given instrument.

Passes to on_instrument if state is RUNNING.

Parameters:

instrument (Instrument) – The instrument received.

Warning

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

handle_instrument_close(self, InstrumentClose update) → void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close.

Parameters:

update (InstrumentClose) – The update received.

Warning

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

handle_instrument_status(self, InstrumentStatus data) → void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status.

Parameters:

data (InstrumentStatus) – The status update received.

Warning

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

handle_mark_price(self, MarkPriceUpdate mark_price) → void

Handle the given mark price update.

If state is RUNNING then passes to on_mark_price.

Parameters:

mark_price (MarkPriceUpdate) – The mark price update received.

Warning

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

handle_order_book(self, OrderBook order_book) → void

Handle the given order book.

Passes to on_order_book if state is RUNNING.

Parameters:

order_book (OrderBook) – The order book received.

Warning

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

handle_order_book_deltas(self, deltas, bool historical=False) → void

Handle the given order book deltas.

Passes to on_order_book_deltas if state is RUNNING. The deltas will be nautilus_pyo3.OrderBookDeltas if the pyo3_conversion flag was set for the subscription.

Parameters:

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

• historical (bool, default False) – If True, treats the data as historical.

Warning

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

handle_order_book_depth(self, OrderBookDepth10 depth, bool historical=False) → void

Handle the given order book depth

Passes to on_order_book_depth if state is RUNNING.

Parameters:

depth (OrderBookDepth10) – The order book depth received.

Warning

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

handle_quote_tick(self, QuoteTick tick, bool historical=False) → void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick.

Parameters:

tick (QuoteTick) – The tick received.

Warning

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

handle_signal(self, Data signal) → void

Handle the given signal.

If state is RUNNING then passes to on_signal.

Parameters:

signal (Data) – The signal received.

Warning

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

handle_trade_tick(self, TradeTick tick, bool historical=False) → void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick.

Parameters:

tick (TradeTick) – The tick received.

Warning

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

has_active_tasks(self) → bool

Return a value indicating whether there are any active tasks.

Return type:

bool

has_any_tasks(self) → bool

Return a value indicating whether there are any queued OR active tasks.

Return type:

bool

has_pending_requests(self) → bool

Return whether the actor is pending processing for any requests.

Returns:

True if any requests are pending, else False.

Return type:

bool

has_queued_tasks(self) → bool

Return a value indicating whether there are any queued tasks.

Return type:

bool

id

The components ID.

Returns:

ComponentId

indicators_initialized(self) → bool

Return a value indicating whether all indicators are initialized.

Returns:

True if all initialized, else False

Return type:

bool

is_degraded

bool

Return whether the current component state is DEGRADED.

Return type:

bool

Type:

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

Return type:

bool

Type:

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

Return type:

bool

Type:

Component.is_faulted

is_initialized

bool

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

Return type:

bool

Type:

Component.is_initialized

is_pending_request(self, UUID4 request_id) → bool

Return whether the request for the given identifier is pending processing.

Parameters:

request_id (UUID4) – The request ID to check.

Returns:

True if request is pending, else False.

Return type:

bool

is_running

bool

Return whether the current component state is RUNNING.

Return type:

bool

Type:

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

Return type:

bool

Type:

Component.is_stopped

load(self, dict state) → void

Load the actor/strategy state from the give state dictionary.

Calls on_load and passes the state.

Parameters:

state (dict[str, bytes]) – The strategy state to load.

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns:

Logger

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

Modify the given order with optional parameters and routing instructions.

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

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

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

Parameters:

• order (Order) – The order to update.

• quantity (Quantity, optional) – The updated quantity for the given order.

• price (Price, optional) – The updated price for the given order (if applicable).

• trigger_price (Price, optional) – The updated trigger price for the given order (if applicable).

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

Raises:

• ValueError – If price is not None and order does not have a price.

• ValueError – If trigger is not None and order does not have a trigger_price.

Warning

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

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_G_71.html

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

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

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

Parameters:

• order (Order) – The order to update.

• quantity (Quantity, optional) – The updated quantity for the given order.

• price (Price, optional) – The updated price for the given order (if applicable).

• trigger_price (Price, optional) – The updated trigger price for the given order (if applicable).

Raises:

• ValueError – If order.status is not INITIALIZED or RELEASED.

• ValueError – If price is not None and order does not have a price.

• ValueError – If trigger is not None and order does not have a trigger_price.

Warning

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

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_G_71.html

msgbus

The message bus for the actor (if registered).

Returns:

MessageBus or None

on_bar(self, Bar bar) → void

Actions to be performed when running and receives a bar.

Parameters:

bar (Bar) – The bar received.

Warning

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

on_data(self, data) → void

Actions to be performed when running and receives data.

Parameters:

data (Data) – The data received.

Warning

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

on_degrade(self) → void

Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose(self) → void

Actions to be performed on dispose.

Cleanup/release any resources used here.

Warning

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

on_event(self, Event event) → void

Actions to be performed running and receives an event.

Parameters:

event (Event) – The event received.

Warning

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

on_fault(self) → void

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_funding_rate(self, FundingRateUpdate funding_rate) → void

Actions to be performed when running and receives a funding rate update.

Parameters:

funding_rate (FundingRateUpdate) – The funding rate update received.

Warning

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

on_historical_data(self, data) → void

Actions to be performed when running and receives historical data.

Parameters:

data (Data) – The historical data received.

Warning

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

on_index_price(self, IndexPriceUpdate index_price) → void

Actions to be performed when running and receives an index price update.

Parameters:

index_price (IndexPriceUpdate) – The index price update received.

Warning

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

on_instrument(self, Instrument instrument) → void

Actions to be performed when running and receives an instrument.

Parameters:

instrument (Instrument) – The instrument received.

Warning

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

on_instrument_close(self, InstrumentClose update) → void

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

Parameters:

update (InstrumentClose) – The instrument close received.

Warning

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

on_instrument_status(self, InstrumentStatus data) → void

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

Parameters:

data (InstrumentStatus) – The instrument status update received.

Warning

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

on_load(self, dict state) → void

Actions to be performed when the actor state is loaded.

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

Parameters:

state (dict[str, bytes]) – The strategy state to load.

Warning

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

on_mark_price(self, MarkPriceUpdate mark_price) → void

Actions to be performed when running and receives a mark price update.

Parameters:

mark_price (MarkPriceUpdate) – The mark price update received.

Warning

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

on_order(self, Order order) → void

Actions to be performed when running and receives an order.

Parameters:

order (Order) – The order to be handled.

Warning

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

on_order_accepted(self, OrderAccepted event) → void

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

Parameters:

event (OrderAccepted) – The event received.

Warning

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

on_order_book(self, OrderBook order_book) → void

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

Parameters:

order_book (OrderBook) – The order book received.

Warning

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

on_order_book_deltas(self, deltas) → void

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

Parameters:

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

Warning

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

on_order_book_depth(self, depth) → void

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

Parameters:

depth (OrderBookDepth10) – The order book depth received.

Warning

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

on_order_cancel_rejected(self, OrderCancelRejected event) → void

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

Parameters:

event (OrderCancelRejected) – The event received.

Warning

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

on_order_canceled(self, OrderCanceled event) → void

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

Parameters:

event (OrderCanceled) – The event received.

Warning

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

on_order_denied(self, OrderDenied event) → void

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

Parameters:

event (OrderDenied) – The event received.

Warning

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

on_order_emulated(self, OrderEmulated event) → void

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

Parameters:

event (OrderEmulated) – The event received.

Warning

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

on_order_event(self, OrderEvent event) → void

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

Parameters:

event (OrderEvent) – The event received.

Warning

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

on_order_expired(self, OrderExpired event) → void

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

Parameters:

event (OrderExpired) – The event received.

Warning

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

on_order_filled(self, OrderFilled event) → void

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

Parameters:

event (OrderFilled) – The event received.

Warning

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

on_order_initialized(self, OrderInitialized event) → void

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

Parameters:

event (OrderInitialized) – The event received.

Warning

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

on_order_list(self, OrderList order_list) → void

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

Parameters:

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

Warning

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

on_order_modify_rejected(self, OrderModifyRejected event) → void

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

Parameters:

event (OrderModifyRejected) – The event received.

Warning

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

on_order_pending_cancel(self, OrderPendingCancel event) → void

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

Parameters:

event (OrderPendingCancel) – The event received.

Warning

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

on_order_pending_update(self, OrderPendingUpdate event) → void

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

Parameters:

event (OrderPendingUpdate) – The event received.

Warning

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

on_order_rejected(self, OrderRejected event) → void

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

Parameters:

event (OrderRejected) – The event received.

Warning

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

on_order_released(self, OrderReleased event) → void

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

Parameters:

event (OrderReleased) – The event received.

Warning

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

on_order_submitted(self, OrderSubmitted event) → void

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

Parameters:

event (OrderSubmitted) – The event received.

Warning

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

on_order_triggered(self, OrderTriggered event) → void

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

Parameters:

event (OrderTriggered) – The event received.

Warning

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

on_order_updated(self, OrderUpdated event) → void

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

Parameters:

event (OrderUpdated) – The event received.

Warning

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

on_position_changed(self, PositionChanged event) → void

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

Parameters:

event (PositionChanged) – The event received.

Warning

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

on_position_closed(self, PositionClosed event) → void

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

Parameters:

event (PositionClosed) – The event received.

Warning

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

on_position_event(self, PositionEvent event) → void

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

Parameters:

event (PositionEvent) – The event received.

Warning

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

on_position_opened(self, PositionOpened event) → void

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

Parameters:

event (PositionOpened) – The event received.

Warning

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

on_quote_tick(self, QuoteTick tick) → void

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

Parameters:

tick (QuoteTick) – The tick received.

Warning

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

on_reset(self) → void

Actions to be performed on reset.

Warning

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

Should be overridden in a user implementation.

on_resume(self) → void

Actions to be performed on resume.

Warning

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

on_save(self) → dict

Actions to be performed when the actor state is saved.

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

Returns:

The strategy state to save.

Return type:

dict[str, bytes]

Warning

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

on_signal(self, signal) → void

Actions to be performed when running and receives signal data.

Parameters:

signal (Data) – The signal received.

Warning

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

Notes

This refers to a data signal, not an operating system signal (such as SIGTERM, SIGKILL, etc.).

on_start(self) → void

Actions to be performed on start.

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

It is recommended to subscribe/request for data here.

Warning

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

Should be overridden in a user implementation.

on_stop(self) → void

Actions to be performed on stop.

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

Warning

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

Should be overridden in a user implementation.

on_trade_tick(self, TradeTick tick) → void

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

Parameters:

tick (TradeTick) – The tick received.

Warning

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

pending_requests(self) → set

Return the request IDs which are currently pending processing.

Return type:

set[UUID4]

portfolio

The read-only portfolio for the actor.

Returns:

PortfolioFacade

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

Publish the given data to the message bus.

Parameters:

• data_type (DataType) – The data type being published.

• data (Data) – The data to publish.

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

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

Parameters:

• name (str) – The name of the signal being published. The signal name will be converted to title case, with each word capitalized (e.g., ‘example’ becomes ‘SignalExample’).

• value (object) – The signal data to publish.

• ts_event (uint64_t, optional) – UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

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

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

Parameters:

• func (Callable) – The function to be executed.

• args (positional arguments) – The positional arguments for the call to func.

• kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.

Raises:

TypeError – If func is not of type Callable.

Notes

For backtesting the func is immediately executed, as there’s no need for a Future object that can be awaited. In a backtesting scenario, the execution is not in real time, and so the results of func are ‘immediately’ available after it’s called.

queued_task_ids(self) → list

Return the queued task identifiers.

Return type:

list[TaskId]

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

Register the execution algorithm with a trader.

Parameters:

• trader_id (TraderId) – The trader ID for the execution algorithm.

• portfolio (PortfolioFacade) – The read-only portfolio for the execution algorithm.

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

• cache (CacheFacade) – The read-only cache for the execution algorithm.

• clock (Clock) – The clock for the execution algorithm.

Warning

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

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

Register with a trader.

Parameters:

• portfolio (PortfolioFacade) – The read-only portfolio for the actor.

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

• cache (CacheFacade) – The read-only cache for the actor.

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

Warning

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

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

Register the given Executor for the actor.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop of the application.

• executor (concurrent.futures.Executor) – The executor to register.

Raises:

TypeError – If executor is not of type concurrent.futures.Executor

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

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

Parameters:

• bar_type (BarType) – The bar type for bar updates.

• indicator (Indicator) – The indicator to register.

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

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

Parameters:

• instrument_id (InstrumentId) – The instrument ID for tick updates.

• indicator (Indicator) – The indicator to register.

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

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

Parameters:

• instrument_id (InstrumentId) – The instrument ID for tick updates.

• indicator (indicator) – The indicator to register.

register_warning_event(self, type event) → void

Register the given event type for warning log levels.

Parameters:

event (type) – The event class to register.

registered_indicators

Return the registered indicators for the strategy.

Return type:

list[Indicator]

request_aggregated_bars(self, list bar_types, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool include_external_data=False, bool update_subscriptions=False, bool update_catalog=False, bool aggregate_spread_quotes=False, UUID4 request_id=None, dict params=None) → UUID4

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

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

Once the response is received, the bar data is forwarded from the message bus to the on_historical_data handler. Any tick data used for aggregation is also forwarded to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

• bar_types (list[BarType]) – The list of bar types for the request. Composite bars can also be used and need to figure in the list after a BarType on which it depends.

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

• limit (int, optional) – The limit on the amount of data received (quote ticks, trade ticks or bars).

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• include_external_data (bool, default False) – If True, includes the queried external data in the response.

• update_subscriptions (bool, default False) – If True, persists the aggregator of each bar_type so it’s up to date for a subsequent market data subscription.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• aggregate_spread_quotes (bool, default False) – Whether to activate a spread quote aggregator from leg quotes. Only applicable when requesting quote ticks for spread instruments.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• ValueError – If bar_types is empty.

• TypeError – If callback is not None and not of type Callable.

• TypeError – If bar_types is empty or contains elements not of type BarType.

Notes

• Make sure no subscription is active for the same underlying market data as the requested bar types.

• A subscription can follow request_aggregated_bars and use an up to date aggregator when using the update_subscriptions parameter.

• Subscribe to market data as a callback to request_aggregated_bars.

request_bars(self, BarType bar_type, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical Bar data.

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

Once the response is received, the bar data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

request_data(self, DataType data_type, ClientId client_id, InstrumentId instrument_id=None, datetime start=None, datetime end=None, int limit=0, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

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

Once the response is received, the data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• client_id (ClientId) – The data client ID.

• start (datetime) – The start datetime (UTC) of request time range. Cannot be None. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

• limit (int, optional) – The limit on the amount of data points received.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

request_funding_rates(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical FundingRateUpdate data.

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

Once the response is received, the funding rate data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

• limit (int, optional) – The limit on the amount of funding rates received.

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

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

Request Instrument data for the given instrument ID.

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

Once the response is received, the instrument data is forwarded from the message bus to the on_instrument handler.

If the request fails, then an error is logged.

Parameters:

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

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

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If start is not None and > current timestamp (now).

• ValueError – If end is not None and > current timestamp (now).

• ValueError – If start and end are not None and start is >= end.

• TypeError – If callback is not None and not of type Callable.

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

Request all Instrument data for the given venue.

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

Once the response is received, the instrument data is forwarded from the message bus to the on_instrument handler.

If the request fails, then an error is logged.

Parameters:

• venue (Venue) – The venue for the request.

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

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client: - only_last (default True) retains only the latest instrument record per instrument_id, based on the most recent ts_init.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If start is not None and > current timestamp (now).

• ValueError – If end is not None and > current timestamp (now).

• ValueError – If start and end are not None and start is >= end.

• TypeError – If callback is not None and not of type Callable.

request_join(self, tuple request_ids, datetime start, datetime end=None, ClientId client_id=None, Venue venue=None, callback: Callable[[UUID4], None] | None = None, UUID4 request_id=None, dict params=None) → UUID4

Request a join of multiple data requests.

This method creates a RequestJoin message that will coordinate multiple sub-requests and combine their results.

Parameters:

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

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

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time.

• client_id (ClientId, optional) – The data client ID for the request.

• venue (Venue, optional) – The venue for the request.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

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

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

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

• TypeError – If callback is not None and not of type Callable.

request_order_book_deltas(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical OrderBookDeltas data.

Once the response is received, the order book deltas data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

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

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

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

• client_id (ClientId, optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – If the data catalog should be updated with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If the instrument_id is None.

• TypeError – If callback is not None and not of type Callable.

request_order_book_depth(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, int depth=10, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical OrderBookDepth10 snapshots.

Once the response is received, the order book depth data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

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

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

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

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

• client_id (ClientId, optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – If the data catalog should be updated with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If the instrument_id is None.

• TypeError – If callback is not None and not of type Callable.

request_order_book_snapshot(self, InstrumentId instrument_id, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request an order book snapshot.

Once the response is received, the order book data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• limit (int, optional) – The limit on the depth of the order book snapshot.

• client_id (ClientId, optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If the instrument_id is None.

• TypeError – If callback is not None and not of type Callable.

request_quote_ticks(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool aggregate_spread_quotes=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical QuoteTick data.

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

Once the response is received, the quote tick data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• aggregate_spread_quotes (bool, default False) – Whether to activate a spread quote aggregator from leg quotes. Only applicable when the instrument_id is a spread instrument.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

request_trade_ticks(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical TradeTick data.

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

Once the response is received, the trade tick data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

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

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

Parameters:

• func (Callable) – The function to be executed.

• args (positional arguments) – The positional arguments for the call to func.

• kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.

Returns:

The unique task identifier for the execution. This also corresponds to any future objects memory address.

Return type:

TaskId

Raises:

TypeError – If func is not of type Callable.

Notes

For backtesting the func is immediately executed, as there’s no need for a Future object that can be awaited. In a backtesting scenario, the execution is not in real time, and so the results of func are ‘immediately’ available after it’s called.

save(self) → dict

Return the actor/strategy state dictionary to be saved.

Calls on_save.

Returns:

The strategy state to save.

Return type:

dict[str, bytes]

Warning

Exceptions raised will be caught, logged, and reraised.

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.

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

Spawn a new LIMIT order from the given primary order.

Parameters:

• primary (Order) – The primary order from which this order will spawn.

• quantity (Quantity) – The spawned orders quantity (> 0). Must not exceed primary.leaves_qty.

• price (Price) – The spawned orders price.

• time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force.

• expire_time (datetime, optional) – The spawned order expiration (for GTD orders).

• post_only (bool, default False) – If the spawned order will only provide liquidity (make a market).

• reduce_only (bool, default False) – If the spawned order carries the ‘reduce-only’ execution instruction.

• display_qty (Quantity, optional) – The quantity of the spawned order to display on the public book (iceberg).

• emulation_trigger (TriggerType, default NO_TRIGGER) – The type of market price trigger to use for local order emulation. - NO_TRIGGER (default): Disables local emulation; orders are sent directly to the venue. - DEFAULT (the same as BID_ASK): Enables local order emulation by triggering orders based on bid/ask prices. Additional trigger types are available. See the “Emulated Orders” section in the documentation for more details.

• tags (list[str], optional) – The custom user tags for the order.

• reduce_primary (bool, default True) – If the primary order quantity should be reduced by the given quantity.

Return type:

LimitOrder

Raises:

• ValueError – If primary.exec_algorithm_id is not equal to self.id.

• ValueError – If quantity is not positive (> 0).

• ValueError – If quantity exceeds primary.leaves_qty (when reduce_primary is True).

• ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.

• ValueError – If display_qty is negative (< 0) or greater than quantity.

Notes

If reduce_primary is True and the spawned order is subsequently denied or rejected (before acceptance), the deducted quantity is automatically restored to the primary order. Once accepted, the reduction is considered committed.

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

Spawn a new MARKET order from the given primary order.

Parameters:

• primary (Order) – The primary order from which this order will spawn.

• quantity (Quantity) – The spawned orders quantity (> 0). Must not exceed primary.leaves_qty.

• time_in_force (TimeInForce {GTC, IOC, FOK, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force. Often not applicable for market orders.

• reduce_only (bool, default False) – If the spawned order carries the ‘reduce-only’ execution instruction.

• tags (list[str], optional) – The custom user tags for the order.

• reduce_primary (bool, default True) – If the primary order quantity should be reduced by the given quantity.

Return type:

MarketOrder

Raises:

• ValueError – If primary.exec_algorithm_id is not equal to self.id.

• ValueError – If quantity is not positive (> 0).

• ValueError – If quantity exceeds primary.leaves_qty (when reduce_primary is True).

• ValueError – If time_in_force is GTD.

Notes

If reduce_primary is True and the spawned order is subsequently denied or rejected (before acceptance), the deducted quantity is automatically restored to the primary order. Once accepted, the reduction is considered committed.

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

Spawn a new MARKET_TO_LIMIT order from the given primary order.

Parameters:

• primary (Order) – The primary order from which this order will spawn.

• quantity (Quantity) – The spawned orders quantity (> 0). Must not exceed primary.leaves_qty.

• time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force.

• expire_time (datetime, optional) – The spawned order expiration (for GTD orders).

• reduce_only (bool, default False) – If the spawned order carries the ‘reduce-only’ execution instruction.

• display_qty (Quantity, optional) – The quantity of the spawned order to display on the public book (iceberg).

• emulation_trigger (TriggerType, default NO_TRIGGER) – The type of market price trigger to use for local order emulation. - NO_TRIGGER (default): Disables local emulation; orders are sent directly to the venue. - DEFAULT (the same as BID_ASK): Enables local order emulation by triggering orders based on bid/ask prices. Additional trigger types are available. See the “Emulated Orders” section in the documentation for more details.

• tags (list[str], optional) – The custom user tags for the order.

• reduce_primary (bool, default True) – If the primary order quantity should be reduced by the given quantity.

Return type:

MarketToLimitOrder

Raises:

• ValueError – If primary.exec_algorithm_id is not equal to self.id.

• ValueError – If quantity is not positive (> 0).

• ValueError – If quantity exceeds primary.leaves_qty (when reduce_primary is True).

• ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.

• ValueError – If display_qty is negative (< 0) or greater than quantity.

Notes

If reduce_primary is True and the spawned order is subsequently denied or rejected (before acceptance), the deducted quantity is automatically restored to the primary order. Once accepted, the reduction is considered committed.

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

submit_order(self, Order order) → void

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

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

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

Parameters:

• order (Order) – The order to submit.

• parent_order_id (ClientOrderId, optional) – The parent client order identifier. If provided then will be considered a child order of the parent.

Raises:

• ValueError – If order.status is not INITIALIZED or RELEASED.

• ValueError – If order.emulation_trigger is not NO_TRIGGER.

Warning

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

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

subscribe_bars(self, BarType bar_type, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to streaming Bar data for the given bar type.

Once subscribed, any matching bar data published on the message bus is forwarded to the on_bar handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_data(self, DataType data_type, ClientId client_id=None, InstrumentId instrument_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to data of the given data type.

Once subscribed, any matching data published on the message bus is forwarded to the on_data handler.

Parameters:

• data_type (DataType) – The data type to subscribe to.

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_funding_rates(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Subscribe to streaming FundingRateUpdate data for the given instrument ID.

Once subscribed, any matching funding rate updates published on the message bus are forwarded to the on_funding_rate handler.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_index_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Subscribe to streaming IndexPriceUpdate data for the given instrument ID.

Once subscribed, any matching index price updates published on the message bus are forwarded to the on_index_price handler.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to update Instrument data for the given instrument ID.

Once subscribed, any matching instrument data published on the message bus is forwarded to the on_instrument handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Subscribe to close updates for the given instrument ID.

Once subscribed, any matching instrument close data published on the message bus is forwarded to the on_instrument_close handler.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to status updates for.

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Subscribe to status updates for the given instrument ID.

Once subscribed, any matching instrument status data published on the message bus is forwarded to the on_instrument_status handler.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to status updates for.

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_instruments(self, Venue venue, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to update Instrument data for the given venue.

Once subscribed, any matching instrument data published on the message bus is forwarded the on_instrument handler.

Parameters:

• venue (Venue) – The venue for the subscription.

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_mark_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Subscribe to streaming MarkPriceUpdate data for the given instrument ID.

Once subscribed, any matching mark price updates published on the message bus are forwarded to the on_mark_price handler.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_order_book_at_interval(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, int interval_ms=1000, ClientId client_id=None, dict params=None) → void

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

Once subscribed, any matching order book updates published on the message bus are forwarded to the on_order_book handler.

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

Parameters:

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

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

• depth (int, optional) – The maximum depth for the order book. A depth of 0 is maximum depth.

• interval_ms (int, default 1000) – The order book snapshot interval (milliseconds).

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Raises:

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

• ValueError – If interval_ms is not positive (> 0).

Warning

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

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

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

Once subscribed, any matching order book data published on the message bus is forwarded to the on_order_book_deltas handler.

Parameters:

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

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

• depth (int, optional) – The maximum depth for the order book. A depth of 0 is maximum depth.

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

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

• pyo3_conversion (bool, default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Subscribe to the order book depth stream for the given instrument ID.

Once subscribed, any matching order book data published on the message bus is forwarded to the on_order_book_depth handler.

Parameters:

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

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

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

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

• pyo3_conversion (bool, default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDepth prior to being passed to the on_order_book_depth handler.

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_order_cancels(self, InstrumentId instrument_id) → void

Subscribe to all order cancels for the given instrument ID.

Once subscribed, any matching order cancels published on the message bus are forwarded to the on_order_canceled handler.

Parameters:

instrument_id (InstrumentId) – The instrument to subscribe to cancels for.

subscribe_order_fills(self, InstrumentId instrument_id) → void

Subscribe to all order fills for the given instrument ID.

Once subscribed, any matching order fills published on the message bus are forwarded to the on_order_filled handler.

Parameters:

instrument_id (InstrumentId) – The instrument to subscribe to fills for.

subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None, bool update_catalog=False, bool aggregate_spread_quotes=False, dict params=None) → void

Subscribe to streaming QuoteTick data for the given instrument ID.

Once subscribed, any matching quote tick data published on the message bus is forwarded to the on_quote_tick handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• aggregate_spread_quotes (bool, default False) – Whether to activate a spread quote aggregator from leg quotes. Only applicable when the instrument_id is a spread instrument.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_signal(self, str name='') → void

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

Once subscribed, any matching signal data published on the message bus is forwarded to the on_signal handler.

Parameters:

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

subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to streaming TradeTick data for the given instrument ID.

Once subscribed, any matching trade tick data published on the message bus is forwarded to the on_trade_tick handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

to_importable_config(self) → ImportableExecAlgorithmConfig

Returns an importable configuration for this execution algorithm.

Return type:

ImportableExecAlgorithmConfig

trader_id

The trader ID associated with the component.

Returns:

TraderId

type

The components type.

Returns:

type

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

Unsubscribe from streaming Bar data for the given bar type.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_data(self, DataType data_type, ClientId client_id=None, InstrumentId instrument_id=None, dict params=None) → void

Unsubscribe from data of the given data type.

Parameters:

• data_type (DataType) – The data type to unsubscribe from.

• client_id (ClientId, optional) – The data client ID. If supplied then an Unsubscribe command will be sent to the data client.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_funding_rates(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from streaming FundingRateUpdate data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_index_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from streaming IndexPriceUpdate data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from update Instrument data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from close updates for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from status updates for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from update Instrument data for the given venue.

Parameters:

• venue (Venue) – The venue for the subscription.

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_mark_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from streaming MarkPriceUpdate data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

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

The interval must match the previously subscribed interval.

Parameters:

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

• interval_ms (int, default 1000) – The order book snapshot interval (milliseconds).

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

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

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_order_book_depth(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

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

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_order_cancels(self, InstrumentId instrument_id) → void

Unsubscribe from all order cancels for the given instrument ID.

Parameters:

instrument_id (InstrumentId) – The instrument to unsubscribe from cancels for.

unsubscribe_order_fills(self, InstrumentId instrument_id) → void

Unsubscribe from all order fills for the given instrument ID.

Parameters:

instrument_id (InstrumentId) – The instrument to unsubscribe from fills for.

unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None, bool aggregate_spread_quotes=False, dict params=None) → void

Unsubscribe from streaming QuoteTick data for the given instrument ID.

Parameters:

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

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

• aggregate_spread_quotes (bool, default False) – Whether to unsubscribe from a spread quote aggregator. Only applicable when the instrument_id is a spread instrument.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

update_synthetic(self, SyntheticInstrument synthetic) → void

Update the synthetic instrument in the cache.

Parameters:

synthetic (SyntheticInstrument) – The synthetic instrument to update in the cache.

Raises:

KeyError – If synthetic does not already exist in the cache.

Notes

If you are adding a new synthetic instrument then you should use the add_synthetic method.

class ExecutionClient

Bases: Component

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

The base class for all execution clients.

Parameters:

• client_id (ClientId) – The client ID.

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

• oms_type (OmsType) – The venues order management system type.

• account_type (AccountType) – The account type for the client.

• base_currency (Currency or None) – The account base currency. Use None for multi-currency accounts.

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

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

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

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

Raises:

• ValueError – If client_id is not equal to account_id.get_issuer().

• ValueError – If oms_type is UNSPECIFIED (must be specified).

Warning

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

account_id

The clients account ID.

Returns:

AccountId or None

account_type

The clients account type.

Returns:

AccountType

base_currency

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

Returns:

Currency or None

batch_cancel_orders(self, BatchCancelOrders command) → void

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

Parameters:

command (BatchCancelOrders) – The command to execute.

cancel_all_orders(self, CancelAllOrders command) → void

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

Parameters:

command (CancelAllOrders) – The command to execute.

cancel_order(self, CancelOrder command) → void

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

Parameters:

command (CancelOrder) – The command to execute.

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/

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

Generate an AccountState event and publish on the message bus.

Parameters:

• balances (list[AccountBalance]) – The account balances.

• margins (list[MarginBalance]) – The margin balances.

• reported (bool) – If the balances are reported directly from the exchange.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.

• info (dict [str, object]) – The additional implementation specific account information.

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

Generate an OrderAccepted event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.

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

Generate an OrderCancelRejected event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• reason (str) – The order cancel rejected reason.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

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

Generate an OrderCanceled event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.

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

Generate an OrderDenied event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• reason (str) – The order denied reason.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order denied event occurred.

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

Generate an OrderExpired event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.

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

Generate an OrderFilled event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• trade_id (TradeId) – The trade ID.

• venue_position_id (PositionId or None) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.

• order_side (OrderSide {BUY, SELL}) – The execution order side.

• order_type (OrderType) – The execution order type.

• last_qty (Quantity) – The fill quantity for this execution.

• last_px (Price) – The fill price for this execution (not average price).

• quote_currency (Currency) – The currency of the price.

• commission (Money) – The fill commission.

• liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.

• info (dict[str, object], optional) – The additional fill information.

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

Generate an OrderModifyRejected event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• reason (str) – The order update rejected reason.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, str reason, uint64_t ts_event, bool due_post_only=False) → void

Generate an OrderRejected event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• reason (datetime) – The order rejected reason.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.

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

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

Generate an OrderSubmitted event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.

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

Generate an OrderTriggered event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.

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

Generate an OrderUpdated event and send it to the ExecutionEngine.

Parameters:

• strategy_id (StrategyId) – The strategy ID associated with the event.

• instrument_id (InstrumentId) – The instrument ID.

• client_order_id (ClientOrderId) – The client order ID.

• venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).

• quantity (Quantity) – The orders current quantity.

• price (Price) – The orders current price.

• trigger_price (Price or None) – The orders current trigger price.

• ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update event occurred.

• venue_order_id_modified (bool) – If the ID was modified for this event.

get_account(self) → Account

Return the account for the client (if registered).

Return type:

Account or None

id

The components ID.

Returns:

ComponentId

is_connected

If the client is connected.

Returns:

bool

is_degraded

bool

Return whether the current component state is DEGRADED.

Return type:

bool

Type:

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

Return type:

bool

Type:

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

Return type:

bool

Type:

Component.is_faulted

is_initialized

bool

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

Return type:

bool

Type:

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING.

Return type:

bool

Type:

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

Return type:

bool

Type:

Component.is_stopped

modify_order(self, ModifyOrder command) → void

Modify the order with parameters contained in the command.

Parameters:

command (ModifyOrder) – The command to execute.

oms_type

The venues order management system type.

Returns:

OmsType

query_account(self, QueryAccount command) → void

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

Parameters:

command (QueryAccount) – The command to execute.

query_order(self, QueryOrder command) → void

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

Parameters:

command (QueryOrder) – The command to execute.

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

shutdown_system(self, str reason=None) → void

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

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

Parameters:

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

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

submit_order(self, SubmitOrder command) → void

Submit the order contained in the given command for execution.

Parameters:

command (SubmitOrder) – The command to execute.

submit_order_list(self, SubmitOrderList command) → void

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

Parameters:

command (SubmitOrderList) – The command to execute.

trader_id

The trader ID associated with the component.

Returns:

TraderId

type

The components type.

Returns:

type

venue

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

Returns:

Venue or None

class OrderEmulator

Bases: Actor

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

Provides order emulation for specified trigger types.

Parameters:

• portfolio (PortfolioFacade) – The read-only portfolio for the order emulator.

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

• cache (Cache) – The cache for the order emulator.

• clock (Clock) – The clock for the order emulator.

• config (OrderEmulatorConfig, optional) – The configuration for the order emulator.

active_task_ids(self) → list

Return the active task identifiers.

Return type:

list[TaskId]

add_synthetic(self, SyntheticInstrument synthetic) → void

Add the created synthetic instrument to the cache.

Parameters:

synthetic (SyntheticInstrument) – The synthetic instrument to add to the cache.

Raises:

KeyError – If synthetic is already in the cache.

Notes

If you are updating the synthetic instrument then you should use the update_synthetic method.

cache

The read-only cache for the actor.

Returns:

CacheFacade

cancel_all_tasks(self) → void

Cancel all queued and active tasks.

cancel_task(self, task_id: TaskId) → void

Cancel the task with the given task_id (if queued or active).

If the task is not found then a warning is logged.

Parameters:

task_id (TaskId) – The task identifier.

clock

The actors clock.

Returns:

Clock

command_count

The total count of commands received by the emulator.

Returns:

int

config

The actors configuration.

Returns:

NautilusConfig

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

Create an internal matching core for the given instrument.

Parameters:

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

• price_increment (Price) – The minimum price increment (tick size) for the matching core.

Return type:

MatchingCore

Raises:

KeyError – If a matching core for the given instrument_id already exists.

debug

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

Returns:

bool

degrade(self) → void

Degrade the component.

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

Warning

Do not override.

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

deregister_warning_event(self, type event) → void

Deregister the given event type from warning log levels.

Parameters:

event (type) – The event class to deregister.

dispose(self) → void

Dispose of the component.

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

Warning

Do not override.

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

event_count

The total count of events received by the emulator.

Returns:

int

execute(self, TradingCommand command) → void

Execute the given command.

Parameters:

command (TradingCommand) – 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_matching_core(self, InstrumentId instrument_id) → MatchingCore | None

Return the emulators matching core for the given instrument ID.

Return type:

MatchingCore or None

get_submit_order_commands(self) → dict[ClientOrderId, SubmitOrder]

Return the emulators cached submit order commands.

Return type:

dict[ClientOrderId, SubmitOrder]

greeks

The read-only greeks calculator for the actor.

Returns:

GreeksCalculator

handle_bar(self, Bar bar, bool historical=False) → void

Handle the given bar data.

If state is RUNNING then passes to on_bar.

Parameters:

bar (Bar) – The bar received.

Warning

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

handle_data(self, Data data) → void

Handle the given data.

If state is RUNNING then passes to on_data.

Parameters:

data (Data) – The data received.

Warning

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

handle_event(self, Event event) → void

Handle the given event.

If state is RUNNING then passes to on_event.

Parameters:

event (Event) – The event received.

Warning

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

handle_funding_rate(self, FundingRateUpdate funding_rate, bool historical=False) → void

Handle the given funding rate update.

If state is RUNNING then passes to on_funding_rate.

Parameters:

funding_rate (FundingRateUpdate) – The funding rate update received.

Warning

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

handle_historical_bar(self, Bar bar) → void

handle_historical_data(self, data) → void

Handle the given historical data.

Parameters:

data (Data) – The historical data received.

Warning

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

handle_historical_funding_rate(self, FundingRateUpdate funding_rate) → void

handle_historical_order_book_deltas(self, OrderBookDeltas deltas) → void

handle_historical_order_book_depth(self, OrderBookDepth10 depth) → void

handle_historical_quote_tick(self, QuoteTick tick) → void

handle_historical_trade_tick(self, TradeTick tick) → void

handle_index_price(self, IndexPriceUpdate index_price) → void

Handle the given index price update.

If state is RUNNING then passes to on_index_price.

Parameters:

index_price (IndexPriceUpdate) – The index price update received.

Warning

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

handle_instrument(self, Instrument instrument) → void

Handle the given instrument.

Passes to on_instrument if state is RUNNING.

Parameters:

instrument (Instrument) – The instrument received.

Warning

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

handle_instrument_close(self, InstrumentClose update) → void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close.

Parameters:

update (InstrumentClose) – The update received.

Warning

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

handle_instrument_status(self, InstrumentStatus data) → void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status.

Parameters:

data (InstrumentStatus) – The status update received.

Warning

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

handle_mark_price(self, MarkPriceUpdate mark_price) → void

Handle the given mark price update.

If state is RUNNING then passes to on_mark_price.

Parameters:

mark_price (MarkPriceUpdate) – The mark price update received.

Warning

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

handle_order_book(self, OrderBook order_book) → void

Handle the given order book.

Passes to on_order_book if state is RUNNING.

Parameters:

order_book (OrderBook) – The order book received.

Warning

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

handle_order_book_deltas(self, deltas, bool historical=False) → void

Handle the given order book deltas.

Passes to on_order_book_deltas if state is RUNNING. The deltas will be nautilus_pyo3.OrderBookDeltas if the pyo3_conversion flag was set for the subscription.

Parameters:

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

• historical (bool, default False) – If True, treats the data as historical.

Warning

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

handle_order_book_depth(self, OrderBookDepth10 depth, bool historical=False) → void

Handle the given order book depth

Passes to on_order_book_depth if state is RUNNING.

Parameters:

depth (OrderBookDepth10) – The order book depth received.

Warning

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

handle_quote_tick(self, QuoteTick tick, bool historical=False) → void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick.

Parameters:

tick (QuoteTick) – The tick received.

Warning

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

handle_signal(self, Data signal) → void

Handle the given signal.

If state is RUNNING then passes to on_signal.

Parameters:

signal (Data) – The signal received.

Warning

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

handle_trade_tick(self, TradeTick tick, bool historical=False) → void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick.

Parameters:

tick (TradeTick) – The tick received.

Warning

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

has_active_tasks(self) → bool

Return a value indicating whether there are any active tasks.

Return type:

bool

has_any_tasks(self) → bool

Return a value indicating whether there are any queued OR active tasks.

Return type:

bool

has_pending_requests(self) → bool

Return whether the actor is pending processing for any requests.

Returns:

True if any requests are pending, else False.

Return type:

bool

has_queued_tasks(self) → bool

Return a value indicating whether there are any queued tasks.

Return type:

bool

id

The components ID.

Returns:

ComponentId

indicators_initialized(self) → bool

Return a value indicating whether all indicators are initialized.

Returns:

True if all initialized, else False

Return type:

bool

is_degraded

bool

Return whether the current component state is DEGRADED.

Return type:

bool

Type:

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

Return type:

bool

Type:

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

Return type:

bool

Type:

Component.is_faulted

is_initialized

bool

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

Return type:

bool

Type:

Component.is_initialized

is_pending_request(self, UUID4 request_id) → bool

Return whether the request for the given identifier is pending processing.

Parameters:

request_id (UUID4) – The request ID to check.

Returns:

True if request is pending, else False.

Return type:

bool

is_running

bool

Return whether the current component state is RUNNING.

Return type:

bool

Type:

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

Return type:

bool

Type:

Component.is_stopped

load(self, dict state) → void

Load the actor/strategy state from the give state dictionary.

Calls on_load and passes the state.

Parameters:

state (dict[str, bytes]) – The strategy state to load.

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns:

Logger

msgbus

The message bus for the actor (if registered).

Returns:

MessageBus or None

on_bar(self, Bar bar) → void

Actions to be performed when running and receives a bar.

Parameters:

bar (Bar) – The bar received.

Warning

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

on_data(self, data) → void

Actions to be performed when running and receives data.

Parameters:

data (Data) – The data received.

Warning

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

on_degrade(self) → void

Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose(self) → void

on_event(self, Event event) → void

Handle the given event.

Parameters:

event (Event) – The received event to handle.

on_fault(self) → void

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_funding_rate(self, FundingRateUpdate funding_rate) → void

Actions to be performed when running and receives a funding rate update.

Parameters:

funding_rate (FundingRateUpdate) – The funding rate update received.

Warning

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

on_historical_data(self, data) → void

Actions to be performed when running and receives historical data.

Parameters:

data (Data) – The historical data received.

Warning

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

on_index_price(self, IndexPriceUpdate index_price) → void

Actions to be performed when running and receives an index price update.

Parameters:

index_price (IndexPriceUpdate) – The index price update received.

Warning

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

on_instrument(self, Instrument instrument) → void

Actions to be performed when running and receives an instrument.

Parameters:

instrument (Instrument) – The instrument received.

Warning

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

on_instrument_close(self, InstrumentClose update) → void

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

Parameters:

update (InstrumentClose) – The instrument close received.

Warning

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

on_instrument_status(self, InstrumentStatus data) → void

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

Parameters:

data (InstrumentStatus) – The instrument status update received.

Warning

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

on_load(self, dict state) → void

Actions to be performed when the actor state is loaded.

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

Parameters:

state (dict[str, bytes]) – The strategy state to load.

Warning

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

on_mark_price(self, MarkPriceUpdate mark_price) → void

Actions to be performed when running and receives a mark price update.

Parameters:

mark_price (MarkPriceUpdate) – The mark price update received.

Warning

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

on_order_book(self, OrderBook order_book) → void

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

Parameters:

order_book (OrderBook) – The order book received.

Warning

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

on_order_book_deltas(self, deltas) → void

on_order_book_depth(self, depth) → void

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

Parameters:

depth (OrderBookDepth10) – The order book depth received.

Warning

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

on_order_canceled(self, OrderCanceled event) → void

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

Parameters:

event (OrderCanceled) – The event received.

Warning

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

on_order_filled(self, OrderFilled event) → void

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

Parameters:

event (OrderFilled) – The event received.

Warning

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

on_quote_tick(self, QuoteTick tick) → void

on_reset(self) → void

on_resume(self) → void

Actions to be performed on resume.

Warning

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

on_save(self) → dict

Actions to be performed when the actor state is saved.

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

Returns:

The strategy state to save.

Return type:

dict[str, bytes]

Warning

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

on_signal(self, signal) → void

Actions to be performed when running and receives signal data.

Parameters:

signal (Data) – The signal received.

Warning

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

Notes

This refers to a data signal, not an operating system signal (such as SIGTERM, SIGKILL, etc.).

on_start(self) → void

on_stop(self) → void

on_trade_tick(self, TradeTick tick) → void

pending_requests(self) → set

Return the request IDs which are currently pending processing.

Return type:

set[UUID4]

portfolio

The read-only portfolio for the actor.

Returns:

PortfolioFacade

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

Publish the given data to the message bus.

Parameters:

• data_type (DataType) – The data type being published.

• data (Data) – The data to publish.

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

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

Parameters:

• name (str) – The name of the signal being published. The signal name will be converted to title case, with each word capitalized (e.g., ‘example’ becomes ‘SignalExample’).

• value (object) – The signal data to publish.

• ts_event (uint64_t, optional) – UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

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

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

Parameters:

• func (Callable) – The function to be executed.

• args (positional arguments) – The positional arguments for the call to func.

• kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.

Raises:

TypeError – If func is not of type Callable.

Notes

For backtesting the func is immediately executed, as there’s no need for a Future object that can be awaited. In a backtesting scenario, the execution is not in real time, and so the results of func are ‘immediately’ available after it’s called.

queued_task_ids(self) → list

Return the queued task identifiers.

Return type:

list[TaskId]

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

Register with a trader.

Parameters:

• portfolio (PortfolioFacade) – The read-only portfolio for the actor.

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

• cache (CacheFacade) – The read-only cache for the actor.

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

Warning

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

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

Register the given Executor for the actor.

Parameters:

• loop (asyncio.AbstractEventLoop) – The event loop of the application.

• executor (concurrent.futures.Executor) – The executor to register.

Raises:

TypeError – If executor is not of type concurrent.futures.Executor

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

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

Parameters:

• bar_type (BarType) – The bar type for bar updates.

• indicator (Indicator) – The indicator to register.

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

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

Parameters:

• instrument_id (InstrumentId) – The instrument ID for tick updates.

• indicator (Indicator) – The indicator to register.

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

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

Parameters:

• instrument_id (InstrumentId) – The instrument ID for tick updates.

• indicator (indicator) – The indicator to register.

register_warning_event(self, type event) → void

Register the given event type for warning log levels.

Parameters:

event (type) – The event class to register.

registered_indicators

Return the registered indicators for the strategy.

Return type:

list[Indicator]

request_aggregated_bars(self, list bar_types, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool include_external_data=False, bool update_subscriptions=False, bool update_catalog=False, bool aggregate_spread_quotes=False, UUID4 request_id=None, dict params=None) → UUID4

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

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

Once the response is received, the bar data is forwarded from the message bus to the on_historical_data handler. Any tick data used for aggregation is also forwarded to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

• bar_types (list[BarType]) – The list of bar types for the request. Composite bars can also be used and need to figure in the list after a BarType on which it depends.

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

• limit (int, optional) – The limit on the amount of data received (quote ticks, trade ticks or bars).

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• include_external_data (bool, default False) – If True, includes the queried external data in the response.

• update_subscriptions (bool, default False) – If True, persists the aggregator of each bar_type so it’s up to date for a subsequent market data subscription.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• aggregate_spread_quotes (bool, default False) – Whether to activate a spread quote aggregator from leg quotes. Only applicable when requesting quote ticks for spread instruments.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• ValueError – If bar_types is empty.

• TypeError – If callback is not None and not of type Callable.

• TypeError – If bar_types is empty or contains elements not of type BarType.

Notes

• Make sure no subscription is active for the same underlying market data as the requested bar types.

• A subscription can follow request_aggregated_bars and use an up to date aggregator when using the update_subscriptions parameter.

• Subscribe to market data as a callback to request_aggregated_bars.

request_bars(self, BarType bar_type, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical Bar data.

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

Once the response is received, the bar data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

request_data(self, DataType data_type, ClientId client_id, InstrumentId instrument_id=None, datetime start=None, datetime end=None, int limit=0, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

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

Once the response is received, the data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• client_id (ClientId) – The data client ID.

• start (datetime) – The start datetime (UTC) of request time range. Cannot be None. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

• limit (int, optional) – The limit on the amount of data points received.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

request_funding_rates(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical FundingRateUpdate data.

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

Once the response is received, the funding rate data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

• limit (int, optional) – The limit on the amount of funding rates received.

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

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

Request Instrument data for the given instrument ID.

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

Once the response is received, the instrument data is forwarded from the message bus to the on_instrument handler.

If the request fails, then an error is logged.

Parameters:

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

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

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If start is not None and > current timestamp (now).

• ValueError – If end is not None and > current timestamp (now).

• ValueError – If start and end are not None and start is >= end.

• TypeError – If callback is not None and not of type Callable.

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

Request all Instrument data for the given venue.

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

Once the response is received, the instrument data is forwarded from the message bus to the on_instrument handler.

If the request fails, then an error is logged.

Parameters:

• venue (Venue) – The venue for the request.

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

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client: - only_last (default True) retains only the latest instrument record per instrument_id, based on the most recent ts_init.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If start is not None and > current timestamp (now).

• ValueError – If end is not None and > current timestamp (now).

• ValueError – If start and end are not None and start is >= end.

• TypeError – If callback is not None and not of type Callable.

request_join(self, tuple request_ids, datetime start, datetime end=None, ClientId client_id=None, Venue venue=None, callback: Callable[[UUID4], None] | None = None, UUID4 request_id=None, dict params=None) → UUID4

Request a join of multiple data requests.

This method creates a RequestJoin message that will coordinate multiple sub-requests and combine their results.

Parameters:

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

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

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time.

• client_id (ClientId, optional) – The data client ID for the request.

• venue (Venue, optional) – The venue for the request.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

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

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

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

• TypeError – If callback is not None and not of type Callable.

request_order_book_deltas(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical OrderBookDeltas data.

Once the response is received, the order book deltas data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

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

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

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

• client_id (ClientId, optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – If the data catalog should be updated with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If the instrument_id is None.

• TypeError – If callback is not None and not of type Callable.

request_order_book_depth(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, int depth=10, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical OrderBookDepth10 snapshots.

Once the response is received, the order book depth data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

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

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

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

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

• client_id (ClientId, optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – If the data catalog should be updated with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If the instrument_id is None.

• TypeError – If callback is not None and not of type Callable.

request_order_book_snapshot(self, InstrumentId instrument_id, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request an order book snapshot.

Once the response is received, the order book data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• limit (int, optional) – The limit on the depth of the order book snapshot.

• client_id (ClientId, optional) – The specific client ID for the command. If None, it will be inferred from the venue in the instrument ID.

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• ValueError – If the instrument_id is None.

• TypeError – If callback is not None and not of type Callable.

request_quote_ticks(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool aggregate_spread_quotes=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical QuoteTick data.

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

Once the response is received, the quote tick data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• aggregate_spread_quotes (bool, default False) – Whether to activate a spread quote aggregator from leg quotes. Only applicable when the instrument_id is a spread instrument.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

request_trade_ticks(self, InstrumentId instrument_id, datetime start, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool update_catalog=False, bool join_request=False, UUID4 request_id=None, dict params=None) → UUID4

Request historical TradeTick data.

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

Once the response is received, the trade tick data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

Parameters:

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

• start (datetime) – The start datetime (UTC) of request time range. Should be left-inclusive (start <= value), but inclusiveness is not currently guaranteed.

• end (datetime, optional) – The end datetime (UTC) of request time range. If None then will be replaced with the current UTC time. Should be right-inclusive (value <= end), but inclusiveness is not currently guaranteed.

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

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

• callback (Callable[[UUID4], None], optional) – The registered callback, to be called with the request ID when the response has completed processing.

• update_catalog (bool, default False) – Whether to update a catalog with the received data.

• join_request (bool, optional, default to False) – If a request should be joined and sorted with another one by using request_join.

• request_id (UUID4, optional) – The UUID to use for the request ID. If None, a new UUID will be generated.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Returns:

The request_id for the request.

Return type:

UUID4

Raises:

• TypeError – If start is None.

• ValueError – If start is > current timestamp (now).

• ValueError – If end is > current timestamp (now).

• ValueError – If start is > end.

• TypeError – If callback is not None and not of type Callable.

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

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

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

Parameters:

• func (Callable) – The function to be executed.

• args (positional arguments) – The positional arguments for the call to func.

• kwargs (arbitrary keyword arguments) – The keyword arguments for the call to func.

Returns:

The unique task identifier for the execution. This also corresponds to any future objects memory address.

Return type:

TaskId

Raises:

TypeError – If func is not of type Callable.

Notes

For backtesting the func is immediately executed, as there’s no need for a Future object that can be awaited. In a backtesting scenario, the execution is not in real time, and so the results of func are ‘immediately’ available after it’s called.

save(self) → dict

Return the actor/strategy state dictionary to be saved.

Calls on_save.

Returns:

The strategy state to save.

Return type:

dict[str, bytes]

Warning

Exceptions raised will be caught, logged, and reraised.

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_bars(self, BarType bar_type, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to streaming Bar data for the given bar type.

Once subscribed, any matching bar data published on the message bus is forwarded to the on_bar handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_data(self, DataType data_type, ClientId client_id=None, InstrumentId instrument_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to data of the given data type.

Once subscribed, any matching data published on the message bus is forwarded to the on_data handler.

Parameters:

• data_type (DataType) – The data type to subscribe to.

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_funding_rates(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Subscribe to streaming FundingRateUpdate data for the given instrument ID.

Once subscribed, any matching funding rate updates published on the message bus are forwarded to the on_funding_rate handler.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_index_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Subscribe to streaming IndexPriceUpdate data for the given instrument ID.

Once subscribed, any matching index price updates published on the message bus are forwarded to the on_index_price handler.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to update Instrument data for the given instrument ID.

Once subscribed, any matching instrument data published on the message bus is forwarded to the on_instrument handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Subscribe to close updates for the given instrument ID.

Once subscribed, any matching instrument close data published on the message bus is forwarded to the on_instrument_close handler.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to status updates for.

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Subscribe to status updates for the given instrument ID.

Once subscribed, any matching instrument status data published on the message bus is forwarded to the on_instrument_status handler.

Parameters:

• instrument_id (InstrumentId) – The instrument to subscribe to status updates for.

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_instruments(self, Venue venue, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to update Instrument data for the given venue.

Once subscribed, any matching instrument data published on the message bus is forwarded the on_instrument handler.

Parameters:

• venue (Venue) – The venue for the subscription.

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_mark_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Subscribe to streaming MarkPriceUpdate data for the given instrument ID.

Once subscribed, any matching mark price updates published on the message bus are forwarded to the on_mark_price handler.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_order_book_at_interval(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, int interval_ms=1000, ClientId client_id=None, dict params=None) → void

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

Once subscribed, any matching order book updates published on the message bus are forwarded to the on_order_book handler.

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

Parameters:

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

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

• depth (int, optional) – The maximum depth for the order book. A depth of 0 is maximum depth.

• interval_ms (int, default 1000) – The order book snapshot interval (milliseconds).

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

Raises:

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

• ValueError – If interval_ms is not positive (> 0).

Warning

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

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

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

Once subscribed, any matching order book data published on the message bus is forwarded to the on_order_book_deltas handler.

Parameters:

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

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

• depth (int, optional) – The maximum depth for the order book. A depth of 0 is maximum depth.

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

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

• pyo3_conversion (bool, default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Subscribe to the order book depth stream for the given instrument ID.

Once subscribed, any matching order book data published on the message bus is forwarded to the on_order_book_depth handler.

Parameters:

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

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

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

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

• pyo3_conversion (bool, default False) – If received deltas should be converted to nautilus_pyo3.OrderBookDepth prior to being passed to the on_order_book_depth handler.

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_order_cancels(self, InstrumentId instrument_id) → void

Subscribe to all order cancels for the given instrument ID.

Once subscribed, any matching order cancels published on the message bus are forwarded to the on_order_canceled handler.

Parameters:

instrument_id (InstrumentId) – The instrument to subscribe to cancels for.

subscribe_order_fills(self, InstrumentId instrument_id) → void

Subscribe to all order fills for the given instrument ID.

Once subscribed, any matching order fills published on the message bus are forwarded to the on_order_filled handler.

Parameters:

instrument_id (InstrumentId) – The instrument to subscribe to fills for.

subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None, bool update_catalog=False, bool aggregate_spread_quotes=False, dict params=None) → void

Subscribe to streaming QuoteTick data for the given instrument ID.

Once subscribed, any matching quote tick data published on the message bus is forwarded to the on_quote_tick handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• aggregate_spread_quotes (bool, default False) – Whether to activate a spread quote aggregator from leg quotes. Only applicable when the instrument_id is a spread instrument.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribe_signal(self, str name='') → void

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

Once subscribed, any matching signal data published on the message bus is forwarded to the on_signal handler.

Parameters:

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

subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None, bool update_catalog=False, dict params=None) → void

Subscribe to streaming TradeTick data for the given instrument ID.

Once subscribed, any matching trade tick data published on the message bus is forwarded to the on_trade_tick handler.

Parameters:

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

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

• update_catalog (bool, default False) – Whether to update a catalog with the received data. Only useful when downloading data during a backtest.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

subscribed_quotes

list[InstrumentId]

Return the subscribed quote feeds for the emulator.

Return type:

list[InstrumentId]

Type:

OrderEmulator.subscribed_quotes

subscribed_trades

list[InstrumentId]

Return the subscribed trade feeds for the emulator.

Return type:

list[InstrumentId]

Type:

OrderEmulator.subscribed_trades

to_importable_config(self) → ImportableActorConfig

Returns an importable configuration for this actor.

Return type:

ImportableActorConfig

trader_id

The trader ID associated with the component.

Returns:

TraderId

type

The components type.

Returns:

type

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

Unsubscribe from streaming Bar data for the given bar type.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_data(self, DataType data_type, ClientId client_id=None, InstrumentId instrument_id=None, dict params=None) → void

Unsubscribe from data of the given data type.

Parameters:

• data_type (DataType) – The data type to unsubscribe from.

• client_id (ClientId, optional) – The data client ID. If supplied then an Unsubscribe command will be sent to the data client.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_funding_rates(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from streaming FundingRateUpdate data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_index_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from streaming IndexPriceUpdate data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from update Instrument data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from close updates for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from status updates for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from update Instrument data for the given venue.

Parameters:

• venue (Venue) – The venue for the subscription.

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_mark_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

Unsubscribe from streaming MarkPriceUpdate data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

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

The interval must match the previously subscribed interval.

Parameters:

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

• interval_ms (int, default 1000) – The order book snapshot interval (milliseconds).

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

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

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_order_book_depth(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void

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

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

unsubscribe_order_cancels(self, InstrumentId instrument_id) → void

Unsubscribe from all order cancels for the given instrument ID.

Parameters:

instrument_id (InstrumentId) – The instrument to unsubscribe from cancels for.

unsubscribe_order_fills(self, InstrumentId instrument_id) → void

Unsubscribe from all order fills for the given instrument ID.

Parameters:

instrument_id (InstrumentId) – The instrument to unsubscribe from fills for.

unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None, bool aggregate_spread_quotes=False, dict params=None) → void

Unsubscribe from streaming QuoteTick data for the given instrument ID.

Parameters:

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

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

• aggregate_spread_quotes (bool, default False) – Whether to unsubscribe from a spread quote aggregator. Only applicable when the instrument_id is a spread instrument.

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

Parameters:

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

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

• params (dict[str, Any], optional) – Additional parameters potentially used by a specific client.

update_synthetic(self, SyntheticInstrument synthetic) → void

Update the synthetic instrument in the cache.

Parameters:

synthetic (SyntheticInstrument) – The synthetic instrument to update in the cache.

Raises:

KeyError – If synthetic does not already exist in the cache.

Notes

If you are adding a new synthetic instrument then you should use the add_synthetic method.

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

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

The engine employs a simple fan-in fan-out messaging pattern to execute TradingCommand messages and OrderEvent messages.

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

class ExecutionEngine

Bases: Component

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

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

Parameters:

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

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

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

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

Raises:

TypeError – If config is not of type ExecEngineConfig.

allow_overfills

If order fills exceeding order quantity are allowed (logs warning instead of raising).

Returns:

bool

check_connected(self) → bool

Check all of the engines clients are connected.

Returns:

True if all clients connected, else False.

Return type:

bool

check_disconnected(self) → bool

Check all of the engines clients are disconnected.

Returns:

True if all clients disconnected, else False.

Return type:

bool

check_integrity(self) → bool

Check integrity of data within the cache and clients.

Returns:

True if checks pass, else False.

Return type:

bool

check_residuals(self) → bool

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

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

Returns:

True if residuals exist, else False.

Return type:

bool

command_count

The total count of commands received by the engine.

Returns:

int

connect(self) → None

Connect the engine by calling connect on all registered clients.

convert_quote_qty_to_base

If quote-denominated order quantities should be converted to base units before submission.

Returns:

bool

debug

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

Returns:

bool

default_client

ClientId | None

Return the default execution client registered with the engine.

Return type:

ClientId or None

Type:

ExecutionEngine.default_client

degrade(self) → void

Degrade the component.

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

Warning

Do not override.

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

deregister_client(self, ExecutionClient client) → void

Deregister the given execution client from the execution engine.

Parameters:

client (ExecutionClient) – The execution client to deregister.

Raises:

ValueError – If client is not registered with the execution engine.

disconnect(self) → None

Disconnect the engine by calling disconnect on all registered clients.

dispose(self) → void

Dispose of the component.

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

Warning

Do not override.

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

event_count

The total count of events received by the engine.

Returns:

int

execute(self, Command command) → void

Execute the given command.

Parameters:

command (Command) – 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.

flush_db(self) → void

Flush the execution database which permanently removes all persisted data.

Warning

Permanent data loss.

classmethod fully_qualified_name(cls) → str

Return the fully qualified name for the components class.

Return type:

str

References

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

get_clients_for_orders(self, list orders) → set

Get all execution clients corresponding to the given orders.

Parameters:

orders (list[Order]) – The orders to locate associated execution clients for.

Return type:

set[ExecutionClient]

get_external_client_ids(self) → set

Returns the configured external client order IDs.

Return type:

set[ClientId]

get_external_order_claim(self, InstrumentId instrument_id) → StrategyId

Get any external order claim for the given instrument ID.

Parameters:

instrument_id (InstrumentId) – The instrument ID for the claim.

Return type:

StrategyId or None

get_external_order_claims_instruments(self) → set

Get all instrument IDs registered for external order claims.

Return type:

set[InstrumentId]

id

The components ID.

Returns:

ComponentId

is_degraded

bool

Return whether the current component state is DEGRADED.

Return type:

bool

Type:

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED.

Return type:

bool

Type:

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED.

Return type:

bool

Type:

Component.is_faulted

is_initialized

bool

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

Return type:

bool

Type:

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING.

Return type:

bool

Type:

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED.

Return type:

bool

Type:

Component.is_stopped

load_cache(self) → void

Load the cache up from the execution database.

manage_own_order_books

If the execution engine should maintain own order books based on commands and events.

Returns:

bool

position_id_count(self, StrategyId strategy_id) → int

The position ID count for the given strategy ID.

Parameters:

strategy_id (StrategyId) – The strategy ID for the position count.

Return type:

int

process(self, OrderEvent event) → void

Process the given order event.

Parameters:

event (OrderEvent) – The order event to process.

reconcile_execution_mass_status(self, report: ExecutionMassStatus) → None

Reconcile the given execution mass status report.

Parameters:

report (ExecutionMassStatus) – The execution mass status report to reconcile.

reconcile_execution_report(self, report: ExecutionReport) → bool

Check the given execution report.

Parameters:

report (ExecutionReport) – The execution report to check.

Returns:

True if reconciliation successful, else False.

Return type:

bool

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

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

Parameters:

timeout_secs (double, default 10.0) – The timeout (seconds) for reconciliation to complete.

Returns:

True if states reconcile within timeout, else False.

Return type:

bool

Raises:

ValueError – If timeout_secs is not positive (> 0).

reconciliation

bool

Return whether the reconciliation process will be run on start.

Return type:

bool

Type:

ExecutionEngine.reconciliation

register_client(self, ExecutionClient client) → void

Register the given execution client with the execution engine.

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

Parameters:

client (ExecutionClient) – The execution client to register.

Raises:

ValueError – If client is already registered with the execution engine.

register_default_client(self, ExecutionClient client) → void

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

Any existing default routing client will be overwritten.

Parameters:

client (ExecutionClient) – The client to register.

register_external_order_claims(self, Strategy strategy) → void

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

Parameters:

strategy (Strategy) – The strategy for the registration.

Raises:

InvalidConfiguration – If a strategy is already registered to claim external orders for an instrument ID.

register_oms_type(self, Strategy strategy) → void

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

Parameters:

strategy (Strategy) – The strategy for the registration.

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

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

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

Parameters:

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

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

registered_clients

list[ClientId]

Return the execution clients registered with the engine.

Return type:

list[ClientId]

Type:

ExecutionEngine.registered_clients

report_count

‘int’

The total count of reports received by the engine.

Returns:

int

Type:

report_count

reset(self) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume(self) → void

Resume the component.

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

Warning

Do not override.

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

set_convert_quote_qty_to_base(self, bool value) → void

Set the convert_quote_qty_to_base flag with the given value.

Parameters:

value (bool) – The value to set.

set_manage_own_order_books(self, bool value) → void

Set the manage_own_order_books setting with the given value.

Parameters:

value (bool) – The value to set.

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.

snapshot_orders

If order state snapshots should be persisted.

Returns:

bool

snapshot_positions

If position state snapshots should be persisted.

Returns:

bool

snapshot_positions_interval_secs

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

Returns:

double

snapshot_positions_timer_name

start(self) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Return type:

ComponentState

Type:

Component.state

stop(self) → void

Stop the component.

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

Warning

Do not override.

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

stop_clients(self) → void

Stop the registered clients.

trader_id

The trader ID associated with the component.

Returns:

TraderId

type

The components type.

Returns:

type

class OrderManager

Bases: object

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

Provides a generic order execution manager.

Parameters:

• clock (Clock) – The clock for the order manager.

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

• cache (Cache) – The cache for the order manager.

• component_name (str) – The component name for the order manager.

• active_local (str) – If the manager is for active local orders.

• submit_order_handler (Callable[[SubmitOrder], None], optional) – The handler to call when submitting orders.

• cancel_order_handler (Callable[[Order], None], optional) – The handler to call when canceling orders.

• modify_order_handler (Callable[[Order, Quantity], None], optional) – The handler to call when modifying orders (limited to modifying quantity).

• debug (bool, default False) – If debug mode is active (will provide extra debug logging).

Raises:

• TypeError – If submit_order_handler is not None and not of type Callable.

• TypeError – If cancel_order_handler is not None and not of type Callable.

• TypeError – If modify_order_handler is not None and not of type Callable.

active_local

cache_submit_order_command(self, SubmitOrder command) → void

Cache the given submit order command with the manager.

Parameters:

command (SubmitOrder) – The submit order command to cache.

cancel_order(self, Order order) → void

Cancel the given order with the manager.

Parameters:

order (Order) – The order to cancel.

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

Create a new submit order command for the given order.

Parameters:

• order (Order) – The order for the command.

• position_id (PositionId, optional) – The position ID for the command.

• client_id (ClientId, optional) – The client ID for the command.

debug

get_submit_order_commands(self) → dict

Return the managers cached submit order commands.

Return type:

dict[ClientOrderId, SubmitOrder]

handle_contingencies(self, Order order) → void

handle_contingencies_update(self, Order order) → void

handle_event(self, Event event) → void

Handle the given event.

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

Parameters:

event (Event) – The event to handle

handle_order_canceled(self, OrderCanceled canceled) → void

handle_order_expired(self, OrderExpired expired) → void

handle_order_filled(self, OrderFilled filled) → void

handle_order_rejected(self, OrderRejected rejected) → void

handle_order_updated(self, OrderUpdated updated) → void

handle_position_event(self, PositionEvent event) → void

log_commands

log_events

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

Modify the given order with the manager.

Parameters:

order (Order) – The order to modify.

pop_submit_order_command(self, ClientOrderId client_order_id) → SubmitOrder

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

Parameters:

client_order_id (ClientOrderId) – The client order ID for the command to pop.

Return type:

SubmitOrder or None

reset(self) → void

Reset the manager, clearing all stateful values.

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

send_emulator_command(self, TradingCommand command) → void

send_exec_command(self, Command command) → void

send_exec_event(self, OrderEvent event) → void

send_risk_command(self, TradingCommand command) → void

send_risk_event(self, OrderEvent event) → void

should_manage_order(self, Order order) → bool

Check if the given order should be managed.

Parameters:

order (Order) – The order to check.

Returns:

True if the order should be managed, else False.

Return type:

bool

class MatchingCore

Bases: object

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

Provides a generic order matching core.

Parameters:

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

• price_increment (Price) – The minimum price increment (tick size) for the matching core.

• trigger_stop_order (Callable[[Order], None]) – The callable when a stop order is triggered.

• fill_market_order (Callable[[Order], None]) – The callable when a market order is filled.

• fill_limit_order (Callable[[Order], None]) – The callable when a limit order is filled.

add_order(self, Order order) → void

ask

Price | None

Return the current ask price for the matching core.

Return type:

Price or None

Type:

MatchingCore.ask

ask_raw

bid

Price | None

Return the current bid price for the matching core.

Return type:

Price or None

Type:

MatchingCore.bid

bid_raw

delete_order(self, Order order) → void

get_order(self, ClientOrderId client_order_id) → Order

get_orders(self) → list

get_orders_ask(self) → list

get_orders_bid(self) → list

instrument_id

InstrumentId

Return the instrument ID for the matching core.

Return type:

InstrumentId

Type:

MatchingCore.instrument_id

is_ask_initialized

is_bid_initialized

is_last_initialized

is_limit_fillable(self, OrderSide side, Price price) → bool

is_limit_marketable(self, OrderSide side, Price price) → bool

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

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

iterate(self, uint64_t timestamp_ns) → void

last

Price | None

Return the current last price for the matching core.

Return type:

Price or None

Type:

MatchingCore.last

last_raw

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

match_limit_order(self, Order order) → void

match_market_if_touched_order(self, Order order) → void

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

Match the given order.

Parameters:

• order (Order) – The order to match.

• initial (bool, default False) – If this is an initial match.

Raises:

TypeError – If the order.order_type is an invalid type for the core (e.g. MARKET).

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

match_stop_market_order(self, Order order) → void

match_trailing_stop_limit_order(self, Order order, bool initial) → void

match_trailing_stop_market_order(self, Order order) → void

order_exists(self, ClientOrderId client_order_id) → bool

price_increment

Price

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

Return type:

Price

Type:

MatchingCore.price_increment

price_precision

int

Return the instruments price precision for the matching core.

Return type:

int

Type:

MatchingCore.price_precision

reset(self) → void

set_fill_limit_inside_spread(self, bool value) → void

Messages

class BatchCancelOrders

Bases: TradingCommand

BatchCancelOrders(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, list cancels, UUID4 command_id, uint64_t ts_init, ClientId client_id=None, dict params: dict | None = None, UUID4 correlation_id=None) -> None

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

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

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

• cancels (list[CancelOrder]) – The inner list of cancel order commands.

• command_id (UUID4) – The command ID.

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

• client_id (ClientId, optional) – The execution client ID for the command.

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

Raises:

• ValueError – If cancels is empty.

• ValueError – If cancels contains a type other than CancelOrder.

cancels

client_id

The execution client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

static from_dict(dict values) → BatchCancelOrders

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

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

BatchCancelOrders

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

static to_dict(BatchCancelOrders obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class CancelAllOrders

Bases: TradingCommand

CancelAllOrders(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, OrderSide order_side, UUID4 command_id, uint64_t ts_init, ClientId client_id=None, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to cancel all orders for an instrument.

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

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

• order_side (OrderSide) – The order side for the command.

• command_id (UUID4) – The command ID.

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

• client_id (ClientId, optional) – The execution client ID for the command.

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

client_id

The execution client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

static from_dict(dict values) → CancelAllOrders

Return a cancel order command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

CancelAllOrders

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

order_side

The order side for the command.

Returns:

OrderSide

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

static to_dict(CancelAllOrders obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class CancelOrder

Bases: TradingCommand

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

Represents a command to cancel an order.

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

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

• client_order_id (ClientOrderId) – The client order ID to cancel.

• venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to cancel.

• command_id (UUID4) – The command ID.

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

• client_id (ClientId, optional) – The execution client ID for the command.

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

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_F_70.html

client_id

The execution client ID for the command.

Returns:

ClientId or None

client_order_id

The client order ID associated with the command.

Returns:

ClientOrderId

correlation_id

The command correlation ID.

Returns:

UUID4 or None

static from_dict(dict values) → CancelOrder

Return a cancel order command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

CancelOrder

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

static to_dict(CancelOrder obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue_order_id

The venue order ID associated with the command.

Returns:

VenueOrderId or None

class ExecutionReportCommand

Bases: Command

ExecutionReportCommand(InstrumentId instrument_id: InstrumentId | None, datetime start: datetime | None, datetime end: datetime | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

The base class for all execution report commands.

Parameters:

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

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

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

• command_id (UUID4) – The commands ID.

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

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

Warning

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

correlation_id

The command correlation ID.

Returns:

UUID4 or None

end

The end datetime (UTC) of request time range.

:returns datetime or None

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

:returns datetime or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class GenerateExecutionMassStatus

Bases: ExecutionReportCommand

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

Command to generate an execution mass status report.

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• client_id (ClientId) – The client ID for the command.

• command_id (UUID4) – The command ID.

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

• venue (Venue, optional) – The venue for the command.

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

client_id

The client ID associated with the command.

Returns:

ClientId

correlation_id

The command correlation ID.

Returns:

UUID4 or None

end

The end datetime (UTC) of request time range.

:returns datetime or None

static from_dict(dict values) → GenerateExecutionMassStatus

Return a generate execution mass status command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

GenerateExecutionMassStatus

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

:returns datetime or None

static to_dict(GenerateExecutionMassStatus obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue

The venue associated with the command.

Returns:

Venue or None

class GenerateFillReports

Bases: ExecutionReportCommand

GenerateFillReports(InstrumentId instrument_id: InstrumentId | None, VenueOrderId venue_order_id: VenueOrderId | None, datetime start: datetime | None, datetime end: datetime | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Command to generate fill reports.

Parameters:

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

• venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to query.

• 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.

• command_id (UUID4) – The commands ID.

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

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

correlation_id

The command correlation ID.

Returns:

UUID4 or None

end

The end datetime (UTC) of request time range.

:returns datetime or None

static from_dict(dict values) → GenerateFillReports

Return a generate fill reports command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

GenerateFillReports

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

:returns datetime or None

static to_dict(GenerateFillReports obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue_order_id

The venue order ID associated with the command.

Returns:

VenueOrderId or None

class GenerateOrderStatusReport

Bases: ExecutionReportCommand

GenerateOrderStatusReport(InstrumentId instrument_id: InstrumentId | None, ClientOrderId client_order_id: ClientOrderId | None, VenueOrderId venue_order_id: VenueOrderId | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Command to generate an order status report.

Parameters:

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

• client_order_id (ClientOrderId) – The client order ID to update.

• venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to query.

• command_id (UUID4) – The commands ID.

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

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

client_order_id

The client order ID associated with the command.

Returns:

ClientOrderId

correlation_id

The command correlation ID.

Returns:

UUID4 or None

end

The end datetime (UTC) of request time range.

:returns datetime or None

static from_dict(dict values) → GenerateOrderStatusReport

Return a generate order status report command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

GenerateOrderStatusReport

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

:returns datetime or None

static to_dict(GenerateOrderStatusReport obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue_order_id

The venue order ID associated with the command.

Returns:

VenueOrderId or None

class GenerateOrderStatusReports

Bases: ExecutionReportCommand

GenerateOrderStatusReports(InstrumentId instrument_id: InstrumentId | None, datetime start: datetime | None, datetime end: datetime | None, bool open_only, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, LogLevel log_receipt_level=LogLevel.INFO, UUID4 correlation_id=None) -> None

Command to generate order status reports.

Parameters:

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

• 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.

• open_only (bool) – If True then only open orders will be requested.

• command_id (UUID4) – The commands ID.

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

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

• log_receipt_level (LogLevel, default 'INFO') – The log level for logging received reports. Must be either LogLevel.DEBUG or LogLevel.INFO.

correlation_id

The command correlation ID.

Returns:

UUID4 or None

end

The end datetime (UTC) of request time range.

:returns datetime or None

static from_dict(dict values) → GenerateOrderStatusReports

Return a generate order status reports command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

GenerateOrderStatusReports

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

log_receipt_level

The log level for logging received reports.

Returns:

LogLevel

open_only

If the request is only for open orders.

Returns:

bool

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

:returns datetime or None

static to_dict(GenerateOrderStatusReports obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class GeneratePositionStatusReports

Bases: ExecutionReportCommand

GeneratePositionStatusReports(InstrumentId instrument_id: InstrumentId | None, datetime start: datetime | None, datetime end: datetime | None, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, LogLevel log_receipt_level=LogLevel.INFO, UUID4 correlation_id=None) -> None

Command to generate position status reports.

Parameters:

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

• 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.

• command_id (UUID4) – The commands ID.

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

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

• log_receipt_level (LogLevel, default 'INFO') – The log level for logging received reports. Must be either LogLevel.DEBUG or LogLevel.INFO.

correlation_id

The command correlation ID.

Returns:

UUID4 or None

end

The end datetime (UTC) of request time range.

:returns datetime or None

static from_dict(dict values) → GeneratePositionStatusReports

Return a generate position status reports command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

GeneratePositionStatusReports

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

log_receipt_level

The log level for logging received reports.

Returns:

LogLevel

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

start

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

:returns datetime or None

static to_dict(GeneratePositionStatusReports obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class ModifyOrder

Bases: TradingCommand

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

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

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

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

• client_order_id (ClientOrderId) – The client order ID to update.

• venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to update.

• quantity (Quantity or None) – The quantity for the order update.

• price (Price or None) – The price for the order update.

• trigger_price (Price or None) – The trigger price for the order update.

• command_id (UUID4) – The command ID.

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

• client_id (ClientId, optional) – The execution client ID for the command.

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

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_G_71.html

client_id

The execution client ID for the command.

Returns:

ClientId or None

client_order_id

The client order ID associated with the command.

Returns:

ClientOrderId

correlation_id

The command correlation ID.

Returns:

UUID4 or None

static from_dict(dict values) → ModifyOrder

Return a modify order command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

ModifyOrder

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

price

The updated price for the command.

Returns:

Price or None

quantity

The updated quantity for the command.

Returns:

Quantity or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

static to_dict(ModifyOrder obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

trigger_price

The updated trigger price for the command.

Returns:

Price or None

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue_order_id

The venue order ID associated with the command.

Returns:

VenueOrderId or None

class QueryAccount

Bases: Command

QueryAccount(TraderId trader_id, AccountId account_id, UUID4 command_id, uint64_t ts_init, ClientId client_id=None, dict params: dict | None = None, UUID4 correlation_id=None) -> None

Represents a command to query an account.

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• account_id (AccountId) – The account ID to query.

• command_id (UUID4) – The command ID.

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

• client_id (ClientId, optional) – The execution client ID for the command.

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

account_id

The account ID to query.

Returns:

AccountId

client_id

The execution client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

static from_dict(dict values) → QueryAccount

Return a query account command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

QueryAccount

id

The command message ID.

Returns:

UUID4

params

Additional parameters for the command.

Returns:

dict[str, object]

static to_dict(QueryAccount obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class QueryOrder

Bases: TradingCommand

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

Represents a command to query an order.

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

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

• client_order_id (ClientOrderId) – The client order ID for the order to query.

• venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue) to query.

• command_id (UUID4) – The command ID.

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

• client_id (ClientId, optional) – The execution client ID for the command.

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

client_id

The execution client ID for the command.

Returns:

ClientId or None

client_order_id

The client order ID for the order to query.

Returns:

ClientOrderId

correlation_id

The command correlation ID.

Returns:

UUID4 or None

static from_dict(dict values) → QueryOrder

Return a query order command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

QueryOrder

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

static to_dict(QueryOrder obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

venue_order_id

The venue order ID for the order to query.

Returns:

VenueOrderId or None

class SubmitOrder

Bases: TradingCommand

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

Represents a command to submit the given order.

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

• order (Order) – The order to submit.

• command_id (UUID4) – The commands ID.

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

• position_id (PositionId, optional) – The position ID for the command.

• client_id (ClientId, optional) – The execution client ID for the command.

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

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_D_68.html

client_id

The execution client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

exec_algorithm_id

The execution algorithm ID for the order.

Returns:

ExecAlgorithmId or None

static from_dict(dict values) → SubmitOrder

Return a submit order command from the given dict values.

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

SubmitOrder

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

order

The order to submit.

Returns:

Order

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

position_id

The position ID to associate with the order.

Returns:

PositionId or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

static to_dict(SubmitOrder obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class SubmitOrderList

Bases: TradingCommand

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

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

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

Parameters:

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

• order_list (OrderList) – The order list to submit.

• command_id (UUID4) – The command ID.

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

• position_id (PositionId, optional) – The position ID for the command.

• client_id (ClientId, optional) – The execution client ID for the command.

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

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_E_69.html

client_id

The execution client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

exec_algorithm_id

The execution algorithm ID for the order list.

Returns:

ExecAlgorithmId or None

static from_dict(dict values) → SubmitOrderList

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

Parameters:

values (dict[str, object]) – The values for initialization.

Return type:

SubmitOrderList

has_emulated_order

If the contained order_list holds at least one emulated order.

Returns:

bool

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

order_list

The order list to submit.

Returns:

OrderList

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

position_id

The position ID to associate with the orders.

Returns:

PositionId or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

static to_dict(SubmitOrderList obj)

Return a dictionary representation of this object.

Return type:

dict[str, object]

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class TradingCommand

Bases: Command

TradingCommand(ClientId client_id: ClientId | None, TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, UUID4 command_id, uint64_t ts_init, dict params: dict | None = None, UUID4 correlation_id=None) -> None

The base class for all trading related commands.

Parameters:

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

• trader_id (TraderId) – The trader ID for the command.

• strategy_id (StrategyId) – The strategy ID for the command.

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

• command_id (UUID4) – The commands ID.

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

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

Warning

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

client_id

The execution client ID for the command.

Returns:

ClientId or None

correlation_id

The command correlation ID.

Returns:

UUID4 or None

id

The command message ID.

Returns:

UUID4

instrument_id

The instrument ID associated with the command.

Returns:

InstrumentId

params

Additional specific parameters for the command.

Returns:

dict[str, object] or None

strategy_id

The strategy ID associated with the command.

Returns:

StrategyId

trader_id

The trader ID associated with the command.

Returns:

TraderId

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

Reports

class ExecutionReport

Bases: Document

The base class for all execution reports.

id

The document message ID.

Returns:

UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class OrderStatusReport

Bases: ExecutionReport

Represents an order status at a point in time.

Reporting is best-effort; if filled exceeds quantity due to venue anomalies, avoid negative leaves_qty by clamping to zero.

Parameters:

• account_id (AccountId) – The account ID for the report.

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

• venue_order_id (VenueOrderId) – The reported order ID (assigned by the venue).

• order_side (OrderSide {BUY, SELL}) – The reported order side.

• order_type (OrderType) – The reported order type.

• time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}) – The reported order time in force.

• order_status (OrderStatus) – The reported order status at the exchange.

• quantity (Quantity) – The reported order original quantity.

• filled_qty (Quantity) – The reported filled quantity at the exchange.

• report_id (UUID4) – The report ID.

• ts_accepted (int) – UNIX timestamp (nanoseconds) when the reported order was accepted.

• ts_last (int) – UNIX timestamp (nanoseconds) of the last order status change.

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

• client_order_id (ClientOrderId, optional) – The reported client order ID.

• order_list_id (OrderListId, optional) – The reported order list ID associated with the order.

• venue_position_id (PositionId, optional) – The reported venue position ID for the order. If the trading venue has associated a position ID / ticket with the order then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.

• contingency_type (ContingencyType, default NO_CONTINGENCY) – The reported order contingency type.

• expire_time (datetime, optional) – The order expiration.

• price (Price, optional) – The reported order price (LIMIT).

• trigger_price (Price, optional) – The reported order trigger price (STOP).

• trigger_type (TriggerType, default NO_TRIGGER) – The reported order trigger type.

• limit_offset (Decimal, optional) – The trailing offset for the order price (LIMIT).

• trailing_offset (Decimal, optional) – The trailing offset for the trigger price (STOP).

• trailing_offset_type (TrailingOffsetType, default NO_TRAILING_OFFSET) – The order trailing offset type.

• avg_px (Decimal, optional) – The reported order average fill price.

• display_qty (Quantity, optional) – The reported order quantity displayed on the public book (iceberg).

• post_only (bool, default False) – If the reported order will only provide liquidity (make a market).

• reduce_only (bool, default False) – If the reported order carries the ‘reduce-only’ execution instruction.

• cancel_reason (str, optional) – The reported reason for order cancellation.

• ts_triggered (int, optional) – UNIX timestamp (nanoseconds) when the object was initialized.

Raises:

• ValueError – If quantity is not positive (> 0).

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

• ValueError – If trigger_price is not None and trigger_price is equal to NO_TRIGGER.

• ValueError – If limit_offset or trailing_offset is not None and trailing_offset_type is equal to NO_TRAILING_OFFSET.

property is_open: bool

Return whether the reported order status is ‘open’.

Return type:

bool

is_order_updated(order: Order) → bool

Return whether the order has been updated based on this report.

Parameters:

order (Order) – The order to compare against.

Return type:

bool

to_dict() → dict[str, Any]

Return a dictionary representation of this object.

Return type:

dict[str, Any]

classmethod from_dict(values: dict[str, Any]) → OrderStatusReport

Return an order status report from the given dict values.

Parameters:

values (dict[str, Any]) – The values for initialization.

Return type:

OrderStatusReport

to_pyo3() → OrderStatusReport

static from_pyo3(pyo3_report: OrderStatusReport) → OrderStatusReport

id

The document message ID.

Returns:

UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class FillReport

Bases: ExecutionReport

Represents a report of a single order fill.

Parameters:

• account_id (AccountId) – The account ID for the report.

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

• venue_order_id (VenueOrderId) – The reported venue order ID (assigned by the venue) for the trade.

• trade_id (TradeId) – The reported trade match ID (assigned by the venue).

• order_side (OrderSide {BUY, SELL}) – The reported order side for the trade.

• last_qty (Quantity) – The reported quantity of the trade.

• last_px (Price) – The reported price of the trade.

• commission (Money) – The reported commission for the trade. If no commission then use a zero Money amount of the commission currency.

• liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The reported liquidity side for the trade.

• report_id (UUID4) – The report ID.

• ts_event (int) – UNIX timestamp (nanoseconds) when the trade occurred.

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

• client_order_id (ClientOrderId, optional) – The reported client order ID for the trade.

• venue_position_id (PositionId, optional) – The reported venue position ID for the trade. If the trading venue has assigned a position ID / ticket for the trade then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.

Raises:

ValueError – If last_qty is not positive (> 0).

to_dict() → dict[str, Any]

Return a dictionary representation of this object.

Return type:

dict[str, Any]

classmethod from_dict(values: dict[str, Any]) → FillReport

Return a fill report from the given dict values.

Parameters:

values (dict[str, Any]) – The values for initialization.

Return type:

FillReport

to_pyo3() → FillReport

static from_pyo3(pyo3_report: FillReport) → FillReport

id

The document message ID.

Returns:

UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class PositionStatusReport

Bases: ExecutionReport

Represents a position status at a point in time.

Parameters:

• account_id (AccountId) – The account ID for the report.

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

• position_side (PositionSide {FLAT, LONG, SHORT}) – The reported position side at the exchange.

• quantity (Quantity) – The reported position quantity at the exchange.

• report_id (UUID4) – The report ID.

• ts_last (int) – UNIX timestamp (nanoseconds) of the last position change.

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

• venue_position_id (PositionId, optional) – The reported venue position ID (assigned by the venue). If the trading venue has assigned a position ID / ticket for the trade then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.

• avg_px_open (Decimal, optional) – The reported position average open price.

static create_flat(account_id: AccountId, instrument_id: InstrumentId, size_precision: int, ts_init: int, report_id: UUID4 | None = None) → PositionStatusReport

to_dict() → dict[str, Any]

Return a dictionary representation of this object.

Return type:

dict[str, Any]

classmethod from_dict(values: dict[str, Any]) → PositionStatusReport

Return a position status report from the given dict values.

Parameters:

values (dict[str, Any]) – The values for initialization.

Return type:

PositionStatusReport

to_pyo3() → PositionStatusReport

static from_pyo3(pyo3_report: PositionStatusReport) → PositionStatusReport

id

The document message ID.

Returns:

UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t

class ExecutionMassStatus

Bases: Document

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

Parameters:

• venue (Venue) – The venue for the report.

• client_id (ClientId) – The client ID for the report.

• account_id (AccountId) – The account ID for the report.

• report_id (UUID4) – The report ID.

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

property order_reports: dict[VenueOrderId, OrderStatusReport]

The order status reports.

Return type:

dict[VenueOrderId, OrderStatusReport]

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

The fill reports.

Return type:

dict[VenueOrderId, list[FillReport]

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

The position status reports.

Return type:

dict[InstrumentId, list[PositionStatusReport]]

add_order_reports(reports: list[OrderStatusReport]) → None

Add the order reports to the mass status.

Parameters:

reports (list[OrderStatusReport]) – The list of reports to add.

Raises:

TypeError – If reports contains a type other than OrderStatusReport.

add_fill_reports(reports: list[FillReport]) → None

Add the fill reports to the mass status.

Parameters:

reports (list[FillReport]) – The list of reports to add.

Raises:

TypeError – If reports contains a type other than FillReport.

add_position_reports(reports: list[PositionStatusReport]) → None

Add the position status reports to the mass status.

Parameters:

reports (list[PositionStatusReport]) – The reports to add.

to_dict() → dict[str, Any]

Return a dictionary representation of this object.

Return type:

dict[str, Any]

to_pyo3() → ExecutionMassStatus

classmethod from_dict(values: dict[str, Any]) → ExecutionMassStatus

Return an execution mass status from the given dict values.

Parameters:

values (dict[str, Any]) – The values for initialization.

Return type:

ExecutionMassStatus

id

The document message ID.

Returns:

UUID4

ts_init

UNIX timestamp (nanoseconds) when the object was initialized.

Returns:

uint64_t