Data ¶
- class Bar ( BarType bar_type , Price open , Price high , Price low , Price close , Quantity volume , uint64_t ts_event , uint64_t ts_init , bool is_revision=False ) ¶
-
Bases:
Data
Represents an aggregated bar.
- Parameters :
-
-
bar_type ( BarType ) – The bar type for this bar.
-
open ( Price ) – The bars open price.
-
high ( Price ) – The bars high price.
-
low ( Price ) – The bars low price.
-
close ( Price ) – The bars close price.
-
volume ( Quantity ) – The bars volume.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
is_revision ( bool , default False ) – If this bar is a revision of a previous bar with the same ts_event .
-
- Raises :
-
-
ValueError – If high is not >= low .
-
ValueError – If high is not >= close .
-
ValueError – If low is not <= close .
-
- bar_type ¶
-
BarType
Return the bar type of bar.
- Returns :
-
BarType
- Type :
-
Bar.bar_type
- close ¶
-
Price
Return the close price of the bar.
- Returns :
-
Price
- Type :
-
Bar.close
- static from_dict ( dict values ) Bar ¶
-
Return a bar parsed from the given values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
Bar
- static from_pyo3 ( pyo3_bar ) Bar ¶
-
Return a legacy Cython bar converted from the given pyo3 Rust object.
- Parameters :
-
pyo3_bar ( nautilus_pyo3.Bar ) – The pyo3 Rust bar to convert from.
- Returns :
-
Bar
- static from_pyo3_list ( list pyo3_bars ) list [ Bar ] ¶
-
Return legacy Cython bars converted from the given pyo3 Rust objects.
- Parameters :
-
pyo3_bars ( list [ nautilus_pyo3.Bar ] ) – The pyo3 Rust bars to convert from.
- Returns :
-
list[Bar]
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- high ¶
-
Price
Return the high price of the bar.
- Returns :
-
Price
- Type :
-
Bar.high
- is_revision ¶
-
If this bar is a revision for a previous bar with the same ts_event .
- Returns :
-
bool
- is_single_price ( self ) bool ¶
-
If the OHLC are all equal to a single price.
- Returns :
-
bool
- low ¶
-
Price
Return the low price of the bar.
- Returns :
-
Price
- Type :
-
Bar.low
- open ¶
-
Price
Return the open price of the bar.
- Returns :
-
Price
- Type :
-
Bar.open
- static to_dict ( Bar obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- static to_pyo3_list ( list bars ) list [ nautilus_pyo3.Bar ] ¶
-
Return pyo3 Rust bars converted from the given legacy Cython objects.
- Parameters :
-
bars ( list [ Bar ] ) – The legacy Cython bars to convert from.
- Returns :
-
list[nautilus_pyo3.Bar]
- ts_event ¶
-
int
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
int
- Type :
-
Bar.ts_event
- ts_init ¶
-
int
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
int
- Type :
-
Bar.ts_init
- volume ¶
-
Quantity
Return the volume of the bar.
- Returns :
-
Quantity
- Type :
-
Bar.volume
- class BarAggregation ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None ) ¶
-
Bases:
IntFlag
- as_integer_ratio ( ) ¶
-
Return integer ratio.
Return a pair of integers, whose ratio is exactly equal to the original int and with a positive denominator.
>>> (10).as_integer_ratio() (10, 1) >>> (-10).as_integer_ratio() (-10, 1) >>> (0).as_integer_ratio() (0, 1)
- bit_count ( ) ¶
-
Number of ones in the binary representation of the absolute value of self.
Also known as the population count.
>>> bin(13) '0b1101' >>> (13).bit_count() 3
- bit_length ( ) ¶
-
Number of bits necessary to represent self in binary.
>>> bin(37) '0b100101' >>> (37).bit_length() 6
- conjugate ( ) ¶
-
Returns self, the complex conjugate of any int.
- denominator ¶
-
the denominator of a rational number in lowest terms
- from_bytes ( byteorder = 'big' , * , signed = False ) ¶
-
Return the integer represented by the given array of bytes.
- bytes
-
Holds the array of bytes to convert. The argument must either support the buffer protocol or be an iterable object producing bytes. Bytes and bytearray are examples of built-in objects that support the buffer protocol.
- byteorder
-
The byte order used to represent the integer. If byteorder is ‘big’, the most significant byte is at the beginning of the byte array. If byteorder is ‘little’, the most significant byte is at the end of the byte array. To request the native byte order of the host system, use ` sys.byteorder’ as the byte order value. Default is to use ‘big’.
- signed
-
Indicates whether two’s complement is used to represent the integer.
- imag ¶
-
the imaginary part of a complex number
- numerator ¶
-
the numerator of a rational number in lowest terms
- real ¶
-
the real part of a complex number
- to_bytes ( length = 1 , byteorder = 'big' , * , signed = False ) ¶
-
Return an array of bytes representing an integer.
- length
-
Length of bytes object to use. An OverflowError is raised if the integer is not representable with the given number of bytes. Default is length 1.
- byteorder
-
The byte order used to represent the integer. If byteorder is ‘big’, the most significant byte is at the beginning of the byte array. If byteorder is ‘little’, the most significant byte is at the end of the byte array. To request the native byte order of the host system, use ` sys.byteorder’ as the byte order value. Default is to use ‘big’.
- signed
-
Determines whether two’s complement is used to represent the integer. If signed is False and a negative integer is given, an OverflowError is raised.
- class BarSpecification ( int step , BarAggregation aggregation , PriceType price_type ) ¶
-
Bases:
object
Represents a bar aggregation specification including a step, aggregation method/rule and price type.
- Parameters :
-
-
step ( int ) – The step for binning samples for bar aggregation (> 0).
-
aggregation ( BarAggregation ) – The type of bar aggregation.
-
price_type ( PriceType ) – The price type to use for aggregation.
-
- Raises :
-
ValueError – If step is not positive (> 0).
- aggregation ¶
-
BarAggregation
Return the aggregation for the specification.
- Returns :
-
BarAggregation
- Type :
-
BarSpecification.aggregation
- static check_information_aggregated ( BarAggregation aggregation ) ¶
-
Check the given aggregation is a type of information aggregation.
- Parameters :
-
aggregation ( BarAggregation ) – The aggregation type to check.
- Returns :
-
bool – True if information aggregated, else False.
- static check_threshold_aggregated ( BarAggregation aggregation ) ¶
-
Check the given aggregation is a type of threshold aggregation.
- Parameters :
-
aggregation ( BarAggregation ) – The aggregation type to check.
- Returns :
-
bool – True if threshold aggregated, else False.
- static check_time_aggregated ( BarAggregation aggregation ) ¶
-
Check the given aggregation is a type of time aggregation.
- Parameters :
-
aggregation ( BarAggregation ) – The aggregation type to check.
- Returns :
-
bool – True if time aggregated, else False.
- static from_str ( unicode value ) BarSpecification ¶
-
Return a bar specification parsed from the given string.
- Parameters :
-
value ( str ) – The bar specification string to parse.
Examples
String format example is ‘200-TICK-MID’.
- Returns :
-
BarSpecification
- Raises :
-
ValueError – If value is not a valid string.
- static from_timedelta ( timedelta duration , PriceType price_type ) BarSpecification ¶
-
Return a bar specification parsed from the given timedelta and price_type.
- Parameters :
-
-
duration ( timedelta ) – The bar specification timedelta to parse.
-
price_type ( PriceType ) – The bar specification price_type.
-
Examples
BarSpecification.from_timedelta(datetime.timedelta(minutes=5), PriceType.LAST).
- Returns :
-
BarSpecification
- Raises :
-
ValueError – If duration is not rounded step of aggregation.
- is_information_aggregated ( self ) bool ¶
-
Return a value indicating whether the aggregation method is information-driven.
-
TICK_RUNS
-
VOLUME_RUNS
-
VALUE_RUNS
- Returns :
-
bool
-
- is_threshold_aggregated ( self ) bool ¶
-
Return a value indicating whether the bar aggregation method is threshold-driven.
-
TICK
-
TICK_IMBALANCE
-
VOLUME
-
VOLUME_IMBALANCE
-
VALUE
-
VALUE_IMBALANCE
- Returns :
-
bool
-
- is_time_aggregated ( self ) bool ¶
-
Return a value indicating whether the aggregation method is time-driven.
-
SECOND
-
MINUTE
-
HOUR
-
DAY
-
WEEK
-
MONTH
- Returns :
-
bool
-
- price_type ¶
-
PriceType
Return the price type for the specification.
- Returns :
-
PriceType
- Type :
-
BarSpecification.price_type
- step ¶
-
int
Return the step size for the specification.
- Returns :
-
int
- Type :
-
BarSpecification.step
- timedelta ¶
-
timedelta
Return the timedelta for the specification.
- Returns :
-
timedelta
- Raises :
-
ValueError – If aggregation is not a time aggregation, or is``MONTH`` (which is ambiguous).
- Type :
-
BarSpecification.timedelta
- class BarType ( InstrumentId instrument_id , BarSpecification bar_spec , AggregationSource aggregation_source=AggregationSource.EXTERNAL ) ¶
-
Bases:
object
Represents a bar type including the instrument ID, bar specification and aggregation source.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The bar types instrument ID.
-
bar_spec ( BarSpecification ) – The bar types specification.
-
aggregation_source ( AggregationSource , default EXTERNAL ) – The bar type aggregation source. If
INTERNAL
the DataEngine will subscribe to the necessary ticks and aggregate bars accordingly. Else ifEXTERNAL
then bars will be subscribed to directly from the venue / data provider.
-
Notes
It is expected that all bar aggregation methods other than time will be internally aggregated.
- aggregation_source ¶
-
AggregationSource
Return the aggregation source for the bar type.
- Returns :
-
AggregationSource
- Type :
-
BarType.aggregation_source
- static from_str ( unicode value ) BarType ¶
-
Return a bar type parsed from the given string.
- Parameters :
-
value ( str ) – The bar type string to parse.
- Returns :
-
BarType
- Raises :
-
ValueError – If value is not a valid string.
- instrument_id ¶
-
InstrumentId
Return the instrument ID for the bar type.
- Returns :
-
InstrumentId
- Type :
-
BarType.instrument_id
- is_externally_aggregated ( self ) bool ¶
-
Return a value indicating whether the bar aggregation source is
EXTERNAL
.- Returns :
-
bool
- is_internally_aggregated ( self ) bool ¶
-
Return a value indicating whether the bar aggregation source is
INTERNAL
.- Returns :
-
bool
- spec ¶
-
BarSpecification
Return the specification for the bar type.
- Returns :
-
BarSpecification
- Type :
-
BarType.spec
- class BookOrder ( OrderSide side , Price price , Quantity size , uint64_t order_id ) ¶
-
Bases:
object
Represents an order in a book.
- Parameters :
- exposure ( self ) double ¶
-
Return the total exposure for this order (price * size).
- Returns :
-
double
- static from_dict ( dict values ) BookOrder ¶
-
Return an order from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
BookOrder
- static from_raw ( OrderSide side , int64_t price_raw , uint8_t price_prec , uint64_t size_raw , uint8_t size_prec , uint64_t order_id ) BookOrder ¶
-
Return an book order from the given raw values.
- Parameters :
-
-
side (OrderSide {
BUY
,SELL
}) – The order side. -
price_raw ( int64_t ) – The order raw price (as a scaled fixed precision integer).
-
price_prec ( uint8_t ) – The order price precision.
-
size_raw ( uint64_t ) – The order raw size (as a scaled fixed precision integer).
-
size_prec ( uint8_t ) – The order size precision.
-
order_id ( uint64_t ) – The order ID.
-
- Returns :
-
BookOrder
- order_id ¶
-
uint64_t
Return the book orders side.
- Returns :
-
uint64_t
- Type :
-
BookOrder.order_id
- price ¶
-
Price
Return the book orders price.
- Returns :
-
Price
- Type :
-
BookOrder.price
- side ¶
-
OrderSide
Return the book orders side.
- Returns :
-
OrderSide
- Type :
-
BookOrder.side
- signed_size ( self ) double ¶
-
Return the signed size of the order (negative for
SELL
).- Returns :
-
double
- size ¶
-
Price
Return the book orders size.
- Returns :
-
Quantity
- Type :
-
BookOrder.size
- static to_dict ( BookOrder obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- class CustomData ( DataType data_type , Data data ) ¶
-
Bases:
Data
Provides a wrapper for custom data which includes data type information.
- Parameters :
-
-
data_type ( DataType ) – The data type.
-
data ( Data ) – The data object to wrap.
-
- data ¶
-
The data.
- Returns :
-
Data
- data_type ¶
-
The data type.
- Returns :
-
DataType
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- ts_event ¶
-
int
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
int
- Type :
-
CustomData.ts_event
- ts_init ¶
-
int
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
int
- Type :
-
CustomData.ts_init
- class DataType ( type type , dict metadata=None ) ¶
-
Bases:
object
Represents a data type including metadata.
- Parameters :
-
-
type ( type ) – The Data type of the data.
-
metadata ( dict ) – The data types metadata.
-
- Raises :
-
-
ValueError – If type is not either a subclass of Data or meets the Data contract.
-
TypeError – If metadata contains a key or value which is not hashable.
-
Warning
This class may be used as a key in hash maps throughout the system, thus the key and value contents of metadata must themselves be hashable.
- metadata ¶
-
The data types metadata.
- Returns :
-
dict[str, object]
- topic ¶
-
The data types topic string.
- Returns :
-
str
- type ¶
-
The Data type of the data.
- Returns :
-
type
- class InstrumentClose ( InstrumentId instrument_id , Price close_price , InstrumentCloseType close_type , uint64_t ts_event , uint64_t ts_init ) ¶
-
Bases:
Data
Represents an instrument close at a venue.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID.
-
close_price ( Price ) – The closing price for the instrument.
-
close_type ( InstrumentCloseType ) – The type of closing price.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the close price event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
- close_price ¶
-
The instrument close price.
- Returns :
-
Price
- close_type ¶
-
The instrument close type.
- Returns :
-
InstrumentCloseType
- static from_dict ( dict values ) InstrumentClose ¶
-
Return an instrument close price event from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
InstrumentClose
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- instrument_id ¶
-
The event instrument ID.
- Returns :
-
InstrumentId
- static to_dict ( InstrumentClose obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- ts_event ¶
-
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
uint64_t
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- class InstrumentStatus ( InstrumentId instrument_id , MarketStatus status , uint64_t ts_event , uint64_t ts_init , unicode trading_session=u'Regular' , HaltReason halt_reason=HaltReason.NOT_HALTED ) ¶
-
Bases:
Data
Represents an event that indicates a change in an instrument market status.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID.
-
status ( MarketStatus ) – The instrument market session status.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the status update event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
trading_session ( str , default 'Regular' ) – The name of the trading session.
-
halt_reason (HaltReason, default
NOT_HALTED
) – The halt reason (only applicable forHALT
status).
-
- Raises :
-
ValueError – If status is not equal to
HALT
and halt_reason is other thanNOT_HALTED
.
- static from_dict ( dict values ) InstrumentStatus ¶
-
Return an instrument status update from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
InstrumentStatus
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- halt_reason ¶
-
The halt reason.
- Returns :
-
HaltReason
- instrument_id ¶
-
The instrument ID.
- Returns :
-
InstrumentId
- status ¶
-
The instrument market status.
- Returns :
-
MarketStatus
- static to_dict ( InstrumentStatus obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- trading_session ¶
-
The trading session name.
- Returns :
-
str
- ts_event ¶
-
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
uint64_t
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- class OrderBookDelta ( InstrumentId instrument_id , BookAction action , BookOrder order: BookOrder | None , uint64_t ts_event , uint64_t ts_init , uint8_t flags=0 , uint64_t sequence=0 ) ¶
-
Bases:
Data
Represents a single update/difference on an OrderBook .
- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID for the book.
-
action (BookAction {
ADD
,UPDATE
,DELETE
,CLEAR
}) – The order book delta action. -
order (BookOrder, optional with no default so
None
must be passed explicitly) – The book order for the delta. -
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
flags ( uint8_t , default 0 ( no flags ) ) – A combination of packet end with matching engine status.
-
sequence ( uint64_t , default 0 ) – The unique sequence number for the update.
-
- action ¶
-
BookAction
Return the deltas book action {
ADD
,UPDATE
,DELETE
,CLEAR
}- Returns :
-
BookAction
- Type :
-
OrderBookDelta.action
- static capsule_from_list ( list items ) ¶
- static clear ( InstrumentId instrument_id , uint64_t ts_event , uint64_t ts_init , uint64_t sequence=0 ) ¶
-
Return an order book delta which acts as an initial
CLEAR
.- Returns :
-
OrderBookDelta
- flags ¶
-
uint8_t
Return the flags for the delta.
- Returns :
-
uint8_t
- Type :
-
OrderBookDelta.flags
- static from_dict ( dict values ) OrderBookDelta ¶
-
Return an order book delta from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
OrderBookDelta
- static from_pyo3 ( pyo3_delta ) OrderBookDelta ¶
-
Return a legacy Cython order book delta converted from the given pyo3 Rust object.
- Parameters :
-
pyo3_delta ( nautilus_pyo3.OrderBookDelta ) – The pyo3 Rust order book delta to convert from.
- Returns :
-
OrderBookDelta
- static from_pyo3_list ( list pyo3_deltas ) list [ OrderBookDelta ] ¶
-
Return legacy Cython order book deltas converted from the given pyo3 Rust objects.
- Parameters :
-
pyo3_deltas ( list [ nautilus_pyo3.OrderBookDelta ] ) – The pyo3 Rust order book deltas to convert from.
- Returns :
-
list[OrderBookDelta]
- static from_raw ( InstrumentId instrument_id , BookAction action , OrderSide side , int64_t price_raw , uint8_t price_prec , uint64_t size_raw , uint8_t size_prec , uint64_t order_id , uint8_t flags , uint64_t sequence , uint64_t ts_event , uint64_t ts_init ) OrderBookDelta ¶
-
Return an order book delta from the given raw values.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The trade instrument ID.
-
action (BookAction {
ADD
,UPDATE
,DELETE
,CLEAR
}) – The order book delta action. -
side (OrderSide {
BUY
,SELL
}) – The order side. -
price_raw ( int64_t ) – The order raw price (as a scaled fixed precision integer).
-
price_prec ( uint8_t ) – The order price precision.
-
size_raw ( uint64_t ) – The order raw size (as a scaled fixed precision integer).
-
size_prec ( uint8_t ) – The order size precision.
-
order_id ( uint64_t ) – The order ID.
-
flags ( uint8_t ) – A combination of packet end with matching engine status.
-
sequence ( uint64_t ) – The unique sequence number for the update.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the tick event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
- Returns :
-
OrderBookDelta
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- instrument_id ¶
-
InstrumentId
Return the deltas book instrument ID.
- Returns :
-
InstrumentId
- Type :
-
OrderBookDelta.instrument_id
- is_add ¶
-
BookAction
If the deltas book action is an
ADD
.- Returns :
-
bool
- Type :
-
OrderBookDelta.is_add
- is_clear ¶
-
BookAction
If the deltas book action is a
CLEAR
.- Returns :
-
bool
- Type :
-
OrderBookDelta.is_clear
- is_delete ¶
-
BookAction
If the deltas book action is a
DELETE
.- Returns :
-
bool
- Type :
-
OrderBookDelta.is_delete
- is_update ¶
-
BookAction
If the deltas book action is an
UPDATE
.- Returns :
-
bool
- Type :
-
OrderBookDelta.is_update
- static list_from_capsule ( capsule ) list [ OrderBookDelta ] ¶
- order ¶
-
BookOrder | None
Return the deltas book order for the action.
- Returns :
-
BookOrder
- Type :
-
OrderBookDelta.order
- sequence ¶
-
uint64_t
Return the sequence number for the delta.
- Returns :
-
uint64_t
- Type :
-
OrderBookDelta.sequence
- static to_dict ( OrderBookDelta obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- static to_pyo3_list ( list deltas ) list [ nautilus_pyo3.OrderBookDelta ] ¶
-
Return pyo3 Rust order book deltas converted from the given legacy Cython objects.
- Parameters :
-
pyo3_deltas ( list [ OrderBookDelta ] ) – The pyo3 Rust order book deltas to convert from.
- Returns :
-
list[nautilus_pyo3.OrderBookDelta]
- ts_event ¶
-
int
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
int
- Type :
-
OrderBookDelta.ts_event
- ts_init ¶
-
int
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
int
- Type :
-
OrderBookDelta.ts_init
- class OrderBookDeltas ( InstrumentId instrument_id , list deltas ) ¶
-
Bases:
Data
Represents a grouped batch of OrderBookDelta updates for an OrderBook .
- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID for the book.
-
deltas ( list [ OrderBookDelta ] ) – The list of order book changes.
-
- Raises :
-
ValueError – If deltas is an empty list.
- deltas ¶
-
list[OrderBookDelta]
Return the contained deltas.
- Returns :
-
list[OrderBookDeltas]
- Type :
-
OrderBookDeltas.deltas
- flags ¶
-
uint8_t
Return the flags for the last delta.
- Returns :
-
uint8_t
- Type :
-
OrderBookDeltas.flags
- static from_dict ( dict values ) OrderBookDeltas ¶
-
Return order book deltas from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
OrderBookDeltas
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- instrument_id ¶
-
InstrumentId
Return the deltas book instrument ID.
- Returns :
-
InstrumentId
- Type :
-
OrderBookDeltas.instrument_id
- is_snapshot ¶
-
bool
If the deltas is a snapshot.
- Returns :
-
bool
- Type :
-
OrderBookDeltas.is_snapshot
- sequence ¶
-
uint64_t
Return the sequence number for the last delta.
- Returns :
-
uint64_t
- Type :
-
OrderBookDeltas.sequence
- to_capsule ( self ) ¶
- static to_dict ( OrderBookDeltas obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- to_pyo3 ( self ) ¶
- ts_event ¶
-
int
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
int
- Type :
-
OrderBookDeltas.ts_event
- ts_init ¶
-
int
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
int
- Type :
-
OrderBookDeltas.ts_init
- class OrderBookDepth10 ( InstrumentId instrument_id , list bids , list asks , list bid_counts , list ask_counts , uint8_t flags , uint64_t sequence , uint64_t ts_event , uint64_t ts_init ) ¶
-
Bases:
Data
Represents a self-contained order book update with a fixed depth of 10 levels per side.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The instrument ID for the book.
-
bids ( list [ BookOrder ] ) – The bid side orders for the update.
-
asks ( list [ BookOrder ] ) – The ask side orders for the update.
-
bid_counts ( list [ uint32_t ] ) – The count of bid orders per level for the update. Can be zeros if data not available.
-
ask_counts ( list [ uint32_t ] ) – The count of ask orders per level for the update. Can be zeros if data not available.
-
flags ( uint8_t ) – A combination of packet end with matching engine status.
-
sequence ( uint64_t ) – The unique sequence number for the update.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the tick event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
- Raises :
-
-
ValueError – If bids is empty.
-
ValueError – If asks is empty.
-
ValueError – If bids length is not equal to 10.
-
ValueError – If asks length is not equal to 10.
-
ValueError – If bid_counts length is not equal to 10.
-
ValueError – If ask_counts length is not equal to 10.
-
- ask_counts ¶
-
list[uint32_t]
Return the count of ask orders level for the update.
- Returns :
-
list[uint32_t]
- Type :
-
OrderBookDepth10.ask_counts
- asks ¶
-
list[BookOrder]
Return the ask orders for the update.
- Returns :
-
list[BookOrder]
- Type :
-
OrderBookDepth10.asks
- bid_counts ¶
-
list[uint32_t]
Return the count of bid orders per level for the update.
- Returns :
-
list[uint32_t]
- Type :
-
OrderBookDepth10.bid_counts
- bids ¶
-
list[BookOrder]
Return the bid orders for the update.
- Returns :
-
list[BookOrder]
- Type :
-
OrderBookDepth10.bids
- static capsule_from_list ( list items ) ¶
- flags ¶
-
uint8_t
Return the flags for the depth update.
- Returns :
-
uint8_t
- Type :
-
OrderBookDepth10.flags
- static from_dict ( dict values ) OrderBookDepth10 ¶
-
Return order book depth from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
OrderBookDepth10
- static from_pyo3 ( pyo3_depth ) OrderBookDepth10 ¶
-
Return a legacy Cython order book depth converted from the given pyo3 Rust object.
- Parameters :
-
pyo3_depth ( nautilus_pyo3.OrderBookDepth10 ) – The pyo3 Rust order book depth to convert from.
- Returns :
-
OrderBookDepth10
- static from_pyo3_list ( pyo3_depths ) list [ OrderBookDepth10 ] ¶
-
Return legacy Cython order book depths converted from the given pyo3 Rust objects.
- Parameters :
-
pyo3_depths ( nautilus_pyo3.OrderBookDepth10 ) – The pyo3 Rust order book depths to convert from.
- Returns :
-
list[OrderBookDepth10]
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- instrument_id ¶
-
InstrumentId
Return the depth updates book instrument ID.
- Returns :
-
InstrumentId
- Type :
-
OrderBookDepth10.instrument_id
- static list_from_capsule ( capsule ) list [ OrderBookDepth10 ] ¶
- sequence ¶
-
uint64_t
Return the sequence number for the depth update.
- Returns :
-
uint64_t
- Type :
-
OrderBookDepth10.sequence
- static to_dict ( OrderBookDepth10 obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- ts_event ¶
-
int
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
int
- Type :
-
OrderBookDepth10.ts_event
- ts_init ¶
-
int
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
int
- Type :
-
OrderBookDepth10.ts_init
- class QuoteTick ( InstrumentId instrument_id , Price bid_price , Price ask_price , Quantity bid_size , Quantity ask_size , uint64_t ts_event , uint64_t ts_init ) ¶
-
Bases:
Data
Represents a single quote tick in a financial market.
Contains information about the best top of book bid and ask.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The quotes instrument ID.
-
bid_price ( Price ) – The top of book bid price.
-
ask_price ( Price ) – The top of book ask price.
-
bid_size ( Quantity ) – The top of book bid size.
-
ask_size ( Quantity ) – The top of book ask size.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the tick event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
- Raises :
-
-
ValueError – If bid.precision != ask.precision .
-
ValueError – If bid_size.precision != ask_size.precision .
-
- ask_price ¶
-
Price
Return the top of book ask price.
- Returns :
-
Price
- Type :
-
QuoteTick.ask_price
- ask_size ¶
-
Quantity
Return the top of book ask size.
- Returns :
-
Quantity
- Type :
-
QuoteTick.ask_size
- bid_price ¶
-
Price
Return the top of book bid price.
- Returns :
-
Price
- Type :
-
QuoteTick.bid_price
- bid_size ¶
-
Quantity
Return the top of book bid size.
- Returns :
-
Quantity
- Type :
-
QuoteTick.bid_size
- static capsule_from_list ( list items ) ¶
- extract_price ( self , PriceType price_type ) Price ¶
-
Extract the price for the given price type.
- Parameters :
-
price_type ( PriceType ) – The price type to extract.
- Returns :
-
Price
- extract_volume ( self , PriceType price_type ) Quantity ¶
-
Extract the volume for the given price type.
- Parameters :
-
price_type ( PriceType ) – The price type to extract.
- Returns :
-
Quantity
- static from_dict ( dict values ) QuoteTick ¶
-
Return a quote tick parsed from the given values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
QuoteTick
- static from_pyo3 ( pyo3_quote ) QuoteTick ¶
-
Return a legacy Cython quote tick converted from the given pyo3 Rust object.
- Parameters :
-
pyo3_quote ( nautilus_pyo3.QuoteTick ) – The pyo3 Rust quote tick to convert from.
- Returns :
-
QuoteTick
- static from_pyo3_list ( list pyo3_quotes ) list [ QuoteTick ] ¶
-
Return legacy Cython quote ticks converted from the given pyo3 Rust objects.
- Parameters :
-
pyo3_quotes ( list [ nautilus_pyo3.QuoteTick ] ) – The pyo3 Rust quote ticks to convert from.
- Returns :
-
list[QuoteTick]
- static from_raw ( InstrumentId instrument_id , int64_t bid_price_raw , int64_t ask_price_raw , uint8_t bid_price_prec , uint8_t ask_price_prec , uint64_t bid_size_raw , uint64_t ask_size_raw , uint8_t bid_size_prec , uint8_t ask_size_prec , uint64_t ts_event , uint64_t ts_init ) QuoteTick ¶
-
Return a quote tick from the given raw values.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The quotes instrument ID.
-
bid_price_raw ( int64_t ) – The raw top of book bid price (as a scaled fixed precision integer).
-
ask_price_raw ( int64_t ) – The raw top of book ask price (as a scaled fixed precision integer).
-
bid_price_prec ( uint8_t ) – The bid price precision.
-
ask_price_prec ( uint8_t ) – The ask price precision.
-
bid_size_raw ( uint64_t ) – The raw top of book bid size (as a scaled fixed precision integer).
-
ask_size_raw ( uint64_t ) – The raw top of book ask size (as a scaled fixed precision integer).
-
bid_size_prec ( uint8_t ) – The bid size precision.
-
ask_size_prec ( uint8_t ) – The ask size precision.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the tick event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
- Returns :
-
QuoteTick
- Raises :
-
-
ValueError – If bid_price_prec != ask_price_prec .
-
ValueError – If bid_size_prec != ask_size_prec .
-
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- instrument_id ¶
-
InstrumentId
Return the tick instrument ID.
- Returns :
-
InstrumentId
- Type :
-
QuoteTick.instrument_id
- static to_dict ( QuoteTick obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- static to_pyo3_list ( list quotes ) list [ nautilus_pyo3.QuoteTick ] ¶
-
Return pyo3 Rust quote ticks converted from the given legacy Cython objects.
- Parameters :
-
quotes ( list [ QuoteTick ] ) – The legacy Cython quote ticks to convert from.
- Returns :
-
list[nautilus_pyo3.QuoteTick]
- ts_event ¶
-
int
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
int
- Type :
-
QuoteTick.ts_event
- ts_init ¶
-
int
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
int
- Type :
-
QuoteTick.ts_init
- class TradeTick ( InstrumentId instrument_id , Price price , Quantity size , AggressorSide aggressor_side , TradeId trade_id , uint64_t ts_event , uint64_t ts_init ) ¶
-
Bases:
Data
Represents a single trade tick in a financial market.
Contains information about a single unique trade which matched buyer and seller counterparties.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The trade instrument ID.
-
price ( Price ) – The traded price.
-
size ( Quantity ) – The traded size.
-
aggressor_side ( AggressorSide ) – The trade aggressor side.
-
trade_id ( TradeId ) – The trade match ID (assigned by the venue).
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the tick event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
- Raises :
-
ValueError – If trade_id is not a valid string.
- aggressor_side ¶
-
AggressorSide
Return the ticks aggressor side.
- Returns :
-
AggressorSide
- Type :
-
TradeTick.aggressor_side
- static capsule_from_list ( items ) ¶
- static from_dict ( dict values ) TradeTick ¶
-
Return a trade tick from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
TradeTick
- static from_pyo3 ( pyo3_trade ) TradeTick ¶
-
Return a legacy Cython trade tick converted from the given pyo3 Rust object.
- Parameters :
-
pyo3_trade ( nautilus_pyo3.TradeTick ) – The pyo3 Rust trade tick to convert from.
- Returns :
-
TradeTick
- static from_pyo3_list ( list pyo3_trades ) list [ TradeTick ] ¶
-
Return legacy Cython trade ticks converted from the given pyo3 Rust objects.
- Parameters :
-
pyo3_trades ( list [ nautilus_pyo3.TradeTick ] ) – The pyo3 Rust trade ticks to convert from.
- Returns :
-
list[TradeTick]
- static from_raw ( InstrumentId instrument_id , int64_t price_raw , uint8_t price_prec , uint64_t size_raw , uint8_t size_prec , AggressorSide aggressor_side , TradeId trade_id , uint64_t ts_event , uint64_t ts_init ) TradeTick ¶
-
Return a trade tick from the given raw values.
- Parameters :
-
-
instrument_id ( InstrumentId ) – The trade instrument ID.
-
price_raw ( int64_t ) – The traded raw price (as a scaled fixed precision integer).
-
price_prec ( uint8_t ) – The traded price precision.
-
size_raw ( uint64_t ) – The traded raw size (as a scaled fixed precision integer).
-
size_prec ( uint8_t ) – The traded size precision.
-
aggressor_side ( AggressorSide ) – The trade aggressor side.
-
trade_id ( TradeId ) – The trade match ID (assigned by the venue).
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the tick event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the data object was initialized.
-
- Returns :
-
TradeTick
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- instrument_id ¶
-
InstrumentId
Return the ticks instrument ID.
- Returns :
-
InstrumentId
- Type :
-
TradeTick.instrument_id
- price ¶
-
Price
Return the ticks price.
- Returns :
-
Price
- Type :
-
TradeTick.price
- size ¶
-
Price
Return the ticks size.
- Returns :
-
Quantity
- Type :
-
TradeTick.size
- static to_dict ( TradeTick obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- static to_pyo3_list ( list trades ) list [ nautilus_pyo3.TradeTick ] ¶
-
Return pyo3 Rust trade ticks converted from the given legacy Cython objects.
- Parameters :
-
ticks ( list [ TradeTick ] ) – The legacy Cython Rust trade ticks to convert from.
- Returns :
-
list[nautilus_pyo3.TradeTick]
- trade_id ¶
-
InstrumentId
Return the ticks trade match ID.
- Returns :
-
Price
- Type :
-
TradeTick.trade_id
- ts_event ¶
-
int
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
int
- Type :
-
TradeTick.ts_event
- ts_init ¶
-
int
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
int
- Type :
-
TradeTick.ts_init
- class VenueStatus ( Venue venue , MarketStatus status , uint64_t ts_event , uint64_t ts_init ) ¶
-
Bases:
Data
Represents an update that indicates a change in a Venue status.
- Parameters :
-
-
venue ( Venue ) – The venue ID.
-
status ( MarketStatus ) – The venue market status.
-
ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the status update event occurred.
-
ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.
-
- static from_dict ( dict values ) VenueStatus ¶
-
Return a venue status update from the given dict values.
- Parameters :
-
values ( dict [ str , object ] ) – The values for initialization.
- Returns :
-
VenueStatus
- classmethod fully_qualified_name ( cls ) str ¶
-
Return the fully qualified name for the Data class.
- Returns :
-
str
References
- status ¶
-
The venue market status.
- Returns :
-
MarketStatus
- static to_dict ( VenueStatus obj ) ¶
-
Return a dictionary representation of this object.
- Returns :
-
dict[str, object]
- ts_event ¶
-
The UNIX timestamp (nanoseconds) when the data event occurred.
- Returns :
-
uint64_t
- ts_init ¶
-
The UNIX timestamp (nanoseconds) when the object was initialized.
- Returns :
-
uint64_t
- venue ¶
-
The venue.
- Returns :
-
Venue
- capsule_to_data ( capsule ) Data ¶
- capsule_to_list ( capsule ) list ¶