Execution ¶
The execution subpackage groups components relating to the execution stack for the platform.
The layered architecture of the execution stack somewhat mirrors the data stack with a central engine, cache layer beneath, database layer beneath, with alternative implementations able to be written on top.
Due to the high-performance, the core components are reusable between both backtest and live implementations - helping to ensure consistent logic for trading operations.
- class ExecutionClient ( ClientId client_id, Venue venue: Optional[Venue], OmsType oms_type, AccountType account_type, Currency base_currency: Optional[Currency], MessageBus msgbus, Cache cache, Clock clock, Logger logger, dict config=None ) ¶
-
Bases:
Component
The base class for all execution clients.
- Parameters :
-
-
client_id ( ClientId ) – The client ID.
-
venue (Venue, optional with no default so
None
must be passed explicitly) – The client venue. If multi-venue then can beNone
. -
oms_type ( OmsType ) – The venues order management system type.
-
account_type ( AccountType ) – The account type for the client.
-
base_currency (Currency, optional with no default so
None
must be passed explicitly) – The account base currency. UseNone
for multi-currency accounts. -
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.
-
- Raises :
-
-
ValueError – If client_id is not equal to account_id.get_issuer() .
-
ValueError – If oms_type is
UNSPECIFIED
(must be specified).
-
Warning
This class should not be used directly, but through a concrete subclass.
- 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.
- 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
- 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 passNone
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.
- 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
The ExecutionEngine is the central component of the entire execution stack.
The execution engines primary responsibility is to orchestrate interactions between the ExecutionClient instances, and the rest of the platform. This includes sending commands to, and receiving events from, the trading venue endpoints via its registered execution clients.
The engine employs a simple fan-in fan-out messaging pattern to execute TradingCommand messages, and process AccountState or OrderEvent type messages.
Alternative implementations can be written on top of the generic engine - which just need to override the execute and process methods.
- class ExecutionEngine ( MessageBus msgbus , Cache cache , Clock clock , Logger logger , config: Optional[ExecEngineConfig] = None ) ¶
-
Bases:
Component
Provides a high-performance execution engine for the management of many ExecutionClient instances, and the asynchronous ingest and distribution of trading commands and events.
- Parameters :
-
-
msgbus ( MessageBus ) – The message bus for the engine.
-
cache ( Cache ) – The cache for the engine.
-
clock ( Clock ) – The clock for the engine.
-
logger ( Logger ) – The logger for the engine.
-
config ( ExecEngineConfig , optional ) – The configuration for the instance.
-
- Raises :
-
TypeError – If config is not of type ExecEngineConfig .
- allow_cash_positions ¶
-
If unleveraged spot/cash assets should generate positions.
- Returns :
-
bool
- check_connected ( self ) bool ¶
-
Check all of the engines clients are connected.
- Returns :
-
bool – True if all clients connected, else False.
- check_disconnected ( self ) bool ¶
-
Check all of the engines clients are disconnected.
- Returns :
-
bool – True if all clients disconnected, else False.
- check_integrity ( self ) bool ¶
-
Check integrity of data within the cache and clients.
- Returns :
-
bool – True if checks pass, else False.
- check_residuals ( self ) bool ¶
-
Check for any residual open state and log warnings if found.
‘Open state’ is considered to be open orders and open positions.
- Returns :
-
bool – True if residuals exist, else False.
- command_count ¶
-
The total count of commands received by the engine.
- Returns :
-
int
- debug ¶
-
If debug mode is active (will provide extra debug logging).
- Returns :
-
bool
- default_client ¶
-
Return the default execution client registered with the engine.
- Returns :
-
Optional[ClientId]
- 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_client ( self , ExecutionClient client ) void ¶
-
Deregister the given execution client from the execution engine.
- Parameters :
-
client ( ExecutionClient ) – The execution client to deregister.
- Raises :
-
ValueError – If client is not registered with the execution engine.
- 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.
- event_count ¶
-
The total count of events received by the engine.
- Returns :
-
int
- execute ( self , TradingCommand command ) void ¶
-
Execute the given command.
- Parameters :
-
command ( TradingCommand ) – The command to execute.
- 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.
- flush_db ( self ) void ¶
-
Flush the execution database which permanently removes all persisted data.
Warning
Permanent data loss.
- classmethod fully_qualified_name ( type cls ) str ¶
-
Return the fully qualified name for the components class.
- Returns :
-
str
References
- 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_cache ( self ) void ¶
-
Load the cache up from the execution database.
- position_id_count ( self , StrategyId strategy_id ) int ¶
-
The position ID count for the given strategy ID.
- Parameters :
-
strategy_id ( StrategyId ) – The strategy ID for the position count.
- Returns :
-
int
- process ( self , OrderEvent event ) void ¶
-
Process the given order event.
- Parameters :
-
event ( OrderEvent ) – The order event to process.
- register_client ( self , ExecutionClient client ) void ¶
-
Register the given execution client with the execution engine.
If the client.venue is
None
and a default routing client has not been previously registered then will be registered as such.- Parameters :
-
client ( ExecutionClient ) – The execution client to register.
- Raises :
-
ValueError – If client is already registered with the execution engine.
- register_default_client ( self , ExecutionClient client ) void ¶
-
Register the given client as the default routing client (when a specific venue routing cannot be found).
Any existing default routing client will be overwritten.
- Parameters :
-
client ( ExecutionClient ) – The client to register.
- register_oms_type ( self , Strategy strategy ) void ¶
-
Register the given trading strategies OMS (Order Management System) type.
- Parameters :
-
strategy ( Strategy ) – The strategy for the registration.
- register_venue_routing ( self , ExecutionClient client , Venue venue ) void ¶
-
Register the given client to route orders to the given venue.
Any existing client in the routing map for the given venue will be overwritten.
- Parameters :
-
-
venue ( Venue ) – The venue to route orders to.
-
client ( ExecutionClient ) – The client for the venue routing.
-
- registered_clients ¶
-
Return the execution clients registered with the engine.
- Returns :
-
list[ClientId]
- report_count ¶
-
‘int’ The total count of reports received by the engine.
- Returns :
-
int
- Type :
-
report_count
- 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.
- trader_id ¶
-
The trader ID associated with the component.
- Returns :
-
TraderId
- type ¶
-
The components type.
- Returns :
-
type
Messages ¶
- class CancelAllOrders ( TraderId trader_id , StrategyId strategy_id , InstrumentId instrument_id , OrderSide order_side , UUID4 command_id , uint64_t ts_init , ClientId client_id=None ) ¶
-
Bases:
TradingCommand
Represents a command to cancel all orders for an instrument.
- Parameters :
-
-
trader_id ( TraderId ) – The trader ID for the command.
-
strategy_id ( StrategyId ) – The strategy ID for the command.
-
instrument_id ( InstrumentId ) – The instrument ID for the command.
-
order_side ( OrderSide ) – The order side for the command.
-
command_id ( UUID4 ) – The command ID.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
client_id ( ClientId , optional ) – The execution client ID for the command.
-
- client_id ¶
-
The execution client ID for the command.
- Returns :
-
ClientId or
None
- static from_dict ( dict values ) CancelAllOrders ¶
-
Return a cancel order command from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
CancelAllOrders
- id ¶
-
The command message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID associated with the command.
- Returns :
-
InstrumentId
- order_side ¶
-
The order side for the command.
- Returns :
-
OrderSide
- strategy_id ¶
-
The strategy ID associated with the command.
- Returns :
-
StrategyId
- static to_dict ( CancelAllOrders obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- trader_id ¶
-
The trader ID associated with the command.
- Returns :
-
TraderId
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- class CancelOrder ( TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: Optional[VenueOrderId], UUID4 command_id, uint64_t ts_init, ClientId client_id=None ) ¶
-
Bases:
TradingCommand
Represents a command to cancel an order.
- Parameters :
-
-
trader_id ( TraderId ) – The trader ID for the command.
-
strategy_id ( StrategyId ) – The strategy ID for the command.
-
instrument_id ( InstrumentId ) – The instrument ID for the command.
-
client_order_id ( ClientOrderId ) – The client order ID to cancel.
-
venue_order_id (VenueOrderId, optional with no default so
None
must be passed explicitly) – The venue order ID (assigned by the venue) to cancel. -
command_id ( UUID4 ) – The command ID.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
client_id ( ClientId , optional ) – The execution client ID for the command.
-
References
https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_F_70.html
- client_id ¶
-
The execution client ID for the command.
- Returns :
-
ClientId or
None
- client_order_id ¶
-
The client order ID associated with the command.
- Returns :
-
ClientOrderId
- static from_dict ( dict values ) CancelOrder ¶
-
Return a cancel order command from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
CancelOrder
- id ¶
-
The command message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID associated with the command.
- Returns :
-
InstrumentId
- strategy_id ¶
-
The strategy ID associated with the command.
- Returns :
-
StrategyId
- static to_dict ( CancelOrder obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- trader_id ¶
-
The trader ID associated with the command.
- Returns :
-
TraderId
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- venue_order_id ¶
-
The venue order ID associated with the command.
- Returns :
-
VenueOrderId or
None
- class ModifyOrder ( TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: Optional[VenueOrderId], Quantity quantity: Optional[Quantity], Price price: Optional[Price], Price trigger_price: Optional[Price], UUID4 command_id, uint64_t ts_init, ClientId client_id=None ) ¶
-
Bases:
TradingCommand
Represents a command to modify the properties of an existing order.
- Parameters :
-
-
trader_id ( TraderId ) – The trader ID for the command.
-
strategy_id ( StrategyId ) – The strategy ID for the command.
-
instrument_id ( InstrumentId ) – The instrument ID for the command.
-
client_order_id ( ClientOrderId ) – The client order ID to update.
-
venue_order_id (VenueOrderId, optional with no default so
None
must be passed explicitly) – The venue order ID (assigned by the venue) to update. -
quantity (Quantity, optional with no default so
None
must be passed explicitly) – The quantity for the order update. -
price (Price, optional with no default so
None
must be passed explicitly) – The price for the order update. -
trigger_price (Price, optional with no default so
None
must be passed explicitly) – The trigger price for the order update. -
command_id ( UUID4 ) – The command ID.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
client_id ( ClientId , optional ) – The execution client ID for the command.
-
References
https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_G_71.html
- client_id ¶
-
The execution client ID for the command.
- Returns :
-
ClientId or
None
- client_order_id ¶
-
The client order ID associated with the command.
- Returns :
-
ClientOrderId
- static from_dict ( dict values ) ModifyOrder ¶
-
Return a modify order command from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
ModifyOrder
- id ¶
-
The command message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID associated with the command.
- Returns :
-
InstrumentId
- price ¶
-
The updated price for the command.
- Returns :
-
Price or
None
- quantity ¶
-
The updated quantity for the command.
- Returns :
-
Quantity or
None
- strategy_id ¶
-
The strategy ID associated with the command.
- Returns :
-
StrategyId
- static to_dict ( ModifyOrder obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- trader_id ¶
-
The trader ID associated with the command.
- Returns :
-
TraderId
- trigger_price ¶
-
The updated trigger price for the command.
- Returns :
-
Price or
None
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- venue_order_id ¶
-
The venue order ID associated with the command.
- Returns :
-
VenueOrderId or
None
- class QueryOrder ( TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id: Optional[VenueOrderId], UUID4 command_id, uint64_t ts_init, ClientId client_id=None ) ¶
-
Bases:
TradingCommand
Represents a command to query an order.
- Parameters :
-
-
trader_id ( TraderId ) – The trader ID for the command.
-
strategy_id ( StrategyId ) – The strategy ID for the command.
-
instrument_id ( InstrumentId ) – The instrument ID for the command.
-
client_order_id ( ClientOrderId ) – The client order ID for the order to query.
-
venue_order_id (VenueOrderId, optional with no default so
None
must be passed explicitly) – The venue order ID (assigned by the venue) to query. -
command_id ( UUID4 ) – The command ID.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
client_id ( ClientId , optional ) – The execution client ID for the command.
-
- client_id ¶
-
The execution client ID for the command.
- Returns :
-
ClientId or
None
- client_order_id ¶
-
The client order ID for the order to query.
- Returns :
-
ClientOrderId
- static from_dict ( dict values ) QueryOrder ¶
-
Return a query order command from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
QueryOrder
- id ¶
-
The command message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID associated with the command.
- Returns :
-
InstrumentId
- strategy_id ¶
-
The strategy ID associated with the command.
- Returns :
-
StrategyId
- static to_dict ( QueryOrder obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- trader_id ¶
-
The trader ID associated with the command.
- Returns :
-
TraderId
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- venue_order_id ¶
-
The venue order ID for the order to query.
- Returns :
-
VenueOrderId or
None
- class SubmitOrder ( TraderId trader_id , StrategyId strategy_id , Order order , UUID4 command_id , uint64_t ts_init , PositionId position_id: Optional[PositionId] = None , ExecAlgorithmSpecification exec_algorithm_spec: Optional[ExecAlgorithmSpecification] = None , ClientId client_id=None ) ¶
-
Bases:
TradingCommand
Represents a command to submit the given order.
- Parameters :
-
-
trader_id ( TraderId ) – The trader ID for the command.
-
strategy_id ( StrategyId ) – The strategy ID for the command.
-
order ( Order ) – The order to submit.
-
command_id ( UUID4 ) – The commands ID.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
position_id ( PositionId , optional ) – The position ID for the command.
-
exec_algorithm_spec ( ExecAlgorithmSpecification , optional ) – The execution algorithm specification for the order.
-
client_id ( ClientId , optional ) – The execution client ID for the command.
-
References
https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_D_68.html
- client_id ¶
-
The execution client ID for the command.
- Returns :
-
ClientId or
None
- exec_algorithm_spec ¶
-
The execution algorithm specification for the order.
- Returns :
-
ExecAlgorithmSpecification or
None
- static from_dict ( dict values ) SubmitOrder ¶
-
Return a submit order command from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
SubmitOrder
- id ¶
-
The command message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID associated with the command.
- Returns :
-
InstrumentId
- order ¶
-
The order to submit.
- Returns :
-
Order
- position_id ¶
-
The position ID to associate with the order.
- Returns :
-
PositionId or
None
- strategy_id ¶
-
The strategy ID associated with the command.
- Returns :
-
StrategyId
- static to_dict ( SubmitOrder obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- trader_id ¶
-
The trader ID associated with the command.
- Returns :
-
TraderId
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- class SubmitOrderList ( TraderId trader_id , StrategyId strategy_id , OrderList order_list , UUID4 command_id , uint64_t ts_init , PositionId position_id: Optional[PositionId] = None , list exec_algorithm_specs: Optional[list[ExecAlgorithmSpecification]] = None , ClientId client_id=None ) ¶
-
Bases:
TradingCommand
Represents a command to submit an order list consisting of an order bulk or related parent-child contingent orders.
This command can correspond to a NewOrderList <E> message for the FIX protocol.
- Parameters :
-
-
trader_id ( TraderId ) – The trader ID for the command.
-
strategy_id ( StrategyId ) – The strategy ID for the command.
-
order_list ( OrderList ) – The order list to submit.
-
command_id ( UUID4 ) – The command ID.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
position_id ( PositionId , optional ) – The position ID for the command.
-
exec_algorithm_specs ( list [ ExecAlgorithmSpecification ] , optional ) – The execution algorithm specifications for the orders.
-
client_id ( ClientId , optional ) – The execution client ID for the command.
-
References
https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_E_69.html
- client_id ¶
-
The execution client ID for the command.
- Returns :
-
ClientId or
None
- exec_algorithm_specs ¶
-
The execution algorithm specifications for the orders.
- Returns :
-
list[ExecAlgorithmSpecification] or
None
- static from_dict ( dict values ) SubmitOrderList ¶
-
Return a submit order list command from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
SubmitOrderList
- has_emulated_order ¶
-
If the contained order_list holds at least one emulated order.
- Returns :
-
bool
- id ¶
-
The command message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID associated with the command.
- Returns :
-
InstrumentId
- order_list ¶
-
The order list to submit.
- Returns :
-
OrderList
- position_id ¶
-
The position ID to associate with the orders.
- Returns :
-
PositionId or
None
- strategy_id ¶
-
The strategy ID associated with the command.
- Returns :
-
StrategyId
- static to_dict ( SubmitOrderList obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- trader_id ¶
-
The trader ID associated with the command.
- Returns :
-
TraderId
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- class TradingCommand ( ClientId client_id: Optional[ClientId], TraderId trader_id, StrategyId strategy_id, InstrumentId instrument_id, UUID4 command_id, uint64_t ts_init ) ¶
-
Bases:
Command
The base class for all trading related commands.
- Parameters :
-
-
client_id (ClientId, optional with no default so
None
must be passed explicitly) – The execution client ID for the command. -
trader_id ( TraderId ) – The trader ID for the command.
-
strategy_id ( StrategyId ) – The strategy ID for the command.
-
instrument_id ( InstrumentId ) – The instrument ID for the command.
-
command_id ( UUID4 ) – The commands ID.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
Warning
This class should not be used directly, but through a concrete subclass.
- client_id ¶
-
The execution client ID for the command.
- Returns :
-
ClientId or
None
- id ¶
-
The command message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID associated with the command.
- Returns :
-
InstrumentId
- strategy_id ¶
-
The strategy ID associated with the command.
- Returns :
-
StrategyId
- trader_id ¶
-
The trader ID associated with the command.
- Returns :
-
TraderId
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
Reports ¶
- class ExecutionMassStatus ( ClientId client_id , AccountId account_id , Venue venue , UUID4 report_id , uint64_t ts_init ) ¶
-
Bases:
Document
Represents an execution mass status report for an execution client - including status of all orders, trades for those orders and open positions.
- Parameters :
- account_id ¶
-
The account ID for the report.
- Returns :
-
AccountId
- add_order_reports ( self , list reports ) void ¶
-
Add the order reports to the mass status.
- Parameters :
-
reports ( list [ OrderStatusReport ] ) – The list of reports to add.
- Raises :
-
TypeError – If reports contains a type other than TradeReport .
- add_position_reports ( self , list reports ) void ¶
-
Add the position status reports to the mass status.
- Parameters :
-
reports ( list [ PositionStatusReport ] ) – The reports to add.
- add_trade_reports ( self , list reports ) void ¶
-
Add the trade reports to the mass status.
- Parameters :
-
reports ( list [ TradeReport ] ) – The list of reports to add.
- Raises :
-
TypeError – If reports contains a type other than TradeReport .
- client_id ¶
-
The client ID for the report.
- Returns :
-
ClientId
- id ¶
-
The document message ID.
- Returns :
-
UUID4
- order_reports ( self ) dict ¶
-
Return the order status reports.
- Returns :
-
dict[VenueOrderId, OrderStatusReport]
- position_reports ( self ) dict ¶
-
Return the position status reports.
- Returns :
-
dict[InstrumentId, list[PositionStatusReport]]
- trade_reports ( self ) dict ¶
-
Return the trade reports.
- Returns :
-
dict[VenueOrderId, list[TradeReport]
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- venue ¶
-
The venue for the report.
- Returns :
-
Venue
- class ExecutionReport ( AccountId account_id , InstrumentId instrument_id , UUID4 report_id , uint64_t ts_init ) ¶
-
Bases:
Document
The base class for all execution reports.
- account_id ¶
-
The account ID for the report.
- Returns :
-
AccountId
- id ¶
-
The document message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID for the report.
- Returns :
-
InstrumentId
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- class OrderStatusReport ( AccountId account_id , InstrumentId instrument_id , VenueOrderId venue_order_id , OrderSide order_side , OrderType order_type , TimeInForce time_in_force , OrderStatus order_status , Quantity quantity , Quantity filled_qty , UUID4 report_id , uint64_t ts_accepted , uint64_t ts_last , uint64_t ts_init , ClientOrderId client_order_id: Optional[ClientOrderId] = None , OrderListId order_list_id: Optional[OrderListId] = None , ContingencyType contingency_type=ContingencyType.NO_CONTINGENCY , datetime expire_time: Optional[datetime] = None , Price price: Optional[Price] = None , Price trigger_price: Optional[Price] = None , TriggerType trigger_type=TriggerType.NO_TRIGGER , limit_offset: Optional[Decimal] = None , trailing_offset: Optional[Decimal] = None , TrailingOffsetType trailing_offset_type=TrailingOffsetType.NO_TRAILING_OFFSET , avg_px: Optional[Decimal] = None , Quantity display_qty: Optional[Quantity] = None , bool post_only=False , bool reduce_only=False , unicode cancel_reason: Optional[str] = None , int ts_triggered: Optional[int] = None ) ¶
-
Bases:
ExecutionReport
Represents an order status at a point in time.
- Parameters :
-
-
account_id ( AccountId ) – The account ID for the report.
-
instrument_id ( InstrumentId ) – The instrument ID for the report.
-
venue_order_id ( VenueOrderId ) – The reported order ID (assigned by the venue).
-
order_side (OrderSide {
BUY
,SELL
}) – The reported order side. -
order_type ( OrderType ) – The reported order type.
-
time_in_force (TimeInForce {
GTC
,IOC
,FOK
,GTD
,DAY
,AT_THE_OPEN
,AT_THE_CLOSE
}) – The reported order time in force. -
order_status ( OrderStatus ) – The reported order status at the exchange.
-
quantity ( Quantity ) – The reported order original quantity.
-
filled_qty ( Quantity ) – The reported filled quantity at the exchange.
-
report_id ( UUID4 ) – The report ID.
-
ts_accepted ( uint64_t ) – The UNIX timestamp (nanoseconds) when the reported order was accepted.
-
ts_last ( uint64_t ) – The UNIX timestamp (nanoseconds) of the last order status change.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
client_order_id ( ClientOrderId , optional ) – The reported client order ID.
-
order_list_id ( OrderListId , optional ) – The reported order list ID associated with the order.
-
contingency_type (ContingencyType, default
NO_CONTINGENCY
) – The reported order contingency type. -
expire_time ( datetime , optional ) – The order expiration.
-
price ( Price , optional ) – The reported order price (LIMIT).
-
trigger_price ( Price , optional ) – The reported order trigger price (STOP).
-
trigger_type (TriggerType, default
NO_TRIGGER
) – The reported order trigger type. -
limit_offset ( Decimal , optional ) – The trailing offset for the order price (LIMIT).
-
trailing_offset ( Decimal , optional ) – The trailing offset for the trigger price (STOP).
-
trailing_offset_type (TrailingOffsetType, default
NO_TRAILING_OFFSET
) – The order trailing offset type. -
avg_px ( Decimal , optional ) – The reported order average fill price.
-
display_qty ( Quantity , optional ) – The reported order quantity displayed on the public book (iceberg).
-
post_only ( bool , default False ) – If the reported order will only provide liquidity (make a market).
-
reduce_only ( bool , default False ) – If the reported order carries the ‘reduce-only’ execution instruction.
-
cancel_reason ( str , optional ) – The reported reason for order cancellation.
-
ts_triggered ( uint64_t , optional ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
- Raises :
-
-
ValueError – If quantity is not positive (> 0).
-
ValueError – If filled_qty is negative (< 0).
-
ValueError – If trigger_price is not
None
and trigger_price is equal toNO_TRIGGER
. -
ValueError – If limit_offset or trailing_offset is not
None
and trailing_offset_type is equal toNO_TRAILING_OFFSET
.
-
- account_id ¶
-
The account ID for the report.
- Returns :
-
AccountId
- avg_px ¶
-
The reported order average fill price.
- Returns :
-
Decimal or
None
- cancel_reason ¶
-
The reported reason for order cancellation.
- Returns :
-
str or
None
- client_order_id ¶
-
The client order ID for the report.
- Returns :
-
ClientOrderId or
None
- contingency_type ¶
-
The reported orders contingency type.
- Returns :
-
ContingencyType
- display_qty ¶
-
The reported order quantity displayed on the public book (iceberg).
- Returns :
-
Quantity or
None
- expire_time ¶
-
The order expiration.
- Returns :
-
datetime or
None
- filled_qty ¶
-
The reported filled quantity.
- Returns :
-
Quantity
- id ¶
-
The document message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID for the report.
- Returns :
-
InstrumentId
- leaves_qty ¶
-
The reported order total leaves quantity.
- Returns :
-
Quantity
- limit_offset ¶
-
The trailing offset for the orders limit price.
- Returns :
-
Decimal
- order_list_id ¶
-
The reported order list ID.
- Returns :
-
OrderListId or
None
- order_side ¶
-
The reported order side.
- Returns :
-
OrderSide
- order_status ¶
-
The reported order status at the exchange.
- Returns :
-
OrderStatus
- order_type ¶
-
The reported order type.
- Returns :
-
OrderType
- post_only ¶
-
If the reported order will only provide liquidity (make a market).
- Returns :
-
bool
- price ¶
-
The reported order price (LIMIT).
- Returns :
-
Price or
None
- quantity ¶
-
The reported order original quantity.
- Returns :
-
Quantity
- reduce_only ¶
-
If the reported order carries the ‘reduce-only’ execution instruction.
- Returns :
-
bool
- time_in_force ¶
-
The reported order time in force.
- Returns :
-
TimeInForce
- trailing_offset ¶
-
The trailing offset for the orders trigger price (STOP).
- Returns :
-
Decimal
- trailing_offset_type ¶
-
The trailing offset type.
- Returns :
-
TrailingOffsetType
- trigger_price ¶
-
The reported order trigger price (STOP).
- Returns :
-
Price or
None
- trigger_type ¶
-
The trigger type for the order.
- Returns :
-
TriggerType
- ts_accepted ¶
-
The UNIX timestamp (nanoseconds) when the reported order was accepted.
- Returns :
-
uint64_t
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- ts_last ¶
-
The UNIX timestamp (nanoseconds) of the last order status change.
- Returns :
-
uint64_t
- ts_triggered ¶
-
The UNIX timestamp (nanoseconds) when the order was triggered (0 if not triggered).
- Returns :
-
uint64_t
- venue_order_id ¶
-
The reported venue order ID (assigned by the venue).
- Returns :
-
VenueOrderId
- class PositionStatusReport ( AccountId account_id , InstrumentId instrument_id , PositionSide position_side , Quantity quantity , UUID4 report_id , uint64_t ts_last , uint64_t ts_init , PositionId venue_position_id: Optional[PositionId] = None ) ¶
-
Bases:
ExecutionReport
Represents a position status at a point in time.
- Parameters :
-
-
account_id ( AccountId ) – The account ID for the report.
-
instrument_id ( InstrumentId ) – The reported instrument ID for the position.
-
position_side (PositionSide {
FLAT
,LONG
,SHORT
}) – The reported position side at the exchange. -
quantity ( Quantity ) – The reported position quantity at the exchange.
-
report_id ( UUID4 ) – The report ID.
-
ts_last ( uint64_t ) – The UNIX timestamp (nanoseconds) of the last position change.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
venue_position_id ( PositionId , optional ) – The reported venue position ID (assigned by the venue). If the trading venue has assigned a position ID / ticket for the trade then pass that here, otherwise pass
None
and the execution engine OMS will handle position ID resolution.
-
- account_id ¶
-
The account ID for the report.
- Returns :
-
AccountId
- id ¶
-
The document message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID for the report.
- Returns :
-
InstrumentId
- net_qty ¶
-
The reported net quantity (positive for
LONG
, negative forSHORT
).- Returns :
-
double
- position_side ¶
-
The reported position side at the exchange.
- Returns :
-
PositionSide
- quantity ¶
-
The reported position quantity at the exchange.
- Returns :
-
Quantity
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- ts_last ¶
-
The UNIX timestamp (nanoseconds) of the last position change.
- Returns :
-
uint64_t
- venue_position_id ¶
-
The reported venue position ID (assigned by the venue).
- Returns :
-
PositionId or
None
- class TradeReport ( AccountId account_id , InstrumentId instrument_id , VenueOrderId venue_order_id , TradeId trade_id , OrderSide order_side , Quantity last_qty , Price last_px , LiquiditySide liquidity_side , UUID4 report_id , uint64_t ts_event , uint64_t ts_init , ClientOrderId client_order_id: Optional[ClientOrderId] = None , PositionId venue_position_id: Optional[PositionId] = None , Money commission: Optional[Money] = None ) ¶
-
Bases:
ExecutionReport
Represents a report of a single trade.
- Parameters :
-
-
account_id ( AccountId ) – The account ID for the report.
-
instrument_id ( InstrumentId ) – The reported instrument ID for the trade.
-
venue_order_id ( VenueOrderId ) – The reported venue order ID (assigned by the venue) for the trade.
-
trade_id ( TradeId ) – The reported trade match ID (assigned by the venue).
-
order_side (OrderSide {
BUY
,SELL
}) – The reported order side for the trade. -
last_qty ( Quantity ) – The reported quantity of the trade.
-
last_px ( Price ) – The reported price of the trade.
-
liquidity_side (LiquiditySide {
NO_LIQUIDITY_SIDE
,MAKER
,TAKER
}) – The reported liquidity side for the trade. -
report_id ( UUID4 ) – The report ID.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the trade occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
client_order_id ( ClientOrderId , optional ) – The reported client order ID for the trade.
-
venue_position_id ( PositionId , optional ) – The reported venue position ID for the trade. If the trading venue has assigned a position ID / ticket for the trade then pass that here, otherwise pass
None
and the execution engine OMS will handle position ID resolution. -
commission ( Money , optional ) – The reported commission for the trade (can be
None
).
-
- Raises :
-
ValueError – If last_qty is not positive (> 0).
- account_id ¶
-
The account ID for the report.
- Returns :
-
AccountId
- client_order_id ¶
-
The client order ID for the report.
- Returns :
-
ClientOrderId or
None
- commission ¶
-
The reported commission.
- Returns :
-
Money
- id ¶
-
The document message ID.
- Returns :
-
UUID4
- instrument_id ¶
-
The instrument ID for the report.
- Returns :
-
InstrumentId
- last_px ¶
-
The reported price of the last fill.
- Returns :
-
Price
- last_qty ¶
-
The reported quantity of the last fill.
- Returns :
-
Quantity
- liquidity_side ¶
-
The reported liquidity side.
- Returns :
-
LiquiditySide
- order_side ¶
-
The reported trades side.
- Returns :
-
OrderSide
- trade_id ¶
-
The reported trade match ID (assigned by the venue).
- Returns :
-
TradeId
- ts_event ¶
-
The UNIX timestamp (nanoseconds) when the execution event occurred.
- Returns :
-
LiquiditySide
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- venue_order_id ¶
-
The reported venue order ID (assigned by the venue).
- Returns :
-
VenueOrderId
- venue_position_id ¶
-
The reported venue position ID (assigned by the venue).
- Returns :
-
PositionId or
None