Trading

class BookImbalanceActorConfig

Bases: object

Configuration for the order book imbalance actor.

actor_id

instrument_ids

log_interval

class CompositeMarketMakerConfig

Bases: object

Configuration for the composite market making strategy.

expire_time_secs

half_spread_bps

instrument_id

inventory_skew_factor

max_position

on_cancel_resubmit

order_id_tag

requote_threshold_bps

signal_baseline

signal_instrument_id

signal_skew_factor

strategy_id

trade_size

class Controller

Bases: DataActor

Provides a trading controller for managing actors and strategies at runtime.

Subclass this to author a controller in Python. The trader reference is bound when the controller is registered, so control methods are only available from that point on.

create_actor_from_config(actor_config, start=True)

create_strategy_from_config(strategy_config, start=True)

market_exit_strategy(strategy_id)

market_exit_strategy_from_id(strategy_id)

remove_actor(actor_id)

remove_actor_from_id(actor_id)

remove_strategy(strategy_id)

remove_strategy_from_id(strategy_id)

start_actor(actor_id)

start_actor_from_id(actor_id)

start_strategy(strategy_id)

start_strategy_from_id(strategy_id)

stop_actor(actor_id)

stop_actor_from_id(actor_id)

stop_strategy(strategy_id)

stop_strategy_from_id(strategy_id)

class DeltaNeutralVolConfig

Bases: object

Configuration for the delta-neutral short volatility hedger.

Tracks a short OTM call and put (strangle) and delta-hedges with the underlying perpetual swap. Rehedges when portfolio delta exceeds a configurable threshold or on a periodic timer.

client_id

contracts

enter_strangle

entry_iv_offset

entry_premium_offset_ticks

entry_time_in_force

expiry_filter

hedge_instrument_id

iv_param_key

option_family

order_id_tag

rehedge_delta_threshold

rehedge_interval_secs

strategy_id

target_call_delta

target_put_delta

class EmaCrossConfig

Bases: object

Configuration for the dual-EMA crossover strategy.

fast_period

instrument_id

order_id_tag

slow_period

strategy_id

trade_size

class ExecutionAlgorithm

Bases: object

Python-facing wrapper for execution algorithms.

cache

cancel_order(order, client_id=None)

clock

config

degrade()

deny_order(order, reason)

dispose()

exec_algorithm_id

execute(command)

fault()

is_degraded()

is_disposed()

is_faulted()

is_ready()

is_registered()

is_running()

is_stopped()

log

modify_order(order, quantity=None, price=None, trigger_price=None, client_id=None)

modify_order_in_place(order, quantity=None, price=None, trigger_price=None)

on_degrade()

on_dispose()

on_fault()

on_order(order)

on_order_accepted(event)

on_order_cancel_rejected(event)

on_order_canceled(event)

on_order_denied(event)

on_order_emulated(event)

on_order_event(event)

on_order_expired(event)

on_order_fill_voided(event)

on_order_filled(event)

on_order_initialized(event)

on_order_list(order_list, orders)

on_order_modify_rejected(event)

on_order_pending_cancel(event)

on_order_pending_update(event)

on_order_rejected(event)

on_order_released(event)

on_order_submitted(event)

on_order_triggered(event)

on_order_updated(event)

on_position_changed(event)

on_position_closed(event)

on_position_event(event)

on_position_opened(event)

on_queue_state(event)

on_reset()

on_resume()

on_signal(signal)

on_socket_state(event)

on_start()

on_stop()

on_time_event(event)

portfolio

publish_data(data_type, data)

publish_signal(name, value, ts_event=0)

reset()

resume()

spawn_limit(primary, quantity, price, time_in_force=Ellipsis, expire_time=None, post_only=False, reduce_only=False, display_qty=None, emulation_trigger=None, tags=None, reduce_primary=True)

spawn_market(primary, quantity, time_in_force=Ellipsis, reduce_only=False, tags=None, reduce_primary=True)

spawn_market_to_limit(primary, quantity, time_in_force=Ellipsis, expire_time=None, reduce_only=False, display_qty=None, emulation_trigger=None, tags=None, reduce_primary=True)

start()

state

stop()

submit_order(order, position_id=None, client_id=None)

subscribe_queue_state(priority=None)

subscribe_signal(name='', priority=None)

subscribe_socket_state(priority=None)

to_importable_config()

Returns an importable configuration for this execution algorithm.

trader_id

unsubscribe_queue_state()

unsubscribe_signal(name='')

unsubscribe_socket_state()

class ExecutionAlgorithmConfig

Bases: object

Configuration for an execution algorithm.

exec_algorithm_id

log_commands

log_events

class ForexSession

Bases: object

Represents a major Forex market session based on trading hours.

LONDON = <PositionSide.LONDON: '2'>

NEW_YORK = <PositionSide.NEW_YORK: '3'>

SYDNEY = <PositionSide.SYDNEY: '0'>

TOKYO = <PositionSide.TOKYO: '1'>

classmethod from_str(data)

name

value

classmethod variants()

class GridMarketMakerConfig

Bases: object

Configuration for the grid market making strategy.

expire_time_secs

grid_step_bps

instrument_id

max_position

num_levels

on_cancel_resubmit

order_id_tag

requote_threshold_bps

skew_factor

strategy_id

trade_size

class HurstVpinDirectionalConfig

Bases: object

Configuration for the Hurst/VPIN directional strategy.

Combines a rescaled-range Hurst regime filter on dollar bars with a VPIN-derived informed-flow signal, and gates entry timing on the live quote stream.

bar_type

hurst_enter

hurst_exit

hurst_lags

hurst_window

instrument_id

max_holding_secs

order_id_tag

strategy_id

trade_size

vpin_threshold

vpin_window

class ImportableControllerConfig

Bases: object

Configuration for creating controllers from importable paths.

config

config_path

controller_path

class ImportableExecAlgorithmConfig

Bases: object

Configuration for creating execution algorithms from importable paths.

config

config_path

exec_algorithm_path

class ImportableStrategyConfig

Bases: object

Configuration for creating strategies from importable paths.

config

config_path

strategy_path

class Strategy

Bases: object

Python-facing wrapper for Strategy.

add_synthetic(synthetic)

cache

cancel_all_orders(instrument_id, order_side=None, client_id=None, params=None)

cancel_gtd_expiry(order)

Cancels the managed GTD expiry for the given order.

cancel_order(client_order_id, client_id=None, params=None)

cancel_orders(client_order_ids, client_id=None, params=None)

clock

close_all_positions(instrument_id, position_side=None, client_id=None, tags=None, time_in_force=None, reduce_only=None, quote_quantity=None, params=None)

close_position(position, client_id=None, tags=None, time_in_force=None, reduce_only=None, quote_quantity=None, params=None)

config

degrade()

dispose()

fault()

indicators_initialized()

is_degraded()

is_disposed()

is_exiting()

is_faulted()

is_ready()

is_running()

is_stopped()

load(state)

log

market_exit()

modify_order(client_order_id, quantity=None, price=None, trigger_price=None, client_id=None, params=None)

modify_orders(updates, client_id=None, params=None)

on_bar(bar)

on_book(book)

on_book_deltas(deltas)

on_book_depth(depth)

on_data(data)

on_degrade()

on_dispose()

on_fault()

on_funding_rate(funding_rate)

on_historical_bars(bars)

on_historical_book_deltas(deltas)

on_historical_book_depth(depths)

on_historical_data(data)

on_historical_funding_rates(funding_rates)

on_historical_index_prices(index_prices)

on_historical_mark_prices(mark_prices)

on_historical_quotes(quotes)

on_historical_trades(trades)

on_index_price(index_price)

on_instrument(instrument)

on_instrument_close(close)

on_instrument_status(status)

on_load(state)

on_mark_price(mark_price)

on_market_exit()

on_option_chain(slice)

on_option_greeks(greeks)

on_order_accepted(event)

on_order_cancel_rejected(event)

on_order_canceled(event)

on_order_denied(event)

on_order_emulated(event)

on_order_event(event)

on_order_expired(event)

on_order_fill_voided(event)

on_order_filled(event)

on_order_initialized(event)

on_order_modify_rejected(event)

on_order_pending_cancel(event)

on_order_pending_update(event)

on_order_rejected(event)

on_order_released(event)

on_order_submitted(event)

on_order_triggered(event)

on_order_updated(event)

on_position_changed(event)

on_position_closed(event)

on_position_event(event)

on_position_opened(event)

on_queue_state(event)

on_quote(quote)

on_reset()

on_resume()

on_save()

on_signal(signal)

on_socket_state(event)

on_start()

on_stop()

on_time_event(event)

on_trade(trade)

order_factory

portfolio

post_market_exit()

publish_data(data_type, data)

publish_signal(name, value, ts_event=0)

query_account(account_id, client_id=None, params=None)

query_order(order, client_id=None, params=None)

reconnect_socket(client_id, endpoint)

Requests reconnect of one socket endpoint owned by client_id.

register_indicator_for_bars(bar_type, indicator)

register_indicator_for_quote_ticks(instrument_id, indicator)

register_indicator_for_trade_ticks(instrument_id, indicator)

registered_indicators

request_bars(bar_type, start=None, end=None, limit=None, client_id=None, params=None)

request_book_deltas(instrument_id, start=None, end=None, limit=None, client_id=None, params=None)

request_book_depth(instrument_id, start=None, end=None, limit=None, depth=None, client_id=None, params=None)

request_book_snapshot(instrument_id, depth=None, client_id=None, params=None)

request_data(data_type, client_id, start=None, end=None, limit=None, params=None)

request_funding_rates(instrument_id, start=None, end=None, limit=None, client_id=None, params=None)

request_instrument(instrument_id, start=None, end=None, client_id=None, params=None)

request_instruments(venue=None, start=None, end=None, client_id=None, params=None)

request_quotes(instrument_id, start=None, end=None, limit=None, client_id=None, params=None)

request_trades(instrument_id, start=None, end=None, limit=None, client_id=None, params=None)

reset()

resume()

save()

shutdown_system(reason=None)

start()

state()

stop()

strategy_id

submit_order(order, position_id=None, client_id=None, params=None)

submit_order_list(order_list, position_id=None, client_id=None, params=None)

subscribe_bars(bar_type, client_id=None, params=None)

subscribe_book_at_interval(instrument_id, book_type, interval_ms, depth=None, client_id=None, params=None)

subscribe_book_deltas(instrument_id, book_type, depth=None, client_id=None, managed=False, params=None)

subscribe_book_depth10(instrument_id, book_type, client_id=None, managed=False, params=None)

subscribe_data(data_type, client_id=None, params=None)

subscribe_funding_rates(instrument_id, client_id=None, params=None)

subscribe_index_prices(instrument_id, client_id=None, params=None)

subscribe_instrument(instrument_id, client_id=None, params=None)

subscribe_instrument_close(instrument_id, client_id=None, params=None)

subscribe_instrument_status(instrument_id, client_id=None, params=None)

subscribe_instruments(venue, client_id=None, params=None)

subscribe_mark_prices(instrument_id, client_id=None, params=None)

subscribe_option_chain(series_id, strike_range, snapshot_interval_ms=None, client_id=None, params=None)

subscribe_option_greeks(instrument_id, client_id=None, params=None)

subscribe_queue_state(priority=None)

subscribe_quotes(instrument_id, client_id=None, params=None)

subscribe_signal(name='', priority=None)

subscribe_socket_state(priority=None)

subscribe_trades(instrument_id, client_id=None, params=None)

trader_id

unsubscribe_bars(bar_type, client_id=None, params=None)

unsubscribe_book_at_interval(instrument_id, interval_ms, client_id=None, params=None)

unsubscribe_book_deltas(instrument_id, client_id=None, params=None)

unsubscribe_book_depth10(instrument_id, client_id=None, params=None)

unsubscribe_data(data_type, client_id=None, params=None)

unsubscribe_funding_rates(instrument_id, client_id=None, params=None)

unsubscribe_index_prices(instrument_id, client_id=None, params=None)

unsubscribe_instrument(instrument_id, client_id=None, params=None)

unsubscribe_instrument_close(instrument_id, client_id=None, params=None)

unsubscribe_instrument_status(instrument_id, client_id=None, params=None)

unsubscribe_instruments(venue, client_id=None, params=None)

unsubscribe_mark_prices(instrument_id, client_id=None, params=None)

unsubscribe_option_chain(series_id, client_id=None)

unsubscribe_option_greeks(instrument_id, client_id=None, params=None)

unsubscribe_queue_state()

unsubscribe_quotes(instrument_id, client_id=None, params=None)

unsubscribe_signal(name)

unsubscribe_socket_state()

unsubscribe_trades(instrument_id, client_id=None, params=None)

update_synthetic(synthetic)

class StrategyConfig

Bases: object

The base model for all trading strategy configurations.

external_order_claims

log_commands

log_events

log_rejected_due_post_only_as_warning

manage_contingent_orders

manage_gtd_expiry

manage_stop

market_exit_interval_ms

market_exit_max_attempts

market_exit_reduce_only

market_exit_time_in_force

oms_type

order_id_tag

strategy_id

use_hyphens_in_client_order_ids

use_uuid_client_order_ids

fx_local_from_utc(session, time_now)

Converts a UTC timestamp to the local time for the given Forex session.

fx_next_end(session, time_now)

Returns the next session end time in UTC.

fx_next_start(session, time_now)

Returns the next session start time in UTC.

fx_prev_end(session, time_now)

Returns the previous session end time in UTC.

fx_prev_start(session, time_now)

Returns the previous session start time in UTC.