Events¶

Defines the fundamental event types represented within the trading domain.

class AccountState¶

Bases: Event

AccountState(AccountId account_id, AccountType account_type, Currency base_currency, bool reported, list balances, list margins, dict info, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event which includes information on the state of the account.

Parameters:

account_id (AccountId) – The account ID (with the venue).
account_type (AccountType) – The account type for the event.
base_currency (Currency, optional) – The account base currency. Use None for multi-currency accounts.
reported (bool) – If the state is reported from the exchange (otherwise system calculated).
balances (list[AccountBalance]) – The account balances.
margins (list[MarginBalance]) – The margin balances (can be empty).
info (dict [str, object]) – The additional implementation specific account information.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Raises:

ValueError – If balances is empty.

account_id¶

The account ID associated with the event.

Returns:: AccountId

account_type¶

The account type for the event.

Returns:: AccountType

balances¶

The account balances.

Returns:: list[AccountBalance]

base_currency¶

The account type for the event.

Returns:: Currency or None

static from_dict(dict values) → AccountState¶

Return an account state event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: AccountState

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: AccountState.id

info¶

The additional implementation specific account information.

Returns:: dict[str, object]

is_reported¶

If the state is reported from the exchange (otherwise system calculated).

Returns:: bool

margins¶

The margin balances.

Returns:: list[MarginBalance]

static to_dict(AccountState obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: AccountState.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: AccountState.ts_init

class OrderAccepted¶

Bases: OrderEvent

OrderAccepted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, AccountId account_id, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been accepted by the trading venue.

This event often corresponds to a NEW OrdStatus <39> field in FIX execution reports.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
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).
account_id (AccountId) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/tagNum_39.html

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderAccepted.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderAccepted.client_order_id

static from_dict(dict values) → OrderAccepted¶

Return an order accepted event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderAccepted

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderAccepted.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderAccepted.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderAccepted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderAccepted.strategy_id

static to_dict(OrderAccepted obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderAccepted.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderAccepted.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderAccepted.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderAccepted.venue_order_id

class OrderCancelRejected¶

Bases: OrderEvent

OrderCancelRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, str reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a CancelOrder command has been rejected by the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
reason (str) – The order cancel rejected reason.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderCancelRejected.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderCancelRejected.client_order_id

static from_dict(dict values) → OrderCancelRejected¶

Return an order cancel rejected event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderCancelRejected

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderCancelRejected.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderCancelRejected.instrument_id

reason¶

str

Return the reason the order was rejected.

Return type:: str
Type:: OrderCancelRejected.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderCancelRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderCancelRejected.strategy_id

static to_dict(OrderCancelRejected obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderCancelRejected.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderCancelRejected.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderCancelRejected.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderCancelRejected.venue_order_id

class OrderCanceled¶

Bases: OrderEvent

OrderCanceled(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been canceled at the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderCanceled.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderCanceled.client_order_id

static from_dict(dict values) → OrderCanceled¶

Return an order canceled event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderCanceled

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderCanceled.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderCanceled.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderCanceled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderCanceled.strategy_id

static to_dict(OrderCanceled obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderCanceled.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderCanceled.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderCanceled.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderCanceled.venue_order_id

class OrderDenied¶

Bases: OrderEvent

OrderDenied(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, str reason, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has been denied by the Nautilus system.

This could be due an unsupported feature, a risk limit exceedance, or for any other reason that an otherwise valid order is not able to be submitted.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
reason (str) – The order denied reason.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderDenied.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderDenied.client_order_id

static from_dict(dict values) → OrderDenied¶

Return an order denied event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderDenied

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderDenied.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderDenied.instrument_id

reason¶

str

Return the reason the order was denied.

Return type:: str
Type:: OrderDenied.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderDenied.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderDenied.strategy_id

static to_dict(OrderDenied obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderDenied.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderDenied.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderDenied.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderDenied.venue_order_id

class OrderEmulated¶

Bases: OrderEvent

OrderEmulated(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has become emulated by the Nautilus system.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderEmulated.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderEmulated.client_order_id

static from_dict(dict values) → OrderEmulated¶

Return an order emulated event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderEmulated

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderEmulated.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderEmulated.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderEmulated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderEmulated.strategy_id

static to_dict(OrderEmulated obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderEmulated.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderEmulated.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderEmulated.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderEmulated.venue_order_id

class OrderEvent¶

Bases: Event

The abstract base class for all order events.

Warning

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

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderEvent.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderEvent.client_order_id

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderEvent.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderEvent.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderEvent.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderEvent.strategy_id

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderEvent.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderEvent.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderEvent.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderEvent.venue_order_id

class OrderExpired¶

Bases: OrderEvent

OrderExpired(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has expired at the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderExpired.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderExpired.client_order_id

static from_dict(dict values) → OrderExpired¶

Return an order expired event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderExpired

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderExpired.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderExpired.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderExpired.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderExpired.strategy_id

static to_dict(OrderExpired obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderExpired.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderExpired.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderExpired.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderExpired.venue_order_id

class OrderFilled¶

Bases: OrderEvent

OrderFilled(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, AccountId account_id, TradeId trade_id, PositionId position_id: PositionId | None, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency currency, Money commission, LiquiditySide liquidity_side, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False, dict info=None)

Represents an event where an order has been filled at the exchange.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
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).
account_id (AccountId) – The account ID (with the venue).
trade_id (TradeId) – The trade match ID (assigned by the venue).
position_id (PositionId or None) – The position ID associated with the order fill (assigned by the venue).
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).
currency (Currency) – The currency of the price.
commission (Money) – The fill commission.
liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
info (dict[str, object], optional) – The additional fill information.
reconciliation (bool, default False) – If the event was generated during reconciliation.

Raises:

ValueError – If order_side is NO_ORDER_SIDE.
ValueError – If last_qty is not positive (> 0).

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderFilled.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderFilled.client_order_id

commission¶

The commission generated from the fill.

Returns:: Money

currency¶

The currency of the price.

Returns:: Currency

static from_dict(dict values) → OrderFilled¶

Return an order filled event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderFilled

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderFilled.id

info¶

The additional fill information.

Returns:: dict[str, object]

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderFilled.instrument_id

is_buy¶

Return whether the fill order side is BUY.

Return type:: bool

is_sell¶

Return whether the fill order side is SELL.

Return type:: bool

last_px¶

The fill price for this execution.

Returns:: Price

last_qty¶

The fill quantity.

Returns:: Quantity

liquidity_side¶

The liquidity side of the event {MAKER, TAKER}.

Returns:: LiquiditySide

order_side¶

The order side.

Returns:: OrderSide

order_type¶

The order type.

Returns:: OrderType

position_id¶

The position ID (assigned by the venue).

Returns:: PositionId or None

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderFilled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderFilled.strategy_id

static to_dict(OrderFilled obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trade_id¶

The trade match ID (assigned by the venue).

Returns:: TradeId

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderFilled.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderFilled.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderFilled.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderFilled.venue_order_id

class OrderInitialized¶

Bases: OrderEvent

OrderInitialized(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, OrderSide order_side, OrderType order_type, Quantity quantity, TimeInForce time_in_force, bool post_only, bool reduce_only, bool quote_quantity, dict options, TriggerType emulation_trigger, InstrumentId trigger_instrument_id: InstrumentId | None, ContingencyType contingency_type, OrderListId order_list_id: OrderListId | None, list linked_order_ids: list[ClientOrderId] | None, ClientOrderId parent_order_id: ClientOrderId | None, ExecAlgorithmId exec_algorithm_id: ExecAlgorithmId | None, dict exec_algorithm_params: dict[str, object] | None, ClientOrderId exec_spawn_id: ClientOrderId | None, list tags: list[str] | None, UUID4 event_id, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been initialized.

This is a seed event which can instantiate any order through a creation method. This event should contain enough information to be able to send it ‘over the wire’ and have a valid order created with exactly the same properties as if it had been instantiated locally.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
order_side (OrderSide {BUY, SELL}) – The order side.
order_type (OrderType) – The order type.
quantity (Quantity) – The order quantity.
time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}) – The order time in force.
post_only (bool) – If the order will only provide liquidity (make a market).
reduce_only (bool) – If the order carries the ‘reduce-only’ execution instruction.
quote_quantity (bool) – If the order quantity is denominated in the quote currency.
options (dict[str, str]) – The order initialization options. Contains mappings for specific order parameters.
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.
trigger_instrument_id (InstrumentId or None) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
contingency_type (ContingencyType) – The order contingency type.
order_list_id (OrderListId or None) – The order list ID associated with the order.
linked_order_ids (list[ClientOrderId] or None) – The order linked client order ID(s).
parent_order_id (ClientOrderId or None) – The orders parent client order ID.
exec_algorithm_id (ExecAlgorithmId or None) – The execution algorithm ID for the order.
exec_algorithm_params (dict[str, Any], optional) – The execution algorithm parameters for the order.
exec_spawn_id (ClientOrderId or None) – The execution algorithm spawning primary client order ID.
tags (list[str] or None) – The custom user tags for the order.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

Raises:

ValueError – If order_side is NO_ORDER_SIDE.
ValueError – If contingency_type is not NO_CONTINGENCY, and linked_order_ids is None or empty.
ValueError – If exec_algorithm_id is not None, and exec_spawn_id is None.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderInitialized.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderInitialized.client_order_id

contingency_type¶

The orders contingency type.

Returns:: ContingencyType

emulation_trigger¶

The order emulation trigger type.

Returns:: TriggerType

exec_algorithm_id¶

The execution algorithm ID for the order.

Returns:: ExecAlgorithmId or None

exec_algorithm_params¶

The execution algorithm parameters for the order.

Returns:: dict[str, Any] or None

exec_spawn_id¶

The execution algorithm spawning client order ID.

Returns:: ClientOrderId or None

static from_dict(dict values) → OrderInitialized¶

Return an order initialized event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderInitialized

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderInitialized.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderInitialized.instrument_id

linked_order_ids¶

The orders linked client order ID(s).

Returns:: list[ClientOrderId] or None

options¶

The order initialization options.

Returns:: dict

order_list_id¶

The order list ID associated with the order.

Returns:: OrderListId or None

order_type¶

The order type.

Returns:: OrderType

parent_order_id¶

The orders parent client order ID.

Returns:: ClientOrderId or None

post_only¶

If the order will only provide liquidity (make a market).

Returns:: bool

quantity¶

The order quantity.

Returns:: Quantity

quote_quantity¶

If the order quantity is denominated in the quote currency.

Returns:: bool

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderInitialized.reconciliation

reduce_only¶

If the order carries the ‘reduce-only’ execution instruction.

Returns:: bool

set_client_order_id(self, ClientOrderId client_order_id)¶

side¶

The order side.

Returns:: OrderSide

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderInitialized.strategy_id

tags¶

The order custom user tags.

Returns:: list[str] or None

time_in_force¶

The order time in force.

Returns:: TimeInForce

static to_dict(OrderInitialized obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderInitialized.trader_id

trigger_instrument_id¶

The order emulation trigger instrument ID (will be instrument_id if None).

Returns:: InstrumentId or None

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderInitialized.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderInitialized.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderInitialized.venue_order_id

class OrderModifyRejected¶

Bases: OrderEvent

OrderModifyRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, str reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a ModifyOrder command has been rejected by the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
reason (str) – The order update rejected reason.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejected event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderModifyRejected.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderModifyRejected.client_order_id

static from_dict(dict values) → OrderModifyRejected¶

Return an order update rejected event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderModifyRejected

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderModifyRejected.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderModifyRejected.instrument_id

reason¶

str

Return the reason the order was rejected.

Return type:: str
Type:: OrderModifyRejected.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderModifyRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderModifyRejected.strategy_id

static to_dict(OrderModifyRejected obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderModifyRejected.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderModifyRejected.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderModifyRejected.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderModifyRejected.venue_order_id

class OrderPendingCancel¶

Bases: OrderEvent

OrderPendingCancel(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where a CancelOrder command has been sent to the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending cancel event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderPendingCancel.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderPendingCancel.client_order_id

static from_dict(dict values) → OrderPendingCancel¶

Return an order pending cancel event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderPendingCancel

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderPendingCancel.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderPendingCancel.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderPendingCancel.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderPendingCancel.strategy_id

static to_dict(OrderPendingCancel obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderPendingCancel.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderPendingCancel.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderPendingCancel.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderPendingCancel.venue_order_id

class OrderPendingUpdate¶

Bases: OrderEvent

OrderPendingUpdate(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an ModifyOrder command has been sent to the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending update event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderPendingUpdate.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderPendingUpdate.client_order_id

static from_dict(dict values) → OrderPendingUpdate¶

Return an order pending update event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderPendingUpdate

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderPendingUpdate.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderPendingUpdate.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderPendingUpdate.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderPendingUpdate.strategy_id

static to_dict(OrderPendingUpdate obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderPendingUpdate.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderPendingUpdate.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderPendingUpdate.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderPendingUpdate.venue_order_id

class OrderRejected¶

Bases: OrderEvent

OrderRejected(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, AccountId account_id, str reason, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False, bool due_post_only=False)

Represents an event where an order has been rejected by the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
account_id (AccountId) – The account ID (with the venue).
reason (str) – The order rejected reason.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.
due_post_only (bool, default False) – If the order was rejected because it was post-only and would execute immediately as a taker.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderRejected.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderRejected.client_order_id

due_post_only¶

bool

If the order was rejected because it was post-only and would execute immediately as a taker.

Return type:: bool
Type:: OrderRejected.due_post_only

static from_dict(dict values) → OrderRejected¶

Return an order rejected event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderRejected

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderRejected.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderRejected.instrument_id

reason¶

str

Return the reason the order was rejected.

Return type:: str
Type:: OrderRejected.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderRejected.strategy_id

static to_dict(OrderRejected obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderRejected.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderRejected.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderRejected.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderRejected.venue_order_id

class OrderReleased¶

Bases: OrderEvent

OrderReleased(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, Price released_price, UUID4 event_id, uint64_t ts_init)

Represents an event where an order was released from the OrderEmulator by the Nautilus system.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
released_price (Price) – The price which released the order from the emulator.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderReleased.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderReleased.client_order_id

static from_dict(dict values) → OrderReleased¶

Return an order released event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderReleased

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderReleased.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderReleased.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderReleased.reconciliation

released_price¶

Price

The released price for the event.

Return type:: Price
Type:: OrderReleased.released_price

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderReleased.strategy_id

static to_dict(OrderReleased obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderReleased.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderReleased.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderReleased.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderReleased.venue_order_id

class OrderSubmitted¶

Bases: OrderEvent

OrderSubmitted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, AccountId account_id, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event where an order has been submitted by the system to the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
account_id (AccountId) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderSubmitted.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderSubmitted.client_order_id

static from_dict(dict values) → OrderSubmitted¶

Return an order submitted event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderSubmitted

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderSubmitted.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderSubmitted.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderSubmitted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderSubmitted.strategy_id

static to_dict(OrderSubmitted obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderSubmitted.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderSubmitted.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderSubmitted.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderSubmitted.venue_order_id

class OrderTriggered¶

Bases: OrderEvent

OrderTriggered(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has triggered.

Applicable to StopLimit orders only.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderTriggered.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderTriggered.client_order_id

static from_dict(dict values) → OrderTriggered¶

Return an order triggered event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderTriggered

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderTriggered.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderTriggered.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderTriggered.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderTriggered.strategy_id

static to_dict(OrderTriggered obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderTriggered.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderTriggered.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderTriggered.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderTriggered.venue_order_id

class OrderUpdated¶

Bases: OrderEvent

OrderUpdated(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: VenueOrderId | None, AccountId account_id: AccountId | None, Quantity quantity, Price price: Price | None, Price trigger_price: Price | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init, bool reconciliation=False)

Represents an event where an order has been updated at the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
quantity (Quantity) – The orders current quantity.
price (Price or None) – The orders current price.
trigger_price (Price or None) – The orders current trigger.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order updated event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

Raises:

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

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderUpdated.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderUpdated.client_order_id

static from_dict(dict values) → OrderUpdated¶

Return an order updated event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderUpdated

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderUpdated.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderUpdated.instrument_id

price¶

The orders current price.

Returns:: Price

quantity¶

The orders current quantity.

Returns:: Quantity

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderUpdated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderUpdated.strategy_id

static to_dict(OrderUpdated obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderUpdated.trader_id

trigger_price¶

The orders current trigger price.

Returns:: Price or None

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderUpdated.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderUpdated.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderUpdated.venue_order_id

class PositionAdjusted¶

Bases: Event

PositionAdjusted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, PositionAdjustmentType adjustment_type, quantity_change, Money pnl_change: Money | None, str reason: str | None, UUID4 event_id, uint64_t ts_event, uint64_t ts_init) -> None

Represents an adjustment to a position’s quantity or realized PnL.

This event is used to track changes to positions that occur outside of normal order fills, such as commission adjustments or funding payments.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position ID.
account_id (AccountId) – The account ID.
adjustment_type (PositionAdjustmentType) – The type of adjustment.
quantity_change (Decimal | None) – The quantity change (positive increases quantity, negative decreases).
pnl_change (Money | None) – The PnL change.
reason (str | None) – Optional reason or reference for the adjustment.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

The account ID associated with the adjustment.

Returns:: AccountId

adjustment_type¶

The type of adjustment.

Returns:: PositionAdjustmentType

static from_dict(dict values) → PositionAdjusted¶

Return a position adjustment event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionAdjusted

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: PositionAdjusted.id

instrument_id¶

The instrument ID associated with the event.

Returns:: InstrumentId

pnl_change¶

The PnL change.

Returns:: Money or None

position_id¶

The position ID associated with the event.

Returns:: PositionId

quantity_change¶

The quantity change (can be negative).

Returns:: Decimal or None

reason¶

Optional reason for the adjustment.

Returns:: str or None

strategy_id¶

The strategy ID associated with the event.

Returns:: StrategyId

static to_dict(PositionAdjusted obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

The trader ID associated with the event.

Returns:: TraderId

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: PositionAdjusted.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: PositionAdjusted.ts_init

class PositionChanged¶

Bases: PositionEvent

PositionChanged(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, Money unrealized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_event, uint64_t ts_init)

Represents an event where a position has changed.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
strategy_id – The strategy ID associated with the event.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (double) – The average open price.
avg_px_close (double) – The average close price.
realized_return (double) – The realized return for the position.
realized_pnl (Money) – The realized PnL for the position.
unrealized_pnl (Money) – The unrealized PnL for the position.
event_id (UUID4) – The event ID.
ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position changed event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)¶

Return a position changed event from the given params.

Parameters:

position (Position) – The position for the event.
fill (OrderFilled) – The order fill for the event.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Return type:

PositionChanged

static from_dict(dict values) → PositionChanged¶

Return a position changed event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionChanged

static to_dict(PositionChanged obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

class PositionClosed¶

Bases: PositionEvent

PositionClosed(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, ClientOrderId closing_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_closed, uint64_t duration_ns, uint64_t ts_init)

Represents an event where a position has been closed.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
strategy_id – The strategy ID associated with the event.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {FLAT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (Decimal) – The average open price.
avg_px_close (Decimal) – The average close price.
realized_return (Decimal) – The realized return for the position.
realized_pnl (Money) – The realized PnL for the position.
event_id (UUID4) – The event ID.
ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
duration_ns (uint64_t) – The total open duration (nanoseconds).
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)¶

Return a position closed event from the given params.

Parameters:

position (Position) – The position for the event.
fill (OrderFilled) – The order fill for the event.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Return type:

PositionClosed

static from_dict(dict values) → PositionClosed¶

Return a position closed event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionClosed

static to_dict(PositionClosed obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

class PositionEvent¶

Bases: Event

PositionEvent(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, ClientOrderId closing_order_id: ClientOrderId | None, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, double avg_px_close, double realized_return, Money realized_pnl, Money unrealized_pnl, UUID4 event_id, uint64_t ts_opened, uint64_t ts_closed, uint64_t duration_ns, uint64_t ts_event, uint64_t ts_init)

The base class for all position events.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (double) – The average open price.
avg_px_close (double) – The average close price.
realized_return (double) – The realized return for the position.
realized_pnl (Money) – The realized PnL for the position.
unrealized_pnl (Money) – The unrealized PnL for the position.
event_id (UUID4) – The event ID.
ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
duration_ns (uint64_t) – The total open duration (nanoseconds), will be 0 if still open.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Warning

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

account_id¶

The account ID associated with the position.

Returns:: AccountId

avg_px_close¶

The average closing price.

Returns:: double

avg_px_open¶

The average open price.

Returns:: double

closing_order_id¶

The client order ID for the order which closed the position.

Returns:: ClientOrderId or None

currency¶

The position quote currency.

Returns:: Currency

duration_ns¶

The total open duration (nanoseconds).

Returns:: uint64_t

entry¶

The entry direction from open.

Returns:: OrderSide

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: PositionEvent.id

instrument_id¶

The instrument ID associated with the event.

Returns:: InstrumentId

last_px¶

The last fill price for the position.

Returns:: Price

last_qty¶

The last fill quantity for the position.

Returns:: Quantity

opening_order_id¶

The client order ID for the order which opened the position.

Returns:: ClientOrderId

peak_qty¶

The peak directional quantity reached by the position.

Returns:: Quantity

position_id¶

The position ID associated with the event.

Returns:: PositionId

quantity¶

The position open quantity.

Returns:: Quantity

realized_pnl¶

The realized PnL for the position (including commissions).

Returns:: Money

realized_return¶

The realized return for the position.

Returns:: double

side¶

The position side.

Returns:: PositionSide

signed_qty¶

The position signed quantity (positive for LONG, negative for SHORT).

Returns:: double

strategy_id¶

The strategy ID associated with the event.

Returns:: StrategyId

trader_id¶

The trader ID associated with the event.

Returns:: TraderId

ts_closed¶

UNIX timestamp (nanoseconds) when the position was closed.

Returns:: uint64_t

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: PositionEvent.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: PositionEvent.ts_init

ts_opened¶

UNIX timestamp (nanoseconds) when the position was opened.

Returns:: uint64_t

unrealized_pnl¶

The unrealized PnL for the position (including commissions).

Returns:: Money

class PositionOpened¶

Bases: PositionEvent

PositionOpened(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, PositionId position_id, AccountId account_id, ClientOrderId opening_order_id, OrderSide entry, PositionSide side, double signed_qty, Quantity quantity, Quantity peak_qty, Quantity last_qty, Price last_px, Currency currency, double avg_px_open, Money realized_pnl, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event where a position has been opened.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
strategy_id – The strategy ID associated with the event.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {LONG, SHORT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (double) – The average open price.
realized_pnl (Money) – The realized PnL for the position.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)¶

Return a position opened event from the given params.

Parameters:

position (Position) – The position for the event.
fill (OrderFilled) – The order fill for the event.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Return type:

PositionOpened

static from_dict(dict values) → PositionOpened¶

Return a position opened event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionOpened

static to_dict(PositionOpened obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

class AccountState¶

Bases: Event

AccountState(AccountId account_id, AccountType account_type, Currency base_currency, bool reported, list balances, list margins, dict info, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event which includes information on the state of the account.

Parameters:

account_id (AccountId) – The account ID (with the venue).
account_type (AccountType) – The account type for the event.
base_currency (Currency, optional) – The account base currency. Use None for multi-currency accounts.
reported (bool) – If the state is reported from the exchange (otherwise system calculated).
balances (list[AccountBalance]) – The account balances.
margins (list[MarginBalance]) – The margin balances (can be empty).
info (dict [str, object]) – The additional implementation specific account information.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Raises:

ValueError – If balances is empty.

account_id¶

The account ID associated with the event.

Returns:: AccountId

account_type¶

The account type for the event.

Returns:: AccountType

balances¶

The account balances.

Returns:: list[AccountBalance]

base_currency¶

The account type for the event.

Returns:: Currency or None

static from_dict(dict values) → AccountState¶

Return an account state event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: AccountState

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: AccountState.id

info¶

The additional implementation specific account information.

Returns:: dict[str, object]

is_reported¶

If the state is reported from the exchange (otherwise system calculated).

Returns:: bool

margins¶

The margin balances.

Returns:: list[MarginBalance]

static to_dict(AccountState obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: AccountState.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: AccountState.ts_init

class OrderAccepted¶

Bases: OrderEvent

Represents an event where an order has been accepted by the trading venue.

This event often corresponds to a NEW OrdStatus <39> field in FIX execution reports.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
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).
account_id (AccountId) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/tagNum_39.html

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderAccepted.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderAccepted.client_order_id

static from_dict(dict values) → OrderAccepted¶

Return an order accepted event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderAccepted

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderAccepted.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderAccepted.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderAccepted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderAccepted.strategy_id

static to_dict(OrderAccepted obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderAccepted.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderAccepted.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderAccepted.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderAccepted.venue_order_id

class OrderCancelRejected¶

Bases: OrderEvent

Represents an event where a CancelOrder command has been rejected by the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
reason (str) – The order cancel rejected reason.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderCancelRejected.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderCancelRejected.client_order_id

static from_dict(dict values) → OrderCancelRejected¶

Return an order cancel rejected event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderCancelRejected

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderCancelRejected.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderCancelRejected.instrument_id

reason¶

str

Return the reason the order was rejected.

Return type:: str
Type:: OrderCancelRejected.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderCancelRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderCancelRejected.strategy_id

static to_dict(OrderCancelRejected obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderCancelRejected.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderCancelRejected.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderCancelRejected.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderCancelRejected.venue_order_id

class OrderCanceled¶

Bases: OrderEvent

Represents an event where an order has been canceled at the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderCanceled.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderCanceled.client_order_id

static from_dict(dict values) → OrderCanceled¶

Return an order canceled event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderCanceled

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderCanceled.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderCanceled.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderCanceled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderCanceled.strategy_id

static to_dict(OrderCanceled obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderCanceled.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderCanceled.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderCanceled.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderCanceled.venue_order_id

class OrderDenied¶

Bases: OrderEvent

OrderDenied(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, str reason, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has been denied by the Nautilus system.

This could be due an unsupported feature, a risk limit exceedance, or for any other reason that an otherwise valid order is not able to be submitted.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
reason (str) – The order denied reason.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderDenied.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderDenied.client_order_id

static from_dict(dict values) → OrderDenied¶

Return an order denied event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderDenied

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderDenied.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderDenied.instrument_id

reason¶

str

Return the reason the order was denied.

Return type:: str
Type:: OrderDenied.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderDenied.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderDenied.strategy_id

static to_dict(OrderDenied obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderDenied.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderDenied.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderDenied.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderDenied.venue_order_id

class OrderEmulated¶

Bases: OrderEvent

OrderEmulated(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, UUID4 event_id, uint64_t ts_init)

Represents an event where an order has become emulated by the Nautilus system.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderEmulated.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderEmulated.client_order_id

static from_dict(dict values) → OrderEmulated¶

Return an order emulated event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderEmulated

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderEmulated.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderEmulated.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderEmulated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderEmulated.strategy_id

static to_dict(OrderEmulated obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderEmulated.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderEmulated.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderEmulated.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderEmulated.venue_order_id

class OrderEvent¶

Bases: Event

The abstract base class for all order events.

Warning

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

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderEvent.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderEvent.client_order_id

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderEvent.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderEvent.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderEvent.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderEvent.strategy_id

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderEvent.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderEvent.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderEvent.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderEvent.venue_order_id

class OrderExpired¶

Bases: OrderEvent

Represents an event where an order has expired at the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderExpired.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderExpired.client_order_id

static from_dict(dict values) → OrderExpired¶

Return an order expired event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderExpired

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderExpired.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderExpired.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderExpired.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderExpired.strategy_id

static to_dict(OrderExpired obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderExpired.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderExpired.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderExpired.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderExpired.venue_order_id

class OrderFilled¶

Bases: OrderEvent

Represents an event where an order has been filled at the exchange.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
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).
account_id (AccountId) – The account ID (with the venue).
trade_id (TradeId) – The trade match ID (assigned by the venue).
position_id (PositionId or None) – The position ID associated with the order fill (assigned by the venue).
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).
currency (Currency) – The currency of the price.
commission (Money) – The fill commission.
liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
info (dict[str, object], optional) – The additional fill information.
reconciliation (bool, default False) – If the event was generated during reconciliation.

Raises:

ValueError – If order_side is NO_ORDER_SIDE.
ValueError – If last_qty is not positive (> 0).

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderFilled.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderFilled.client_order_id

commission¶

The commission generated from the fill.

Returns:: Money

currency¶

The currency of the price.

Returns:: Currency

static from_dict(dict values) → OrderFilled¶

Return an order filled event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderFilled

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderFilled.id

info¶

The additional fill information.

Returns:: dict[str, object]

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderFilled.instrument_id

is_buy¶

Return whether the fill order side is BUY.

Return type:: bool

is_sell¶

Return whether the fill order side is SELL.

Return type:: bool

last_px¶

The fill price for this execution.

Returns:: Price

last_qty¶

The fill quantity.

Returns:: Quantity

liquidity_side¶

The liquidity side of the event {MAKER, TAKER}.

Returns:: LiquiditySide

order_side¶

The order side.

Returns:: OrderSide

order_type¶

The order type.

Returns:: OrderType

position_id¶

The position ID (assigned by the venue).

Returns:: PositionId or None

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderFilled.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderFilled.strategy_id

static to_dict(OrderFilled obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trade_id¶

The trade match ID (assigned by the venue).

Returns:: TradeId

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderFilled.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderFilled.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderFilled.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderFilled.venue_order_id

class OrderInitialized¶

Bases: OrderEvent

Represents an event where an order has been initialized.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
order_side (OrderSide {BUY, SELL}) – The order side.
order_type (OrderType) – The order type.
quantity (Quantity) – The order quantity.
time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}) – The order time in force.
post_only (bool) – If the order will only provide liquidity (make a market).
reduce_only (bool) – If the order carries the ‘reduce-only’ execution instruction.
quote_quantity (bool) – If the order quantity is denominated in the quote currency.
options (dict[str, str]) – The order initialization options. Contains mappings for specific order parameters.
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.
trigger_instrument_id (InstrumentId or None) – The emulation trigger instrument ID for the order (if None then will be the instrument_id).
contingency_type (ContingencyType) – The order contingency type.
order_list_id (OrderListId or None) – The order list ID associated with the order.
linked_order_ids (list[ClientOrderId] or None) – The order linked client order ID(s).
parent_order_id (ClientOrderId or None) – The orders parent client order ID.
exec_algorithm_id (ExecAlgorithmId or None) – The execution algorithm ID for the order.
exec_algorithm_params (dict[str, Any], optional) – The execution algorithm parameters for the order.
exec_spawn_id (ClientOrderId or None) – The execution algorithm spawning primary client order ID.
tags (list[str] or None) – The custom user tags for the order.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

Raises:

ValueError – If order_side is NO_ORDER_SIDE.
ValueError – If contingency_type is not NO_CONTINGENCY, and linked_order_ids is None or empty.
ValueError – If exec_algorithm_id is not None, and exec_spawn_id is None.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderInitialized.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderInitialized.client_order_id

contingency_type¶

The orders contingency type.

Returns:: ContingencyType

emulation_trigger¶

The order emulation trigger type.

Returns:: TriggerType

exec_algorithm_id¶

The execution algorithm ID for the order.

Returns:: ExecAlgorithmId or None

exec_algorithm_params¶

The execution algorithm parameters for the order.

Returns:: dict[str, Any] or None

exec_spawn_id¶

The execution algorithm spawning client order ID.

Returns:: ClientOrderId or None

static from_dict(dict values) → OrderInitialized¶

Return an order initialized event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderInitialized

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderInitialized.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderInitialized.instrument_id

linked_order_ids¶

The orders linked client order ID(s).

Returns:: list[ClientOrderId] or None

options¶

The order initialization options.

Returns:: dict

order_list_id¶

The order list ID associated with the order.

Returns:: OrderListId or None

order_type¶

The order type.

Returns:: OrderType

parent_order_id¶

The orders parent client order ID.

Returns:: ClientOrderId or None

post_only¶

If the order will only provide liquidity (make a market).

Returns:: bool

quantity¶

The order quantity.

Returns:: Quantity

quote_quantity¶

If the order quantity is denominated in the quote currency.

Returns:: bool

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderInitialized.reconciliation

reduce_only¶

If the order carries the ‘reduce-only’ execution instruction.

Returns:: bool

set_client_order_id(self, ClientOrderId client_order_id)¶

side¶

The order side.

Returns:: OrderSide

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderInitialized.strategy_id

tags¶

The order custom user tags.

Returns:: list[str] or None

time_in_force¶

The order time in force.

Returns:: TimeInForce

static to_dict(OrderInitialized obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderInitialized.trader_id

trigger_instrument_id¶

The order emulation trigger instrument ID (will be instrument_id if None).

Returns:: InstrumentId or None

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderInitialized.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderInitialized.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderInitialized.venue_order_id

class OrderModifyRejected¶

Bases: OrderEvent

Represents an event where a ModifyOrder command has been rejected by the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
reason (str) – The order update rejected reason.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejected event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderModifyRejected.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderModifyRejected.client_order_id

static from_dict(dict values) → OrderModifyRejected¶

Return an order update rejected event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderModifyRejected

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderModifyRejected.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderModifyRejected.instrument_id

reason¶

str

Return the reason the order was rejected.

Return type:: str
Type:: OrderModifyRejected.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderModifyRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderModifyRejected.strategy_id

static to_dict(OrderModifyRejected obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderModifyRejected.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderModifyRejected.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderModifyRejected.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderModifyRejected.venue_order_id

class OrderPendingCancel¶

Bases: OrderEvent

Represents an event where a CancelOrder command has been sent to the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending cancel event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderPendingCancel.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderPendingCancel.client_order_id

static from_dict(dict values) → OrderPendingCancel¶

Return an order pending cancel event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderPendingCancel

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderPendingCancel.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderPendingCancel.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderPendingCancel.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderPendingCancel.strategy_id

static to_dict(OrderPendingCancel obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderPendingCancel.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderPendingCancel.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderPendingCancel.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderPendingCancel.venue_order_id

class OrderPendingUpdate¶

Bases: OrderEvent

Represents an event where an ModifyOrder command has been sent to the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order pending update event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderPendingUpdate.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderPendingUpdate.client_order_id

static from_dict(dict values) → OrderPendingUpdate¶

Return an order pending update event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderPendingUpdate

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderPendingUpdate.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderPendingUpdate.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderPendingUpdate.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderPendingUpdate.strategy_id

static to_dict(OrderPendingUpdate obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderPendingUpdate.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderPendingUpdate.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderPendingUpdate.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderPendingUpdate.venue_order_id

class OrderRejected¶

Bases: OrderEvent

Represents an event where an order has been rejected by the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
account_id (AccountId) – The account ID (with the venue).
reason (str) – The order rejected reason.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.
due_post_only (bool, default False) – If the order was rejected because it was post-only and would execute immediately as a taker.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderRejected.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderRejected.client_order_id

due_post_only¶

bool

If the order was rejected because it was post-only and would execute immediately as a taker.

Return type:: bool
Type:: OrderRejected.due_post_only

static from_dict(dict values) → OrderRejected¶

Return an order rejected event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderRejected

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderRejected.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderRejected.instrument_id

reason¶

str

Return the reason the order was rejected.

Return type:: str
Type:: OrderRejected.reason

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderRejected.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderRejected.strategy_id

static to_dict(OrderRejected obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderRejected.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderRejected.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderRejected.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderRejected.venue_order_id

class OrderReleased¶

Bases: OrderEvent

OrderReleased(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, Price released_price, UUID4 event_id, uint64_t ts_init)

Represents an event where an order was released from the OrderEmulator by the Nautilus system.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
released_price (Price) – The price which released the order from the emulator.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderReleased.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderReleased.client_order_id

static from_dict(dict values) → OrderReleased¶

Return an order released event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderReleased

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderReleased.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderReleased.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderReleased.reconciliation

released_price¶

Price

The released price for the event.

Return type:: Price
Type:: OrderReleased.released_price

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderReleased.strategy_id

static to_dict(OrderReleased obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderReleased.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderReleased.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderReleased.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderReleased.venue_order_id

class OrderSubmitted¶

Bases: OrderEvent

OrderSubmitted(TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, AccountId account_id, UUID4 event_id, uint64_t ts_event, uint64_t ts_init)

Represents an event where an order has been submitted by the system to the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
account_id (AccountId) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderSubmitted.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderSubmitted.client_order_id

static from_dict(dict values) → OrderSubmitted¶

Return an order submitted event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderSubmitted

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderSubmitted.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderSubmitted.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderSubmitted.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderSubmitted.strategy_id

static to_dict(OrderSubmitted obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderSubmitted.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderSubmitted.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderSubmitted.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderSubmitted.venue_order_id

class OrderTriggered¶

Bases: OrderEvent

Represents an event where an order has triggered.

Applicable to StopLimit orders only.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderTriggered.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderTriggered.client_order_id

static from_dict(dict values) → OrderTriggered¶

Return an order triggered event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderTriggered

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderTriggered.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderTriggered.instrument_id

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderTriggered.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderTriggered.strategy_id

static to_dict(OrderTriggered obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderTriggered.trader_id

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderTriggered.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderTriggered.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderTriggered.venue_order_id

class OrderUpdated¶

Bases: OrderEvent

Represents an event where an order has been updated at the trading venue.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
client_order_id (ClientOrderId) – The client order ID.
venue_order_id (VenueOrderId or None) – The venue order ID (assigned by the venue).
account_id (AccountId or None) – The account ID (with the venue).
quantity (Quantity) – The orders current quantity.
price (Price or None) – The orders current price.
trigger_price (Price or None) – The orders current trigger.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order updated event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.
reconciliation (bool, default False) – If the event was generated during reconciliation.

Raises:

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

account_id¶

AccountId | None

The account ID associated with the event.

Return type:: AccountId or None
Type:: OrderUpdated.account_id

client_order_id¶

ClientOrderId

The client order ID associated with the event.

Return type:: ClientOrderId
Type:: OrderUpdated.client_order_id

static from_dict(dict values) → OrderUpdated¶

Return an order updated event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: OrderUpdated

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: OrderUpdated.id

instrument_id¶

InstrumentId

The instrument ID associated with the event.

Return type:: InstrumentId
Type:: OrderUpdated.instrument_id

price¶

The orders current price.

Returns:: Price

quantity¶

The orders current quantity.

Returns:: Quantity

reconciliation¶

bool

If the event was generated during reconciliation.

Return type:: bool
Type:: OrderUpdated.reconciliation

set_client_order_id(self, ClientOrderId client_order_id)¶

strategy_id¶

TraderId

The strategy ID associated with the event.

Return type:: StrategyId
Type:: OrderUpdated.strategy_id

static to_dict(OrderUpdated obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

TraderId

The trader ID associated with the event.

Return type:: TraderId
Type:: OrderUpdated.trader_id

trigger_price¶

The orders current trigger price.

Returns:: Price or None

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: OrderUpdated.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: OrderUpdated.ts_init

venue_order_id¶

VenueOrderId | None

The venue order ID associated with the event.

Return type:: VenueOrderId or None
Type:: OrderUpdated.venue_order_id

class PositionAdjusted¶

Bases: Event

Represents an adjustment to a position’s quantity or realized PnL.

This event is used to track changes to positions that occur outside of normal order fills, such as commission adjustments or funding payments.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position ID.
account_id (AccountId) – The account ID.
adjustment_type (PositionAdjustmentType) – The type of adjustment.
quantity_change (Decimal | None) – The quantity change (positive increases quantity, negative decreases).
pnl_change (Money | None) – The PnL change.
reason (str | None) – Optional reason or reference for the adjustment.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

The account ID associated with the adjustment.

Returns:: AccountId

adjustment_type¶

The type of adjustment.

Returns:: PositionAdjustmentType

static from_dict(dict values) → PositionAdjusted¶

Return a position adjustment event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionAdjusted

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: PositionAdjusted.id

instrument_id¶

The instrument ID associated with the event.

Returns:: InstrumentId

pnl_change¶

The PnL change.

Returns:: Money or None

position_id¶

The position ID associated with the event.

Returns:: PositionId

quantity_change¶

The quantity change (can be negative).

Returns:: Decimal or None

reason¶

Optional reason for the adjustment.

Returns:: str or None

strategy_id¶

The strategy ID associated with the event.

Returns:: StrategyId

static to_dict(PositionAdjusted obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

The trader ID associated with the event.

Returns:: TraderId

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: PositionAdjusted.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: PositionAdjusted.ts_init

class PositionChanged¶

Bases: PositionEvent

Represents an event where a position has changed.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
strategy_id – The strategy ID associated with the event.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (double) – The average open price.
avg_px_close (double) – The average close price.
realized_return (double) – The realized return for the position.
realized_pnl (Money) – The realized PnL for the position.
unrealized_pnl (Money) – The unrealized PnL for the position.
event_id (UUID4) – The event ID.
ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position changed event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

The account ID associated with the position.

Returns:: AccountId

avg_px_close¶

The average closing price.

Returns:: double

avg_px_open¶

The average open price.

Returns:: double

closing_order_id¶

The client order ID for the order which closed the position.

Returns:: ClientOrderId or None

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)¶

Return a position changed event from the given params.

Parameters:

position (Position) – The position for the event.
fill (OrderFilled) – The order fill for the event.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Return type:

PositionChanged

currency¶

The position quote currency.

Returns:: Currency

duration_ns¶

The total open duration (nanoseconds).

Returns:: uint64_t

entry¶

The entry direction from open.

Returns:: OrderSide

static from_dict(dict values) → PositionChanged¶

Return a position changed event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionChanged

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: PositionEvent.id

instrument_id¶

The instrument ID associated with the event.

Returns:: InstrumentId

last_px¶

The last fill price for the position.

Returns:: Price

last_qty¶

The last fill quantity for the position.

Returns:: Quantity

opening_order_id¶

The client order ID for the order which opened the position.

Returns:: ClientOrderId

peak_qty¶

The peak directional quantity reached by the position.

Returns:: Quantity

position_id¶

The position ID associated with the event.

Returns:: PositionId

quantity¶

The position open quantity.

Returns:: Quantity

realized_pnl¶

The realized PnL for the position (including commissions).

Returns:: Money

realized_return¶

The realized return for the position.

Returns:: double

side¶

The position side.

Returns:: PositionSide

signed_qty¶

The position signed quantity (positive for LONG, negative for SHORT).

Returns:: double

strategy_id¶

The strategy ID associated with the event.

Returns:: StrategyId

static to_dict(PositionChanged obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

The trader ID associated with the event.

Returns:: TraderId

ts_closed¶

UNIX timestamp (nanoseconds) when the position was closed.

Returns:: uint64_t

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: PositionEvent.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: PositionEvent.ts_init

ts_opened¶

UNIX timestamp (nanoseconds) when the position was opened.

Returns:: uint64_t

unrealized_pnl¶

The unrealized PnL for the position (including commissions).

Returns:: Money

class PositionClosed¶

Bases: PositionEvent

Represents an event where a position has been closed.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
strategy_id – The strategy ID associated with the event.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {FLAT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (Decimal) – The average open price.
avg_px_close (Decimal) – The average close price.
realized_return (Decimal) – The realized return for the position.
realized_pnl (Money) – The realized PnL for the position.
event_id (UUID4) – The event ID.
ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
duration_ns (uint64_t) – The total open duration (nanoseconds).
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

The account ID associated with the position.

Returns:: AccountId

avg_px_close¶

The average closing price.

Returns:: double

avg_px_open¶

The average open price.

Returns:: double

closing_order_id¶

The client order ID for the order which closed the position.

Returns:: ClientOrderId or None

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)¶

Return a position closed event from the given params.

Parameters:

position (Position) – The position for the event.
fill (OrderFilled) – The order fill for the event.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Return type:

PositionClosed

currency¶

The position quote currency.

Returns:: Currency

duration_ns¶

The total open duration (nanoseconds).

Returns:: uint64_t

entry¶

The entry direction from open.

Returns:: OrderSide

static from_dict(dict values) → PositionClosed¶

Return a position closed event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionClosed

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: PositionEvent.id

instrument_id¶

The instrument ID associated with the event.

Returns:: InstrumentId

last_px¶

The last fill price for the position.

Returns:: Price

last_qty¶

The last fill quantity for the position.

Returns:: Quantity

opening_order_id¶

The client order ID for the order which opened the position.

Returns:: ClientOrderId

peak_qty¶

The peak directional quantity reached by the position.

Returns:: Quantity

position_id¶

The position ID associated with the event.

Returns:: PositionId

quantity¶

The position open quantity.

Returns:: Quantity

realized_pnl¶

The realized PnL for the position (including commissions).

Returns:: Money

realized_return¶

The realized return for the position.

Returns:: double

side¶

The position side.

Returns:: PositionSide

signed_qty¶

The position signed quantity (positive for LONG, negative for SHORT).

Returns:: double

strategy_id¶

The strategy ID associated with the event.

Returns:: StrategyId

static to_dict(PositionClosed obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

The trader ID associated with the event.

Returns:: TraderId

ts_closed¶

UNIX timestamp (nanoseconds) when the position was closed.

Returns:: uint64_t

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: PositionEvent.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: PositionEvent.ts_init

ts_opened¶

UNIX timestamp (nanoseconds) when the position was opened.

Returns:: uint64_t

unrealized_pnl¶

The unrealized PnL for the position (including commissions).

Returns:: Money

class PositionEvent¶

Bases: Event

The base class for all position events.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
closing_order_id (ClientOrderId) – The client order ID for the order which closed the position.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {FLAT, LONG, SHORT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (double) – The average open price.
avg_px_close (double) – The average close price.
realized_return (double) – The realized return for the position.
realized_pnl (Money) – The realized PnL for the position.
unrealized_pnl (Money) – The unrealized PnL for the position.
event_id (UUID4) – The event ID.
ts_opened (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_closed (uint64_t) – UNIX timestamp (nanoseconds) when the position closed event occurred.
duration_ns (uint64_t) – The total open duration (nanoseconds), will be 0 if still open.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Warning

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

account_id¶

The account ID associated with the position.

Returns:: AccountId

avg_px_close¶

The average closing price.

Returns:: double

avg_px_open¶

The average open price.

Returns:: double

closing_order_id¶

The client order ID for the order which closed the position.

Returns:: ClientOrderId or None

currency¶

The position quote currency.

Returns:: Currency

duration_ns¶

The total open duration (nanoseconds).

Returns:: uint64_t

entry¶

The entry direction from open.

Returns:: OrderSide

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: PositionEvent.id

instrument_id¶

The instrument ID associated with the event.

Returns:: InstrumentId

last_px¶

The last fill price for the position.

Returns:: Price

last_qty¶

The last fill quantity for the position.

Returns:: Quantity

opening_order_id¶

The client order ID for the order which opened the position.

Returns:: ClientOrderId

peak_qty¶

The peak directional quantity reached by the position.

Returns:: Quantity

position_id¶

The position ID associated with the event.

Returns:: PositionId

quantity¶

The position open quantity.

Returns:: Quantity

realized_pnl¶

The realized PnL for the position (including commissions).

Returns:: Money

realized_return¶

The realized return for the position.

Returns:: double

side¶

The position side.

Returns:: PositionSide

signed_qty¶

The position signed quantity (positive for LONG, negative for SHORT).

Returns:: double

strategy_id¶

The strategy ID associated with the event.

Returns:: StrategyId

trader_id¶

The trader ID associated with the event.

Returns:: TraderId

ts_closed¶

UNIX timestamp (nanoseconds) when the position was closed.

Returns:: uint64_t

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: PositionEvent.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: PositionEvent.ts_init

ts_opened¶

UNIX timestamp (nanoseconds) when the position was opened.

Returns:: uint64_t

unrealized_pnl¶

The unrealized PnL for the position (including commissions).

Returns:: Money

class PositionOpened¶

Bases: PositionEvent

Represents an event where a position has been opened.

Parameters:

trader_id (TraderId) – The trader ID.
strategy_id (StrategyId) – The strategy ID.
instrument_id (InstrumentId) – The instrument ID.
position_id (PositionId) – The position IDt.
account_id (AccountId) – The strategy ID.
opening_order_id (ClientOrderId) – The client order ID for the order which opened the position.
strategy_id – The strategy ID associated with the event.
entry (OrderSide {BUY, SELL}) – The position entry order side.
side (PositionSide {LONG, SHORT}) – The current position side.
signed_qty (double) – The current signed quantity (positive for LONG, negative for SHORT).
quantity (Quantity) – The current open quantity.
peak_qty (Quantity) – The peak directional quantity reached by the position.
last_qty (Quantity) – The last fill quantity for the position.
last_px (Price) – The last fill price for the position (not average price).
currency (Currency) – The position quote currency.
avg_px_open (double) – The average open price.
realized_pnl (Money) – The realized PnL for the position.
event_id (UUID4) – The event ID.
ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the position opened event occurred.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

account_id¶

The account ID associated with the position.

Returns:: AccountId

avg_px_close¶

The average closing price.

Returns:: double

avg_px_open¶

The average open price.

Returns:: double

closing_order_id¶

The client order ID for the order which closed the position.

Returns:: ClientOrderId or None

static create(Position position, OrderFilled fill, UUID4 event_id, uint64_t ts_init)¶

Return a position opened event from the given params.

Parameters:

position (Position) – The position for the event.
fill (OrderFilled) – The order fill for the event.
event_id (UUID4) – The event ID.
ts_init (uint64_t) – UNIX timestamp (nanoseconds) when the object was initialized.

Return type:

PositionOpened

currency¶

The position quote currency.

Returns:: Currency

duration_ns¶

The total open duration (nanoseconds).

Returns:: uint64_t

entry¶

The entry direction from open.

Returns:: OrderSide

static from_dict(dict values) → PositionOpened¶

Return a position opened event from the given dict values.

Parameters:: values (dict[str, object]) – The values for initialization.
Return type:: PositionOpened

id¶

UUID4

The event message identifier.

Return type:: UUID4
Type:: PositionEvent.id

instrument_id¶

The instrument ID associated with the event.

Returns:: InstrumentId

last_px¶

The last fill price for the position.

Returns:: Price

last_qty¶

The last fill quantity for the position.

Returns:: Quantity

opening_order_id¶

The client order ID for the order which opened the position.

Returns:: ClientOrderId

peak_qty¶

The peak directional quantity reached by the position.

Returns:: Quantity

position_id¶

The position ID associated with the event.

Returns:: PositionId

quantity¶

The position open quantity.

Returns:: Quantity

realized_pnl¶

The realized PnL for the position (including commissions).

Returns:: Money

realized_return¶

The realized return for the position.

Returns:: double

side¶

The position side.

Returns:: PositionSide

signed_qty¶

The position signed quantity (positive for LONG, negative for SHORT).

Returns:: double

strategy_id¶

The strategy ID associated with the event.

Returns:: StrategyId

static to_dict(PositionOpened obj)¶

Return a dictionary representation of this object.

Return type:: dict[str, object]

trader_id¶

The trader ID associated with the event.

Returns:: TraderId

ts_closed¶

UNIX timestamp (nanoseconds) when the position was closed.

Returns:: uint64_t

ts_event¶

int

UNIX timestamp (nanoseconds) when the event occurred.

Return type:: int
Type:: PositionEvent.ts_event

ts_init¶

int

UNIX timestamp (nanoseconds) when the object was initialized.

Return type:: int
Type:: PositionEvent.ts_init

ts_opened¶

UNIX timestamp (nanoseconds) when the position was opened.

Returns:: uint64_t

unrealized_pnl¶

The unrealized PnL for the position (including commissions).

Returns:: Money