Data

Due to the modular nature of the Nautilus design, it is possible to set up systems with very flexible data streams, including custom user defined data types. This guide covers some possible use cases for this functionality.

Custom/Generic Data

It’s possible to create custom data types within the Nautilus system. First you will need to define your data by subclassing from Data .

from nautilus_trader.core.data import Data


class MyDataPoint(Data):
    """
    This is an example of a user-defined data class, inheriting from the base class `Data`.

    The fields `label`, `x`, `y`, and `z` in this class are examples of arbitrary user data.
    """

    def __init__(
        self,
        label: str,
        x: int,
        y: int,
        z: int,
        ts_event: int,
        ts_init: int,
    ) -> None:
        self.label = label
        self.x = x
        self.y = y
        self.z = z
        self._ts_event = ts_event
        self._ts_init = ts_init

    @property
    def ts_event(self) -> int:
        """
        The UNIX timestamp (nanoseconds) when the data event occurred.

        Returns
        -------
        int

        """
        return self._ts_event

    @property
    def ts_init(self) -> int:
        """
        The UNIX timestamp (nanoseconds) when the object was initialized.

        Returns
        -------
        int

        """
        return self._ts_init

The Data abstract base class acts as a contract within the system and requires two properties for all types of data: ts_event and ts_init . These represent the UNIX nanosecond timestamps for when the event occurred and when the object was initialized, respectively.

The recommended approach to satisfy the contract is to assign ts_event and ts_init to backing fields, and then implement the @property for each as shown above (for completeness, the docstrings are copied from the Data base class).

Note

As Data holds no state, it is not strictly necessary to call super().__init__() .

Note

These timestamps are what allow Nautilus to correctly order data streams for backtests by monotonically increasing ts_init UNIX nanoseconds.

We can now work with this data type for backtesting and live trading. For instance, we could now create an adapter which is able to parse and create objects of this type - and send them back to the DataEngine for consumption by subscribers.

You can subscribe to these custom data types within your actor/strategy in the following way:

self.subscribe_data(
    data_type=DataType(MyDataPoint, metadata={"some_optional_category": 1}),
    client_id=ClientId("MY_ADAPTER"),
)

This will result in your actor/strategy passing these received MyDataPoint objects to your on_data method. You will need to check the type, as this method acts as a flexible handler for all custom/generic data.

def on_data(self, data: Data) -> None:
    # First check the type of data
    if isinstance(data, MyDataPoint):
        # Do something with the data