Data

Defines the fundamental data types represented within the trading domain.

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 ( list pyo3_bars ) → list [ Bar ]

Return bars converted from the given pyo3 provided objects.

Parameters :

pyo3_bars ( list [ RustBar ] ) – The Rust pyo3 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

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

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]

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 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 if EXTERNAL then bars will be subscribed to directly from the data publisher.

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 :

  • side (OrderSide { BUY , SELL }) – The order side.

  • price ( Price ) – The order price.

  • size ( Quantity ) – The order size.

  • order_id ( uint64_t ) – The order ID.

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

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 OrderBookDelta ( InstrumentId instrument_id , BookAction action , BookOrder order , uint64_t ts_event , uint64_t ts_init , uint8_t flags=0 , uint64_t sequence=0 )

Bases: Data

Represents a single 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 ) – The order to apply.

  • 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. If default 0 then will increment the sequence .

action

BookAction

Return the deltas book action { ADD , UPDATE , DELETE , CLEAR }

Returns :

BookAction

Type :

OrderBookDelta.action

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 ( list pyo3_deltas ) → list [ OrderBookDelta ]

Return order book deltas converted from the given pyo3 provided objects.

Parameters :

pyo3_deltas ( list [ RustOrderBookDelta ] ) – The Rust pyo3 order book deltas to convert from.

Returns :

list[OrderBookDelta]

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

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

order

BookOrder

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]

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 bulk OrderBookDelta updates for an OrderBook .

Parameters :
Raises :

ValueError – If deltas is an empty list.

deltas

The order book deltas.

Returns :

list[OrderBookDelta]

static from_dict ( dict values ) → OrderBookDeltas

Return order book deltas from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

OrderBookDeltas

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The instrument ID for the order book.

Returns :

InstrumentId

is_snapshot

If the deltas represent a snapshot (an initial CLEAR then deltas).

Returns :

bool

sequence

If the sequence number for the last delta.

Returns :

bool

static to_dict ( OrderBookDeltas obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the last delta event occurred.

Returns :

uint64_t

ts_init

The UNIX timestamp (nanoseconds) when the last delta event was initialized.

Returns :

uint64_t

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 ( 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 ( list pyo3_ticks ) → list [ QuoteTick ]

Return quote ticks converted from the given pyo3 provided objects.

Parameters :

pyo3_ticks ( list [ RustQuoteTick ] ) – The Rust pyo3 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

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

instrument_id

InstrumentId

Return the tick instrument ID.

Returns :

InstrumentId

Type :

QuoteTick.instrument_id

static list_from_capsule ( capsule ) → list [ QuoteTick ]
static to_dict ( QuoteTick 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 :

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 ( list pyo3_ticks ) → list [ TradeTick ]

Return trade ticks converted from the given pyo3 provided objects.

Parameters :

pyo3_ticks ( list [ RustTradeTick ] ) – The Rust pyo3 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

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

instrument_id

InstrumentId

Return the ticks instrument ID.

Returns :

InstrumentId

Type :

TradeTick.instrument_id

static list_from_capsule ( capsule ) → list [ TradeTick ]
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]

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 Ticker ( InstrumentId instrument_id , uint64_t ts_event , uint64_t ts_init )

Bases: Data

The base class for all tickers.

Parameters :

  • instrument_id ( InstrumentId ) – The instrument ID.

  • ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the ticker event occurred.

  • 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.

static from_dict ( dict values ) → Ticker

Return a ticker from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

Ticker

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The ticker instrument ID.

Returns :

InstrumentId

static to_dict ( Ticker 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 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

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

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 InstrumentStatusUpdate ( InstrumentId instrument_id , MarketStatus status , uint64_t ts_event , uint64_t ts_init )

Bases: StatusUpdate

Represents an event that indicates a change in an instrument status.

Parameters :

  • instrument_id ( InstrumentId ) – The instrument ID.

  • status ( MarketStatus ) – The instrument 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 ) → InstrumentStatusUpdate

Return an instrument status update from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

InstrumentStatusUpdate

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The instrument ID.

Returns :

InstrumentId

status

The instrument market status.

Returns :

MarketStatus

static to_dict ( InstrumentStatusUpdate 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 StatusUpdate

Bases: Data

The base class for all status updates.

Warning

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

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

ts_event

int

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

Returns :

int

Type :

Data.ts_event

ts_init

int

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

Returns :

int

Type :

Data.ts_init

class VenueStatusUpdate ( Venue venue , MarketStatus status , uint64_t ts_event , uint64_t ts_init )

Bases: StatusUpdate

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 ) → VenueStatusUpdate

Return a venue status update from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

VenueStatusUpdate

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

status

The venue market status.

Returns :

MarketStatus

static to_dict ( VenueStatusUpdate 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

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 a subclass of Data .

  • 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 GenericData ( DataType data_type , Data data )

Bases: Data

Provides a generic data wrapper 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

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

ts_event

int

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

Returns :

int

Type :

GenericData.ts_event

ts_init

int

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

Returns :

int

Type :

GenericData.ts_init