Identifiers

class Blockchain

Bases: object

Represents different blockchain networks.

ABSTRACT = Blockchain.ABSTRACT
ARBITRUM = Blockchain.ARBITRUM
ARBITRUM_NOVA = Blockchain.ARBITRUM_NOVA
ARBITRUM_SEPOLIA = Blockchain.ARBITRUM_SEPOLIA
AURORA = Blockchain.AURORA
AVALANCHE = Blockchain.AVALANCHE
BASE = Blockchain.BASE
BASE_SEPOLIA = Blockchain.BASE_SEPOLIA
BERACHAIN = Blockchain.BERACHAIN
BERACHAIN_BARTIO = Blockchain.BERACHAIN_BARTIO
BLAST = Blockchain.BLAST
BLAST_SEPOLIA = Blockchain.BLAST_SEPOLIA
BOBA = Blockchain.BOBA
BSC = Blockchain.BSC
BSC_TESTNET = Blockchain.BSC_TESTNET
CELO = Blockchain.CELO
CHILIZ = Blockchain.CHILIZ
CITREA_TESTNET = Blockchain.CITREA_TESTNET
CURTIS = Blockchain.CURTIS
CYBER = Blockchain.CYBER
DARWINIA = Blockchain.DARWINIA
ETHEREUM = Blockchain.ETHEREUM
FANTOM = Blockchain.FANTOM
FLARE = Blockchain.FLARE
FRAXTAL = Blockchain.FRAXTAL
FUJI = Blockchain.FUJI
GALADRIEL_DEVNET = Blockchain.GALADRIEL_DEVNET
GNOSIS = Blockchain.GNOSIS
GNOSIS_CHIADO = Blockchain.GNOSIS_CHIADO
GNOSIS_TRACES = Blockchain.GNOSIS_TRACES
HARMONY_SHARD0 = Blockchain.HARMONY_SHARD0
HOLESKY = Blockchain.HOLESKY
HOLESKY_TOKEN_TEST = Blockchain.HOLESKY_TOKEN_TEST
HYPERLIQUID = Blockchain.HYPERLIQUID
HYPERLIQUID_TEMP = Blockchain.HYPERLIQUID_TEMP
INK = Blockchain.INK
INTERNAL_TEST_CHAIN = Blockchain.INTERNAL_TEST_CHAIN
KROMA = Blockchain.KROMA
LINEA = Blockchain.LINEA
LISK = Blockchain.LISK
LUKSO = Blockchain.LUKSO
LUKSO_TESTNET = Blockchain.LUKSO_TESTNET
MANTA = Blockchain.MANTA
MANTLE = Blockchain.MANTLE
MEGAETH_TESTNET = Blockchain.MEGAETH_TESTNET
MERLIN = Blockchain.MERLIN
METALL2 = Blockchain.METALL2
METIS = Blockchain.METIS
MEV_COMMIT = Blockchain.MEV_COMMIT
MODE = Blockchain.MODE
MONAD_TESTNET = Blockchain.MONAD_TESTNET
MONAD_TESTNET_BACKUP = Blockchain.MONAD_TESTNET_BACKUP
MOONBASE_ALPHA = Blockchain.MOONBASE_ALPHA
MOONBEAM = Blockchain.MOONBEAM
MORPH = Blockchain.MORPH
MORPH_HOLESKY = Blockchain.MORPH_HOLESKY
OPBNB = Blockchain.OPBNB
OPTIMISM = Blockchain.OPTIMISM
OPTIMISM_SEPOLIA = Blockchain.OPTIMISM_SEPOLIA
PHAROS_DEVNET = Blockchain.PHAROS_DEVNET
POLYGON = Blockchain.POLYGON
POLYGON_AMOY = Blockchain.POLYGON_AMOY
POLYGON_ZK_EVM = Blockchain.POLYGON_ZK_EVM
ROOTSTOCK = Blockchain.ROOTSTOCK
SAAKURU = Blockchain.SAAKURU
SCROLL = Blockchain.SCROLL
SEPOLIA = Blockchain.SEPOLIA
SHIMMER_EVM = Blockchain.SHIMMER_EVM
SONEIUM = Blockchain.SONEIUM
SOPHON = Blockchain.SOPHON
SOPHON_TESTNET = Blockchain.SOPHON_TESTNET
SUPERSEED = Blockchain.SUPERSEED
UNICHAIN = Blockchain.UNICHAIN
UNICHAIN_SEPOLIA = Blockchain.UNICHAIN_SEPOLIA
XDC = Blockchain.XDC
XDC_TESTNET = Blockchain.XDC_TESTNET
ZETA = Blockchain.ZETA
ZIRCUIT = Blockchain.ZIRCUIT
ZORA = Blockchain.ZORA
Z_KSYNC = Blockchain.Z_KSYNC
classmethod from_str(data)
name
value
classmethod variants()
class Chain

Bases: object

Defines a blockchain with its unique identifiers and connection details for network interaction.

static ARBITRUM()
chain_id
static from_chain_id(chain_id)

Returns a reference to the Chain corresponding to the given chain_id, or None if it is not found.

static from_chain_name(chain_name)

Returns a reference to the Chain corresponding to the given chain name, or None if it is not found.

String matching is case-insensitive.

hypersync_url
name
native_currency_decimals
rpc_url
set_rpc_url(rpc_url)

Sets the RPC URL endpoint.

class Dex

Bases: object

Represents a decentralized exchange (DEX) in a blockchain ecosystem.

amm_type
burn_created_event
chain
factory
factory_creation_block
mint_created_event
name
pool_created_event
swap_created_event
class DexType

Bases: object

Represents different types of decentralized exchanges (DEXes) supported by Nautilus.

AERODROME_SLIPSTREAM = DexType.AERODROME_SLIPSTREAM
AERODROME_V1 = DexType.AERODROME_V1
BALANCER_V2 = DexType.BALANCER_V2
BALANCER_V3 = DexType.BALANCER_V3
BASE_SWAP_V2 = DexType.BASE_SWAP_V2
BASE_X = DexType.BASE_X
CAMELOT_V3 = DexType.CAMELOT_V3
CURVE_FINANCE = DexType.CURVE_FINANCE
FLUID_DEX = DexType.FLUID_DEX
MAVERICK_V1 = DexType.MAVERICK_V1
MAVERICK_V2 = DexType.MAVERICK_V2
PANCAKE_SWAP_V3 = DexType.PANCAKE_SWAP_V3
SUSHI_SWAP_V2 = DexType.SUSHI_SWAP_V2
SUSHI_SWAP_V3 = DexType.SUSHI_SWAP_V3
UNISWAP_V2 = DexType.UNISWAP_V2
UNISWAP_V3 = DexType.UNISWAP_V3
UNISWAP_V4 = DexType.UNISWAP_V4
class AccountBalance

Bases: object

Represents an account balance denominated in a particular currency.

copy()

Returns a copy of this balance.

currency
free
static from_dict(values)

Constructs an [AccountBalance] from a Python dict.

# Errors

Returns a PyErr if parsing or conversion fails.

locked
to_dict()

Converts this [AccountBalance] into a Python dict.

# Errors

Returns a PyErr if serialization fails.

total
class AccountId

Bases: object

Represents a valid account ID.

static from_str(value)
value
class AccountState

Bases: object

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

The optional info bag carries venue-specific account data that does not map to the typed balances and margins fields, such as wallet balance, available balance, or an account summary, so consumers can read the venue context that accompanied a given snapshot.

account_id
account_type
balances
base_currency
event_id
static from_dict(values)

Constructs an [AccountState] from a Python dict.

# Errors

Returns a PyErr if any required field is missing or type conversion fails.

info
is_reported
margins
to_dict()

Converts this [AccountState] into a Python dict.

# Errors

Returns a PyErr if serialization into a Python dict fails.

ts_event
ts_init
class AccountType

Bases: object

An account type provided by a trading venue or broker.

BETTING = AccountType.BETTING
CASH = AccountType.CASH
MARGIN = AccountType.MARGIN
WALLET = AccountType.WALLET
classmethod from_str(data)
name
value
classmethod variants()
class ActorId

Bases: object

Represents a valid actor ID.

static from_str(value)
value
class AggregationSource

Bases: object

An aggregation source for derived data.

EXTERNAL = AggregationSource.EXTERNAL
INTERNAL = AggregationSource.INTERNAL
classmethod from_str(data)
name
value
classmethod variants()
class AggressorSide

Bases: object

The side for the aggressing order of a trade in a market.

BUY = AggressorSide.BUY
NO_AGGRESSOR = AggressorSide.NO_AGGRESSOR
SELL = AggressorSide.SELL
classmethod from_str(data)
name
value
classmethod variants()
class AmmType

Bases: object

Represents different types of Automated Market Makers (AMMs) in DeFi protocols.

CLAMM = AmmType.CLAMM
CLAM_ENHANCED = AmmType.CLAM_ENHANCED
COMPOSABLE_POOL = AmmType.COMPOSABLE_POOL
CPAMM = AmmType.CPAMM
STABLE_SWAP = AmmType.STABLE_SWAP
WEIGHTED_POOL = AmmType.WEIGHTED_POOL
classmethod from_str(data)
name
value
classmethod variants()
class AssetClass

Bases: object

A broad financial market asset class.

ALTERNATIVE = AssetClass.ALTERNATIVE
COMMODITY = AssetClass.COMMODITY
CRYPTOCURRENCY = AssetClass.CRYPTOCURRENCY
DEBT = AssetClass.DEBT
EQUITY = AssetClass.EQUITY
FX = AssetClass.FX
INDEX = AssetClass.INDEX
classmethod from_str(data)
name
value
classmethod variants()
class Bar

Bases: object

Represents an aggregated bar.

bar_type
close
static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(bar_type, price_precision, size_precision)

Returns the metadata for the type, for use with serialization formats.

high
low
open
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

ts_event
ts_init
volume
class BarAggregation

Bases: object

The aggregation method through which a bar is generated and closed.

DAY = BarAggregation.DAY
HOUR = BarAggregation.HOUR
MILLISECOND = BarAggregation.MILLISECOND
MINUTE = BarAggregation.MINUTE
MONTH = BarAggregation.MONTH
RENKO = BarAggregation.RENKO
SECOND = BarAggregation.SECOND
TICK = BarAggregation.TICK
TICK_IMBALANCE = BarAggregation.TICK_IMBALANCE
TICK_RUNS = BarAggregation.TICK_RUNS
VALUE = BarAggregation.VALUE
VALUE_IMBALANCE = BarAggregation.VALUE_IMBALANCE
VALUE_RUNS = BarAggregation.VALUE_RUNS
VOLUME = BarAggregation.VOLUME
VOLUME_IMBALANCE = BarAggregation.VOLUME_IMBALANCE
VOLUME_RUNS = BarAggregation.VOLUME_RUNS
WEEK = BarAggregation.WEEK
YEAR = BarAggregation.YEAR
classmethod from_str(data)
name
value
classmethod variants()
class BarIntervalType

Bases: object

The interval type for bar aggregation.

LEFT_OPEN = BarIntervalType.LEFT_OPEN
RIGHT_OPEN = BarIntervalType.RIGHT_OPEN
class BarSpecification

Bases: object

Represents a bar aggregation specification including a step, aggregation method/rule and price type.

aggregation
static check_information_aggregated(aggregation)

Returns whether the given aggregation is information-based.

static check_threshold_aggregated(aggregation)

Returns whether the given aggregation is threshold-based.

static check_time_aggregated(aggregation)

Returns whether the given aggregation is time-based.

static from_str(value)

Creates a BarSpecification from a string representation.

static from_timedelta(duration, price_type)

Creates a BarSpecification from a Python timedelta and price type.

static fully_qualified_name()
get_interval_ns()

Returns the interval length in nanoseconds for time-based bar specifications.

is_information_aggregated()

Return a value indicating whether the aggregation method is information-driven: - BarAggregation.TickRuns - BarAggregation.VolumeRuns - BarAggregation.ValueRuns

is_threshold_aggregated()

Return a value indicating whether the aggregation method is threshold-driven: - BarAggregation.Tick - BarAggregation.TickImbalance - BarAggregation.Volume - BarAggregation.VolumeImbalance - BarAggregation.Value - BarAggregation.ValueImbalance

is_time_aggregated()

Return a value indicating whether the aggregation method is time-driven: - BarAggregation.Millisecond - BarAggregation.Second - BarAggregation.Minute - BarAggregation.Hour - BarAggregation.Day - BarAggregation.Week - BarAggregation.Month - BarAggregation.Year

price_type
step
timedelta

Returns the SignedDuration interval for this bar specification.

# Notes

For BarAggregation.Month and BarAggregation.Year, proxy values are used (30 days for months, 365 days for years) to estimate their respective durations, since months and years have variable lengths.

class BarType

Bases: object

Represents a bar type including the instrument ID, bar specification and aggregation source.

class Composite

Bases: BarType

aggregation_source

The bar type’s aggregation source.

composite_aggregation

The composite type of bar aggregation.

composite_aggregation_source

The composite bar type’s aggregation source.

composite_step

The composite step for binning samples for bar aggregation.

instrument_id

The bar type’s instrument ID.

spec

The bar type’s specification.

class Standard

Bases: BarType

aggregation_source

The bar type’s aggregation source.

instrument_id

The bar type’s instrument ID.

spec

The bar type’s specification.

aggregation_source

Returns the AggregationSource for this bar type.

composite()

Returns any composite bar type component.

static from_str(value)
static fully_qualified_name()
id_spec_key()

Returns the instrument ID and bar specification as a tuple key.

Useful as a hashmap key when aggregation source should be ignored, such as for indicator registration where INTERNAL and EXTERNAL bars should trigger the same indicators.

instrument_id

Returns the InstrumentId for this bar type.

is_composite()

Returns whether this instance is a composite bar type.

is_externally_aggregated()

Returns whether the bar aggregation source is EXTERNAL.

is_internally_aggregated()

Returns whether the bar aggregation source is INTERNAL.

is_standard()

Returns whether this instance is a standard bar type.

static new_composite(instrument_id, spec, aggregation_source, composite_step, composite_aggregation, composite_aggregation_source)

Creates a new composite BarType instance.

spec

Returns the BarSpecification for this bar type.

standard()

Returns the standard bar type component.

class Bet

Bases: object

A bet in a betting market.

exposure()

Returns the bet’s exposure.

For BACK bets, exposure is positive; for LAY bets, it is negative.

static from_liability(price, liability, side)

Creates a bet from a given liability.

static from_stake(price, stake, side)

Creates a bet from a given stake.

static from_stake_or_liability(price, volume, side)

Creates a bet from a stake or liability depending on the bet side.

For BetSide::Back this calls Self.from_stake and for BetSide::Lay it calls Self.from_liability.

hedging_bet(price)

Creates a hedging bet for a given price.

hedging_stake(price)

Returns the hedging stake given a new price.

liability()

Returns the bet’s liability.

For BACK bets, liability equals the stake; for LAY bets, it is stake multiplied by (price - 1).

outcome_lose_payoff()

Returns the outcome lose payoff.

For BACK bets this is the negative liability; for LAY bets it is the profit.

outcome_win_payoff()

Returns the outcome win payoff.

For BACK bets this is the profit; for LAY bets it is the negative liability.

price

Returns the bet’s price.

profit()

Returns the bet’s profit.

For BACK bets, profit is stake * (price - 1); for LAY bets it equals the stake.

side

Returns the bet’s side.

stake

Returns the bet’s stake.

class BetPosition

Bases: object

A position comprising one or more bets.

add_bet(bet)

Adds a bet to the position, adjusting exposure and realized PnL.

as_bet()

Converts the current position into a single bet, if possible.

exposure

Returns the position’s exposure.

flattening_bet(price)

Creates a bet that would flatten (neutralize) the current position.

price

Returns the position’s price.

realized_pnl

Returns the position’s realized profit and loss.

reset()

Resets the bet position to its initial state.

side

Returns the overall side of the position.

If exposure is positive the side is BACK; if negative, LAY; if zero, None.

total_pnl(price)

Returns the total profit and loss (realized plus unrealized) given a current price.

unrealized_pnl(price)

Calculates the unrealized profit and loss given a current price.

class BetSide

Bases: object

Represents the side of a bet in a betting market.

BACK = BetSide.BACK
LAY = BetSide.LAY
classmethod from_order_side(order_side)
classmethod from_str(data)
name
opposite()

Returns the opposite betting side.

value
classmethod variants()
class BettingAccount

Bases: object

account_type
apply(event)
balance(currency=None)
balance_free(currency=None)
balance_impact(instrument, quantity, price, order_side)

Returns the balance impact for a betting order.

For Sell (back) the impact is the negative stake (quantity). For Buy (lay) the impact is the negative liability (quantity * (price - 1)).

balance_locked(currency=None)
balance_total(currency=None)
balances()
balances_free()
balances_locked()
balances_total()
base_currency
calculate_account_state
calculate_balance_locked(instrument, side, quantity, price, use_quote_for_inverse=None)
calculate_commission(instrument, last_qty, last_px, liquidity_side, use_quote_for_inverse=None)
calculate_pnls(instrument, fill, position=None)
currencies()
event_count
events
id
is_cash_account()
is_margin_account()
last_event
purge_account_events(ts_now, lookback_secs)
starting_balances()
to_dict()
class BettingInstrument

Bases: object

Represents a betting instrument with complete market and selection details.

asset_class
betting_type
competition_id
competition_name
currency
event_country_code
event_id
event_name
event_open_date
event_type_id
event_type_name
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
market_id
market_name
market_start_time
market_type
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
selection_handicap
selection_id
selection_name
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class BinaryOption

Bases: object

Represents a generic binary option instrument.

activation_ns
asset_class
currency
description
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

outcome
price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class BlackScholesGreeksResult

Bases: object

Result structure for Black-Scholes greeks calculations This is a separate f64 struct (not a type alias) for Python compatibility

delta
gamma
itm_prob
price
theta
vega
vol
class Block

Bases: object

Represents an Ethereum-compatible blockchain block with essential metadata.

base_fee_per_gas
blob_gas_used
chain

Returns the blockchain for this block.

excess_blob_gas
gas_limit
gas_used
hash
l1_fee_scalar
l1_gas_price
l1_gas_used
miner
number
parent_hash
timestamp
ts_event
ts_init
class BookAction

Bases: object

The type of order book action for an order book event.

ADD = BookAction.ADD
CLEAR = BookAction.CLEAR
DELETE = BookAction.DELETE
UPDATE = BookAction.UPDATE
classmethod from_str(data)
name
value
classmethod variants()
class BookLevel

Bases: object

Represents a discrete price level in an order book.

Orders are stored in an [IndexMap] which preserves FIFO (insertion) order.

exposure()

Returns the total exposure (price * size) of all orders at this price level as a float.

exposure_raw()

Returns the total exposure (price * size) of all orders at this price level as raw integer units.

Fixed-scale orders contribute price.raw * size.raw / FIXED_SCALAR. Native DeFi scales are normalized to the same fixed-scale result. Division truncates toward zero. Non-positive prices contribute zero. Saturates at QuantityRaw::MAX if the total exposure would overflow.

first()
get_orders()

Returns all orders at this price level in FIFO insertion order.

is_empty()

Returns true if this price level has no orders.

len()

Returns the number of orders at this price level.

price
size()

Returns the total size of all orders at this price level as a float.

size_raw()

Returns the total size of all orders at this price level as raw integer units.

class BookOrder

Bases: object

Represents an order in a book.

exposure()

Returns the order exposure as an f64.

static from_dict(values)

Constructs a BookOrder from its dictionary representation.

# Errors

Returns a PyErr if deserialization from the Python dict fails.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
order_id
price
side
signed_size()

Returns the signed order size as f64, positive for buys, negative for sells.

size
to_dict()

Converts the BookOrder into a Python dict representation.

# Errors

Returns a PyErr if serialization into a Python dict fails.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

class BookType

Bases: object

The order book type, representing the type of levels granularity and delta updating heuristics.

L1_MBP = BookType.L1_MBP
L2_MBP = BookType.L2_MBP
L3_MBO = BookType.L3_MBO
classmethod from_str(data)
name
value
classmethod variants()
class CashAccount

Bases: object

account_type
allow_borrowing
apply(event)
balance(currency=None)
balance_free(currency=None)
balance_locked(currency=None)
balance_total(currency=None)
balances()
balances_free()
balances_locked()
balances_total()
base_currency
calculate_account_state
calculate_balance_locked(instrument, side, quantity, price, use_quote_for_inverse=None)
calculate_commission(instrument, last_qty, last_px, liquidity_side, use_quote_for_inverse=None)
calculate_pnls(instrument, fill, position=None)
currencies()
event_count
events
id
is_cash_account()
is_margin_account()
last_event
purge_account_events(ts_now, lookback_secs)
starting_balances()
to_dict()
class Cfd

Bases: object

Represents a Contract for Difference (CFD) instrument.

Can represent both Fiat FX and Cryptocurrency pairs.

asset_class
base_currency
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class ClientId

Bases: object

Represents a system client ID.

static from_str(value)
value
class ClientOrderId

Bases: object

Represents a valid client order ID (assigned by the Nautilus system).

static from_str(value)
value
class Commodity

Bases: object

Represents a generic commodity instrument.

asset_class
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class ComponentId

Bases: object

Represents a valid component ID.

static from_str(value)
value
class ContingencyType

Bases: object

The order contingency type which specifies the behavior of linked orders.

[FIX 5.0 SP2 : ContingencyType <1385> field](https://www.onixs.biz/fix-dictionary/5.0.sp2/tagnum_1385.html).

NO_CONTINGENCY = ContingencyType.NO_CONTINGENCY
OCO = ContingencyType.OCO
OTO = ContingencyType.OTO
OUO = ContingencyType.OUO
classmethod from_str(data)
name
value
classmethod variants()
class ContinuousFutureAdjustmentType

Bases: object

The price-adjustment scheme applied when stitching segment contracts into a continuous future series.

The direction (backward vs. forward) selects the anchor contract: - Backward modes anchor on the most recent contract; prices in older

segments are shifted into the latest contract’s frame.

  • Forward modes anchor on the first contract; prices in later segments are shifted into the first contract’s frame.

The kind (spread vs. ratio) selects how each transition’s offset is combined: - Spread modes accumulate additive offsets (post_price - pre_price). - Ratio modes accumulate multiplicative factors (post_price / pre_price)

and require strictly positive prices.

BACKWARD_RATIO = ContinuousFutureAdjustmentType.BACKWARD_RATIO
BACKWARD_SPREAD = ContinuousFutureAdjustmentType.BACKWARD_SPREAD
FORWARD_RATIO = ContinuousFutureAdjustmentType.FORWARD_RATIO
FORWARD_SPREAD = ContinuousFutureAdjustmentType.FORWARD_SPREAD
classmethod from_str(data)
is_backward

Returns whether this mode anchors on the most recent contract.

is_ratio

Returns whether this mode accumulates multiplicative factors.

name
value
classmethod variants()
class CryptoFuture

Bases: object

Represents a deliverable futures contract instrument, with crypto assets as underlying and for settlement.

activation_ns
asset_class
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
settlement_currency
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class CryptoFuturesSpread

Bases: object

Represents a crypto deliverable futures spread instrument, with crypto assets as underlying and for settlement.

activation_ns
asset_class
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
settlement_currency
size_increment
size_precision
strategy_type
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class CryptoOption

Bases: object

Represents a generic option contract instrument.

activation_ns
asset_class
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

option_kind
price_increment
price_precision
quote_currency
raw_symbol
settlement_currency
size_increment
size_precision
strike_price
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class CryptoOptionSpread

Bases: object

Represents a crypto option spread instrument, with crypto assets as underlying and for settlement.

activation_ns
asset_class
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
settlement_currency
size_increment
size_precision
strategy_type
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class CryptoPerpetual

Bases: object

Represents a crypto perpetual futures contract instrument (a.k.a. perpetual swap).

asset_class
base_currency
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
settlement_currency
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class Currency

Bases: object

Represents a medium of exchange in a specified denomination with a fixed decimal precision.

Handles up to [FIXED_PRECISION] decimals of precision.

code
currency_type
static from_str(value, strict=False)
static is_commodity_backed(code)
static is_crypto(code)

Checks if the currency identified by the given code is a cryptocurrency.

# Errors

Returns an error if: - If a currency with the given code does not exist. - If there is a failure acquiring the lock on the currency map.

static is_fiat(code)

Checks if the currency identified by the given code is a fiat currency.

# Errors

Returns an error if: - A currency with the given code does not exist. - There is a failure acquiring the lock on the currency map.

iso4217
name
precision
static register(currency, overwrite=False)

Register the given currency in the internal currency map.

  • If overwrite is true, any existing currency will be replaced.

  • If overwrite is false and the currency already exists, the operation is a no-op.

# Errors

Returns an error if there is a failure acquiring the lock on the currency map.

class CurrencyPair

Bases: object

Represents a generic currency pair instrument in a spot/cash market.

Can represent both Fiat FX and Cryptocurrency pairs.

asset_class
base_currency
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class CurrencyType

Bases: object

The broad currency type.

COMMODITY_BACKED = CurrencyType.COMMODITY_BACKED
CRYPTO = CurrencyType.CRYPTO
FIAT = CurrencyType.FIAT
classmethod from_str(data)
name
value
classmethod variants()
class CustomData

Bases: object

A wrapper for custom data including its data type.

The data field holds an [Arc] to a [CustomDataTrait] implementation, enabling cheap cloning when passing to Python (Arc clone is O(1)). Custom data is always Rust-defined (optionally with PyO3 bindings).

data
data_type
classmethod from_json_bytes(bytes)

Deserializes CustomData from JSON bytes (full CustomData format).

to_json_bytes()

Serializes this CustomData to JSON bytes for roundtrip with from_json_bytes.

ts_event
ts_init
class DataType

Bases: object

Represents a data type including metadata.

identifier

Returns the optional catalog path identifier (can contain subdirs, e.g. “venue//symbol”).

metadata

Returns the metadata for the data type.

topic

Returns the messaging topic for the data type.

type_name

Returns the type name for the data type.

class DefiData

Bases: object

Represents DeFi-specific data events in a decentralized exchange ecosystem.

class Block

Bases: DefiData

A block completion in a blockchain network.

class Pool

Bases: DefiData

A DEX liquidity pool definition or update.

class PoolFeeCollect

Bases: DefiData

A fee collection event from a DEX pool position.

class PoolFeeProtocolCollect

Bases: DefiData

A protocol-fee withdrawal from a DEX pool.

class PoolFeeProtocolUpdate

Bases: DefiData

A protocol-fee configuration change in a DEX pool.

class PoolFlash

Bases: DefiData

A flash event

class PoolLiquidityUpdate

Bases: DefiData

A liquidity update event (mint/burn) in a DEX pool.

class PoolSnapshot

Bases: DefiData

A complete snapshot of a pool’s state at a specific point in time.

class PoolSwap

Bases: DefiData

A token swap transaction on a decentralized exchange.

block_number

Returns the block number associated with this DeFi data.

block_position()

Returns the block position associated with this DeFi data.

log_index

Returns the log index associated with this DeFi data.

timestamp

Returns the event timestamp associated with this DeFi data.

transaction_index

Returns the transaction index associated with this DeFi data.

ts_event

Returns the event timestamp associated with this DeFi data.

ts_init

Returns the initialization timestamp associated with this DeFi data.

class EnumIterator

Bases: object

Python iterator over the variants of an enum.

class Equity

Bases: object

Represents a generic equity instrument.

asset_class
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class ExecAlgorithmId

Bases: object

Represents a valid execution algorithm ID.

static from_str(value)
value
class ExecutionMassStatus

Bases: object

Represents an execution mass status report for an execution client - including status of all orders, trades for those orders and open positions.

account_id
add_fill_reports(reports)

Add fill reports to the mass status.

add_order_reports(reports)

Add order reports to the mass status.

add_position_reports(reports)

Add position reports to the mass status.

client_id
fill_reports

Get a copy of the fill reports map.

static from_dict(values)

Creates an ExecutionMassStatus from a Python dictionary.

# Errors

Returns a Python exception if conversion from dict fails.

lookback_start

Returns the lower timestamp bound applied to historical reports.

order_reports

Get a copy of the order reports map.

position_reports

Get a copy of the position reports map.

report_id
reports_complete

Returns whether every report source required for this mass status completed.

to_dict()
ts_init
venue
class FillReport

Bases: object

Represents a fill report of a single order execution.

account_id
avg_px
client_order_id
commission
static from_dict(values)

Creates a FillReport from a Python dictionary.

# Errors

Returns a Python exception if conversion from dict fails.

instrument_id
last_px
last_qty
liquidity_side
order_side
report_id
to_dict()

Converts the FillReport to a Python dictionary.

# Errors

Returns a Python exception if conversion to dict fails.

trade_id
ts_event
ts_init
venue_order_id
venue_position_id
class ForwardPrice

Bases: object

Represents a forward/underlying price for a derivatives instrument.

This is a general derivatives concept used for ATM determination in option chains and other forward-price dependent calculations.

forward_price
instrument_id
ts_event
ts_init
underlying_index
class FundingRateUpdate

Bases: object

Represents a funding rate update for perpetual swap instruments.

static from_dict(values)
static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id)

Returns the metadata for the type, for use with serialization formats.

instrument_id
interval
next_funding_ns
rate
to_dict()
to_json()
to_msgpack()
ts_event
ts_init
class FuturesContract

Bases: object

Represents a generic deliverable futures contract instrument.

activation_ns
asset_class
currency
exchange
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class FuturesSpread

Bases: object

Represents a generic deliverable futures spread instrument.

activation_ns
asset_class
currency
exchange
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
strategy_type
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class GreeksConvention

Bases: object

The numeraire convention for option greeks published by a venue.

Crypto option venues commonly publish two parallel greek sets for the same instrument: Black-Scholes greeks in USD, and price-adjusted greeks denominated in the underlying/coin units. Deribit and OKX both expose the distinction; see the OKX reference for the canonical definition: <https://www.okx.com/docs-v5/en/#public-data-websocket-option-market-data>.

This is orthogonal to the percent-greeks transformation in the internal [GreeksCalculator](../../../nautilus_common/greeks/struct.GreeksCalculator.html), which rescales the delta/gamma input step rather than the numeraire.

BLACK_SCHOLES = GreeksConvention.BLACK_SCHOLES
PRICE_ADJUSTED = GreeksConvention.PRICE_ADJUSTED
classmethod from_str(data)
name
value
classmethod variants()
class GreeksData

Bases: object

cost_of_carry
delta
expiry
expiry_in_days
expiry_in_years
classmethod from_delta(instrument_id, delta, multiplier, ts_event=0)
gamma
instrument_id
interest_rate
is_call
itm_prob
multiplier
pnl
price
quantity
rho
strike
theta
ts_event
ts_init
underlying_price
vega
vol
class IndexInstrument

Bases: object

Represents a generic index instrument.

An index is typically not directly tradable.

asset_class
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class IndexPriceUpdate

Bases: object

Represents an index price update.

static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id, price_precision)

Returns the metadata for the type, for use with serialization formats.

instrument_id
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

ts_event
ts_init
value
class InstrumentClass

Bases: object

The instrument class.

BINARY_OPTION = InstrumentClass.BINARY_OPTION
BOND = InstrumentClass.BOND
CFD = InstrumentClass.CFD
FORWARD = InstrumentClass.FORWARD
FUTURE = InstrumentClass.FUTURE
FUTURES_SPREAD = InstrumentClass.FUTURES_SPREAD
OPTION = InstrumentClass.OPTION
OPTION_SPREAD = InstrumentClass.OPTION_SPREAD
SPORTS_BETTING = InstrumentClass.SPORTS_BETTING
SPOT = InstrumentClass.SPOT
SWAP = InstrumentClass.SWAP
WARRANT = InstrumentClass.WARRANT
allows_negative_price()

Returns whether this instrument class allows negative prices.

classmethod from_str(data)
has_expiration()

Returns whether this instrument class has an expiration.

name
parent_suffix()

Returns the canonical parent-symbol suffix for this class, if one exists.

Always emits the short form (FUT, OPT) so that adapters constructing parent ids produce a single canonical string per class.

classmethod try_from_parent_suffix(suffix)

Returns the InstrumentClass for the parent-symbol suffix, if recognised.

Matches strict uppercase forms only. Both Databento-style abbreviations (FUT, OPT) and long forms (FUTURE, OPTION) are accepted.

value
classmethod variants()
class InstrumentClose

Bases: object

Represents an instrument close at a venue.

close_price
close_type
static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id, price_precision)

Returns the metadata for the type, for use with serialization formats.

instrument_id
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

ts_event
ts_init
class InstrumentCloseType

Bases: object

The type of event for an instrument close.

CONTRACT_EXPIRED = InstrumentCloseType.CONTRACT_EXPIRED
END_OF_SESSION = InstrumentCloseType.END_OF_SESSION
classmethod from_str(data)
name
value
classmethod variants()
class InstrumentId

Bases: object

Represents a valid instrument ID.

The symbol and venue combination should uniquely identify the instrument.

static from_str(value)
is_synthetic()
parse_parent_components()

Returns the parent-symbol components (root, class) if this id has a recognised parent shape <root>.<class> in its symbol component.

Returns None when the symbol has zero or more than one ., or when the suffix is not a recognised InstrumentClass parent suffix (see InstrumentClass.try_from_parent_suffix).

Used to gate parent-style subscription fan-out: a None return means the id does not refer to a parent group and must not be expanded.

symbol
value
venue
class InstrumentStatus

Bases: object

Represents an event that indicates a change in an instrument market status.

action
static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_metadata(instrument_id)

Returns the metadata for the type, for use with serialization formats.

instrument_id
is_quoting
is_short_sell_restricted
is_trading
reason
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

trading_event
ts_event
ts_init
class LeveragedMarginModel

Bases: object

Divides notional value by leverage before applying margin rates.

Margin is calculated as (notional_value / leverage) * margin_rate. This is the default model, appropriate for crypto exchanges and venues where leverage directly reduces margin requirements.

class LimitIfTouchedOrder

Bases: object

account_id
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
display_qty
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
filled_qty
static from_dict(values)
has_price
has_trigger_price
init_event
init_id
instrument_id
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_post_only
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
is_triggered
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
price
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
trigger_instrument_id
trigger_price
trigger_type
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
ts_triggered
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class LimitOrder

Bases: object

account_id
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
display_qty
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
expire_time_ns
filled_qty
static from_dict(values)
has_price
has_trigger_price
init_event
init_id
instrument_id
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_post_only
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
price
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
symbol
tags
time_in_force
to_dict()
trade_ids
trader_id
trigger_instrument_id
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
venue
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class LiquiditySide

Bases: object

The liquidity side for a trade.

MAKER = LiquiditySide.MAKER
NO_LIQUIDITY_SIDE = LiquiditySide.NO_LIQUIDITY_SIDE
TAKER = LiquiditySide.TAKER
classmethod from_str(data)
name
value
classmethod variants()
class MarginAccount

Bases: object

account_initial_margin(currency)

Returns the account-wide initial margin for the specified collateral currency.

account_initial_margins()

Returns all account-wide initial margins keyed by currency.

account_maintenance_margin(currency)

Returns the account-wide maintenance margin for the specified collateral currency.

account_maintenance_margins()

Returns all account-wide maintenance margins keyed by currency.

account_margin(currency)

Returns the account-wide margin balance for the specified collateral currency.

account_margins()
account_type
apply(event)
balance(currency=None)
balance_free(currency=None)
balance_locked(currency=None)
balance_total(currency=None)
balances()
balances_free()
balances_locked()
balances_total()
base_currency
calculate_account_state
calculate_balance_locked(instrument, side, quantity, price, use_quote_for_inverse=None)
calculate_commission(instrument, last_qty, last_px, liquidity_side, use_quote_for_inverse=None)
calculate_initial_margin(instrument, quantity, price, use_quote_for_inverse=None)

Calculates the initial margin amount for the specified instrument and quantity.

Delegates to the configured MarginModel.

# Errors

Returns an error if leverage is not positive, or if the result cannot be represented as Money.

calculate_maintenance_margin(instrument, quantity, price, use_quote_for_inverse=None)

Calculates the maintenance margin amount for the specified instrument and quantity.

Delegates to the configured MarginModel.

# Errors

Returns an error if the result cannot be represented as Money.

calculate_pnls(instrument, fill, position=None)
currencies()
default_leverage
event_count
events
id
initial_margin(instrument_id)

Returns the initial margin amount for the specified instrument.

initial_margins()
is_cash_account()
is_margin_account()
is_unleveraged(instrument_id)
last_event
leverage(instrument_id)
leverages()
maintenance_margin(instrument_id)

Returns the maintenance margin amount for the specified instrument.

maintenance_margins()
margin(instrument_id)

Returns the margin balance for the specified instrument.

margins()
purge_account_events(ts_now, lookback_secs)
set_default_leverage(default_leverage)

Sets the default leverage for the account.

set_leverage(instrument_id, leverage)

Sets the leverage for a specific instrument.

starting_balances()
to_dict()
total_initial_margin(currency)

Returns the total initial margin reserved in the specified currency, summing per-instrument and account-wide entries.

total_maintenance_margin(currency)

Returns the total maintenance margin reserved in the specified currency, summing per-instrument and account-wide entries.

update_initial_margin(instrument_id, initial_margin)

Updates the initial margin for the specified instrument.

update_maintenance_margin(instrument_id, maintenance_margin)

Updates the maintenance margin for the specified instrument.

class MarginBalance

Bases: object

Represents a margin balance.

Margin entries have two mutually exclusive scopes:

  • Per-instrument: instrument_id = Some(id). Used for isolated margin and for calculated margin in backtest mode where each instrument carries its own reserve.

  • Account-wide (cross margin): instrument_id = None. Used for venues that report a single aggregate margin per collateral currency (most derivatives venues in cross-margin mode).

copy()

Returns a copy of this margin balance.

currency
static from_dict(values)

Constructs a [MarginBalance] from a Python dict.

# Errors

Returns a PyErr if parsing or conversion fails.

initial
instrument_id
maintenance
to_dict()

Converts this [MarginBalance] into a Python dict.

# Errors

Returns a PyErr if serialization fails.

class MarkPriceUpdate

Bases: object

Represents a mark price update.

static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id, price_precision)

Returns the metadata for the type, for use with serialization formats.

instrument_id
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

ts_event
ts_init
value
class MarketIfTouchedOrder

Bases: object

account_id
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
filled_qty
static from_dict(values)
has_price
has_trigger_price
init_event
init_id
instrument_id
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
is_triggered
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
trigger_instrument_id
trigger_price
trigger_type
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
ts_triggered
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class MarketOrder

Bases: object

account_id
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
filled_qty
static from_dict(values)
init_event
init_id
instrument_id
is_active_local
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_pending_cancel
is_pending_update
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class MarketStatus

Bases: object

The status of an individual market on a trading venue.

CLOSED = MarketStatus.CLOSED
HALTED = MarketStatus.HALTED
NOT_AVAILABLE = MarketStatus.NOT_AVAILABLE
OPEN = MarketStatus.OPEN
PAUSED = MarketStatus.PAUSED
SUSPENDED = MarketStatus.SUSPENDED
classmethod from_str(data)
name
value
classmethod variants()
class MarketStatusAction

Bases: object

An action affecting the status of an individual market on a trading venue.

CLOSE = MarketStatusAction.CLOSE
CROSS = MarketStatusAction.CROSS
HALT = MarketStatusAction.HALT
NEW_PRICE_INDICATION = MarketStatusAction.NEW_PRICE_INDICATION
NONE = MarketStatusAction.NONE
NOT_AVAILABLE_FOR_TRADING = MarketStatusAction.NOT_AVAILABLE_FOR_TRADING
PAUSE = MarketStatusAction.PAUSE
POST_CLOSE = MarketStatusAction.POST_CLOSE
PRE_CLOSE = MarketStatusAction.PRE_CLOSE
PRE_CROSS = MarketStatusAction.PRE_CROSS
PRE_OPEN = MarketStatusAction.PRE_OPEN
QUOTING = MarketStatusAction.QUOTING
ROTATION = MarketStatusAction.ROTATION
SHORT_SELL_RESTRICTION_CHANGE = MarketStatusAction.SHORT_SELL_RESTRICTION_CHANGE
SUSPEND = MarketStatusAction.SUSPEND
TRADING = MarketStatusAction.TRADING
classmethod from_str(data)
name
value
classmethod variants()
class MarketToLimitOrder

Bases: object

account_id
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
display_qty
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
filled_qty
static from_dict(values)
has_price
init_event
init_id
instrument_id
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_post_only
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
price
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class Money

Bases: object

Represents an amount of money in a specified currency denomination.

  • [MONEY_MAX] - Maximum representable money amount

  • [MONEY_MIN] - Minimum representable money amount

as_decimal()

Returns the value of this instance as a Decimal.

as_double()
checked_add(other)

Performs a checked addition, returning None on raw integer overflow, when the result falls outside [MONEY_RAW_MIN, MONEY_RAW_MAX], or when the operands have mixed raw scales (e.g. a wei-scaled Money and a FIXED_SCALAR-scaled Money, even if their currency codes match).

checked_sub(other)

Performs a checked subtraction, returning None on raw integer underflow, when the result falls outside [MONEY_RAW_MIN, MONEY_RAW_MAX], or when the operands have mixed raw scales (e.g. a wei-scaled Money and a FIXED_SCALAR-scaled Money, even if their currency codes match).

currency
static from_decimal(value, currency)

Creates a new Money from a Decimal value with specified currency.

This method provides more reliable parsing by using Decimal arithmetic to avoid floating-point precision issues during conversion.

# Errors

Returns an error if: - The decimal value cannot be converted to the raw representation. - Overflow occurs during scaling.

static from_raw(raw, currency)

Creates a new Money instance from the given raw fixed-point value and the specified currency.

static from_str(value)
is_positive()

Returns true if the value of this instance is positive (> 0).

is_zero()

Returns true if the value of this instance is zero.

raw
to_formatted_str()
static zero(currency)

Creates a new Money instance with a value of zero with the given Currency.

class OmsType

Bases: object

The order management system (OMS) type for a trading venue or trading strategy.

HEDGING = OmsType.HEDGING
NETTING = OmsType.NETTING
UNSPECIFIED = OmsType.UNSPECIFIED
classmethod from_str(data)
name
value
classmethod variants()
class OptionChainSlice

Bases: object

A point-in-time snapshot of an option chain for a single series.

atm_strike
call_count()

Returns the number of call entries.

get_call(strike)

Returns the call data for a given strike price.

get_call_greeks(strike)

Returns the call Greeks for a given strike price.

get_call_quote(strike)

Returns the call quote for a given strike price.

get_put(strike)

Returns the put data for a given strike price.

get_put_greeks(strike)

Returns the put Greeks for a given strike price.

get_put_quote(strike)

Returns the put quote for a given strike price.

is_empty()

Returns true if the chain has no data.

put_count()

Returns the number of put entries.

series_id
strike_count()

Returns the total number of unique strikes.

strikes()

Returns all strike prices present in the chain (union of calls and puts).

ts_event
ts_init
class OptionContract

Bases: object

Represents a generic option contract instrument.

activation_ns
asset_class
currency
exchange
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

option_kind
price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
strike_price
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class OptionGreekValues

Bases: object

Core option Greek sensitivity values (the 5 standard sensitivities). Designed as a composable building block embedded in all Greeks-carrying types.

delta
gamma
rho
theta
vega
class OptionGreeks

Bases: object

Exchange-provided option Greeks and implied volatility for a single instrument.

ask_iv
bid_iv
convention
delta
gamma
instrument_id
mark_iv
open_interest
rho
theta
ts_event
ts_init
underlying_price
vega
class OptionKind

Bases: object

The kind of option contract.

CALL = OptionKind.CALL
PUT = OptionKind.PUT
classmethod from_str(data)
name
value
classmethod variants()
class OptionSeriesId

Bases: object

Identifies a unique option series: a specific venue + underlying + settlement currency + expiration.

expiration_ns
static from_expiry(venue, underlying, settlement_currency, date_str)

Creates an OptionSeriesId from venue name, underlying symbol, settlement currency, and date string.

The date_str is parsed via UnixNanos::FromStr, which accepts “YYYY-MM-DD”, RFC 3339 timestamps, integer nanoseconds, or floating-point seconds.

# Errors

Returns an error if venue or date_str is invalid.

static from_str(value)
settlement_currency
underlying
value
venue
class OptionSpread

Bases: object

Represents a generic option spread instrument.

activation_ns
asset_class
currency
exchange
expiration_ns
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
strategy_type
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class OptionStrikeData

Bases: object

Combined quote and Greeks data for a single strike in an option chain.

greeks
quote
class OrderAccepted

Bases: object

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.

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderBook

Bases: object

Provides a high-performance, versatile order book.

Maintains buy (bid) and sell (ask) orders in price-time priority, supporting multiple market data formats: - L3 (MBO): Market By Order - tracks individual orders with unique IDs. - L2 (MBP): Market By Price - aggregates orders at each price level. - L1 (MBP): Top-of-Book - maintains only the best bid and ask prices.

add(order, flags, sequence, ts_event)

Adds an order to the book after preprocessing based on book type.

apply_delta(delta)

Applies a single order book delta operation.

# Errors

Returns an error if: - The delta’s instrument ID does not match this book’s instrument ID. - An Add is given with NoOrderSide (either explicitly or because the cache lookup failed). - An Add with NoOrderSide matches an order ID on both sides of the book. - After resolution the delta still has NoOrderSide but its action is not Clear.

# Notes

An ambiguous NoOrderSide Update or Delete is skipped with a warning.

apply_deltas(deltas)

Applies multiple order book delta operations.

# Errors

Returns an error if: - The deltas’ instrument ID does not match this book’s instrument ID. - Any individual delta application fails (see Self.apply_delta).

apply_depth(depth)

Replaces current book state with a depth snapshot.

# Errors

Returns an error if the depth’s instrument ID does not match this book’s instrument ID.

asks(depth=None)

Returns an iterator over ask price levels.

asks_filtered_to_dict(depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None)
asks_to_dict(depth=None)
best_ask_price()

Returns the best ask price if available.

best_ask_size()

Returns the size at the best ask price if available.

best_bid_price()

Returns the best bid price if available.

best_bid_size()

Returns the size at the best bid price if available.

bids(depth=None)

Returns an iterator over bid price levels.

bids_filtered_to_dict(depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None)
bids_to_dict(depth=None)
book_type
check_integrity()
clear(sequence, ts_event)

Clears all orders from both sides of the book.

clear_asks(sequence, ts_event)

Clears all ask orders from the book.

clear_bids(sequence, ts_event)

Clears all bid orders from the book.

clear_stale_levels(side=None)

Removes overlapped bid/ask levels when the book is strictly crossed (best bid > best ask)

  • Acts only when both sides exist and the book is crossed.

  • Deletes by removing whole price levels via the ladder API to preserve invariants.

  • side=None or NoOrderSide clears both overlapped ranges (conservative, may widen spread).

  • side=Buy clears crossed bids only; side=Sell clears crossed asks only.

  • Returns removed price levels (crossed bids first, then crossed asks), or None if nothing removed.

delete(order, flags, sequence, ts_event)

Deletes an order from the book after preprocessing based on book type.

filtered_view(own_book=None, depth=None, status=None, accepted_buffer_ns=None, ts_now=None)

Returns a filtered OrderBook view with own sizes subtracted from public levels.

get_avg_px_for_quantity(qty, order_side)

Calculates the average price to fill the specified quantity.

get_avg_px_qty_for_exposure(qty, order_side)

Calculates average price and quantity for target exposure. Returns (price, quantity, executed_exposure).

get_quantity_at_level(price, order_side, size_precision)

Returns the quantity at a specific price level only, or 0 if no level exists.

Unlike get_quantity_for_price which returns cumulative quantity across multiple levels, this returns only the quantity at the exact price level.

get_quantity_for_price(price, order_side)

Returns the cumulative quantity available at or better than the specified price.

For a BUY order, sums ask levels at or below the price. For a SELL order, sums bid levels at or above the price.

get_worst_px_for_quantity(qty, order_side)

Calculates the worst (last-touched) price to fill the specified quantity.

group_asks(group_size, depth=None)

Groups ask quantities by price into buckets, limited by depth.

group_asks_filtered(group_size, depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None)

Groups ask quantities into price buckets, truncating to a maximum depth, excluding own orders.

With own_book, subtracts own order sizes, filtered by status if provided. When now is provided, only subtracts orders whose acceptance time plus accepted_buffer_ns is at or before now. When now is None, acceptance-time filtering is disabled.

group_bids(group_size, depth=None)

Groups bid quantities by price into buckets, limited by depth.

group_bids_filtered(group_size, depth=None, own_book=None, status=None, accepted_buffer_ns=None, ts_now=None)
instrument_id
midpoint()

Returns the midpoint between best ask and bid prices if both exist.

pprint(num_levels=3, group_size=None)

Return a formatted string representation of the order book.

reset()

Resets the order book to its initial empty state.

sequence
simulate_fills(order)

Simulates fills for an order, returning list of (price, quantity) tuples.

spread()

Returns the spread between best ask and bid prices if both exist.

ts_event
ts_init
ts_last
update(order, flags, sequence, ts_event)

Updates an existing order in the book after preprocessing based on book type.

update_count
class OrderBookDelta

Bases: object

Represents a single change/delta in an order book.

action
flags
static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id, price_precision, size_precision)

Returns the metadata for the type, for use with serialization formats.

instrument_id
order
sequence
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

ts_event
ts_init
class OrderBookDeltas

Bases: object

Represents a grouped batch of OrderBookDelta updates for an OrderBook.

This type cannot be repr(C) due to the deltas vec.

deltas
flags
static fully_qualified_name()
instrument_id
sequence
ts_event
ts_init
class OrderBookDepth10

Bases: object

Represents an aggregated order book update with a fixed depth of 10 levels per side.

This structure is specifically designed for scenarios where a snapshot of the top 10 bid and ask levels in an order book is needed. It differs from OrderBookDelta or OrderBookDeltas in its fixed-depth nature and is optimized for cases where a full depth representation is not required or practical.

Note: This type is not compatible with OrderBookDelta or OrderBookDeltas due to its specialized structure and limited depth use case.

Per-level [BookOrder::order_id] values are non-semantic for this aggregated MBP data. Parquet catalog decoding canonicalizes them to zero.

ask_counts
asks
bid_counts
bids
flags
static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id, price_precision, size_precision)

Returns the metadata for the type, for use with serialization formats.

static get_stub()
instrument_id
sequence
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

ts_event
ts_init
class OrderCancelRejected

Bases: object

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

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reason
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderCanceled

Bases: object

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

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderDenied

Bases: object

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.

client_order_id
event_id
static from_dict(values)
instrument_id
reason
strategy_id
to_dict()
trader_id
ts_event
ts_init
class OrderEmulated

Bases: object

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

client_order_id
event_id
static from_dict(values)
instrument_id
strategy_id
to_dict()
trader_id
ts_event
ts_init
class OrderExpired

Bases: object

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

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderFillVoided

Bases: object

Records that a cumulative fill quantity no longer has economic effect.

The correction identity, voided quantity, and commission are cumulative for the referenced trade. is_reopened records positive evidence that the corrected order is executable again and therefore requires the referenced fill to have been applied locally. Without a local fill, a non-reopened correction is an authoritative terminal order void.

account_id
causation_id
client_order_id
commission_voided
correction_id
currency
event_id
static from_dict(values)
info
instrument_id
is_reopened
last_px
liquidity_side
order_side
order_type
position_id
reason
reconciliation
strategy_id
to_dict()
trade_id
trader_id
ts_event
ts_init
venue_order_id
voided_qty
class OrderFilled

Bases: object

account_id
client_order_id
commission
currency
event_id
static from_dict(values)

Constructs an [OrderFilled] from a Python dict.

# Errors

Returns a PyErr if deserialization from the Python dict fails.

info
instrument_id
is_buy
is_sell
last_px
last_qty
liquidity_side
order_side
order_type
position_id
reconciliation
strategy_id
to_dict()

Converts this [OrderFilled] into a Python dict.

# Errors

Returns a PyErr if serialization into a Python dict fails.

trade_id
trader_id
ts_event
ts_init
venue_order_id
class OrderInitialized

Bases: object

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.

activation_price
client_order_id
contingency_type
display_qty
emulation_trigger
event_id
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
static from_dict(values)
instrument_id
limit_offset
linked_order_ids
order_list_id
order_side
order_type
parent_order_id
post_only
price
quantity
quote_quantity
reconciliation
reduce_only
strategy_id
tags
time_in_force
to_dict()
trader_id
trailing_offset
trailing_offset_type
trigger_instrument_id
trigger_price
trigger_type
ts_event
ts_init
class OrderList

Bases: object

Lightweight identifier container for a group of related orders.

Stores only the order IDs; full order data lives in the cache. For serialization payload, see SubmitOrderList.order_inits.

All orders should share the same venue. The production constructors enforce this: [OrderList::from_orders] and OrderFactory::create_list panic on mixed venues, and Strategy::submit_order_list bails at the user-facing entry. [OrderList::new] is infallible and takes instrument_id directly; it does not verify the venues of the supplied client_order_ids. The instrument_id is a representative value taken from the first order; orders may target different instruments at that venue. Downstream consumers that need a per-order instrument should resolve each order from the cache.

client_order_ids()

Returns the client order IDs contained in the order list.

first_client_order_id
id
instrument_id
strategy_id
ts_init
class OrderListId

Bases: object

Represents a valid order list ID (assigned by the Nautilus system).

static from_str(value)
value
class OrderModifyRejected

Bases: object

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

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reason
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderPendingCancel

Bases: object

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

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderPendingUpdate

Bases: object

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

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderRejected

Bases: object

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

account_id
client_order_id
due_post_only
event_id
static from_dict(values)
instrument_id
reason
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
class OrderReleased

Bases: object

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

client_order_id
event_id
static from_dict(values)
instrument_id
released_price
strategy_id
to_dict()
trader_id
ts_event
ts_init
class OrderSide

Bases: object

The order side for a specific order, or action related to orders.

BUY = OrderSide.BUY
NO_ORDER_SIDE = OrderSide.NO_ORDER_SIDE
SELL = OrderSide.SELL
classmethod from_str(data)
name
value
classmethod variants()
class OrderSnapshot

Bases: object

Represents an order state snapshot as a certain instant.

static from_dict(values)
class OrderStatus

Bases: object

The status for a specific order.

An order is considered _open_ for the following status:

  • ACCEPTED

  • TRIGGERED

  • PENDING_UPDATE

  • PENDING_CANCEL

  • PARTIALLY_FILLED

An order is considered _in-flight_ for the following status:

  • SUBMITTED

  • PENDING_UPDATE

  • PENDING_CANCEL

An order is considered _closed_ for the following status:

  • DENIED

  • REJECTED

  • CANCELED

  • EXPIRED

  • FILLED

  • VOIDED

ACCEPTED = OrderStatus.ACCEPTED
CANCELED = OrderStatus.CANCELED
DENIED = OrderStatus.DENIED
EMULATED = OrderStatus.EMULATED
EXPIRED = OrderStatus.EXPIRED
FILLED = OrderStatus.FILLED
INITIALIZED = OrderStatus.INITIALIZED
PARTIALLY_FILLED = OrderStatus.PARTIALLY_FILLED
PENDING_CANCEL = OrderStatus.PENDING_CANCEL
PENDING_UPDATE = OrderStatus.PENDING_UPDATE
REJECTED = OrderStatus.REJECTED
RELEASED = OrderStatus.RELEASED
SUBMITTED = OrderStatus.SUBMITTED
TRIGGERED = OrderStatus.TRIGGERED
VOIDED = OrderStatus.VOIDED
classmethod from_str(data)
name
value
classmethod variants()
class OrderStatusReport

Bases: object

Represents an order status at a point in time.

account_id
activation_price
avg_px
cancel_reason
client_order_id
contingency_type
display_qty
expire_time
filled_qty
static from_dict(values)

Creates an OrderStatusReport from a Python dictionary.

# Errors

Returns a Python exception if conversion from dict fails.

instrument_id
is_open
limit_offset
linked_order_ids
order_list_id
order_side
order_status
order_type
parent_order_id
post_only
price
quantity
reduce_only
report_id
time_in_force
to_dict()

Converts the OrderStatusReport to a Python dictionary.

# Errors

Returns a Python exception if conversion to dict fails.

trailing_offset
trailing_offset_type
trigger_price
trigger_type
ts_accepted
ts_init
ts_last
ts_triggered
venue_order_id
venue_position_id
class OrderSubmitted

Bases: object

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

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
strategy_id
to_dict()
trader_id
ts_event
ts_init
class OrderTriggered

Bases: object

Represents an event where an order has triggered.

Applicable to StopLimit, TrailingStopLimit, and LimitIfTouched orders.

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
reconciliation
strategy_id
to_dict()
trader_id
ts_event
ts_init
venue_order_id
class OrderType

Bases: object

The type of order.

LIMIT = OrderType.LIMIT
LIMIT_IF_TOUCHED = OrderType.LIMIT_IF_TOUCHED
MARKET = OrderType.MARKET
MARKET_IF_TOUCHED = OrderType.MARKET_IF_TOUCHED
MARKET_TO_LIMIT = OrderType.MARKET_TO_LIMIT
STOP_LIMIT = OrderType.STOP_LIMIT
STOP_MARKET = OrderType.STOP_MARKET
TRAILING_STOP_LIMIT = OrderType.TRAILING_STOP_LIMIT
TRAILING_STOP_MARKET = OrderType.TRAILING_STOP_MARKET
classmethod from_str(data)
name
value
classmethod variants()
class OrderUpdated

Bases: object

account_id
client_order_id
event_id
static from_dict(values)
instrument_id
is_quote_quantity
price
quantity
reconciliation
strategy_id
to_dict()
trader_id
trigger_price
ts_event
ts_init
venue_order_id
class OtoTriggerMode

Bases: object

Defines when OTO (One-Triggers-Other) child orders are released.

FULL = OtoTriggerMode.FULL
PARTIAL = OtoTriggerMode.PARTIAL
classmethod from_str(data)
name
value
classmethod variants()
class OwnBookOrder

Bases: object

Represents an own/user order for a book.

This struct models an order that may be in-flight to the trading venue or actively working, depending on the value of the status field.

client_order_id
exposure()

Returns the order exposure as an f64.

order_type
price
side
signed_size()

Returns the signed order exposure as an f64.

size
status
time_in_force
ts_init
ts_last
class OwnOrderBook

Bases: object

add(order)

Adds an own order to the book.

ask_client_order_ids()

Returns the client order IDs currently on the ask side.

ask_quantity(status=None, depth=None, group_size=None, accepted_buffer_ns=None, ts_now=None)

Aggregates own ask quantities per price level, omitting zero-quantity levels.

Filters by status if provided, including only matching orders. When ts_now is provided, only includes orders whose acceptance time plus accepted_buffer_ns is at or before ts_now. When ts_now is None, acceptance-time filtering is disabled.

If group_size is provided, groups quantities into price buckets. If depth is provided, limits the number of price levels returned.

asks_to_dict(status=None, accepted_buffer_ns=None, ts_now=None)
asks_to_list()
audit_open_orders(open_order_ids)
bid_client_order_ids()

Returns the client order IDs currently on the bid side.

bid_quantity(status=None, depth=None, group_size=None, accepted_buffer_ns=None, ts_now=None)

Aggregates own bid quantities per price level, omitting zero-quantity levels.

Filters by status if provided, including only matching orders. When ts_now is provided, only includes orders whose acceptance time plus accepted_buffer_ns is at or before ts_now. When ts_now is None, acceptance-time filtering is disabled.

If group_size is provided, groups quantities into price buckets. If depth is provided, limits the number of price levels returned.

bids_to_dict(status=None, accepted_buffer_ns=None, ts_now=None)
bids_to_list()
clear()

Clears all orders from both sides of the book.

combined_with_opposite(opposite)

Returns a new own book containing this books orders plus parity-transformed opposite orders.

Opposite asks are transformed into bids with price 1 - price. Opposite bids are transformed into asks with price 1 - price.

# Errors

Returns BookViewError.OppositeInstrumentMatch if self and opposite have the same instrument ID.

delete(order)

Deletes an own order from the book.

# Errors

Returns an error if the order is not found.

instrument_id
is_order_in_book(client_order_id)

Return whether the given client order ID is in the own book.

orders_to_list()
pprint(num_levels=3, group_size=None)

Return a formatted string representation of the order book.

reset()

Resets the order book to its initial empty state.

ts_last
update(order)

Updates an existing own order in the book.

# Errors

Returns an error if the order is not found.

update_count
class PerpetualContract

Bases: object

Represents a perpetual contract instrument (perpetual swap).

Supports perpetuals on any asset class including FX, equities, commodities, indexes, and cryptocurrencies.

asset_class
base_currency
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
settlement_currency
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
underlying
class Pool

Bases: object

Represents a liquidity pool in a decentralized exchange.

## Pool Identification Architecture

Pools are identified differently depending on the DEX protocol version:

UniswapV2/V3: Each pool has its own smart contract deployed at a unique address. - address = pool contract address - pool_identifier = same as address (hex string)

`UniswapV4`: All pools share a singleton PoolManager contract. Pools are distinguished by a unique Pool ID (keccak256 hash of currencies, fee, tick spacing, and hooks). - address = PoolManager contract address (shared by all pools) - pool_identifier = Pool ID (bytes32 as hex string)

## Instrument ID Format

The instrument ID encodes with the following components: - symbol - The pool identifier (address for V2/V3, Pool ID for V4) - venue - The chain name plus DEX ID

String representation: <POOL_IDENTIFIER>.<CHAIN_NAME>:<DEX_ID>

Example: 0x11b815efB8f581194ae79006d24E0d814B7697F6.Ethereum:UniswapV3

address
chain
creation_block
dex
fee
instrument_id
tick_spacing
token0
token1
ts_event
ts_init
class PoolAnalytics

Bases: object

Analytics counters and metrics for pool operations.

It tracks cumulative statistics about pool activity, including deposit and collection flows, event counts, and performance metrics for debugging.

class PoolFeeCollect

Bases: object

Represents a fee collection event in a decentralized exchange (DEX) pool.

amount0
amount1
block
chain
dex
instrument_id
log_index
owner
pool_identifier
tick_lower
tick_upper
timestamp
transaction_hash
transaction_index
ts_event
ts_init
class PoolFeeProtocolCollect

Bases: object

Represents a protocol-fee withdrawal from a Uniswap V3-style pool.

Emitted by CollectProtocol, this carries the protocol-fee amounts withdrawn to the recipient. The amounts decrement the pool’s accrued protocol-fee balances, leaving the on-chain remainder (Uniswap V3 keeps one wei in each slot to save gas).

amount0
amount1
block
chain
dex
instrument_id
log_index
pool_identifier
recipient
sender
timestamp
transaction_hash
transaction_index
ts_event
ts_init
class PoolFeeProtocolUpdate

Bases: object

Represents a protocol-fee configuration change in a Uniswap V3-style pool.

Emitted by SetFeeProtocol, this carries the new protocol-fee values for each token. Uniswap V3 uses 4-bit denominators, while PancakeSwap V3 uses uint32 basis-point shares. Only the new values are kept; the previous values in the event are not needed to rebuild state.

block
chain
dex
fee_protocol0_new
fee_protocol1_new
instrument_id
log_index
pool_identifier
timestamp
transaction_hash
transaction_index
ts_event
ts_init
class PoolFlash

Bases: object

Represents a flash loan event from a Uniswap V3 pool.

Flash loans allow users to borrow tokens without collateral as long as they are returned within the same transaction. Fees are paid on the borrowed amount, which are added to the pool’s fee growth accumulators.

amount0
amount1
block
chain
dex
instrument_id
log_index
paid0
paid1
pool_identifier
recipient
sender
timestamp
transaction_hash
transaction_index
ts_event
ts_init
class PoolLiquidityUpdate

Bases: object

Represents a liquidity update event in a decentralized exchange (DEX) pool.

amount0
amount1
block
chain
dex
instrument_id
kind
log_index
owner
pool_identifier
position_liquidity
sender
tick_lower
tick_upper
timestamp
transaction_hash
transaction_index
ts_event
ts_init
class PoolLiquidityUpdateType

Bases: object

Represents the type of liquidity update operation in a DEX pool.

BURN = PoolLiquidityUpdateType.BURN
MINT = PoolLiquidityUpdateType.MINT
classmethod from_str(data)
name
value
classmethod variants()
class PoolPosition

Bases: object

Represents a concentrated liquidity position in a DEX pool.

This struct tracks a specific liquidity provider’s position within a price range, including the liquidity amount, fee accumulation, and token deposits/withdrawals.

class PoolProfiler

Bases: object

A DeFi pool state tracker and event processor for UniswapV3-style AMM pools.

The PoolProfiler provides complete pool state management including: - Liquidity position tracking and management. - Tick crossing and price movement simulation. - Fee accumulation and distribution tracking. - Protocol fee calculation. - Pool state validation and maintenance.

This profiler can both process historical events and execute new operations, making it suitable for both backtesting and simulation scenarios.

# Usage

Create a new profiler with a pool definition, initialize it with a starting price, then either process historical events or execute new pool operations to simulate trading activity and analyze pool behavior.

current_tick
estimate_balance_of_token0()

Estimates the total amount of token0 in the pool.

Calculates token0 balance by summing: - Token0 amounts from all active liquidity positions - Accumulated trading fees (approximated from fee growth) - Protocol fees collected

estimate_balance_of_token1()

Estimates the total amount of token1 in the pool.

Calculates token1 balance by summing: - Token1 amounts from all active liquidity positions - Accumulated trading fees (approximated from fee growth) - Protocol fees collected

fee_protocol
fee_protocol0_basis_points
fee_protocol1_basis_points
get_active_liquidity()

Returns the pool’s active liquidity tracked by the tick map.

This represents the effective liquidity available for trading at the current price. The tick map maintains this value efficiently by updating it during tick crossings as the price moves through different ranges.

# Returns The active liquidity (u128) at the current tick from the tick map

get_active_tick_count()

Gets the number of active ticks.

get_total_active_positions()

Gets the count of positions that are currently active.

Active positions are those with liquidity > 0 and whose tick range includes the current pool tick (meaning they have tokens in the pool).

get_total_inactive_positions()

Gets the count of positions that are currently inactive.

Inactive positions are those that exist but don’t span the current tick, meaning their liquidity is entirely in one token or the other.

get_total_liquidity()
get_total_tick_count()

Gets the total number of ticks tracked by the tick map.

Returns count of all ticks that have ever been initialized, including those that may no longer have active liquidity.

# Returns Total tick count in the tick map

instrument_id
is_initialized
liquidity_utilization_rate()

Calculates the liquidity utilization rate for the pool.

The utilization rate measures what percentage of total deployed liquidity is currently active (in-range and earning fees) at the current price tick.

pool
price_sqrt_ratio_x96
protocol_fees_token0
protocol_fees_token1
size_for_impact_bps(impact_bps, zero_for_one)

Finds the maximum trade size that produces a target slippage (including fees).

Uses binary search to find the largest trade size that results in slippage at or below the target. The method iteratively simulates swaps at different sizes until it converges to the optimal size within the specified tolerance.

# Returns The maximum trade size (U256) that produces the target slippage

# Errors Returns error if: - Impact is zero or exceeds 100% (10000 bps) - Pool is not initialized - Swap simulations fail

size_for_impact_bps_detailed(impact_bps, zero_for_one)

Finds the maximum trade size with search diagnostics. This is the detailed version of Self.size_for_impact_bps that returns extensive information about the search process.It is useful for debugging, monitoring, and analyzing search behavior in production.

# Returns Detailed result with size and search diagnostics

# Errors Returns error if: - Impact is zero or exceeds 100% (10000 bps) - Pool is not initialized - Swap simulations fail

swap_exact_in(amount_in, zero_for_one, sqrt_price_limit_x96)

Simulates an exact input swap (know input amount, calculate output amount).

# Errors Returns error if pool is not initialized, input is zero, or price limit is invalid

swap_exact_out(amount_out, zero_for_one, sqrt_price_limit_x96)

Simulates an exact output swap (know output amount, calculate required input amount).

# Errors Returns error if pool is not initialized, output is zero, price limit is invalid, or insufficient liquidity exists to fulfill the exact output amount

total_amount0_collected
total_amount0_deposited
total_amount1_collected
total_amount1_deposited
class PoolSnapshot

Bases: object

Complete snapshot of a liquidity pool’s state at a specific point in time.

PoolSnapshot provides a self-contained representation of a pool’s entire state, bundling together the global state variables, all liquidity positions, and the complete tick distribution.

class PoolState

Bases: object

Global state snapshot of a liquidity pool at a specific point in time.

PoolState encapsulates the core global variables that define a UniswapV3-style AMM pool’s current state. This includes the current price position, cumulative deposit/withdrawal flows, and protocol fee configuration.

class PoolSwap

Bases: object

Represents a token swap transaction on a decentralized exchange (DEX).

This structure captures both the raw blockchain data from a swap event and optionally includes computed market-oriented trade information. It serves as the primary data structure for tracking and analyzing DEX swap activity.

amount0
amount1
block
chain
dex
instrument_id
liquidity
log_index
pool_identifier
recipient
sender
sqrt_price_x96
tick
timestamp
transaction_hash
transaction_index
ts_event
ts_init
class PoolTick

Bases: object

Represents a tick in a Uniswap V3-style AMM with liquidity tracking and fee accounting.

class PortfolioGreeks

Bases: object

delta
gamma
pnl
price
rho
theta
ts_event
ts_init
vega
class PortfolioSnapshot

Bases: object

Represents a point-in-time snapshot of portfolio state for a single account.

Unlike [AccountState](crate::events::AccountState), which fires only on balance or margin changes, PortfolioSnapshot carries a continuous mark-to-market view by folding open-position valuations into the totals. The default equity curve records one snapshot at account registration, at every UTC midnight, and at shutdown, including while the account is flat. An optional fine-grained stream records additional snapshots while positions are open. Totals span every venue the account holds positions on, so multi-venue accounts (e.g., a prime broker routing across exchanges) produce a single account-wide snapshot rather than per-venue slices.

account_id
account_type
balances
base_currency
base_currency_equity
event_id
is_stale
margins
realized_pnls
stale_currencies
stale_instruments
total_equity
ts_event
ts_init
unpriced_instruments
unrealized_pnls
class Position

Bases: object

Represents a position in a market.

The position ID may be assigned at the trading venue, or can be system generated depending on a strategies OMS (Order Management System) settings. Replay events and cumulative fill corrections preserve derived state across close and reopen cycles.

account_id
adjustments()
apply(fill)

Applies an OrderFilled event to this position.

apply_adjustment(adjustment)

Applies a position adjustment event.

This method handles adjustments to position quantity or realized PnL that occur outside of normal order fills, such as: - Commission adjustments in base currency (crypto spot markets). - Funding payments (perpetual futures).

The adjustment event is stored in the position’s adjustment history for full audit trail.

avg_px_close
avg_px_open
base_currency
calculate_pnl(avg_px_open, avg_px_close, quantity)

Calculates profit and loss from the given prices and quantity.

client_order_ids()

Returns unique client order IDs from all fill events, sorted.

closing_order_id
commissions()

Returns the cumulative commissions for the position as a vector.

duration_ns
entry
event_count

Returns the count of order fill events applied to this position.

events()
static from_dict(values)

Constructs a [Position] from a Python dict.

# Errors

Returns a PyErr if deserialization from the Python dict fails.

id
instrument_class
instrument_id
is_closed

Returns whether the position is closed (flat with a close timestamp).

is_inverse
is_long

Returns whether the position is long (positive quantity).

is_open

Returns whether the position is currently open (has quantity and no close timestamp).

is_opposite_side(side)

Returns whether the given order side is opposite to the position entry side.

is_short

Returns whether the position is short (negative quantity).

is_spot_currency
last_event

Returns the last OrderFilled event for the position (if any after purging).

last_trade_id

Returns the last TradeId for the position (if any after purging).

multiplier
notional_value(price)

Calculates the notional value based on the last price.

opening_order_id
peak_qty
price_precision
purge_events_for_order(client_order_id)

Purges all order fill events for the given client order ID and recalculates derived state.

# Warning

This operation recalculates the entire position from scratch after removing the specified order’s fills. This is an expensive operation and should be used sparingly.

quantity
quote_currency
realized_pnl
realized_return
settlement_currency
side
signed_qty
size_precision
strategy_id
symbol

Returns the instrument symbol.

to_dict()

Converts this [Position] into a Python dict.

# Errors

Returns a PyErr if serialization into a Python dict fails.

total_pnl(last)

Returns total P&L (realized + unrealized) based on the last price.

trade_ids()

Returns unique trade IDs from all fill events, sorted.

trader_id
ts_closed
ts_init
ts_last
ts_opened
unrealized_pnl(last)

Returns unrealized P&L based on the last price.

venue

Returns the trading venue.

venue_order_ids()

Returns unique venue order IDs from all fill events, sorted.

class PositionAdjusted

Bases: object

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 that affect the actual quantity held (e.g., crypto spot commissions) - Funding payments that affect realized PnL (e.g., perpetual futures funding)

account_id
adjustment_type
event_id
static from_dict(values)

Constructs a [PositionAdjusted] from a Python dict.

# Errors

Returns a PyErr if deserialization from the Python dict fails.

instrument_id
pnl_change
position_id
quantity_change
reason
strategy_id
to_dict()

Converts this [PositionAdjusted] into a Python dict.

# Errors

Returns a PyErr if serialization into a Python dict fails.

trader_id
ts_event
ts_init
class PositionAdjustmentType

Bases: object

The type of position adjustment.

COMMISSION = PositionAdjustmentType.COMMISSION
FUNDING = PositionAdjustmentType.FUNDING
classmethod from_str(data)
name
value
classmethod variants()
class PositionChanged

Bases: object

Represents an event where a position has changed.

account_id
avg_px_close
avg_px_open
static create(position, fill, event_id, ts_init)
currency
entry
event_id
instrument_id
last_px
last_qty
opening_order_id
peak_qty
peak_quantity
position_id
quantity
realized_pnl
realized_return
side
signed_qty
strategy_id
trader_id
ts_event
ts_init
ts_opened
unrealized_pnl
class PositionClosed

Bases: object

Represents an event where a position has been closed.

account_id
avg_px_close
avg_px_open
closing_order_id
static create(position, fill, event_id, ts_init)
currency
duration
entry
event_id
instrument_id
last_px
last_qty
opening_order_id
peak_qty
peak_quantity
position_id
quantity
realized_pnl
realized_return
side
signed_qty
strategy_id
trader_id
ts_closed
ts_event
ts_init
ts_opened
unrealized_pnl
class PositionId

Bases: object

Represents a valid position ID.

static from_str(value)
value
class PositionOpened

Bases: object

Represents an event where a position has been opened.

account_id
avg_px_open
static create(position, fill, event_id, ts_init)
currency
entry
event_id
instrument_id
last_px
last_qty
opening_order_id
position_id
quantity
realized_pnl
side
signed_qty
strategy_id
trader_id
ts_event
ts_init
class PositionSide

Bases: object

The market side for a specific position, or action related to positions.

FLAT = PositionSide.FLAT
LONG = PositionSide.LONG
NO_POSITION_SIDE = PositionSide.NO_POSITION_SIDE
SHORT = PositionSide.SHORT
classmethod from_str(data)
name
value
classmethod variants()
class PositionSnapshot

Bases: object

Represents a position state snapshot as a certain instant.

static from_dict(values)
class PositionStatusReport

Bases: object

Represents a position status at a point in time.

account_id
avg_px_open
static from_dict(values)

Creates a PositionStatusReport from a Python dictionary.

# Errors

Returns a Python exception if conversion from dict fails.

instrument_id
is_flat

Checks if this is a flat position (quantity is zero).

is_long

Checks if this is a long position.

is_short

Checks if this is a short position.

position_side
quantity
report_id
strategy_id
to_dict()

Converts the PositionStatusReport to a Python dictionary.

# Errors

Returns a Python exception if conversion to dict fails.

ts_init
ts_last
venue_position_id
class Price

Bases: object

Represents a price in a market with a specified precision.

The number of decimal places may vary. For certain asset classes, prices may have negative values. For example, prices for options instruments can be negative under certain conditions.

Handles up to [FIXED_PRECISION] decimals of precision.

  • [PRICE_MAX] - Maximum representable price value.

  • [PRICE_MIN] - Minimum representable price value.

as_decimal()

Returns the value of this instance as a Decimal.

as_double()
checked_add(other)

Performs a checked addition, returning None on raw integer overflow, when the result falls outside [PRICE_RAW_MIN, PRICE_RAW_MAX], when either operand is a sentinel (PRICE_UNDEF, PRICE_ERROR, or ERROR_PRICE), or when the operands have mixed raw scales (one at FIXED_PRECISION scale, the other at a defi WEI_PRECISION scale).

Precision follows the Add implementation: uses the maximum precision of both operands.

checked_sub(other)

Performs a checked subtraction, returning None on raw integer underflow, when the result falls outside [PRICE_RAW_MIN, PRICE_RAW_MAX], when either operand is a sentinel (PRICE_UNDEF, PRICE_ERROR, or ERROR_PRICE), or when the operands have mixed raw scales (one at FIXED_PRECISION scale, the other at a defi WEI_PRECISION scale).

Precision follows the Sub implementation: uses the maximum precision of both operands.

static from_decimal(decimal)

Creates a new Price from a Decimal value with precision inferred from the decimal’s scale.

The precision is determined by the scale of the decimal (number of decimal places). The value is rounded to the inferred precision using banker’s rounding (round half to even).

# Errors

Returns an error if: - The inferred precision exceeds FIXED_PRECISION. - The decimal value cannot be converted to the raw representation. - Overflow occurs during scaling.

static from_decimal_dp(decimal, precision)

Creates a new Price from a Decimal value with specified precision.

Uses pure integer arithmetic on the Decimal’s mantissa and scale for fast conversion. The value is rounded to the specified precision using banker’s rounding (round half to even).

# Errors

Returns an error if: - precision exceeds FIXED_PRECISION. - The decimal value cannot be converted to the raw representation. - Overflow occurs during scaling.

static from_int(value)
static from_mantissa_exponent(mantissa, exponent, precision)

Creates a new Price from a mantissa/exponent pair using pure integer arithmetic.

The value is mantissa * 10^exponent. This avoids all floating-point and Decimal operations, making it ideal for exchange data that arrives as mantissa/exponent pairs.

static from_raw(raw, precision)

Creates a new Price instance from the given raw fixed-point value and precision.

static from_str(value)
is_positive()

Returns true if the value of this instance is position (> 0).

is_zero()

Returns true if the value of this instance is zero.

precision
raw
to_formatted_str()
static zero(precision=0)

Creates a new Price instance with a value of zero with the given precision.

class PriceType

Bases: object

The type of price for an instrument in a market.

ASK = PriceType.ASK
BID = PriceType.BID
LAST = PriceType.LAST
MARK = PriceType.MARK
MID = PriceType.MID
classmethod from_int(value)
classmethod from_str(data)
name
value
classmethod variants()
class Quantity

Bases: object

Represents a quantity with a non-negative value and specified precision.

Capable of storing either a whole number (no decimal places) of ‘contracts’ or ‘shares’ (instruments denominated in whole units) or a decimal value containing decimal places for instruments denominated in fractional units.

Handles up to [FIXED_PRECISION] decimals of precision.

  • [QUANTITY_MAX] - Maximum representable quantity value.

  • [QUANTITY_MIN] - 0 (non-negative values only).

as_decimal()

Returns the value of this instance as a Decimal.

as_double()
checked_add(other)

Performs a checked addition, returning None on raw integer overflow, when the result exceeds QUANTITY_RAW_MAX, when either operand is QUANTITY_UNDEF, or when the operands have mixed raw scales (one at FIXED_PRECISION scale, the other at a defi WEI_PRECISION scale).

Precision follows the Add implementation: uses the maximum precision of both operands.

checked_sub(other)

Performs a checked subtraction, returning None if rhs is greater than self, when either operand is QUANTITY_UNDEF, or when the operands have mixed raw scales (one at FIXED_PRECISION scale, the other at a defi WEI_PRECISION scale).

Precision follows the Sub implementation: uses the maximum precision of both operands.

static from_decimal(decimal)

Creates a new Quantity from a Decimal value with precision inferred from the decimal’s scale.

The precision is determined by the scale of the decimal (number of decimal places). The value is rounded to the inferred precision using banker’s rounding (round half to even).

# Errors

Returns an error if: - The inferred precision exceeds FIXED_PRECISION. - The decimal value cannot be converted to the raw representation. - Overflow occurs during scaling.

static from_decimal_dp(decimal, precision)

Creates a new Quantity from a Decimal value with specified precision.

Uses pure integer arithmetic on the Decimal’s mantissa and scale for fast conversion. The value is rounded to the specified precision using banker’s rounding (round half to even).

# Errors

Returns an error if: - precision exceeds FIXED_PRECISION. - The decimal value is negative. - The decimal value cannot be converted to the raw representation. - Overflow occurs during scaling.

static from_int(value)
static from_mantissa_exponent(mantissa, exponent, precision)

Creates a new Quantity from a mantissa/exponent pair using pure integer arithmetic.

The value is mantissa * 10^exponent. This avoids all floating-point and Decimal operations, making it ideal for exchange data that arrives as mantissa/exponent pairs.

static from_raw(raw, precision)

Creates a new Quantity instance from the given raw fixed-point value and precision.

static from_str(value)
is_positive()

Returns true if the value of this instance is position (> 0).

is_zero()

Returns true if the value of this instance is zero.

precision
raw
saturating_sub(other)

Computes a saturating subtraction between two quantities, logging when clamped.

When rhs is greater than self, the result is clamped to zero and a warning is logged. Precision follows the Sub implementation: uses the maximum precision of both operands.

to_formatted_str()
static zero(precision=0)

Creates a new Quantity instance with a value of zero with the given precision.

class QuoteTick

Bases: object

Represents a quote tick in a market.

ask_price
ask_size
bid_price
bid_size
extract_price(price_type)

Returns the Price for this quote depending on the given price_type.

# Errors

Returns an error if price_type is not Bid, Ask, or Mid (a quote has no Last price).

extract_size(price_type)

Returns the Quantity for this quote depending on the given price_type.

# Errors

Returns an error if price_type is not Bid, Ask, or Mid (a quote has no Last size).

static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static from_raw(instrument_id, bid_price_raw, ask_price_raw, bid_price_prec, ask_price_prec, bid_size_raw, ask_size_raw, bid_size_prec, ask_size_prec, ts_event, ts_init)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id, price_precision, size_precision)

Returns the metadata for the type, for use with serialization formats.

instrument_id
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

ts_event
ts_init
class RecordFlag

Bases: object

A record flag bit field, indicating event end and data information.

F_LAST = RecordFlag.F_LAST
F_MBP = RecordFlag.F_MBP
F_SNAPSHOT = RecordFlag.F_SNAPSHOT
F_TOB = RecordFlag.F_TOB
RESERVED_1 = RecordFlag.RESERVED_1
RESERVED_2 = RecordFlag.RESERVED_2
classmethod from_str(data)
matches(value)

Checks if the flag matches a given value.

name
value
classmethod variants()
class SizeForImpactResult

Bases: object

Detailed result of a size-for-impact search.

Contains diagnostics about the binary search process including convergence information, iterations taken, bounds used, and final accuracy.

accuracy_percent()

Get the convergence quality as a percentage.

# Returns Accuracy percentage (100.0 = perfect match, lower = less accurate)

actual_impact_bps
converged
expansion_count
final_high
final_low
initial_high
iterations
size
target_impact_bps
within_tolerance(tolerance_bps)

Check if the result is within the specified tolerance.

zero_for_one
class StandardMarginModel

Bases: object

Uses fixed margin percentages without leverage division.

Margin is calculated as notional_value * margin_rate, ignoring the account leverage. Appropriate for traditional brokers where margin requirements are fixed percentages of notional value.

class StopLimitOrder

Bases: object

account_id
apply(event)
avg_px
client_order_id
static closing_side(side)
contingency_type
static create(init)
display_qty
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
filled_qty
static from_dict(values)
has_price
has_trigger_price
init_event
init_id
instrument_id
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_post_only
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
is_triggered
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
price
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
trigger_instrument_id
trigger_price
trigger_type
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
ts_triggered
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class StopMarketOrder

Bases: object

account_id
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
display_qty
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
filled_qty
static from_dict(values)
has_price
has_trigger_price
init_event
init_id
instrument_id
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
is_triggered
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
trigger_instrument_id
trigger_price
trigger_type
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
ts_triggered
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class StrategyId

Bases: object

Represents a valid strategy ID.

static from_str(value)
value
class StrikeRange

Bases: object

Python wrapper for StrikeRange (complex enum).

static atm_percent(pct)

Creates a StrikeRange::AtmPercent variant.

static atm_relative(strikes_above, strikes_below)

Creates a StrikeRange::AtmRelative variant.

static delta(target, tolerance)

Creates a StrikeRange::Delta variant.

static fixed(strikes)

Creates a StrikeRange::Fixed variant.

kind

Returns the variant name (Fixed, AtmRelative, AtmPercent, or Delta).

class SwapQuote

Bases: object

Swap quote containing profiling metrics for a hypothetical swap.

This structure provides detailed analysis of what would happen if a swap were executed, including price impact, fees, slippage, and execution details, without actually modifying the pool state.

amount0
amount1
crossed_ticks_count
fee_growth_global_after
get_output_amount()

Gets the output amount for the given swap direction.

liquidity_after
lp_fee
protocol_fee
sqrt_price_after_x96
sqrt_price_before_x96
tick_after
tick_before
total_crossed_ticks()

Returns the number of tick boundaries crossed during this swap.

This equals the length of the crossed_ticks vector and indicates how much liquidity the swap traversed.

total_fee()

Returns the total fees paid in input token(LP fees + protocol fees).

zero_for_one()

Determines swap direction from amount signs.

Returns true if swapping token0 for token1 (zero_for_one).

class Symbol

Bases: object

Represents a valid ticker symbol ID for a tradable instrument.

static from_str(value)
is_composite

Returns true if the symbol string contains a period (.).

root

Returns the symbol root.

The symbol root is the substring that appears before the first period (.) in the full symbol string. It typically represents the underlying asset for futures and options contracts. If no period is found, the entire symbol string is considered the root.

topic

Returns the symbol topic.

The symbol topic is the root symbol with a wildcard (*) appended if the symbol has a root, otherwise returns the full symbol string.

value
class SyntheticInstrument

Bases: object

Represents a synthetic instrument with prices derived from component instruments using a formula.

The id for the synthetic will become {symbol}.{SYNTH}.

calculate(inputs)

Calculates the price of the synthetic instrument based on the given component input prices provided as an array of f64 values.

# Errors

Returns an error if the input length does not match, any input is non-finite, or formula evaluation fails.

calculate_from_map(inputs)

Calculates the price of the synthetic instrument based on component input prices provided as a map.

# Errors

Returns an error if formula evaluation fails or a required component price is missing from the input map.

change_formula(formula)

Replaces the derivation formula, recompiling it against the existing components.

# Errors

Returns an error if parsing the new formula fails.

components
formula
id
is_valid_formula(formula)

Returns whether the given formula compiles against this instrument’s components.

price_increment
price_precision
ts_event
ts_init
class TimeInForce

Bases: object

The ‘Time in Force’ instruction for an order.

AT_THE_CLOSE = TimeInForce.AT_THE_CLOSE
AT_THE_OPEN = TimeInForce.AT_THE_OPEN
DAY = TimeInForce.DAY
FOK = TimeInForce.FOK
GTC = TimeInForce.GTC
GTD = TimeInForce.GTD
IOC = TimeInForce.IOC
classmethod from_str(data)
name
value
classmethod variants()
class Token

Bases: object

Represents a cryptocurrency token on a blockchain network.

address
chain
decimals
name
symbol
class TokenizedAsset

Bases: object

Represents a tokenized real-world asset traded as a pair on a crypto venue.

Covers tokenized equities, ETFs, commodities, and other asset classes where the underlying is represented as a base token traded against a quote currency. The asset_class field identifies the underlying asset type.

asset_class
base_currency
static from_dict(values)
id
info
instrument_class
is_inverse
is_quanto
isin
lot_size
make_price(value)

Returns a price rounded to the instruments price precision.

make_qty(value, round_down=False)

Returns a quantity rounded to the instruments size precision.

maker_fee
margin_init
margin_maint
max_notional
max_price
max_quantity
min_notional
min_price
min_quantity
multiplier
next_ask_price(value, num_ticks=0)

Returns the price num_ticks ask ticks away from value.

next_ask_prices(value, num_ticks=100)

Returns prices up to num_ticks ask ticks away from value.

next_bid_price(value, num_ticks=0)

Returns the price num_ticks bid ticks away from value.

next_bid_prices(value, num_ticks=100)

Returns prices up to num_ticks bid ticks away from value.

notional_value(quantity, price, use_quote_for_inverse=False)

Calculates the notional value from the given quantity and price.

price_increment
price_precision
quote_currency
raw_symbol
size_increment
size_precision
taker_fee
tick_scheme
to_dict()
ts_event
ts_init
type_name
class TradeId

Bases: object

Represents a valid trade match ID (assigned by a trading venue).

The unique ID assigned to the trade entity once it is received or matched by the venue or central counterparty.

Can correspond to the TradeID <1003> field of the FIX protocol.

Maximum length is 36 characters.

static from_str(value)
value
class TradeTick

Bases: object

Represents a trade tick in a market.

aggressor_side
static from_dict(values)

Returns a new object from the given dictionary representation.

static from_json(data)
static from_msgpack(data)
static from_raw(instrument_id, price_raw, price_prec, size_raw, size_prec, aggressor_side, trade_id, ts_event, ts_init)
static fully_qualified_name()
static get_fields()

Returns the field map for the type, for use with Arrow schemas.

static get_metadata(instrument_id, price_precision, size_precision)

Returns the metadata for the type, for use with serialization formats.

instrument_id
price
size
to_dict()

Return a dictionary representation of the object.

to_json_bytes()

Return JSON encoded bytes representation of the object.

to_msgpack_bytes()

Return MsgPack encoded bytes representation of the object.

trade_id
ts_event
ts_init
class TraderId

Bases: object

Represents a valid trader ID.

static from_str(value)
value
class TradingState

Bases: object

The trading state for a node.

ACTIVE = TradingState.ACTIVE
HALTED = TradingState.HALTED
REDUCING = TradingState.REDUCING
classmethod from_str(data)
name
value
classmethod variants()
class TrailingOffsetType

Bases: object

The trailing offset type for an order type which specifies a trailing stop/trigger or limit price.

BASIS_POINTS = TrailingOffsetType.BASIS_POINTS
NO_TRAILING_OFFSET = TrailingOffsetType.NO_TRAILING_OFFSET
PRICE = TrailingOffsetType.PRICE
PRICE_TIER = TrailingOffsetType.PRICE_TIER
TICKS = TrailingOffsetType.TICKS
classmethod from_str(data)
name
value
classmethod variants()
class TrailingStopLimitOrder

Bases: object

account_id
activation_price
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
display_qty
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
filled_qty
static from_dict(values)
has_price
has_trigger_price
init_event
init_id
instrument_id
is_activated
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_post_only
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
is_triggered
last_event
last_trade_id
leaves_qty
limit_offset
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
price
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
trailing_offset
trailing_offset_type
trigger_instrument_id
trigger_price
trigger_type
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
ts_triggered
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class TrailingStopMarketOrder

Bases: object

account_id
activation_price
apply(event)
avg_px
client_order_id
static closing_side(side)
commission(currency)
commissions()
contingency_type
static create(init)
display_qty
emulation_trigger
event_count
events()
exec_algorithm_id
exec_algorithm_params
exec_spawn_id
expire_time
filled_qty
static from_dict(values)
has_price
has_trigger_price
init_event
init_id
instrument_id
is_activated
is_active_local
is_aggressive
is_buy
is_canceled
is_closed
is_emulated
is_inflight
is_open
is_passive
is_pending_cancel
is_pending_update
is_primary
is_quote_quantity
is_reduce_only
is_sell
is_spawned
is_triggered
last_event
last_trade_id
leaves_qty
linked_order_ids
liquidity_side
static opposite_side(side)
order_list_id
order_type
overfill_qty
parent_order_id
position_id
quantity
side
signed_decimal_qty()
slippage
status
strategy_id
tags
time_in_force
to_dict()
trade_ids
trader_id
trailing_offset
trailing_offset_type
trigger_instrument_id
trigger_price
trigger_type
ts_accepted
ts_closed
ts_init
ts_last
ts_submitted
ts_triggered
venue_order_id
venue_order_ids
would_reduce_only(side, position_qty)
class Transaction

Bases: object

Represents a transaction on an EVM based blockchain.

block_hash
block_number
chain
from
gas
gas_price
hash
to
transaction_index
value
class TriggerType

Bases: object

The trigger type for the stop/trigger price of an order.

BID_ASK = TriggerType.BID_ASK
DEFAULT = TriggerType.DEFAULT
DOUBLE_BID_ASK = TriggerType.DOUBLE_BID_ASK
DOUBLE_LAST = TriggerType.DOUBLE_LAST
INDEX_PRICE = TriggerType.INDEX_PRICE
LAST_OR_BID_ASK = TriggerType.LAST_OR_BID_ASK
LAST_PRICE = TriggerType.LAST_PRICE
MARK_PRICE = TriggerType.MARK_PRICE
MID_POINT = TriggerType.MID_POINT
NO_TRIGGER = TriggerType.NO_TRIGGER
classmethod from_str(data)
name
value
classmethod variants()
class Venue

Bases: object

Represents a valid trading venue ID.

static from_str(value)
value
class VenueOrderId

Bases: object

Represents a valid venue order ID (assigned by a trading venue).

static from_str(value)
value
class WalletAccount

Bases: object

account_type
apply(event)
balance(currency=None)
balance_free(currency=None)
balance_locked(currency=None)
balance_total(currency=None)
balances()
balances_free()
balances_locked()
balances_total()
base_currency
calculate_account_state
calculate_balance_locked(instrument, side, quantity, price, use_quote_for_inverse=None)
calculate_commission(instrument, last_qty, last_px, liquidity_side, use_quote_for_inverse=None)
calculate_pnls(instrument, fill, position=None)
currencies()
event_count
events
id
is_cash_account()
is_margin_account()
last_event
purge_account_events(ts_now, lookback_secs)
starting_balances()
to_dict()
betting_account_from_account_events(events, calculate_account_state)

Constructs a BettingAccount from a list of Python dict events.

# Errors

Returns a PyErr if the input events list is empty.

black_scholes_greeks(s, r, b, vol, is_call, k, t)

Computes Black-Scholes greeks using the fast compute_greeks implementation. This function uses compute_greeks from black_scholes.rs which is optimized for performance.

calc_bets_pnl(bets)

Calculates the combined profit and loss for a slice of bets.

cash_account_from_account_events(events, calculate_account_state, allow_borrowing=False)

Constructs a CashAccount from a list of Python dict events.

# Errors

Returns a PyErr if an event cannot be converted or the input events list is empty.

custom_data_backend_kind(custom)
deserialize_custom_from_json(type_name, payload)

Deserializes custom data from JSON bytes into a PyO3 CustomData wrapper.

# Errors

Returns a PyErr if the type is not registered or JSON deserialization fails.

fold_net_position(legs)

Replays position legs onto a hypothetical NETTING position in ts_opened order, returning (net_signed_qty, net_avg_px_open).

Each leg is (signed_qty, avg_px_open, ts_opened_ns). Rules follow Position.apply: - Same-side legs produce a quantity-weighted average open price. - Opposite-side legs partial-close at the existing average. - A leg that crosses zero makes the residual take that leg’s price.

Zero-quantity legs are skipped. Sort is stable on ts_opened; the caller orders ties (e.g. by position_id).

imply_vol(s, r, b, is_call, k, t, price)

Computes the implied volatility for an option given its parameters and market price.

# Errors

Returns a PyErr if implied volatility calculation fails.

imply_vol_and_greeks(s, r, b, is_call, k, t, price)

Computes implied volatility and greeks using the fast implementations. This function uses compute_greeks after implying volatility.

inverse_probability_to_bet(probability, volume, side)

Converts a probability and volume into a Bet using the inverse probability.

The side is also inverted (BUY becomes SELL and vice versa).

# Errors

Returns an error if probability is 1.0 or its inverse is zero.

margin_account_from_account_events(events, calculate_account_state)

Constructs a MarginAccount from a list of Python dict events.

# Errors

Returns a PyErr if an event cannot be converted or the input events list is empty.

probability_to_bet(probability, volume, side)

Converts a probability and volume into a Bet.

For a BUY side, this creates a BACK bet; for SELL, a LAY bet.

# Errors

Returns an error if probability is zero or the conversion overflows.

refine_vol_and_greeks(s, r, b, is_call, k, t, target_price, initial_vol)

Refines implied volatility using an initial guess and computes greeks. This function uses compute_iv_and_greeks which performs a Halley iteration to refine the volatility estimate from an initial guess.

register_custom_data_class(data_class)

Registers a custom data type (class) with the catalog registry.

Use this when you prefer to pass the class instead of a sample instance. The class must have: - type_name_static() class method or __name__ (used as type name in storage) - from_json(data) class method - decode_record_batch_py(metadata, batch) class method - Instances must have ts_event, ts_init, and encode_record_batch_py(items).

# Arguments

  • data_class - The custom data class (e.g. MarketTickPython or module.MarketTickData)

# Errors

Returns a PyErr if the class lacks required methods or the type is already registered.

# Example

```python import json

from nautilus_trader.model import register_custom_data_class

class MarketTickPython:

ts_event = 0 ts_init = 0

def to_json(self):

return json.dumps(self.__dict__)

@classmethod def from_json(cls, data):

instance = cls() instance.__dict__.update(data) return instance

def encode_record_batch_py(self, items):

raise NotImplementedError(“Arrow encoding is not configured”)

@classmethod def decode_record_batch_py(cls, metadata, batch):

raise NotImplementedError(“Arrow decoding is not configured”)

register_custom_data_class(MarketTickPython) ```

The Arrow methods may raise for a message-bus-only class, but must be implemented before catalog persistence is used.

update_book_with_quote_tick(book, quote)

Updates the OrderBook with a [QuoteTick].

# Errors

Returns a PyErr if the update operation fails.

update_book_with_trade_tick(book, trade)

Updates the OrderBook with a [TradeTick].

# Errors

Returns a PyErr if the update operation fails.

wallet_account_from_account_events(events, calculate_account_state)

Constructs a WalletAccount from a list of Python dict events.

# Errors

Returns a PyErr if an event cannot be converted or the input events list is empty.