Backtest

The backtest subpackage groups components relating to backtesting.

default_auction_match ( left : Ladder , right : Ladder ) → tuple [ list , list ]

Match bid/ask Ladders as default auction match function.

volume_traded_at_price ( ladder : Ladder , price : float , side : OrderSide ) → float

Determine the total volume available to trade in ladder up to a certain price .

find_trades_for_volume ( ladder : Ladder , target_volume : float ) → list [ nautilus_trader.model.orderbook.data.BookOrder ]

Assuming target_volume size has traded, find all trades up to that volume.

This module provides a data client for backtesting.

class BacktestDataClient ( ClientId client_id , MessageBus msgbus , Cache cache , Clock clock , Logger logger , dict config=None )

Bases: DataClient

Provides an implementation of DataClient for backtesting.

Parameters :

• client_id ( ClientId ) – The data client ID.

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

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

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

• logger ( Logger ) – The logger for the client.

• config ( dict [ str , object ] , optional ) – The configuration for the instance.

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.

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

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.

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

subscribed_generic_data ( self ) → list

Return the generic data types subscribed to.

Returns :

list[DataType]

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

unsubscribe ( self , DataType data_type ) → void

venue

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

Returns :

Venue or None

class BacktestMarketDataClient ( ClientId client_id , MessageBus msgbus , Cache cache , Clock clock , Logger logger )

Bases: MarketDataClient

Provides an implementation of MarketDataClient for backtesting.

Parameters :

• client_id ( ClientId ) – The data client ID.

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

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

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

• logger ( Logger ) – The logger for the client.

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.

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: Optional[datetime] = None , datetime end: Optional[datetime] = None ) → void

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

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

request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start: Optional[datetime] = None , datetime end: Optional[datetime] = None ) → void

request_trade_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start: Optional[datetime] = None , datetime end: Optional[datetime] = None ) → void

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.

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_instrument ( self , InstrumentId instrument_id ) → void

subscribe_instrument_close ( self , InstrumentId instrument_id ) → void

subscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void

subscribe_instruments ( self ) → void

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

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

subscribe_quote_ticks ( self , InstrumentId instrument_id ) → void

subscribe_ticker ( self , InstrumentId instrument_id ) → void

subscribe_trade_ticks ( self , InstrumentId instrument_id ) → void

subscribe_venue_status_updates ( self , Venue venue ) → void

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_instrument ( self , InstrumentId instrument_id ) → void

unsubscribe_instrument_close ( self , InstrumentId instrument_id ) → void

unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void

unsubscribe_instruments ( self ) → void

unsubscribe_order_book_deltas ( self , InstrumentId instrument_id ) → void

unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id ) → void

unsubscribe_quote_ticks ( self , InstrumentId instrument_id ) → void

unsubscribe_ticker ( self , InstrumentId instrument_id ) → void

unsubscribe_trade_ticks ( self , InstrumentId instrument_id ) → void

unsubscribe_venue_status_updates ( self , Venue venue ) → void

venue

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

Returns :

Venue or None

class BacktestEngine ( config : Optional [ BacktestEngineConfig ] = None )

Bases: object

Provides a backtest engine to run a portfolio of strategies over historical data.

Parameters :

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

Raises :

TypeError – If config is not of type BacktestEngineConfig .

add_actor ( self , Actor actor: Actor ) → None

Add the given actor to the backtest engine.

Parameters :

actor ( Actor ) – The actor to add.

add_actors ( self, list actors: list[Actor] ) → None

Add the given list of actors to the backtest engine.

Parameters :

actors ( list [ Actor ] ) – The actors to add.

add_data ( self , list data , ClientId client_id=None ) → None

Add the given data to the backtest engine.

Parameters :

• data ( list [ Data ] ) – The data to add.

• client_id ( ClientId , optional ) – The data client ID to associate with generic data.

Raises :

• ValueError – If data is empty.

• ValueError – If data contains objects which are not a type of Data .

• ValueError – If instrument_id for the data is not found in the cache.

• ValueError – If data elements do not have an instrument_id and client_id is None .

Warning

Assumes all data elements are of the same type. Adding lists of varying data types could result in incorrect backtest logic.

add_instrument ( self , Instrument instrument ) → None

Add the instrument to the backtest engine.

The instrument must be valid for its associated venue. For instance, derivative instruments which would trade on margin cannot be added to a venue with a CASH account.

Parameters :

instrument ( Instrument ) – The instrument to add.

Raises :

• InvalidConfiguration – If the venue for the instrument has not been added to the engine.

• InvalidConfiguration – If instrument is not valid for its associated venue.

add_strategies ( self, list strategies: list[Strategy] ) → None

Add the given list of strategies to the backtest engine.

Parameters :

strategies ( list [ Strategy ] ) – The strategies to add.

add_strategy ( self , Strategy strategy: Strategy ) → None

Add the given strategy to the backtest engine.

Parameters :

strategy ( Strategy ) – The strategy to add.

add_venue ( self, Venue venue: Venue, OmsType oms_type: OmsType, AccountType account_type: AccountType, list starting_balances: list[Money], Currency base_currency: Optional[Currency] = None, default_leverage: Optional[Decimal] = None, dict leverages: Optional[dict[InstrumentId, Decimal]] = None, list modules: Optional[list[SimulationModule]] = None, FillModel fill_model: Optional[FillModel] = None, LatencyModel latency_model: Optional[LatencyModel] = None, BookType book_type: BookType = BookType.L1_TBBO, routing: bool = False, frozen_account: bool = False, reject_stop_orders: bool = True, support_gtd_orders: bool = True ) → None

Add a SimulatedExchange with the given parameters to the backtest engine.

Parameters :

• venue ( Venue ) – The venue ID.

• oms_type (OmsType { HEDGING , NETTING }) – The order management system type for the exchange. If HEDGING will generate new position IDs.

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

• starting_balances ( list [ Money ] ) – The starting account balances (specify one for a single asset account).

• base_currency ( Currency , optional ) – The account base currency for the client. Use None for multi-currency accounts.

• default_leverage ( Decimal , optional ) – The account default leverage (for margin accounts).

• leverages ( dict [ InstrumentId , Decimal ] , optional ) – The instrument specific leverage configuration (for margin accounts).

• modules ( list [ SimulationModule ] , optional ) – The simulation modules to load into the exchange.

• fill_model ( FillModel , optional ) – The fill model for the exchange.

• latency_model ( LatencyModel , optional ) – The latency model for the exchange.

• book_type (BookType, default BookType.L1_TBBO ) – The default order book type for fill modelling.

• routing ( bool , default False ) – If multi-venue routing should be enabled for the execution client.

• frozen_account ( bool , default False ) – If the account for this exchange is frozen (balances will not change).

• reject_stop_orders ( bool , default True ) – If stop orders are rejected on submission if trigger price is in the market.

• support_gtd_orders ( bool , default True ) – If orders with GTD time in force will be supported by the venue.

Raises :

ValueError – If venue is already registered with the engine.

backtest_end

Return the last backtest run time range end (if run).

Returns :

datetime or None

backtest_start

Return the last backtest run time range start (if run).

Returns :

datetime or None

cache

Return the engines internal read-only cache.

Returns :

CacheFacade

change_fill_model ( self , Venue venue , FillModel model ) → None

Change the fill model for the exchange of the given venue.

Parameters :

• venue ( Venue ) – The venue of the simulated exchange.

• model ( FillModel ) – The fill model to change to.

clear_data ( self ) → None

Clear the engines internal data stream.

Does not clear added instruments.

data

Return the engines internal data stream.

Returns :

list[Data]

dispose ( self ) → None

Dispose of the backtest engine by disposing the trader and releasing system resources.

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

dump_pickled_data ( self ) → bytes

Return the internal data stream pickled.

Returns :

bytes

end ( self )

Manually end the backtest.

Notes

Only required if you have previously been running with streaming.

get_result ( self )

Return the backtest result from the last run.

Returns :

BacktestResult

instance_id

Return the engines instance ID.

This is a unique identifier per initialized engine.

Returns :

UUID4

iteration

Return the backtest engine iteration count.

Returns :

int

kernel

Return the internal kernel for the engine.

Returns :

NautilusKernel

list_venues ( self ) → list [ Venue ]

Return the venues contained within the engine.

Returns :

list[Venue]

load_pickled_data ( self , bytes data ) → None

Load the given pickled data directly into the internal data stream.

It is highly advised to only pass data to this method which was obtained through a call to .dump_pickled_data() .

Warning

This low-level direct access method makes the following assumptions:

• The data contains valid Nautilus objects only, which inherit from Data .

• The data was successfully pickled from a call to pickle.dumps() .

• The data was sorted prior to pickling.

• All required instruments have been added to the engine.

machine_id

Return the engines machine ID.

Returns :

str

portfolio

Return the engines internal read-only portfolio.

Returns :

PortfolioFacade

reset ( self ) → None

Reset the backtest engine.

All stateful fields are reset to their initial value.

run ( self , start: Optional[Union[datetime , str , int]] = None , end: Optional[Union[datetime , str , int]] = None , unicode run_config_id: Optional[str] = None , streaming: bool = False ) → None

Run a backtest.

At the end of the run the trader and strategies will be stopped, then post-run analysis performed.

If more data than can fit in memory is to be run through the backtest engine, then streaming mode can be utilized. The expected sequence is as follows:

• Add initial data batch and strategies.

• Call run(streaming=True) .

• Call clear_data() .

• Add next batch of data stream.

• Call either run(streaming=False) or end() . When there is no more data to run on.

Parameters :

• start ( Union [ datetime , str , int ] , optional ) – The start datetime (UTC) for the backtest run. If None engine runs from the start of the data.

• end ( Union [ datetime , str , int ] , optional ) – The end datetime (UTC) for the backtest run. If None engine runs to the end of the data.

• run_config_id ( str , optional ) – The tokenized BacktestRunConfig ID.

• streaming ( bool , default False ) – If running in streaming mode. If False then will end the backtest following the run iterations.

Raises :

• ValueError – If no data has been added to the engine.

• ValueError – If the start is >= the end datetime.

run_config_id

Return the last backtest engine run config ID.

Returns :

str or None

run_finished

Return when the last backtest run finished (if run).

Returns :

datetime or None

run_id

Return the last backtest engine run ID (if run).

Returns :

UUID4 or None

run_started

Return when the last backtest run started (if run).

Returns :

datetime or None

trader

Return the engines internal trader.

Returns :

Trader

trader_id

Return the engines trader ID.

Returns :

TraderId

class SimulatedExchange ( Venue venue, OmsType oms_type, AccountType account_type, list starting_balances, Currency base_currency: Optional[Currency], default_leverage: Decimal, dict leverages: dict[InstrumentId, Decimal], list instruments, list modules, MessageBus msgbus, CacheFacade cache, TestClock clock, Logger logger, FillModel fill_model, LatencyModel latency_model=None, BookType book_type=BookType.L1_TBBO, bool frozen_account=False, bool reject_stop_orders=True, bool support_gtd_orders=True )

Bases: object

Provides a simulated financial market exchange.

Parameters :

• venue ( Venue ) – The venue to simulate.

• oms_type (OmsType { HEDGING , NETTING }) – The order management system type used by the exchange.

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

• starting_balances ( list [ Money ] ) – The starting balances for the exchange.

• base_currency ( Currency , optional ) – The account base currency for the client. Use None for multi-currency accounts.

• default_leverage ( Decimal ) – The account default leverage (for margin accounts).

• leverages ( dict [ InstrumentId , Decimal ] ) – The instrument specific leverage configuration (for margin accounts).

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

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

• fill_model ( FillModel ) – The fill model for the exchange.

• latency_model ( LatencyModel , optional ) – The latency model for the exchange.

• clock ( TestClock ) – The clock for the exchange.

• logger ( Logger ) – The logger for the exchange.

• book_type ( BookType ) – The order book type for the exchange.

• frozen_account ( bool , default False ) – If the account for this exchange is frozen (balances will not change).

• reject_stop_orders ( bool , default True ) – If stop orders are rejected on submission if in the market.

• support_gtd_orders ( bool , default True ) – If orders with GTD time in force will be supported by the venue.

Raises :

• ValueError – If instruments is empty.

• ValueError – If instruments contains a type other than Instrument .

• ValueError – If starting_balances is empty.

• ValueError – If starting_balances contains a type other than Money .

• ValueError – If base_currency and multiple starting balances.

• ValueError – If modules contains a type other than SimulationModule .

account_type

The account base currency.

Returns :

AccountType

add_instrument ( self , Instrument instrument ) → void

Add the given instrument to the venue.

Parameters :

instrument ( Instrument ) – The instrument to add.

Raises :

• ValueError – If instrument.id.venue is not equal to the venue ID.

• KeyError – If instrument is already contained within the venue. This is to enforce correct internal identifier indexing.

• InvalidConfiguration – If instrument is invalid for this venue.

adjust_account ( self , Money adjustment ) → void

Adjust the account at the exchange with the given adjustment.

Parameters :

adjustment ( Money ) – The adjustment for the account.

base_currency

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

Returns :

Currency or None

best_ask_price ( self , InstrumentId instrument_id ) → Price

Return the best ask price for the given instrument ID (if found).

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the price.

Returns :

Price or None

best_bid_price ( self , InstrumentId instrument_id ) → Price

Return the best bid price for the given instrument ID (if found).

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the price.

Returns :

Price or None

book_type

The exchange default order book type.

Returns :

BookType

cache

The cache wired to the exchange.

Returns :

CacheFacade

default_leverage

The accounts default leverage.

Returns :

Decimal

exec_client

The execution client wired to the exchange.

Returns :

BacktestExecClient

fill_model

The fill model for the exchange.

Returns :

FillModel

get_account ( self ) → Account

Return the account for the registered client (if registered).

Returns :

Account or None

get_book ( self , InstrumentId instrument_id ) → OrderBook

Return the order book for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the price.

Returns :

OrderBook or None

get_books ( self ) → dict

Return all order books within the exchange.

Returns :

dict[InstrumentId, OrderBook]

get_matching_engine ( self , InstrumentId instrument_id ) → OrderMatchingEngine

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

Parameters :

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

Returns :

OrderMatchingEngine or None

get_matching_engines ( self ) → dict

Return all matching engines for the exchange (for every instrument).

Returns :

dict[InstrumentId, OrderMatchingEngine]

get_open_ask_orders ( self , InstrumentId instrument_id=None ) → list

Return the open ask orders at the exchange.

Parameters :

instrument_id ( InstrumentId , optional ) – The instrument_id query filter.

Returns :

list[Order]

get_open_bid_orders ( self , InstrumentId instrument_id=None ) → list

Return the open bid orders at the exchange.

Parameters :

instrument_id ( InstrumentId , optional ) – The instrument_id query filter.

Returns :

list[Order]

get_open_orders ( self , InstrumentId instrument_id=None ) → list

Return the open orders at the exchange.

Parameters :

instrument_id ( InstrumentId , optional ) – The instrument_id query filter.

Returns :

list[Order]

id

The exchange ID.

Returns :

Venue

initialize_account ( self ) → void

Initialize the account to the starting balances.

instruments

The exchange instruments.

Returns :

dict[InstrumentId, Instrument]

is_frozen_account

If the account for the exchange is frozen.

Returns :

bool

latency_model

The latency model for the exchange.

Returns :

LatencyModel

leverages

The accounts instrument specific leverage configuration.

Returns :

dict[InstrumentId, Decimal]

modules

The simulation modules registered with the exchange.

Returns :

list[SimulationModule]

msgbus

The message bus wired to the exchange.

Returns :

MessageBus

oms_type

The exchange order management system type.

Returns :

OmsType

process ( self , uint64_t now_ns ) → void

Process the exchange to the gives time.

All pending commands will be processed along with all simulation modules.

Parameters :

now_ns ( uint64_t ) – The UNIX timestamp (nanoseconds) now.

process_bar ( self , Bar bar ) → void

Process the exchanges market for the given bar.

Market dynamics are simulated by auctioning open orders.

Parameters :

bar ( Bar ) – The bar to process.

process_instrument_status ( self , InstrumentStatusUpdate update ) → void

Process a specific instrument status.

Parameters :

update ( VenueStatusUpdate ) – The status to process.

process_order_book ( self , OrderBookData data ) → void

Process the exchanges market for the given order book data.

Parameters :

data ( OrderBookData ) – The order book data to process.

process_quote_tick ( self , QuoteTick tick ) → void

Process the exchanges market for the given quote tick.

Market dynamics are simulated by auctioning open orders.

Parameters :

tick ( QuoteTick ) – The tick to process.

process_trade_tick ( self , TradeTick tick ) → void

Process the exchanges market for the given trade tick.

Market dynamics are simulated by auctioning open orders.

Parameters :

tick ( TradeTick ) – The tick to process.

process_venue_status ( self , VenueStatusUpdate update ) → void

Process the exchange for the given status.

Parameters :

update ( VenueStatusUpdate ) – The status to process.

register_client ( self , BacktestExecClient client ) → void

Register the given execution client with the simulated exchange.

Parameters :

client ( BacktestExecClient ) – The client to register

reject_stop_orders

If stop orders are rejected on submission if in the market.

Returns :

bool

reset ( self ) → void

Reset the simulated exchange.

All stateful fields are reset to their initial value.

send ( self , TradingCommand command ) → void

Send the given trading command into the exchange.

Parameters :

command ( TradingCommand ) – The command to send.

set_fill_model ( self , FillModel fill_model ) → void

Set the fill model for all matching engines.

Parameters :

fill_model ( FillModel ) – The fill model to set.

set_latency_model ( self , LatencyModel latency_model ) → void

Change the latency model for this exchange.

Parameters :

latency_model ( LatencyModel ) – The latency model to set.

starting_balances

The account starting balances for each backtest run.

Returns :

bool

support_gtd_orders

If orders with GTD time in force will be supported by the venue.

Returns :

bool

class BacktestExecClient ( SimulatedExchange exchange , MessageBus msgbus , Cache cache , TestClock clock , Logger logger , bool routing=False , bool frozen_account=False )

Bases: ExecutionClient

Provides an execution client for the BacktestEngine .

Parameters :

• exchange ( SimulatedExchange ) – The simulated exchange for the backtest.

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

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

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

• logger ( Logger ) – The logger for the client.

• routing ( bool ) – If multi-venue routing is enabled for the client.

• frozen_account ( bool ) – If the backtest run account is frozen.

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_order ( self , CancelOrder command ) → void

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.

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.

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

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.

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_order_list ( self , SubmitOrderList command ) → void

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

venue

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

Returns :

Venue or None

class FillModel ( double prob_fill_on_limit=1.0 , double prob_fill_on_stop=1.0 , double prob_slippage=0.0 , int random_seed: Optional[int] = None )

Bases: object

Provides probabilistic modeling for order fill dynamics including probability of fills and slippage by order type.

Parameters :

• prob_fill_on_limit ( double ) – The probability of limit order filling if the market rests on its price.

• prob_fill_on_stop ( double ) – The probability of stop orders filling if the market rests on its price.

• prob_slippage ( double ) – The probability of order fill prices slipping by one tick.

• random_seed ( int , optional ) – The random seed (if None then no random seed).

Raises :

• ValueError – If any probability argument is not within range [0, 1].

• TypeError – If random_seed is not None and not of type int .

is_limit_filled ( self ) → bool

Return a value indicating whether a LIMIT order filled.

Returns :

bool

is_slipped ( self ) → bool

Return a value indicating whether an order fill slipped.

Returns :

bool

is_stop_filled ( self ) → bool

Return a value indicating whether a STOP-MARKET order filled.

Returns :

bool

prob_fill_on_limit

The probability of limit orders filling on the limit price.

Returns :

bool

prob_fill_on_stop

The probability of stop orders filling on the stop price.

Returns :

bool

prob_slippage

The probability of aggressive order execution slipping.

Returns :

bool

class LatencyModel ( uint64_t base_latency_nanos=NANOSECONDS_IN_MILLISECOND , uint64_t insert_latency_nanos=0 , uint64_t update_latency_nanos=0 , uint64_t cancel_latency_nanos=0 )

Bases: object

Provides a latency model for simulated exchange message I/O.

Parameters :

• base_latency_nanos ( int , default 1_000_000_000 ) – The base latency (nanoseconds) for the model.

• insert_latency_nanos ( int , default 0 ) – The order insert latency (nanoseconds) for the model.

• update_latency_nanos ( int , default 0 ) – The order update latency (nanoseconds) for the model.

• cancel_latency_nanos ( int , default 0 ) – The order cancel latency (nanoseconds) for the model.

Raises :

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

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

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

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

base_latency_nanos

The default latency to the exchange.

Returns :

int

cancel_latency_nanos

The latency (nanoseconds) for order cancel messages to reach the exchange.

Returns :

int

insert_latency_nanos

The latency (nanoseconds) for order insert messages to reach the exchange.

Returns :

int

update_latency_nanos

The latency (nanoseconds) for order update messages to reach the exchange.

Returns :

int

class FXRolloverInterestConfig ( rate_data : DataFrame , * , component_id : Optional [ str ] = None )

Bases: ActorConfig

Provides an FX rollover interest simulation module.

Parameters :

rate_data ( pd.DataFrame ) – The interest rate data for the internal rollover interest calculator.

dict ( ) → dict [ str , Any ]

Return a dictionary representation of the configuration.

Returns :

dict[str, Any]

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the NautilusConfig class.

Returns :

str

References

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

json ( ) → bytes

Return serialized JSON encoded bytes.

Returns :

bytes

classmethod parse ( raw : bytes ) → Any

Return a decoded object of the given cls .

Parameters :

• cls ( type ) – The type to decode to.

• raw ( bytes ) – The raw bytes to decode.

Returns :

Any

validate ( ) → bool

Return whether the configuration can be represented as valid JSON.

Returns :

bool

class FXRolloverInterestModule ( config : FXRolloverInterestConfig )

Bases: SimulationModule

Provides an FX rollover interest simulation module.

Parameters :

config ( FXRolloverInterestConfig ) –

cache

The read-only cache for the actor.

Returns :

CacheFacade

clock

The actors clock.

Returns :

Clock

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.

deregister_warning_event ( self , type event ) → void

Deregister the given event type from warning log levels.

Parameters :

event ( type ) – The event class to deregister.

dispose ( self ) → void

Dispose of the component.

While executing on_dispose() , any exception will be logged and reraised. 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/

handle_bar ( self , Bar bar ) → void

Handle the given bar data.

If state is RUNNING then passes to on_bar .

Parameters :

bar ( Bar ) – The bar received.

Warning

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

handle_bars ( self , list bars ) → void

Handle the given historical bar data by handling each bar individually.

Parameters :

bars ( list [ Bar ] ) – The bars to handle.

Warning

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

handle_data ( self , Data data ) → void

Handle the given data.

If state is RUNNING then passes to on_data .

Parameters :

data ( Data ) – The data received.

Warning

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

handle_event ( self , Event event ) → void

Handle the given event.

If state is RUNNING then passes to on_event .

Parameters :

event ( Event ) – The event received.

Warning

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

handle_historical_data ( self , Data data ) → void

Handle the given historical data.

If state is RUNNING then passes to on_historical_data .

Parameters :

data ( Data ) – The historical data received.

Warning

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

handle_instrument ( self , Instrument instrument ) → void

Handle the given instrument.

Passes to on_instrument if state is RUNNING .

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

handle_instrument_close ( self , InstrumentClose update ) → void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close .

Parameters :

update ( InstrumentClose ) – The update received.

Warning

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

handle_instrument_status_update ( self , InstrumentStatusUpdate update ) → void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status_update .

Parameters :

update ( InstrumentStatusUpdate ) – The update received.

Warning

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

handle_instruments ( self , list instruments ) → void

Handle the given instruments data by handling each instrument individually.

Parameters :

instruments ( list [ Instrument ] ) – The instruments received.

Warning

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

handle_order_book ( self , OrderBook order_book ) → void

Handle the given order book snapshot.

Passes to on_order_book if state is RUNNING .

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

handle_order_book_delta ( self , OrderBookData delta ) → void

Handle the given order book data.

Passes to on_order_book_delta if state is RUNNING .

Parameters :

delta ( OrderBookDelta , OrderBookDeltas , OrderBookSnapshot ) – The order book delta received.

Warning

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

handle_quote_tick ( self , QuoteTick tick ) → void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick .

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

handle_quote_ticks ( self , list ticks ) → void

Handle the given historical quote tick data by handling each tick individually.

Parameters :

ticks ( list [ QuoteTick ] ) – The ticks received.

Warning

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

handle_ticker ( self , Ticker ticker ) → void

Handle the given ticker.

If state is RUNNING then passes to on_ticker .

Parameters :

ticker ( Ticker ) – The ticker received.

Warning

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

handle_trade_tick ( self , TradeTick tick ) → void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick .

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

handle_trade_ticks ( self , list ticks ) → void

Handle the given tick data by handling each tick individually.

Parameters :

ticks ( list [ TradeTick ] ) – The ticks received.

Warning

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

handle_venue_status_update ( self , VenueStatusUpdate update ) → void

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status_update .

Parameters :

update ( VenueStatusUpdate ) – The update received.

Warning

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

id

The components ID.

Returns :

ComponentId

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

load ( self , dict state ) → void

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

Calls on_load and passes the state.

Parameters :

state ( dict [ str , object ] ) – The state dictionary.

Raises :

RuntimeError – If actor/strategy is not registered with a trader.

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns :

LoggerAdapter

log_diagnostics ( self , LoggerAdapter log ) → void

Log diagnostics out to the BacktestEngine logger.

Parameters :

log ( LoggerAdapter ) – The logger to log to.

msgbus

The message bus for the actor (if registered).

Returns :

MessageBus or None

on_bar ( self , Bar bar ) → void

Actions to be performed when running and receives a bar.

Parameters :

bar ( Bar ) – The bar received.

Warning

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

on_data ( self , Data data ) → void

Actions to be performed when running and receives generic data.

Parameters :

data ( Data ) – The data received.

Warning

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

on_degrade ( self ) → void

Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose ( self ) → void

Actions to be performed on dispose.

Cleanup/release any resources used here.

Warning

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

on_event ( self , Event event ) → void

Actions to be performed running and receives an event.

Parameters :

event ( Event ) – The event received.

Warning

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

on_fault ( self ) → void

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_historical_data ( self , Data data ) → void

Actions to be performed when running and receives historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

on_instrument ( self , Instrument instrument ) → void

Actions to be performed when running and receives an instrument.

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

on_instrument_close ( self , InstrumentClose update ) → void

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

Parameters :

update ( InstrumentClose ) – The update received.

Warning

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

on_instrument_status_update ( self , InstrumentStatusUpdate update ) → void

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

Parameters :

update ( InstrumentStatusUpdate ) – The update received.

Warning

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

on_load ( self , dict state ) → void

Actions to be performed when the actor state is loaded.

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

Warning

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

on_order_book ( self , OrderBook order_book ) → void

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

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

on_order_book_delta ( self , OrderBookData delta ) → void

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

Parameters :

delta ( OrderBookDelta , OrderBookDeltas , OrderBookSnapshot ) – The order book delta received.

Warning

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

on_quote_tick ( self , QuoteTick tick ) → void

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

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

on_reset ( self ) → void

Actions to be performed on reset.

Warning

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

Should be overridden in a user implementation.

on_resume ( self ) → void

Actions to be performed on resume.

Warning

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

on_save ( self ) → dict

Actions to be performed when the actor state is saved.

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

Returns :

dict[str, bytes] – The strategy state dictionary.

Warning

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

on_start ( self ) → void

Actions to be performed on start.

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

It is recommended to subscribe/request for data here.

Warning

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

Should be overridden in a user implementation.

on_stop ( self ) → void

Actions to be performed on stop.

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

Warning

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

Should be overridden in a user implementation.

on_ticker ( self , Ticker ticker ) → void

Actions to be performed when running and receives a ticker.

Parameters :

ticker ( Ticker ) – The ticker received.

Warning

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

on_trade_tick ( self , TradeTick tick ) → void

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

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

on_venue_status_update ( self , VenueStatusUpdate update ) → void

Actions to be performed when running and receives a venue status update.

Parameters :

update ( VenueStatusUpdate ) – The update received.

Warning

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

process ( self , uint64_t now_ns ) → void

Process the given tick through the module.

Parameters :

now_ns ( uint64_t ) – The current time in the simulated exchange.

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

Publish the given data to the message bus.

Parameters :

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

• data ( Data ) – The data to publish.

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

Publish the given value as a signal to the message bus. Optionally setup persistence for this signal .

Parameters :

• name ( str ) – The name of the signal being published.

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

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

register_base ( self , MessageBus msgbus , CacheFacade cache , Clock clock , Logger logger ) → void

Register with a trader.

Parameters :

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

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

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

• logger ( Logger ) – The logger for the actor.

Warning

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

register_venue ( self , SimulatedExchange exchange ) → void

Register the given simulated exchange with the module.

Parameters :

exchange ( SimulatedExchange ) – The exchange to register.

register_warning_event ( self , type event ) → void

Register the given event type for warning log levels.

Parameters :

event ( type ) – The event class to register.

request_bars ( self , BarType bar_type , datetime start=None , datetime end=None , ClientId client_id=None ) → void

Request historical Bar data.

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

Parameters :

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

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

• end ( datetime , optional ) – The end datetime (UTC) of request time range (inclusive). If None then will default to the current datetime (UTC).

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

Raises :

ValueError – If start is not less than end .

request_data ( self , ClientId client_id , DataType data_type ) → void

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

Parameters :

• client_id ( ClientId ) – The data client ID.

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

request_instrument ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Request Instrument data for the given instrument ID.

Parameters :

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

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

request_instruments ( self , Venue venue , ClientId client_id=None ) → void

Request all Instrument data for the given venue.

Parameters :

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

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

request_quote_ticks ( self , InstrumentId instrument_id , datetime start=None , datetime end=None , ClientId client_id=None ) → void

Request historical QuoteTick data.

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

Parameters :

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

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

• end ( datetime , optional ) – The end datetime (UTC) of request time range (inclusive). If None then will default to the current datetime (UTC).

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

Raises :

ValueError – If start is not less than end .

request_trade_ticks ( self , InstrumentId instrument_id , datetime start=None , datetime end=None , ClientId client_id=None ) → void

Request historical TradeTick data.

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

Parameters :

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

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

• end ( datetime , optional ) – The end datetime (UTC) of request time range (inclusive). If None then will default to the current datetime (UTC).

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

Raises :

ValueError – If start is not less than end .

reset ( self ) → void

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.

save ( self ) → dict

Return the actor/strategy state dictionary to be saved.

Calls on_save .

Raises :

RuntimeError – If actor/strategy is not registered with a trader.

Warning

Exceptions raised will be caught, logged, and reraised.

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_bars ( self , BarType bar_type , ClientId client_id=None ) → void

Subscribe to streaming Bar data for the given bar type.

Parameters :

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

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

subscribe_data ( self , DataType data_type , ClientId client_id=None ) → void

Subscribe to data of the given data type.

Parameters :

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

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

subscribe_instrument ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Subscribe to update Instrument data for the given instrument ID.

Parameters :

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

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

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

Subscribe to close updates for the given instrument ID.

Parameters :

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

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

subscribe_instrument_status_updates ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Subscribe to status updates for the given instrument ID.

Parameters :

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

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

subscribe_instruments ( self , Venue venue , ClientId client_id=None ) → void

Subscribe to update Instrument data for the given venue.

Parameters :

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

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

subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type=BookType.L2_MBP , int depth=0 , dict kwargs=None , ClientId client_id=None ) → void

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

Parameters :

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

• book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.

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

• kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

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

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

Subscribe to OrderBook snapshots for the given instrument ID.

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

Parameters :

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

• book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.

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

• interval_ms ( int ) – The order book snapshot interval in milliseconds.

• kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

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

Raises :

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

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

subscribe_quote_ticks ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Subscribe to streaming QuoteTick data for the given instrument ID.

Parameters :

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

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

subscribe_ticker ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Subscribe to streaming Ticker data for the given instrument ID.

Parameters :

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

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

subscribe_trade_ticks ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Subscribe to streaming TradeTick data for the given instrument ID.

Parameters :

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

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

subscribe_venue_status_updates ( self , Venue venue , ClientId client_id=None ) → void

Subscribe to status updates for the given venue.

Parameters :

• venue ( Venue ) – The venue to subscribe to.

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

to_importable_config ( self ) → ImportableActorConfig

Returns an importable configuration for this actor.

Returns :

ImportableActorConfig

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

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

Unsubscribe from streaming Bar data for the given bar type.

Parameters :

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

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

unsubscribe_data ( self , DataType data_type , ClientId client_id=None ) → void

Unsubscribe from data of the given data type.

Parameters :

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

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

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

Unsubscribe from update Instrument data for the given instrument ID.

Parameters :

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

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

unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Unsubscribe to status updates of the given venue.

Parameters :

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

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

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

Unsubscribe from update Instrument data for the given venue.

Parameters :

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

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

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

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

Parameters :

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

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

unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id , int interval_ms=1000 , ClientId client_id=None ) → void

Unsubscribe from order book snapshots for the given instrument ID.

The interval must match the previously subscribed interval.

Parameters :

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

• interval_ms ( int ) – The order book snapshot interval in milliseconds.

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

unsubscribe_quote_ticks ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Unsubscribe from streaming QuoteTick data for the given instrument ID.

Parameters :

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

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

unsubscribe_ticker ( self , InstrumentId instrument_id , ClientId client_id=None ) → void

Unsubscribe from streaming Ticker data for the given instrument ID.

Parameters :

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

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

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

Parameters :

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

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

unsubscribe_venue_status_updates ( self , Venue venue , ClientId client_id=None ) → void

Unsubscribe to status updates for the given venue.

Parameters :

• venue ( Venue ) – The venue to unsubscribe from.

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

class SimulationModule ( config : SimulationModuleConfig )

Bases: Actor

The base class for all simulation modules.

Warning

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

cache

The read-only cache for the actor.

Returns :

CacheFacade

clock

The actors clock.

Returns :

Clock

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.

deregister_warning_event ( self , type event ) → void

Deregister the given event type from warning log levels.

Parameters :

event ( type ) – The event class to deregister.

dispose ( self ) → void

Dispose of the component.

While executing on_dispose() , any exception will be logged and reraised. 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/

handle_bar ( self , Bar bar ) → void

Handle the given bar data.

If state is RUNNING then passes to on_bar .

Parameters :

bar ( Bar ) – The bar received.

Warning

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

handle_bars ( self , list bars ) → void

Handle the given historical bar data by handling each bar individually.

Parameters :

bars ( list [ Bar ] ) – The bars to handle.

Warning

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

handle_data ( self , Data data ) → void

Handle the given data.

If state is RUNNING then passes to on_data .

Parameters :

data ( Data ) – The data received.

Warning

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

handle_event ( self , Event event ) → void

Handle the given event.

If state is RUNNING then passes to on_event .

Parameters :

event ( Event ) – The event received.

Warning

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

handle_historical_data ( self , Data data ) → void

Handle the given historical data.

If state is RUNNING then passes to on_historical_data .

Parameters :

data ( Data ) – The historical data received.

Warning

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

handle_instrument ( self , Instrument instrument ) → void

Handle the given instrument.

Passes to on_instrument if state is RUNNING .

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

handle_instrument_close ( self , InstrumentClose update ) → void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close .

Parameters :

update ( InstrumentClose ) – The update received.

Warning

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

handle_instrument_status_update ( self , InstrumentStatusUpdate update ) → void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status_update .

Parameters :

update ( InstrumentStatusUpdate ) – The update received.

Warning

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

handle_instruments ( self , list instruments ) → void

Handle the given instruments data by handling each instrument individually.

Parameters :

instruments ( list [ Instrument ] ) – The instruments received.

Warning

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

handle_order_book ( self , OrderBook order_book ) → void

Handle the given order book snapshot.

Passes to on_order_book if state is RUNNING .

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

handle_order_book_delta ( self , OrderBookData delta ) → void

Handle the given order book data.

Passes to on_order_book_delta if state is RUNNING .

Parameters :

delta ( OrderBookDelta , OrderBookDeltas , OrderBookSnapshot ) – The order book delta received.

Warning

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

handle_quote_tick ( self , QuoteTick tick ) → void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick .

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

handle_quote_ticks ( self , list ticks ) → void

Handle the given historical quote tick data by handling each tick individually.

Parameters :

ticks ( list [ QuoteTick ] ) – The ticks received.

Warning

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

handle_ticker ( self , Ticker ticker ) → void

Handle the given ticker.

If state is RUNNING then passes to on_ticker .

Parameters :

ticker ( Ticker ) – The ticker received.

Warning

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

handle_trade_tick ( self , TradeTick tick ) → void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick .

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

handle_trade_ticks ( self , list ticks ) → void

Handle the given tick data by handling each tick individually.

Parameters :

ticks ( list [ TradeTick ] ) – The ticks received.

Warning

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

handle_venue_status_update ( self , VenueStatusUpdate update ) → void

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status_update .

Parameters :

update ( VenueStatusUpdate ) – The update received.

Warning

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

id

The components ID.

Returns :

ComponentId

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

load ( self , dict state ) → void

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

Calls on_load and passes the state.

Parameters :

state ( dict [ str , object ] ) – The state dictionary.

Raises :

RuntimeError – If actor/strategy is not registered with a trader.

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns :

LoggerAdapter

log_diagnostics ( self , LoggerAdapter log ) → void

Abstract method (implement in subclass).

msgbus

The message bus for the actor (if registered).

Returns :

MessageBus or None