Betfair ¶

Provides an API integration for the Betfair spots betting exchange.

Data ¶

class BetfairDataClient ( loop : AbstractEventLoop , client : BetfairClient , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , market_filter : dict , instrument_provider : Optional [ BetfairInstrumentProvider ] = None , strict_handling : bool = False ) ¶

Bases: LiveMarketDataClient

Provides a data client for the Betfair API.

Parameters :

loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
client ( BetfairClient ) – The betfair HttpClient
msgbus ( MessageBus ) – The message bus for the client.
cache ( Cache ) – The cache for the client.
clock ( LiveClock ) – The clock for the client.
logger ( Logger ) – The logger for the client.
market_filter ( dict ) – The market filter.
instrument_provider ( BetfairInstrumentProvider , optional ) – The instrument provider.
strict_handling ( bool ) – If strict handling mode is enabled.

connect ( ) → None ¶: Connect the client.

create_task ( coro : Coroutine , log_msg : Optional [ str ] = None , actions : Optional [ Callable ] = None , success : Optional [ str ] = None ) → Task ¶

Run the given coroutine with error handling and optional callback actions when done.

Parameters :

coro ( Coroutine ) – The coroutine to run.
log_msg ( str , optional ) – The log message for the task.
actions ( Callable , optional ) – The actions callback to run when the coroutine is done.
success ( str , optional ) – The log message to write on actions success.

Returns :

asyncio.Task

degrade ( self ) → void ¶

Degrade the component.

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

Warning

Do not override.

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

disconnect ( ) → None ¶: Disconnect the client.

dispose ( self ) → void ¶

Dispose of the component.

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

Warning

Do not override.

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

fault ( self ) → void ¶

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

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

Warning

Do not override.

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

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the components class.

Returns :: str

References

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

id ¶

The components ID.

Returns :: ComponentId

is_connected ¶

If the client is connected.

Returns :: bool

is_degraded ¶

Return whether the current component state is DEGRADED .

Returns :: bool

is_disposed ¶

Return whether the current component state is DISPOSED .

Returns :: bool

is_faulted ¶

Return whether the current component state is FAULTED .

Returns :: bool

is_initialized ¶

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

Returns :: bool

is_running ¶

Return whether the current component state is RUNNING .

Returns :: bool

is_stopped ¶

Return whether the current component state is STOPPED .

Returns :: bool

request ( self , DataType data_type , UUID4 correlation_id ) → void ¶

Request data for the given data type.

Parameters :

data_type ( DataType ) – The data type for the subscription.
correlation_id ( UUID4 ) – The correlation ID for the response.

request_bars ( self , BarType bar_type , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void ¶

Request historical Bar data.

Parameters :

bar_type ( BarType ) – The bar type for the request.
limit ( int ) – The limit for the number of returned bars.
correlation_id ( UUID4 ) – The correlation ID for the request.
start ( datetime , optional ) – The specified from datetime for the data.
end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

request_instrument ( self , InstrumentId instrument_id , UUID4 correlation_id ) → void ¶

Request Instrument data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the request.
correlation_id ( UUID4 ) – The correlation ID for the request.

request_instruments ( self , Venue venue , UUID4 correlation_id ) → void ¶

Request all Instrument data for the given venue.

Parameters :

venue ( Venue ) – The venue for the request.
correlation_id ( UUID4 ) – The correlation ID for the request.

request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void ¶

Request historical QuoteTick data.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument ID for the request.
limit ( int ) – The limit for the number of returned ticks.
correlation_id ( UUID4 ) – The correlation ID for the request.
start ( datetime , optional ) – The specified from datetime for the data.
end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

request_trade_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void ¶

Request historical TradeTick data.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument ID for the request.
limit ( int ) – The limit for the number of returned ticks.
correlation_id ( UUID4 ) – The correlation ID for the request.
start ( datetime , optional ) – The specified from datetime for the data.
end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

reset ( self ) → void ¶

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) → void ¶

Resume the component.

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

Warning

Do not override.

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

async run_after_delay ( delay : float , coro : Coroutine ) → None ¶

Run the given coroutine after a delay.

Parameters :

delay ( float ) – The delay (seconds) before running the coroutine.
coro ( Coroutine ) – The coroutine to run after the initial delay.

start ( self ) → void ¶

Start the component.

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

Warning

Do not override.

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

state ¶

Return the components current state.

Returns :: ComponentState

stop ( self ) → void ¶

Stop the component.

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

Warning

Do not override.

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

subscribe ( self , DataType data_type ) → void ¶

Subscribe to data for the given data type.

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

subscribe_bars ( self , BarType bar_type ) → void ¶

Subscribe to Bar data for the given bar type.

Parameters :: bar_type ( BarType ) – The bar type to subscribe to.

subscribe_instrument ( self , InstrumentId instrument_id ) → void ¶: Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close ( self , InstrumentId instrument_id ) → void ¶

Subscribe to InstrumentClose updates for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void ¶

Subscribe to InstrumentStatusUpdates data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_instruments ( self ) → void ¶: Subscribe to all Instrument data.

subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) → void ¶

Subscribe to OrderBookDeltas data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The order book instrument to subscribe to.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.
depth ( int , optional , default None ) – The maximum depth for the subscription.
kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

subscribe_order_book_snapshots ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) → void ¶

Subscribe to OrderBookSnapshot data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The order book instrument to subscribe to.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.
depth ( int , optional ) – The maximum depth for the order book. A depth of 0 is maximum depth.
kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

subscribe_quote_ticks ( self , InstrumentId instrument_id ) → void ¶

Subscribe to QuoteTick data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_ticker ( self , InstrumentId instrument_id ) → void ¶

Subscribe to Ticker data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The ticker instrument to subscribe to.

subscribe_trade_ticks ( self , InstrumentId instrument_id ) → void ¶

Subscribe to TradeTick data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_venue_status_updates ( self , Venue venue ) → void ¶

Subscribe to InstrumentStatusUpdate data for the venue.

Parameters :: venue ( Venue ) – The venue to subscribe to.

subscribed_bars ( self ) → list ¶

Return the bar types subscribed to.

Returns :: list[BarType]

subscribed_generic_data ( self ) → list ¶

Return the generic data types subscribed to.

Returns :: list[DataType]

subscribed_instrument_close ( self ) → list ¶

Return the instrument closes subscribed to.

Returns :: list[InstrumentId]

subscribed_instrument_status_updates ( self ) → list ¶

Return the status update instruments subscribed to.

Returns :: list[InstrumentId]

subscribed_instruments ( self ) → list ¶

Return the instruments subscribed to.

Returns :: list[InstrumentId]

subscribed_order_book_deltas ( self ) → list ¶

Return the order book delta instruments subscribed to.

Returns :: list[InstrumentId]

subscribed_order_book_snapshots ( self ) → list ¶

Return the order book snapshot instruments subscribed to.

Returns :: list[InstrumentId]

subscribed_quote_ticks ( self ) → list ¶

Return the quote tick instruments subscribed to.

Returns :: list[InstrumentId]

subscribed_tickers ( self ) → list ¶

Return the ticker instruments subscribed to.

Returns :: list[InstrumentId]

subscribed_trade_ticks ( self ) → list ¶

Return the trade tick instruments subscribed to.

Returns :: list[InstrumentId]

subscribed_venue_status_updates ( self ) → list ¶

Return the status update instruments subscribed to.

Returns :: list[InstrumentId]

trader_id ¶

The trader ID associated with the component.

Returns :: TraderId

type ¶

The components type.

Returns :: type

unsubscribe ( self , DataType data_type ) → void ¶

Unsubscribe from data for the given data type.

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

unsubscribe_bars ( self , BarType bar_type ) → void ¶

Unsubscribe from Bar data for the given bar type.

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

unsubscribe_instrument ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from Instrument data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The instrument to unsubscribe from.

unsubscribe_instrument_close ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from InstrumentClose data for the given instrument ID.

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

unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from InstrumentStatusUpdate data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The instrument status updates to unsubscribe from.

unsubscribe_instruments ( self ) → void ¶: Unsubscribe from all Instrument data.

unsubscribe_order_book_deltas ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from OrderBookDeltas data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The order book instrument to unsubscribe from.

unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from OrderBookSnapshot data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The order book instrument to unsubscribe from.

unsubscribe_quote_ticks ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from QuoteTick data for the given instrument ID.

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

unsubscribe_ticker ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from Ticker data for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The ticker instrument to unsubscribe from.

unsubscribe_trade_ticks ( self , InstrumentId instrument_id ) → void ¶

Unsubscribe from TradeTick data for the given instrument ID.

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

unsubscribe_venue_status_updates ( self , Venue venue ) → void ¶

Unsubscribe from InstrumentStatusUpdate data for the given venue.

Parameters :: venue ( Venue ) – The venue to unsubscribe from.

venue ¶

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

Returns :: Venue or None

Data Types ¶

class SubscriptionStatus ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None ) ¶

Bases: Enum

Represents a Betfair subscription status.

class BSPOrderBookDeltas ¶

Bases: OrderBookDeltas

Represents a batch of Betfair BSP order book delta.

book_type ¶

The order book type (L1_TBBO, L2_MBP, L3_MBO).

Returns :: BookType

deltas ¶

The order book deltas.

Returns :: list[OrderBookDelta]

static from_dict ( dict values ) → OrderBookDeltas ¶

Return order book deltas from the given dict values.

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: OrderBookDeltas

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

instrument_id ¶

The instrument ID for the order book.

Returns :: InstrumentId

sequence ¶

The unique sequence number.

Returns :: uint64

time_in_force ¶

The time in force for this update.

Returns :: TimeInForce

static to_dict ( OrderBookDeltas obj ) ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

ts_event ¶

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :: uint64_t

ts_init ¶

The UNIX timestamp (nanoseconds) when the object was initialized.

Returns :: uint64_t

class BSPOrderBookDelta ¶

Bases: OrderBookDelta

Represents a Betfair BSP order book delta.

static from_dict ( dict values ) → OrderBookDelta ¶

Return an order book delta from the given dict values.

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: OrderBookDelta

static to_dict ( OrderBookDelta obj ) ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

action ¶

The order book delta action { ADD , UPDATED , DELETE , CLEAR }.

Returns :: BookAction

book_type ¶

The order book type (L1_TBBO, L2_MBP, L3_MBO).

Returns :: BookType

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

instrument_id ¶

The instrument ID for the order book.

Returns :: InstrumentId

order ¶

The order to apply.

Returns :: Order

sequence ¶

The unique sequence number.

Returns :: uint64

time_in_force ¶

The time in force for this update.

Returns :: TimeInForce

ts_event ¶

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :: uint64_t

ts_init ¶

The UNIX timestamp (nanoseconds) when the object was initialized.

Returns :: uint64_t

class BetfairTicker ( instrument_id : InstrumentId , ts_event : int , ts_init : int , last_traded_price : float = None , traded_volume : float = None , starting_price_near : float = None , starting_price_far : float = None ) ¶

Bases: Ticker

Represents a Betfair ticker.

classmethod from_dict ( dict values ) → Ticker ¶

Return a ticker from the given dict values.

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: Ticker

to_dict ( Ticker obj ) ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

instrument_id ¶

The ticker instrument ID.

Returns :: InstrumentId

ts_event ¶

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :: uint64_t

ts_init ¶

The UNIX timestamp (nanoseconds) when the object was initialized.

Returns :: uint64_t

class BetfairStartingPrice ( instrument_id : InstrumentId , ts_event : int , ts_init : int , bsp : float = None ) ¶

Bases: Data

Represents the realised Betfair Starting Price.

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

ts_event ¶

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :: uint64_t

ts_init ¶

The UNIX timestamp (nanoseconds) when the object was initialized.

Returns :: uint64_t

Execution ¶

class BetfairExecutionClient ( loop : AbstractEventLoop , client : BetfairClient , base_currency : Currency , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , market_filter : dict , instrument_provider : BetfairInstrumentProvider ) ¶

Bases: LiveExecutionClient

Provides an execution client for Betfair.

Parameters :

loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
client ( BetfairClient ) – The Betfair HttpClient.
base_currency ( Currency ) – The account base currency for the client.
msgbus ( MessageBus ) – The message bus for the client.
cache ( Cache ) – The cache for the client.
clock ( LiveClock ) – The clock for the client.
logger ( Logger ) – The logger for the client.
market_filter ( dict ) – The market filter.
instrument_provider ( BetfairInstrumentProvider ) – The instrument provider.

async watch_stream ( ) ¶: Ensure socket stream is connected

async generate_order_status_report ( instrument_id : InstrumentId , client_order_id : Optional [ ClientOrderId ] = None , venue_order_id : Optional [ VenueOrderId ] = None ) → Optional [ OrderStatusReport ] ¶

Generate an OrderStatusReport for the given order identifier parameter(s).

If the order is not found, or an error occurs, then logs and returns None .

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the report.
client_order_id ( ClientOrderId , optional ) – The client order ID for the report.
venue_order_id ( VenueOrderId , optional ) – The venue order ID for the report.

Returns :

OrderStatusReport or None

Raises :

ValueError – If both the client_order_id and venue_order_id are None .

async generate_order_status_reports ( instrument_id : InstrumentId = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None , open_only : bool = False ) → list [ nautilus_trader.execution.reports.OrderStatusReport ] ¶

Generate a list of ` OrderStatusReport`s with optional query filters.

The returned list may be empty if no orders match the given parameters.

Parameters :

instrument_id ( InstrumentId , optional ) – The instrument ID query filter.
start ( pd.Timestamp , optional ) – The start datetime query filter.
end ( pd.Timestamp , optional ) – The end datetime query filter.
open_only ( bool , default False ) – If the query is for open orders only.

Returns :

list[OrderStatusReport]

async generate_trade_reports ( instrument_id : InstrumentId = None , venue_order_id : VenueOrderId = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) → list [ nautilus_trader.execution.reports.TradeReport ] ¶

Generate a list of ` TradeReport`s with optional query filters.

The returned list may be empty if no trades match the given parameters.

Parameters :

instrument_id ( InstrumentId , optional ) – The instrument ID query filter.
venue_order_id ( VenueOrderId , optional ) – The venue order ID (assigned by the venue) query filter.
start ( pd.Timestamp , optional ) – The start datetime query filter.
end ( pd.Timestamp , optional ) – The end datetime query filter.

Returns :

list[TradeReport]

async generate_position_status_reports ( instrument_id : InstrumentId = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) → list [ nautilus_trader.execution.reports.PositionStatusReport ] ¶

Generate a list of ` PositionStatusReport`s with optional query filters.

The returned list may be empty if no positions match the given parameters.

Parameters :

instrument_id ( InstrumentId , optional ) – The instrument ID query filter.
start ( pd.Timestamp , optional ) – The start datetime query filter.
end ( pd.Timestamp , optional ) – The end datetime query filter.

Returns :

list[PositionStatusReport]

async check_account_currency ( ) ¶: Check account currency against BetfairClient

handle_order_stream_update ( raw : bytes ) → None ¶: Handle an update from the order stream socket

async wait_for_order ( venue_order_id : VenueOrderId , timeout_seconds = 10.0 ) → Optional [ ClientOrderId ] ¶

We may get an order update from the socket before our submit_order response has come back (with our betId).

As a precaution, wait up to timeout_seconds for the betId to be added to self.order_id_to_client_order_id .

account_id ¶

The clients account ID.

Returns :: AccountId or None

account_type ¶

The clients account type.

Returns :: AccountType

base_currency ¶

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

Returns :: Currency or None

cancel_all_orders ( self , CancelAllOrders command ) → void ¶

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

Parameters :: command ( CancelAllOrders ) – The command to execute.

cancel_order ( self , CancelOrder command ) → void ¶

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

Parameters :: command ( CancelOrder ) – The command to execute.

connect ( ) → None ¶: Connect the client.

create_task ( coro : Coroutine , log_msg : Optional [ str ] = None , actions : Optional [ Callable ] = None , success : Optional [ str ] = None ) → Task ¶

Run the given coroutine with error handling and optional callback actions when done.

Parameters :

coro ( Coroutine ) – The coroutine to run.
log_msg ( str , optional ) – The log message for the task.
actions ( Callable , optional ) – The actions callback to run when the coroutine is done.
success ( str , optional ) – The log message to write on actions success.

Returns :

asyncio.Task

degrade ( self ) → void ¶

Degrade the component.

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

Warning

Do not override.

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

disconnect ( ) → None ¶: Disconnect the client.

dispose ( self ) → void ¶

Dispose of the component.

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

Warning

Do not override.

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

fault ( self ) → void ¶

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

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

Warning

Do not override.

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

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the components class.

Returns :: str

References

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

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

Generate an AccountState event and publish on the message bus.

Parameters :

balances ( list [ AccountBalance ] ) – The account balances.
margins ( list [ MarginBalance ] ) – The margin balances.
reported ( bool ) – If the balances are reported directly from the exchange.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the account state event occurred.
info ( dict [ str , object ] ) – The additional implementation specific account information.

async generate_mass_status ( lookback_mins : Optional [ int ] = None ) → ExecutionMassStatus ¶

Generate an ExecutionMassStatus report.

Parameters :: lookback_mins ( int , optional ) – The maximum lookback for querying closed orders, trades and positions.
Returns :: ExecutionMassStatus

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

Generate an OrderAccepted event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order accepted event occurred.

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

Generate an OrderCancelRejected event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
reason ( str ) – The order cancel rejected reason.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

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

Generate an OrderCanceled event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when order canceled event occurred.

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

Generate an OrderExpired event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order expired event occurred.

generate_order_filled ( self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: Optional[PositionId], TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event ) → void ¶

Generate an OrderFilled event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
trade_id ( TradeId ) – The trade ID.
venue_position_id (PositionId, optional with no default so None must be passed explicitly) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.
order_side (OrderSide { BUY , SELL }) – The execution order side.
order_type ( OrderType ) – The execution order type.
last_qty ( Quantity ) – The fill quantity for this execution.
last_px ( Price ) – The fill price for this execution (not average price).
quote_currency ( Currency ) – The currency of the price.
commission ( Money ) – The fill commission.
liquidity_side (LiquiditySide { NO_LIQUIDITY_SIDE , MAKER , TAKER }) – The execution liquidity side.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order filled event occurred.

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

Generate an OrderModifyRejected event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
reason ( str ) – The order update rejected reason.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , unicode reason , uint64_t ts_event ) → void ¶

Generate an OrderRejected event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
reason ( datetime ) – The order rejected reason.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order rejected event occurred.

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

Generate an OrderSubmitted event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order submitted event occurred.

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

Generate an OrderTriggered event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order triggered event occurred.

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

Generate an OrderUpdated event and send it to the ExecutionEngine .

Parameters :

strategy_id ( StrategyId ) – The strategy ID associated with the event.
instrument_id ( InstrumentId ) – The instrument ID.
client_order_id ( ClientOrderId ) – The client order ID.
venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).
quantity ( Quantity ) – The orders current quantity.
price ( Price ) – The orders current price.
trigger_price (Price, optional with no default so None must be passed explicitly) – The orders current trigger price.
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order update event occurred.
venue_order_id_modified ( bool ) – If the ID was modified for this event.

get_account ( self ) → Account ¶

Return the account for the client (if registered).

Returns :: Account or None

id ¶

The components ID.

Returns :: ComponentId

is_connected ¶

If the client is connected.

Returns :: bool

is_degraded ¶

Return whether the current component state is DEGRADED .

Returns :: bool

is_disposed ¶

Return whether the current component state is DISPOSED .

Returns :: bool

is_faulted ¶

Return whether the current component state is FAULTED .

Returns :: bool

is_initialized ¶

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

Returns :: bool

is_running ¶

Return whether the current component state is RUNNING .

Returns :: bool

is_stopped ¶

Return whether the current component state is STOPPED .

Returns :: bool

modify_order ( self , ModifyOrder command ) → void ¶

Modify the order with parameters contained in the command.

Parameters :: command ( ModifyOrder ) – The command to execute.

oms_type ¶

The venues order management system type.

Returns :: OmsType

query_order ( self , QueryOrder command ) → void ¶

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

Parameters :: command ( QueryOrder ) – The command to execute.

reset ( self ) → void ¶

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) → void ¶

Resume the component.

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

Warning

Do not override.

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

async run_after_delay ( delay : float , coro : Coroutine ) → None ¶

Run the given coroutine after a delay.

Parameters :

delay ( float ) – The delay (seconds) before running the coroutine.
coro ( Coroutine ) – The coroutine to run after the initial delay.

start ( self ) → void ¶

Start the component.

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

Warning

Do not override.

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

state ¶

Return the components current state.

Returns :: ComponentState

stop ( self ) → void ¶

Stop the component.

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

Warning

Do not override.

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

submit_order ( self , SubmitOrder command ) → void ¶

Submit the order contained in the given command for execution.

Parameters :: command ( SubmitOrder ) – The command to execute.

submit_order_list ( self , SubmitOrderList command ) → void ¶

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

Parameters :: command ( SubmitOrderList ) – The command to execute.

trader_id ¶

The trader ID associated with the component.

Returns :: TraderId

type ¶

The components type.

Returns :: type

venue ¶

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

Returns :: Venue or None

Factories ¶

get_cached_betfair_client ( loop : AbstractEventLoop , logger : Logger , username : Optional [ str ] = None , password : Optional [ str ] = None , app_key : Optional [ str ] = None , cert_dir : Optional [ str ] = None ) → BetfairClient ¶

Cache and return a Betfair HTTP client with the given credentials.

If a cached client with matching credentials already exists, then that cached client will be returned.

Parameters :

loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
logger ( Logger ) – The logger for the client.
username ( str , optional ) – The API username for the client. If None then will source from the BETFAIR_USERNAME env var.
password ( str , optional ) – The API password for the client. If None then will source from the BETFAIR_PASSWORD env var.
app_key ( str , optional ) – The API application key for the client. If None then will source from the BETFAIR_APP_KEY env var.
cert_dir ( str , optional ) – The API SSL certificate directory for the client. If None then will source from the BETFAIR_CERT_DIR env var.

Returns :

BetfairClient

get_cached_betfair_instrument_provider ( client : BetfairClient , logger : Logger , market_filter : tuple ) → BetfairInstrumentProvider ¶

Cache and return a BetfairInstrumentProvider.

If a cached provider already exists, then that cached provider will be returned.

Parameters :

client ( BinanceHttpClient ) – The client for the instrument provider.
logger ( Logger ) – The logger for the instrument provider.
market_filter ( tuple ) – The market filter to load into the instrument provider.

Returns :

BinanceInstrumentProvider

class BetfairLiveDataClientFactory ¶

Bases: LiveDataClientFactory

Provides a Betfair live data client factory.

static create ( loop : AbstractEventLoop , name : str , config : BetfairDataClientConfig , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger ) ¶

Create a new Betfair data client.

Parameters :

loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
name ( str ) – The client name.
config ( dict [ str , Any ] ) – The configuration dictionary.
msgbus ( MessageBus ) – The message bus for the client.
cache ( Cache ) – The cache for the client.
clock ( LiveClock ) – The clock for the client.
logger ( Logger ) – The logger for the client.

Returns :

BetfairDataClient

class BetfairLiveExecClientFactory ¶

Bases: LiveExecClientFactory

Provides data and execution clients for Betfair.

static create ( loop : AbstractEventLoop , name : str , config : BetfairExecClientConfig , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger ) ¶

Create a new Betfair execution client.

Parameters :

loop ( asyncio.AbstractEventLoop ) – The event loop for the client.
name ( str ) – The client name.
config ( dict [ str , Any ] ) – The configuration for the client.
msgbus ( MessageBus ) – The message bus for the client.
cache ( Cache ) – The cache for the client.
clock ( LiveClock ) – The clock for the client.
logger ( Logger ) – The logger for the client.

Returns :

BetfairExecutionClient

Parsing ¶

Providers ¶

class BetfairInstrumentProvider ( client : Optional [ BetfairClient ] , logger : Logger , filters : Optional [ dict ] = None , config : Optional [ InstrumentProviderConfig ] = None ) ¶

Bases: InstrumentProvider

Provides a means of loading BettingInstruments from the Betfair APIClient.

Parameters :

client ( BetfairClient , optional ) – The client for the provider.
logger ( Logger ) – The logger for the provider.
config ( InstrumentProviderConfig , optional ) – The configuration for the provider.

async load_ids_async ( instrument_ids : list [ nautilus_trader.model.identifiers.InstrumentId ] , filters : Optional [ dict ] = None ) → None ¶

Load the instruments for the given IDs into the provider, optionally applying the given filters.

Parameters :

instrument_ids ( list [ InstrumentId ] ) – The instrument IDs to load.
filters ( dict , optional ) – The venue specific instrument loading filters to apply.

Raises :

ValueError – If any instrument_id.venue is not equal to self.venue .

async load_async ( instrument_id : InstrumentId , filters : Optional [ dict ] = None ) ¶

Load the instrument for the given ID into the provider asynchronously, optionally applying the given filters.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID to load.
filters ( dict , optional ) – The venue specific instrument loading filters to apply.

Raises :

ValueError – If instrument_id.venue is not equal to self.venue .

async load_all_async ( market_filter : Optional [ dict ] = None ) ¶: Load the latest instruments into the provider asynchronously, optionally applying the given filters.

load_markets ( market_filter : Optional [ dict ] = None ) ¶: Search for betfair markets. Useful for debugging / interactive use

search_instruments ( instrument_filter : Optional [ dict ] = None ) ¶: Search for instruments within the cache. Useful for debugging / interactive use

get_betting_instrument ( market_id : str , selection_id : str , handicap : str ) → BettingInstrument ¶: Return a betting instrument with performance friendly lookup.

add ( instrument : Instrument ) → None ¶

Add the given instrument to the provider.

Parameters :: instrument ( Instrument ) – The instrument to add.

add_bulk ( instruments : list [ nautilus_trader.model.instruments.base.Instrument ] ) → None ¶

Add the given instruments bulk to the provider.

Parameters :: instruments ( list [ Instrument ] ) – The instruments to add.

add_currency ( currency : Currency ) → None ¶

Add the given currency to the provider.

Parameters :: currency ( Currency ) – The currency to add.

property count : int ¶

Return the count of instruments held by the provider.

Returns :: int

currencies ( ) → dict [ str , nautilus_trader.model.currency.Currency ] ¶

Return all currencies held by the instrument provider.

Returns :: dict[str, Currency]

currency ( code : str ) → Optional [ Currency ] ¶

Return the currency with the given code (if found).

Parameters :: code ( str ) – The currency code.
Returns :: Currency or None
Raises :: ValueError – If code is not a valid string.

find ( instrument_id : InstrumentId ) → Optional [ Instrument ] ¶

Return the instrument for the given instrument ID (if found).

Parameters :: instrument_id ( InstrumentId ) – The ID for the instrument
Returns :: Instrument or None

get_all ( ) → dict [ nautilus_trader.model.identifiers.InstrumentId , nautilus_trader.model.instruments.base.Instrument ] ¶

Return all loaded instruments as a map keyed by instrument ID.

If no instruments loaded, will return an empty dict.

Returns :: dict[InstrumentId, Instrument]

async initialize ( ) → None ¶

Initialize the instrument provider.

If initialize() then will immediately return.

list_all ( ) → list [ nautilus_trader.model.instruments.base.Instrument ] ¶

Return all loaded instruments.

Returns :: list[Instrument]

load ( instrument_id : InstrumentId , filters : Optional [ dict ] = None ) ¶

Load the instrument for the given ID into the provider, optionally applying the given filters.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID to load.
filters ( dict , optional ) – The venue specific instrument loading filters to apply.

load_all ( filters : Optional [ dict ] = None ) → None ¶

Load the latest instruments into the provider, optionally applying the given filters.

Parameters :: filters ( dict , optional ) – The venue specific instrument loading filters to apply.

load_ids ( instrument_ids : list [ nautilus_trader.model.identifiers.InstrumentId ] , filters : Optional [ dict ] = None ) ¶

Load the instruments for the given IDs into the provider, optionally applying the given filters.

Parameters :

instrument_ids ( list [ InstrumentId ] ) – The instrument IDs to load.
filters ( dict , optional ) – The venue specific instrument loading filters to apply.

property venue : Venue ¶

Return the providers venue.

Returns :: Venue

Sockets ¶

class BetfairStreamClient ( client : BetfairClient , logger_adapter : LoggerAdapter , message_handler , loop : Optional [ AbstractEventLoop ] = None , host : Optional [ str ] = None , port : Optional [ int ] = None , crlf : Optional [ bytes ] = None , encoding : Optional [ str ] = None ) ¶

Bases: SocketClient

Provides a streaming client for Betfair .

async connect ( self ) ¶

async disconnect ( self ) ¶

host ¶

The host for the socket client.

Returns :: str

is_connected ¶

If the client is connected.

Returns :: bool

is_running ¶

If the client is running.

Returns :: bool

is_stopping ¶

If the client is stopping.

Returns :: bool

port ¶

The port for the socket client.

Returns :: int

async post_connection ( self ) ¶: The actions to perform post-connection. i.e. sending further connection messages.

async post_disconnection ( self ) → None ¶: Actions to be performed post disconnection.

async post_reconnection ( self ) → None ¶: Actions to be performed post reconnection.

async reconnect ( self ) ¶

async send ( self , bytes raw ) ¶

ssl ¶

If the socket client is using SSL.

Returns :: bool

async start ( self ) ¶

class BetfairOrderStreamClient ( client : BetfairClient , logger : Logger , message_handler , partition_matched_by_strategy_ref : bool = True , include_overall_position : Optional [ str ] = None , customer_strategy_refs : Optional [ str ] = None , ** kwargs ) ¶

Bases: BetfairStreamClient

Provides an order stream client for Betfair .

async post_connection ( self ) ¶: The actions to perform post-connection. i.e. sending further connection messages.

async connect ( self ) ¶

async disconnect ( self ) ¶

host ¶

The host for the socket client.

Returns :: str

is_connected ¶

If the client is connected.

Returns :: bool

is_running ¶

If the client is running.

Returns :: bool

is_stopping ¶

If the client is stopping.

Returns :: bool

port ¶

The port for the socket client.

Returns :: int

async post_disconnection ( self ) → None ¶: Actions to be performed post disconnection.

async post_reconnection ( self ) → None ¶: Actions to be performed post reconnection.

async reconnect ( self ) ¶

async send ( self , bytes raw ) ¶

ssl ¶

If the socket client is using SSL.

Returns :: bool

async start ( self ) ¶

class BetfairMarketStreamClient ( client : BetfairClient , logger : Logger , message_handler : Callable , ** kwargs ) ¶

Bases: BetfairStreamClient

Provides a Betfair market stream client.

async post_connection ( self ) ¶: The actions to perform post-connection. i.e. sending further connection messages.

async connect ( self ) ¶

async disconnect ( self ) ¶

host ¶

The host for the socket client.

Returns :: str

is_connected ¶

If the client is connected.

Returns :: bool

is_running ¶

If the client is running.

Returns :: bool

is_stopping ¶

If the client is stopping.

Returns :: bool

port ¶

The port for the socket client.

Returns :: int

async post_disconnection ( self ) → None ¶: Actions to be performed post disconnection.

async post_reconnection ( self ) → None ¶: Actions to be performed post reconnection.

async reconnect ( self ) ¶

async send ( self , bytes raw ) ¶

ssl ¶

If the socket client is using SSL.

Returns :: bool

async start ( self ) ¶

Betfair ¶

Data ¶

Data Types ¶

Execution ¶

Factories ¶

Parsing ¶

Providers ¶

Sockets ¶

Utility ¶