Accounting

The accounting subpackage defines both different account types and account management machinery.

There is also an ExchangeRateCalculator for calculating the exchange rate between FX and/or Crypto pairs. The AccountManager is mainly used from the Portfolio to manage accounting operations.

The AccountFactory supports customized account types for specific integrations. These custom account types can be registered with the factory and will then be instantiated when an AccountState event is received for that integration.

class CashAccount ( AccountState event , bool calculate_account_state=False )

Bases: Account

Provides a cash account.

Parameters :

• event ( AccountState ) – The initial account state event.

• calculate_account_state ( bool , optional ) – If the account state should be calculated from order fills.

Raises :

ValueError – If event.account_type is not equal to CASH .

apply ( self , AccountState event ) → void

Apply the given account event to the account.

Parameters :

event ( AccountState ) – The account event to apply.

Raises :

• ValueError – If event.account_type is not equal to self.type .

• ValueError – If event.account_id is not equal to self.id .

• ValueError – If event.base_currency is not equal to self.base_currency .

Warning

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

balance ( self , Currency currency=None ) → AccountBalance

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

AccountBalance or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_free ( self , Currency currency=None ) → Money

Return the account balance free.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

Money or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_impact ( self , Instrument instrument , Quantity quantity , Price price , OrderSide order_side ) → Money

balance_locked ( self , Currency currency=None ) → Money

Return the account balance locked.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

Money or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_total ( self , Currency currency=None ) → Money

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

Money or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balances ( self ) → dict

Return the account balances totals.

Returns :

dict[Currency, Money]

balances_free ( self ) → dict

Return the account balances free.

Returns :

dict[Currency, Money]

balances_locked ( self ) → dict

Return the account balances locked.

Returns :

dict[Currency, Money]

balances_total ( self ) → dict

Return the account balances totals.

Returns :

dict[Currency, Money]

base_currency

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

Returns :

Currency or None

calculate_account_state

If the accounts state should be calculated by Nautilus.

Returns :

bool

calculate_balance_locked ( self , Instrument instrument , OrderSide side , Quantity quantity , Price price , bool use_quote_for_inverse=False ) → Money

Calculate the locked balance.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :

• instrument ( Instrument ) – The instrument for the calculation.

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

• quantity ( Quantity ) – The order quantity.

• price ( Price ) – The order price.

• use_quote_for_inverse ( bool ) – If inverse instrument calculations use quote currency (instead of base).

Returns :

Money

calculate_commission ( self , Instrument instrument , Quantity last_qty , Price last_px , LiquiditySide liquidity_side , bool use_quote_for_inverse=False ) → Money

Calculate the commission generated from a transaction with the given parameters.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :

• instrument ( Instrument ) – The instrument for the calculation.

• last_qty ( Quantity ) – The transaction quantity.

• last_px ( Price ) – The transaction price.

• liquidity_side (LiquiditySide { MAKER , TAKER }) – The liquidity side for the transaction.

• use_quote_for_inverse ( bool ) – If inverse instrument calculations use quote currency (instead of base).

Returns :

Money

Raises :

ValueError – If liquidity_side is NO_LIQUIDITY_SIDE .

calculate_pnls ( self , Instrument instrument , OrderFilled fill , Position position: Position | None = None ) → list

Return the calculated PnL.

The calculation does not include any commissions.

Parameters :

• instrument ( Instrument ) – The instrument for the calculation.

• fill ( OrderFilled ) – The fill for the calculation.

• position ( Position , optional ) – The position for the calculation (can be None).

Returns :

list[Money]

clear_balance_locked ( self , InstrumentId instrument_id ) → void

Clear the balance locked for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument for the locked balance to clear.

commission ( self , Currency currency ) → Money

Return the total commissions for the given currency.

Parameters :

currency ( Currency ) – The currency for the commission.

Returns :

Money or None

commissions ( self ) → dict

Return the total commissions for the account.

currencies ( self ) → list

Return the account currencies.

Returns :

list[Currency]

event_count

Return the count of events.

Returns :

int

events

Return all events received by the account.

Returns :

list[AccountState]

static from_dict ( dict values )

id

The accounts ID.

Returns :

AccountId

is_cash_account

If the account is a type of CASH account.

is_margin_account

If the account is a type of MARGIN account.

is_unleveraged ( self , InstrumentId instrument_id ) → bool

last_event

Return the accounts last state event.

Returns :

AccountState

starting_balances ( self ) → dict

Return the account starting balances.

Returns :

dict[Currency, Money]

static to_dict ( CashAccount obj )

type

The accounts type.

Returns :

AccountType

update_balance_locked ( self , InstrumentId instrument_id , Money locked ) → void

Update the balance locked for the given instrument ID.

Parameters :

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

• locked ( Money ) – The locked balance for the instrument.

Raises :

ValueError – If margin_init is negative (< 0).

Warning

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

update_balances ( self , list balances , bool allow_zero=True ) → void

Update the account balances.

There is no guarantee that every account currency is included in the given balances, therefore we only update included balances.

Parameters :

• balances ( list [ AccountBalance ] ) – The balances for the update.

• allow_zero ( bool , default True ) – If zero balances are allowed (will then just clear the assets balance).

Raises :

ValueError – If balances is empty.

update_commissions ( self , Money commission ) → void

Update the commissions.

Can be negative which represents credited commission.

Parameters :

commission ( Money ) – The commission to update with.

Warning

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

class MarginAccount ( AccountState event , bool calculate_account_state=False )

Bases: Account

Provides a margin account.

Parameters :

• event ( AccountState ) – The initial account state event.

• calculate_account_state ( bool , optional ) – If the account state should be calculated from order fills.

Raises :

ValueError – If event.account_type is not equal to MARGIN .

apply ( self , AccountState event ) → void

Apply the given account event to the account.

Parameters :

event ( AccountState ) – The account event to apply.

Raises :

• ValueError – If event.account_type is not equal to self.type .

• ValueError – If event.account_id is not equal to self.id .

• ValueError – If event.base_currency is not equal to self.base_currency .

Warning

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

balance ( self , Currency currency=None ) → AccountBalance

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

AccountBalance or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_free ( self , Currency currency=None ) → Money

Return the account balance free.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

Money or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_impact ( self , Instrument instrument , Quantity quantity , Price price , OrderSide order_side ) → Money

balance_locked ( self , Currency currency=None ) → Money

Return the account balance locked.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

Money or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balance_total ( self , Currency currency=None ) → Money

Return the current account balance total.

For multi-currency accounts, specify the currency for the query.

Parameters :

currency ( Currency , optional ) – The currency for the query. If None then will use the default currency (if set).

Returns :

Money or None

Raises :

ValueError – If currency is None and base_currency is None .

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

balances ( self ) → dict

Return the account balances totals.

Returns :

dict[Currency, Money]

balances_free ( self ) → dict

Return the account balances free.

Returns :

dict[Currency, Money]

balances_locked ( self ) → dict

Return the account balances locked.

Returns :

dict[Currency, Money]

balances_total ( self ) → dict

Return the account balances totals.

Returns :

dict[Currency, Money]

base_currency

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

Returns :

Currency or None

calculate_account_state

If the accounts state should be calculated by Nautilus.

Returns :

bool

calculate_commission ( self , Instrument instrument , Quantity last_qty , Price last_px , LiquiditySide liquidity_side , bool use_quote_for_inverse=False ) → Money

Calculate the commission generated from a transaction with the given parameters.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :

• instrument ( Instrument ) – The instrument for the calculation.

• last_qty ( Quantity ) – The transaction quantity.

• last_px ( Price ) – The transaction price.

• liquidity_side (LiquiditySide { MAKER , TAKER }) – The liquidity side for the transaction.

• use_quote_for_inverse ( bool ) – If inverse instrument calculations use quote currency (instead of base).

Returns :

Money

Raises :

ValueError – If liquidity_side is NO_LIQUIDITY_SIDE .

calculate_margin_init ( self , Instrument instrument , Quantity quantity , Price price , bool use_quote_for_inverse=False ) → Money

Calculate the initial (order) margin.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :

• instrument ( Instrument ) – The instrument for the calculation.

• quantity ( Quantity ) – The order quantity.

• price ( Price ) – The order price.

• use_quote_for_inverse ( bool ) – If inverse instrument calculations use quote currency (instead of base).

Returns :

Money

calculate_margin_maint ( self , Instrument instrument , PositionSide side , Quantity quantity , Price price , bool use_quote_for_inverse=False ) → Money

Calculate the maintenance (position) margin.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :

• instrument ( Instrument ) – The instrument for the calculation.

• side (PositionSide { LONG , SHORT }) – The currency position side.

• quantity ( Quantity ) – The currency position quantity.

• price ( Price ) – The positions current price.

• use_quote_for_inverse ( bool ) – If inverse instrument calculations use quote currency (instead of base).

Returns :

Money

calculate_pnls ( self , Instrument instrument , OrderFilled fill , Position position: Position | None = None ) → list

Return the calculated PnL.

The calculation does not include any commissions.

Parameters :

• instrument ( Instrument ) – The instrument for the calculation.

• fill ( OrderFilled ) – The fill for the calculation.

• position ( Position , optional ) – The position for the calculation.

Returns :

list[Money]

clear_margin ( self , InstrumentId instrument_id ) → void

Clear the maintenance (position) margins for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument for the maintenance margin to clear.

Warning

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

clear_margin_init ( self , InstrumentId instrument_id ) → void

Clear the initial (order) margins for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument for the initial margin to clear.

Warning

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

clear_margin_maint ( self , InstrumentId instrument_id ) → void

Clear the maintenance (position) margins for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument for the maintenance margin to clear.

Warning

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

commission ( self , Currency currency ) → Money

Return the total commissions for the given currency.

Parameters :

currency ( Currency ) – The currency for the commission.

Returns :

Money or None

commissions ( self ) → dict

Return the total commissions for the account.

currencies ( self ) → list

Return the account currencies.

Returns :

list[Currency]

default_leverage

The accounts default leverage setting.

Returns :

Decimal

event_count

Return the count of events.

Returns :

int

events

Return all events received by the account.

Returns :

list[AccountState]

static from_dict ( dict values )

id

The accounts ID.

Returns :

AccountId

is_cash_account

If the account is a type of CASH account.

is_margin_account

If the account is a type of MARGIN account.

is_unleveraged ( self , InstrumentId instrument_id ) → bool

last_event

Return the accounts last state event.

Returns :

AccountState

leverage ( self , InstrumentId instrument_id )

Return the leverage for the given instrument (if found).

Parameters :

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

Returns :

Decimal or None

leverages ( self ) → dict

Return the account leverages.

Returns :

dict[InstrumentId, Decimal]

margin ( self , InstrumentId instrument_id ) → MarginBalance

Return the current margin balance.

Parameters :

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

Returns :

MarginBalance or None

Warning

Returns None if there is no applicable information for the query, rather than MarginBalance with zero amounts.

margin_init ( self , InstrumentId instrument_id ) → Money

Return the current initial (order) margin.

Parameters :

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

Returns :

Money or None

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

margin_maint ( self , InstrumentId instrument_id ) → Money

Return the current maintenance (position) margin.

Parameters :

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

Returns :

Money or None

Warning

Returns None if there is no applicable information for the query, rather than Money of zero amount.

margins ( self ) → dict

Return the initial (order) margins for the account.

Returns :

dict[InstrumentId, Money]

margins_init ( self ) → dict

Return the initial (order) margins for the account.

Returns :

dict[InstrumentId, Money]

margins_maint ( self ) → dict

Return the maintenance (position) margins for the account.

Returns :

dict[InstrumentId, Money]

set_default_leverage ( self , leverage : Decimal ) → void

Set the default leverage for the account (if not specified by instrument).

Parameters :

leverage ( Decimal ) – The default leverage value

Returns :

• TypeError – If leverage is not of type Decimal .

• ValueError – If leverage is not >= 1.

set_leverage ( self , InstrumentId instrument_id , leverage: Decimal ) → void

Set the leverage for the given instrument.

Parameters :

• instrument_id ( InstrumentId ) – The instrument for the leverage.

• leverage ( Decimal ) – The leverage value

Returns :

• TypeError – If leverage is not of type Decimal .

• ValueError – If leverage is not >= 1.

starting_balances ( self ) → dict

Return the account starting balances.

Returns :

dict[Currency, Money]

static to_dict ( MarginAccount obj )

type

The accounts type.

Returns :

AccountType

update_balances ( self , list balances , bool allow_zero=True ) → void

Update the account balances.

There is no guarantee that every account currency is included in the given balances, therefore we only update included balances.

Parameters :

• balances ( list [ AccountBalance ] ) – The balances for the update.

• allow_zero ( bool , default True ) – If zero balances are allowed (will then just clear the assets balance).

Raises :

ValueError – If balances is empty.

update_commissions ( self , Money commission ) → void

Update the commissions.

Can be negative which represents credited commission.

Parameters :

commission ( Money ) – The commission to update with.

Warning

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

update_margin ( self , MarginBalance margin ) → void

Update the margin balance.

Parameters :

margin ( MarginBalance ) –

Warning

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

update_margin_init ( self , InstrumentId instrument_id , Money margin_init ) → void

Update the initial (order) margin.

Parameters :

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

• margin_init ( Money ) – The current initial (order) margin for the instrument.

Raises :

ValueError – If margin_init is negative (< 0).

Warning

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

update_margin_maint ( self , InstrumentId instrument_id , Money margin_maint ) → void

Update the maintenance (position) margin.

Parameters :

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

• margin_maint ( Money ) – The current maintenance (position) margin for the instrument.

Raises :

ValueError – If margin_maint is negative (< 0).

Warning

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

class ExchangeRateCalculator

Bases: object

Provides exchange rate calculations between currencies.

An exchange rate is the value of one asset versus that of another.

get_rate ( self , Currency from_currency , Currency to_currency , PriceType price_type , dict bid_quotes , dict ask_quotes ) → double

Return the calculated exchange rate for the given price type using the given dictionary of bid and ask quotes.

Parameters :

• from_currency ( Currency ) – The currency to convert from.

• to_currency ( Currency ) – The currency to convert to.

• price_type ( PriceType ) – The price type for conversion.

• bid_quotes ( dict ) – The dictionary of currency pair bid quotes dict[Symbol, double].

• ask_quotes ( dict ) – The dictionary of currency pair ask quotes dict[Symbol, double].

Returns :

Decimal

Raises :

• ValueError – If bid_quotes length is not equal to ask_quotes length.

• ValueError – If price_type is LAST .

Notes

If insufficient data to calculate exchange rate then will return 0.

class RolloverInterestCalculator ( data : pd.DataFrame )

Bases: object

Provides rollover interest rate calculations.

If rate_data_csv_path is empty then will default to the included short-term interest rate data csv (data since 1956).

Parameters :

data ( str ) – The short term interest rate data.

calc_overnight_rate ( self , InstrumentId instrument_id , date date )

Return the rollover interest rate between the given base currency and quote currency.

Parameters :

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

• date ( date ) – The date for the overnight rate.

Returns :

Decimal

Raises :

ValueError – If instrument_id.symbol length is not in range [6, 7].

Notes

1% = 0.01 bp

get_rate_data ( self )

Return the short-term interest rate dataframe.

Returns :

pd.DataFrame

class AccountFactory

Bases: object

Provides a factory for creating different account types.

static create ( AccountState event ) → Account

Create an account based on the events account type.

Parameters :

event ( AccountState ) – The account state event for the creation.

Returns :

Account

static register_account_type ( unicode issuer , type account_cls )

Register the given custom account type for the issuer.

Parameters :

• issuer ( str ) – The issuer for the account.

• account_cls ( type ) – The custom account type.

Raises :

KeyError – If issuer has already registered a custom account type.

static register_calculated_account ( unicode issuer )

Register for account state of the given issuer to be calculated from order fills.

Parameters :

issuer ( str ) – The issuer for the account.

Raises :

KeyError – If an issuer has already been registered for the issuer .

class AccountsManager ( CacheFacade cache , Logger logger , Clock clock )

Bases: object

Provides account management functionality.

Parameters :

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

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

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