Binance

Provides an API integration for the Binance Crypto exchange.

Config

class BinanceDataClientConfig ( handle_revised_bars : bool = False , instrument_provider : InstrumentProviderConfig = InstrumentProviderConfig(load_all=False, load_ids=None, filters=None, filter_callable=None, log_warnings=True) , routing : RoutingConfig = RoutingConfig(default=False, venues=None) , api_key : Optional [ str ] = None , api_secret : Optional [ str ] = None , account_type : BinanceAccountType = BinanceAccountType.SPOT , base_url_http : Optional [ str ] = None , base_url_ws : Optional [ str ] = None , us : bool = False , testnet : bool = False , use_agg_trade_ticks : bool = False )

Bases: LiveDataClientConfig

Configuration for BinanceDataClient instances.

Parameters :

• api_key ( str , optional ) – The Binance API public key. If None then will source the BINANCE_API_KEY or BINANCE_TESTNET_API_KEY environment variables.

• api_secret ( str , optional ) – The Binance API public key. If None then will source the BINANCE_API_KEY or BINANCE_TESTNET_API_KEY environment variables.

• account_type ( BinanceAccountType , default BinanceAccountType.SPOT ) – The account type for the client.

• base_url_http ( str , optional ) – The HTTP client custom endpoint override.

• base_url_ws ( str , optional ) – The WebSocket client custom endpoint override.

• us ( bool , default False ) – If client is connecting to Binance US.

• testnet ( bool , default False ) – If the client is connecting to a Binance testnet.

• use_agg_trade_ticks ( bool , default False ) – Whether to use aggregated trade tick endpoints instead of raw trade ticks. TradeId of ticks will be the Aggregate tradeId returned by Binance.

dict ( ) → dict [ str , Any ]

Return a dictionary representation of the configuration.

Returns :

dict[str, Any]

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the NautilusConfig class.

Returns :

str

References

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

json ( ) → bytes

Return serialized JSON encoded bytes.

Returns :

bytes

classmethod parse ( raw : bytes ) → Any

Return a decoded object of the given cls .

Parameters :

• cls ( type ) – The type to decode to.

• raw ( bytes ) – The raw bytes to decode.

Returns :

Any

validate ( ) → bool

Return whether the configuration can be represented as valid JSON.

Returns :

bool

class BinanceExecClientConfig ( instrument_provider : InstrumentProviderConfig = InstrumentProviderConfig(load_all=False, load_ids=None, filters=None, filter_callable=None, log_warnings=True) , routing : RoutingConfig = RoutingConfig(default=False, venues=None) , api_key : Optional [ str ] = None , api_secret : Optional [ str ] = None , account_type : BinanceAccountType = BinanceAccountType.SPOT , base_url_http : Optional [ str ] = None , base_url_ws : Optional [ str ] = None , us : bool = False , testnet : bool = False , clock_sync_interval_secs : int = 0 , warn_gtd_to_gtc : bool = True )

Bases: LiveExecClientConfig

Configuration for BinanceExecutionClient instances.

Parameters :

• api_key ( str , optional ) – The Binance API public key. If None then will source the BINANCE_API_KEY or BINANCE_TESTNET_API_KEY environment variables.

• api_secret ( str , optional ) – The Binance API public key. If None then will source the BINANCE_API_KEY or BINANCE_TESTNET_API_KEY environment variables.

• account_type ( BinanceAccountType , default BinanceAccountType.SPOT ) – The account type for the client.

• base_url_http ( str , optional ) – The HTTP client custom endpoint override.

• base_url_ws ( str , optional ) – The WebSocket client custom endpoint override.

• us ( bool , default False ) – If client is connecting to Binance US.

• testnet ( bool , default False ) – If the client is connecting to a Binance testnet.

• warn_gtd_to_gtc ( bool , default True ) – If log warning for GTD time in force transformed to GTC.

dict ( ) → dict [ str , Any ]

Return a dictionary representation of the configuration.

Returns :

dict[str, Any]

classmethod fully_qualified_name ( ) → str

Return the fully qualified name for the NautilusConfig class.

Returns :

str

References

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

json ( ) → bytes

Return serialized JSON encoded bytes.

Returns :

bytes

classmethod parse ( raw : bytes ) → Any

Return a decoded object of the given cls .

Parameters :

• cls ( type ) – The type to decode to.

• raw ( bytes ) – The raw bytes to decode.

Returns :

Any

validate ( ) → bool

Return whether the configuration can be represented as valid JSON.

Returns :

bool

Factories

get_cached_binance_http_client ( loop : AbstractEventLoop , clock : LiveClock , logger : Logger , account_type : BinanceAccountType , key : Optional [ str ] = None , secret : Optional [ str ] = None , base_url : Optional [ str ] = None , is_testnet : bool = False , is_us : bool = False ) → BinanceHttpClient

Cache and return a Binance HTTP client with the given key and secret.

If a cached client with matching key and secret already exists, then that cached client will be returned.

Parameters :

• loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

• clock ( LiveClock ) – The clock for the client.

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

• account_type ( BinanceAccountType ) – The account type for the client.

• key ( str , optional ) – The API key for the client.

• secret ( str , optional ) – The API secret for the client.

• base_url ( str , optional ) – The base URL for the API endpoints.

• is_testnet ( bool , default False ) – If the client is connecting to the testnet API.

• is_us ( bool , default False ) – If the client is connecting to Binance US.

Returns :

BinanceHttpClient

get_cached_binance_spot_instrument_provider ( client : BinanceHttpClient , logger : Logger , clock : LiveClock , account_type : BinanceAccountType , config : InstrumentProviderConfig ) → BinanceSpotInstrumentProvider

Cache and return an instrument provider for the Binance Spot/Margin exchange.

If a cached provider already exists, then that provider will be returned.

Parameters :

• client ( BinanceHttpClient ) – The client for the instrument provider.

• logger ( Logger ) – The logger for the instrument provider.

• clock ( LiveClock ) – The clock for the instrument provider.

• account_type ( BinanceAccountType ) – The Binance account type for the instrument provider.

• config ( InstrumentProviderConfig ) – The configuration for the instrument provider.

Returns :

BinanceSpotInstrumentProvider

get_cached_binance_futures_instrument_provider ( client : BinanceHttpClient , logger : Logger , clock : LiveClock , account_type : BinanceAccountType , config : InstrumentProviderConfig ) → BinanceFuturesInstrumentProvider

Cache and return an instrument provider for the Binance Futures exchange.

If a cached provider already exists, then that provider will be returned.

Parameters :

• client ( BinanceHttpClient ) – The client for the instrument provider.

• logger ( Logger ) – The logger for the instrument provider.

• clock ( LiveClock ) – The clock for the instrument provider.

• account_type ( BinanceAccountType ) – The Binance account type for the instrument provider.

• config ( InstrumentProviderConfig ) – The configuration for the instrument provider.

Returns :

BinanceFuturesInstrumentProvider

class BinanceLiveDataClientFactory

Bases: LiveDataClientFactory

Provides a Binance live data client factory.

static create ( loop : AbstractEventLoop , name : str , config : BinanceDataClientConfig , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger ) → Union [ BinanceSpotDataClient , BinanceFuturesDataClient ]

Create a new Binance data client.

Parameters :

• loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

• name ( str ) – The client name.

• config ( BinanceDataClientConfig ) – The client configuration.

• msgbus ( MessageBus ) – The message bus for the client.

• cache ( Cache ) – The cache for the client.

• clock ( LiveClock ) – The clock for the client.

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

Returns :

BinanceSpotDataClient or BinanceFuturesDataClient

Raises :

ValueError – If config.account_type is not a valid BinanceAccountType .

class BinanceLiveExecClientFactory

Bases: LiveExecClientFactory

Provides a Binance live execution client factory.

static create ( loop : AbstractEventLoop , name : str , config : BinanceExecClientConfig , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger ) → Union [ BinanceSpotExecutionClient , BinanceFuturesExecutionClient ]

Create a new Binance execution client.

Parameters :

• loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

• name ( str ) – The client name.

• config ( BinanceExecClientConfig ) – The configuration for the client.

• msgbus ( MessageBus ) – The message bus for the client.

• cache ( Cache ) – The cache for the client.

• clock ( LiveClock ) – The clock for the client.

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

Returns :

BinanceExecutionClient

Raises :

ValueError – If config.account_type is not a valid BinanceAccountType .

Enums

class BinanceRateLimitType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance rate limit type.

class BinanceRateLimitInterval ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance rate limit interval.

class BinanceKlineInterval ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance kline chart interval.

class BinanceExchangeFilterType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance exchange filter type.

class BinanceSymbolFilterType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance symbol filter type.

class BinanceAccountType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance account type.

class BinanceOrderSide ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance order side.

class BinanceExecutionType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance execution type.

class BinanceOrderStatus ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance order status.

class BinanceTimeInForce ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance order time in force.

class BinanceOrderType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance order type.

class BinanceSecurityType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance endpoint security type.

class BinanceMethodType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance endpoint method type.

class BinanceNewOrderRespType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance newOrderRespType.

class BinanceEnumParser

Bases: object

Provides common parsing methods for enums used by the ‘Binance’ exchange.

Warning

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

Types

class BinanceBar ( bar_type : BarType , open : Price , high : Price , low : Price , close : Price , volume : Quantity , quote_volume : Decimal , count : int , taker_buy_base_volume : Decimal , taker_buy_quote_volume : Decimal , ts_event : int , ts_init : int )

Bases: Bar

Represents an aggregated Binance bar.

This data type includes the raw data provided by Binance .

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.

• quote_volume ( Decimal ) – The bars quote asset volume.

• count ( int ) – The number of trades for the bar.

• taker_buy_base_volume ( Decimal ) – The liquidity taker volume on the buy side for the base asset.

• taker_buy_quote_volume ( Decimal ) – The liquidity taker volume on the buy side for the quote asset.

• 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.

References

https://binance-docs.github.io/apidocs/spot/en/#kline-candlestick-data https://binance-docs.github.io/apidocs/futures/en/#kline-candlestick-data

static from_dict ( values : dict [ str , Any ] ) → BinanceBar

Return a Binance bar parsed from the given values.

Parameters :

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

Returns :

BinanceBar

static to_dict ( obj : BinanceBar ) → dict [ str , Any ]

Return a dictionary representation of this object.

Returns :

dict[str, Any]

bar_type

Return the bar type of bar.

Returns :

BarType

close

Return the close price of the bar.

Returns :

Price

classmethod fully_qualified_name ( type cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

high

Return the high price of the bar.

Returns :

Price

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

Return the low price of the bar.

Returns :

Price

open

Return the open price of the bar.

Returns :

Price

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

volume

Return the volume of the bar.

Returns :

Quantity

class BinanceTicker ( instrument_id : InstrumentId , price_change : Decimal , price_change_percent : Decimal , weighted_avg_price : Decimal , last_price : Decimal , last_qty : Decimal , open_price : Decimal , high_price : Decimal , low_price : Decimal , volume : Decimal , quote_volume : Decimal , open_time_ms : int , close_time_ms : int , first_id : int , last_id : int , count : int , ts_event : int , ts_init : int , prev_close_price : Optional [ Decimal ] = None , bid_price : Optional [ Decimal ] = None , bid_qty : Optional [ Decimal ] = None , ask_price : Optional [ Decimal ] = None , ask_qty : Optional [ Decimal ] = None )

Bases: Ticker

Represents a Binance 24hr statistics ticker.

This data type includes the raw data provided by Binance .

Parameters :

• instrument_id ( InstrumentId ) – The instrument ID.

• price_change ( Decimal ) – The price change.

• price_change_percent ( Decimal ) – The price change percent.

• weighted_avg_price ( Decimal ) – The weighted average price.

• prev_close_price ( Decimal , optional ) – The previous close price.

• last_price ( Decimal ) – The last price.

• last_qty ( Decimal ) – The last quantity.

• bid_price ( Decimal , optional ) – The bid price.

• bid_qty ( Decimal , optional ) – The bid quantity.

• ask_price ( Decimal , optional ) – The ask price.

• ask_qty ( Decimal , optional ) – The ask quantity.

• open_price ( Decimal ) – The open price.

• high_price ( Decimal ) – The high price.

• low_price ( Decimal ) – The low price.

• volume ( Decimal ) – The volume.

• quote_volume ( Decimal ) – The quote volume.

• open_time_ms ( int ) – The UNIX timestamp (milliseconds) when the ticker opened.

• close_time_ms ( int ) – The UNIX timestamp (milliseconds) when the ticker closed.

• first_id ( int ) – The first trade match ID (assigned by the venue) for the ticker.

• last_id ( int ) – The last trade match ID (assigned by the venue) for the ticker.

• count ( int ) – The count of trades over the tickers time range.

• 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.

References

https://binance-docs.github.io/apidocs/spot/en/#24hr-ticker-price-change-statistics https://binance-docs.github.io/apidocs/futures/en/#24hr-ticker-price-change-statistics

static from_dict ( values : dict [ str , Any ] ) → BinanceTicker

Return a Binance Spot/Margin ticker parsed from the given values.

Parameters :

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

Returns :

BinanceTicker

static to_dict ( obj : BinanceTicker ) → dict [ str , Any ]

Return a dictionary representation of this object.

Returns :

dict[str, Any]

classmethod fully_qualified_name ( type 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

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

Futures

Data

class BinanceFuturesDataClient ( loop : AbstractEventLoop , client : BinanceHttpClient , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , instrument_provider : InstrumentProvider , account_type : BinanceAccountType = BinanceAccountType.FUTURES_USDT , base_url_ws : Optional [ str ] = None , use_agg_trade_ticks : bool = False )

Bases: BinanceCommonDataClient

Provides a data client for the Binance Futures exchange.

Parameters :

• loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

• client ( BinanceHttpClient ) – The binance HTTP client.

• msgbus ( MessageBus ) – The message bus for the client.

• cache ( Cache ) – The cache for the client.

• clock ( LiveClock ) – The clock for the client.

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

• instrument_provider ( InstrumentProvider ) – The instrument provider.

• account_type ( BinanceAccountType ) – The account type for the client.

• base_url_ws ( str , optional ) – The base URL for the WebSocket client.

• use_agg_trade_ticks ( bool , default False ) – Whether to use aggregated trade tick endpoints instead of raw trade ticks. TradeId of ticks will be the Aggregate tradeId returned by Binance.

connect ( ) → None

Connect the client.

create_task ( coro : Coroutine , log_msg : Optional [ str ] = None , actions : Optional [ Callable ] = None , success : Optional [ str ] = None ) → Task

Run the given coroutine with error handling and optional callback actions when done.

Parameters :

• coro ( Coroutine ) – The coroutine to run.

• log_msg ( str , optional ) – The log message for the task.

• actions ( Callable , optional ) – The actions callback to run when the coroutine is done.

• success ( str , optional ) – The log message to write on actions success.

Returns :

asyncio.Task

degrade ( self ) → void

Degrade the component.

While executing on_degrade() , any exception will be logged and reraised. The component will remain in a DEGRADING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

disconnect ( ) → None

Disconnect the client.

dispose ( self ) → void

Dispose of the component.

While executing on_dispose() , any exception will be logged and reraised. The component will remain in a DISPOSING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

fault ( self ) → void

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

While executing on_fault() , any exception will be logged and reraised. The component will remain in a FAULTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name ( type cls ) → str

Return the fully qualified name for the components class.

Returns :

str

References

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

id

The components ID.

Returns :

ComponentId

is_connected

If the client is connected.

Returns :

bool

is_degraded

Return whether the current component state is DEGRADED .

Returns :

bool

is_disposed

Return whether the current component state is DISPOSED .

Returns :

bool

is_faulted

Return whether the current component state is FAULTED .

Returns :

bool

is_initialized

Return whether the component has been initialized (component.state >= INITIALIZED ).

Returns :

bool

is_running

Return whether the current component state is RUNNING .

Returns :

bool

is_stopped

Return whether the current component state is STOPPED .

Returns :

bool

request ( self , DataType data_type , UUID4 correlation_id ) → void

Request data for the given data type.

Parameters :

• data_type ( DataType ) – The data type for the subscription.

• correlation_id ( UUID4 ) – The correlation ID for the response.

request_bars ( self , BarType bar_type , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void

Request historical Bar data.

Parameters :

• bar_type ( BarType ) – The bar type for the request.

• limit ( int ) – The limit for the number of returned bars.

• correlation_id ( UUID4 ) – The correlation ID for the request.

• start ( datetime , optional ) – The specified from datetime for the data.

• end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

request_instrument ( self , InstrumentId instrument_id , UUID4 correlation_id ) → void

Request Instrument data for the given instrument ID.

Parameters :

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

• correlation_id ( UUID4 ) – The correlation ID for the request.

request_instruments ( self , Venue venue , UUID4 correlation_id ) → void

Request all Instrument data for the given venue.

Parameters :

• venue ( Venue ) – The venue for the request.

• correlation_id ( UUID4 ) – The correlation ID for the request.

request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void

Request historical QuoteTick data.

Parameters :

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

• limit ( int ) – The limit for the number of returned ticks.

• correlation_id ( UUID4 ) – The correlation ID for the request.

• start ( datetime , optional ) – The specified from datetime for the data.

• end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

request_trade_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void

Request historical TradeTick data.

Parameters :

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

• limit ( int ) – The limit for the number of returned ticks.

• correlation_id ( UUID4 ) – The correlation ID for the request.

• start ( datetime , optional ) – The specified from datetime for the data.

• end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

reset ( self ) → void

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() , any exception will be logged and reraised. The component will remain in a RESETTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

resume ( self ) → void

Resume the component.

While executing on_resume() , any exception will be logged and reraised. The component will remain in a RESUMING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

async run_after_delay ( delay : float , coro : Coroutine ) → None

Run the given coroutine after a delay.

Parameters :

• delay ( float ) – The delay (seconds) before running the coroutine.

• coro ( Coroutine ) – The coroutine to run after the initial delay.

start ( self ) → void

Start the component.

While executing on_start() , any exception will be logged and reraised. The component will remain in a STARTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state

Return the components current state.

Returns :

ComponentState

stop ( self ) → void

Stop the component.

While executing on_stop() , any exception will be logged and reraised. The component will remain in a STOPPING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

subscribe ( self , DataType data_type ) → void

Subscribe to data for the given data type.

Parameters :

data_type ( DataType ) – The data type for the subscription.

subscribe_bars ( self , BarType bar_type ) → void

Subscribe to Bar data for the given bar type.

Parameters :

bar_type ( BarType ) – The bar type to subscribe to.

subscribe_instrument ( self , InstrumentId instrument_id ) → void

Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close ( self , InstrumentId instrument_id ) → void

Subscribe to InstrumentClose updates for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void

Subscribe to InstrumentStatusUpdates data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_instruments ( self ) → void

Subscribe to all Instrument data.

subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) → void

Subscribe to OrderBookDeltas data for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The order book instrument to subscribe to.

• book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.

• depth ( int , optional , default None ) – The maximum depth for the subscription.

• kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

subscribe_order_book_snapshots ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) → void

Subscribe to OrderBookSnapshot data for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The order book instrument to subscribe to.

• book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.

• depth ( int , optional ) – The maximum depth for the order book. A depth of 0 is maximum depth.

• kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

subscribe_quote_ticks ( self , InstrumentId instrument_id ) → void

Subscribe to QuoteTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_ticker ( self , InstrumentId instrument_id ) → void

Subscribe to Ticker data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The ticker instrument to subscribe to.

subscribe_trade_ticks ( self , InstrumentId instrument_id ) → void

Subscribe to TradeTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_venue_status_updates ( self , Venue venue ) → void

Subscribe to InstrumentStatusUpdate data for the venue.

Parameters :

venue ( Venue ) – The venue to subscribe to.

subscribed_bars ( self ) → list

Return the bar types subscribed to.

Returns :

list[BarType]

subscribed_generic_data ( self ) → list

Return the generic data types subscribed to.

Returns :

list[DataType]

subscribed_instrument_close ( self ) → list

Return the instrument closes subscribed to.

Returns :

list[InstrumentId]

subscribed_instrument_status_updates ( self ) → list

Return the status update instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_instruments ( self ) → list

Return the instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_order_book_deltas ( self ) → list

Return the order book delta instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_order_book_snapshots ( self ) → list

Return the order book snapshot instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_quote_ticks ( self ) → list

Return the quote tick instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_tickers ( self ) → list

Return the ticker instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_trade_ticks ( self ) → list

Return the trade tick instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_venue_status_updates ( self ) → list

Return the status update instruments subscribed to.

Returns :

list[InstrumentId]

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

unsubscribe ( self , DataType data_type ) → void

Unsubscribe from data for the given data type.

Parameters :

data_type ( DataType ) – The data type for the subscription.

unsubscribe_bars ( self , BarType bar_type ) → void

Unsubscribe from Bar data for the given bar type.

Parameters :

bar_type ( BarType ) – The bar type to unsubscribe from.

unsubscribe_instrument ( self , InstrumentId instrument_id ) → void

Unsubscribe from Instrument data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument to unsubscribe from.

unsubscribe_instrument_close ( self , InstrumentId instrument_id ) → void

Unsubscribe from InstrumentClose data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to unsubscribe from.

unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void

Unsubscribe from InstrumentStatusUpdate data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument status updates to unsubscribe from.

unsubscribe_instruments ( self ) → void

Unsubscribe from all Instrument data.

unsubscribe_order_book_deltas ( self , InstrumentId instrument_id ) → void

Unsubscribe from OrderBookDeltas data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The order book instrument to unsubscribe from.

unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id ) → void

Unsubscribe from OrderBookSnapshot data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The order book instrument to unsubscribe from.

unsubscribe_quote_ticks ( self , InstrumentId instrument_id ) → void

Unsubscribe from QuoteTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to unsubscribe from.

unsubscribe_ticker ( self , InstrumentId instrument_id ) → void

Unsubscribe from Ticker data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The ticker instrument to unsubscribe from.

unsubscribe_trade_ticks ( self , InstrumentId instrument_id ) → void

Unsubscribe from TradeTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to unsubscribe from.

unsubscribe_venue_status_updates ( self , Venue venue ) → void

Unsubscribe from InstrumentStatusUpdate data for the given venue.

Parameters :

venue ( Venue ) – The venue to unsubscribe from.

venue

The clients venue ID (if not a routing client).

Returns :

Venue or None

Enums

class BinanceFuturesContractType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance Futures derivatives contract type.

class BinanceFuturesContractStatus ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance Futures contract status.

class BinanceFuturesPositionSide ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance Futures position side.

class BinanceFuturesWorkingType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance Futures working type.

class BinanceFuturesMarginType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance Futures margin type.

class BinanceFuturesPositionUpdateReason ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance Futures position and balance update reason.

class BinanceFuturesEventType ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

Represents a Binance Futures event type.

class BinanceFuturesEnumParser

Bases: BinanceEnumParser

Provides parsing methods for enums used by the ‘Binance Futures’ exchange.

Execution

class BinanceFuturesExecutionClient ( loop : AbstractEventLoop , client : BinanceHttpClient , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , instrument_provider : BinanceFuturesInstrumentProvider , account_type : BinanceAccountType = BinanceAccountType.FUTURES_USDT , base_url_ws : Optional [ str ] = None , warn_gtd_to_gtc : bool = True )

Bases: BinanceCommonExecutionClient

Provides an execution client for the Binance Futures exchange.

Parameters :

• loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

• client ( BinanceHttpClient ) – The binance HTTP client.

• msgbus ( MessageBus ) – The message bus for the client.

• cache ( Cache ) – The cache for the client.

• clock ( LiveClock ) – The clock for the client.

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

• instrument_provider ( BinanceFuturesInstrumentProvider ) – The instrument provider.

• account_type ( BinanceAccountType ) – The account type for the client.

• base_url_ws ( str , optional ) – The base URL for the WebSocket client.

• warn_gtd_to_gtc ( bool , default True ) – If log warning for GTD time in force transformed to GTC.

account_id

The clients account ID.

Returns :

AccountId or None

account_type

The clients account type.

Returns :

AccountType

base_currency

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

Returns :

Currency or None

cancel_all_orders ( self , CancelAllOrders command ) → void

Cancel all orders for the instrument ID contained in the given command.

Parameters :

command ( CancelAllOrders ) – The command to execute.

cancel_order ( self , CancelOrder command ) → void

Cancel the order with the client order ID contained in the given command.

Parameters :

command ( CancelOrder ) – The command to execute.

connect ( ) → None

Connect the client.

create_task ( coro : Coroutine , log_msg : Optional [ str ] = None , actions : Optional [ Callable ] = None , success : Optional [ str ] = None ) → Task

Run the given coroutine with error handling and optional callback actions when done.

Parameters :

• coro ( Coroutine ) – The coroutine to run.

• log_msg ( str , optional ) – The log message for the task.

• actions ( Callable , optional ) – The actions callback to run when the coroutine is done.

• success ( str , optional ) – The log message to write on actions success.

Returns :

asyncio.Task

degrade ( self ) → void

Degrade the component.

While executing on_degrade() , any exception will be logged and reraised. The component will remain in a DEGRADING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

disconnect ( ) → None

Disconnect the client.

dispose ( self ) → void

Dispose of the component.

While executing on_dispose() , any exception will be logged and reraised. The component will remain in a DISPOSING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

fault ( self ) → void

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

While executing on_fault() , any exception will be logged and reraised. The component will remain in a FAULTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name ( type cls ) → str

Return the fully qualified name for the components class.

Returns :

str

References

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

generate_account_state ( self , list balances , list margins , bool reported , uint64_t ts_event , dict info=None ) → void

Generate an AccountState event and publish on the message bus.

Parameters :

• balances ( list [ AccountBalance ] ) – The account balances.

• margins ( list [ MarginBalance ] ) – The margin balances.

• reported ( bool ) – If the balances are reported directly from the exchange.

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

• info ( dict [ str , object ] ) – The additional implementation specific account information.

async generate_mass_status ( lookback_mins : Optional [ int ] = None ) → ExecutionMassStatus

Generate an ExecutionMassStatus report.

Parameters :

lookback_mins ( int , optional ) – The maximum lookback for querying closed orders, trades and positions.

Returns :

ExecutionMassStatus

generate_order_accepted ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderAccepted event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

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

generate_order_cancel_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , unicode reason , uint64_t ts_event ) → void

Generate an OrderCancelRejected event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• reason ( str ) – The order cancel rejected reason.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

generate_order_canceled ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderCanceled event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when order canceled event occurred.

generate_order_expired ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderExpired event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

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

generate_order_filled ( self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: Optional[PositionId], TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event ) → void

Generate an OrderFilled event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• trade_id ( TradeId ) – The trade ID.

• venue_position_id (PositionId, optional with no default so None must be passed explicitly) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.

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

• order_type ( OrderType ) – The execution order type.

• last_qty ( Quantity ) – The fill quantity for this execution.

• last_px ( Price ) – The fill price for this execution (not average price).

• quote_currency ( Currency ) – The currency of the price.

• commission ( Money ) – The fill commission.

• liquidity_side (LiquiditySide { NO_LIQUIDITY_SIDE , MAKER , TAKER }) – The execution liquidity side.

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

generate_order_modify_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , unicode reason , uint64_t ts_event ) → void

Generate an OrderModifyRejected event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• reason ( str ) – The order update rejected reason.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , unicode reason , uint64_t ts_event ) → void

Generate an OrderRejected event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• reason ( datetime ) – The order rejected reason.

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

async generate_order_status_report ( instrument_id : InstrumentId , client_order_id : Optional [ ClientOrderId ] = None , venue_order_id : Optional [ VenueOrderId ] = None ) → Optional [ OrderStatusReport ]

Generate an OrderStatusReport for the given order identifier parameter(s).

If the order is not found, or an error occurs, then logs and returns None .

Parameters :

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

• client_order_id ( ClientOrderId , optional ) – The client order ID for the report.

• venue_order_id ( VenueOrderId , optional ) – The venue order ID for the report.

Returns :

OrderStatusReport or None

Raises :

ValueError – If both the client_order_id and venue_order_id are None .

async generate_order_status_reports ( instrument_id : InstrumentId = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None , open_only : bool = False ) → list [ nautilus_trader.execution.reports.OrderStatusReport ]

Generate a list of ` OrderStatusReport`s with optional query filters.

The returned list may be empty if no orders match the given parameters.

Parameters :

• instrument_id ( InstrumentId , optional ) – The instrument ID query filter.

• start ( pd.Timestamp , optional ) – The start datetime query filter.

• end ( pd.Timestamp , optional ) – The end datetime query filter.

• open_only ( bool , default False ) – If the query is for open orders only.

Returns :

list[OrderStatusReport]

generate_order_submitted ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , uint64_t ts_event ) → void

Generate an OrderSubmitted event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

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

generate_order_triggered ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderTriggered event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

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

generate_order_updated ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , Quantity quantity , Price price , Price trigger_price , uint64_t ts_event , bool venue_order_id_modified=False ) → void

Generate an OrderUpdated event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• quantity ( Quantity ) – The orders current quantity.

• price ( Price ) – The orders current price.

• trigger_price (Price, optional with no default so None must be passed explicitly) – The orders current trigger price.

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

• venue_order_id_modified ( bool ) – If the ID was modified for this event.

async generate_position_status_reports ( instrument_id : InstrumentId = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) → list [ nautilus_trader.execution.reports.PositionStatusReport ]

Generate a list of ` PositionStatusReport`s with optional query filters.

The returned list may be empty if no positions match the given parameters.

Parameters :

• instrument_id ( InstrumentId , optional ) – The instrument ID query filter.

• start ( pd.Timestamp , optional ) – The start datetime query filter.

• end ( pd.Timestamp , optional ) – The end datetime query filter.

Returns :

list[PositionStatusReport]

async generate_trade_reports ( instrument_id : InstrumentId = None , venue_order_id : VenueOrderId = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) → list [ nautilus_trader.execution.reports.TradeReport ]

Generate a list of ` TradeReport`s with optional query filters.

The returned list may be empty if no trades match the given parameters.

Parameters :

• instrument_id ( InstrumentId , optional ) – The instrument ID query filter.

• venue_order_id ( VenueOrderId , optional ) – The venue order ID (assigned by the venue) query filter.

• start ( pd.Timestamp , optional ) – The start datetime query filter.

• end ( pd.Timestamp , optional ) – The end datetime query filter.

Returns :

list[TradeReport]

get_account ( self ) → Account

Return the account for the client (if registered).

Returns :

Account or None

id

The components ID.

Returns :

ComponentId

is_connected

If the client is connected.

Returns :

bool

is_degraded

Return whether the current component state is DEGRADED .

Returns :

bool

is_disposed

Return whether the current component state is DISPOSED .

Returns :

bool

is_faulted

Return whether the current component state is FAULTED .

Returns :

bool

is_initialized

Return whether the component has been initialized (component.state >= INITIALIZED ).

Returns :

bool

is_running

Return whether the current component state is RUNNING .

Returns :

bool

is_stopped

Return whether the current component state is STOPPED .

Returns :

bool

modify_order ( self , ModifyOrder command ) → void

Modify the order with parameters contained in the command.

Parameters :

command ( ModifyOrder ) – The command to execute.

oms_type

The venues order management system type.

Returns :

OmsType

query_order ( self , QueryOrder command ) → void

Initiate a reconciliation for the queried order which will generate an OrderStatusReport .

Parameters :

command ( QueryOrder ) – The command to execute.

reset ( self ) → void

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() , any exception will be logged and reraised. The component will remain in a RESETTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

resume ( self ) → void

Resume the component.

While executing on_resume() , any exception will be logged and reraised. The component will remain in a RESUMING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

async run_after_delay ( delay : float , coro : Coroutine ) → None

Run the given coroutine after a delay.

Parameters :

• delay ( float ) – The delay (seconds) before running the coroutine.

• coro ( Coroutine ) – The coroutine to run after the initial delay.

start ( self ) → void

Start the component.

While executing on_start() , any exception will be logged and reraised. The component will remain in a STARTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state

Return the components current state.

Returns :

ComponentState

stop ( self ) → void

Stop the component.

While executing on_stop() , any exception will be logged and reraised. The component will remain in a STOPPING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

submit_order ( self , SubmitOrder command ) → void

Submit the order contained in the given command for execution.

Parameters :

command ( SubmitOrder ) – The command to execute.

submit_order_list ( self , SubmitOrderList command ) → void

Submit the order list contained in the given command for execution.

Parameters :

command ( SubmitOrderList ) – The command to execute.

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

venue

The clients venue ID (if not a routing client).

Returns :

Venue or None

Providers

class BinanceFuturesInstrumentProvider ( client : BinanceHttpClient , logger : Logger , clock : LiveClock , account_type : BinanceAccountType = BinanceAccountType.FUTURES_USDT , config : Optional [ InstrumentProviderConfig ] = None )

Bases: InstrumentProvider

Provides a means of loading instruments from the Binance Futures exchange.

Parameters :

• client ( APIClient ) – The client for the provider.

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

• config ( InstrumentProviderConfig , optional ) – The configuration for the provider.

async load_all_async ( filters : Optional [ dict ] = None ) → None

Load the latest instruments into the provider asynchronously, optionally applying the given filters.

async load_ids_async ( instrument_ids : list [ nautilus_trader.model.identifiers.InstrumentId ] , filters : Optional [ dict ] = None ) → None

Load the instruments for the given IDs into the provider, optionally applying the given filters.

Parameters :

• instrument_ids ( list [ InstrumentId ] ) – The instrument IDs to load.

• filters ( dict , optional ) – The venue specific instrument loading filters to apply.

Raises :

ValueError – If any instrument_id.venue is not equal to self.venue .

async load_async ( instrument_id : InstrumentId , filters : Optional [ dict ] = None ) → None

Load the instrument for the given ID into the provider asynchronously, optionally applying the given filters.

Parameters :

• instrument_id ( InstrumentId ) – The instrument ID to load.

• filters ( dict , optional ) – The venue specific instrument loading filters to apply.

Raises :

ValueError – If instrument_id.venue is not equal to self.venue .

add ( instrument : Instrument ) → None

Add the given instrument to the provider.

Parameters :

instrument ( Instrument ) – The instrument to add.

add_bulk ( instruments : list [ nautilus_trader.model.instruments.base.Instrument ] ) → None

Add the given instruments bulk to the provider.

Parameters :

instruments ( list [ Instrument ] ) – The instruments to add.

add_currency ( currency : Currency ) → None

Add the given currency to the provider.

Parameters :

currency ( Currency ) – The currency to add.

property count : int

Return the count of instruments held by the provider.

Returns :

int

currencies ( ) → dict [ str , nautilus_trader.model.currency.Currency ]

Return all currencies held by the instrument provider.

Returns :

dict[str, Currency]

currency ( code : str ) → Optional [ Currency ]

Return the currency with the given code (if found).

Parameters :

code ( str ) – The currency code.

Returns :

Currency or None

Raises :

ValueError – If code is not a valid string.

find ( instrument_id : InstrumentId ) → Optional [ Instrument ]

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

Parameters :

instrument_id ( InstrumentId ) – The ID for the instrument

Returns :

Instrument or None

get_all ( ) → dict [ nautilus_trader.model.identifiers.InstrumentId , nautilus_trader.model.instruments.base.Instrument ]

Return all loaded instruments as a map keyed by instrument ID.

If no instruments loaded, will return an empty dict.

Returns :

dict[InstrumentId, Instrument]

async initialize ( ) → None

Initialize the instrument provider.

If initialize() then will immediately return.

list_all ( ) → list [ nautilus_trader.model.instruments.base.Instrument ]

Return all loaded instruments.

Returns :

list[Instrument]

load ( instrument_id : InstrumentId , filters : Optional [ dict ] = None ) → None

Load the instrument for the given ID into the provider, optionally applying the given filters.

Parameters :

• instrument_id ( InstrumentId ) – The instrument ID to load.

• filters ( dict , optional ) – The venue specific instrument loading filters to apply.

load_all ( filters : Optional [ dict ] = None ) → None

Load the latest instruments into the provider, optionally applying the given filters.

Parameters :

filters ( dict , optional ) – The venue specific instrument loading filters to apply.

load_ids ( instrument_ids : list [ nautilus_trader.model.identifiers.InstrumentId ] , filters : Optional [ dict ] = None ) → None

Load the instruments for the given IDs into the provider, optionally applying the given filters.

Parameters :

• instrument_ids ( list [ InstrumentId ] ) – The instrument IDs to load.

• filters ( dict , optional ) – The venue specific instrument loading filters to apply.

property venue : Venue

Return the providers venue.

Returns :

Venue

Types

class BinanceFuturesMarkPriceUpdate ( instrument_id : InstrumentId , mark : Price , index : Price , estimated_settle : Price , funding_rate : Decimal , ts_next_funding : int , ts_event : int , ts_init : int )

Bases: Data

Represents a Binance Futures mark price and funding rate update.

Parameters :

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

• mark ( Price ) – The mark price for the instrument.

• index ( Price ) – The index price for the instrument.

• estimated_settle ( Price ) – The estimated settle price for the instrument (only useful in the last hour before the settlement starts).

• funding_rate ( Decimal ) – The current funding rate for the instrument.

• ts_next_funding ( uint64_t ) – The UNIX timestamp (nanoseconds) when next funding will occur.

• 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.

References

https://binance-docs.github.io/apidocs/futures/en/#mark-price-stream

static from_dict ( values : dict [ str , Any ] ) → BinanceFuturesMarkPriceUpdate

Return a Binance Futures mark price update parsed from the given values.

Parameters :

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

Returns :

BinanceFuturesMarkPriceUpdate

static to_dict ( obj : BinanceFuturesMarkPriceUpdate ) → dict [ str , Any ]

Return a dictionary representation of this object.

Returns :

dict[str, Any]

classmethod fully_qualified_name ( type cls ) → str

Return the fully qualified name for the Data class.

Returns :

str

References

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

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

Spot

Data

class BinanceSpotDataClient ( loop : AbstractEventLoop , client : BinanceHttpClient , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , instrument_provider : InstrumentProvider , account_type : BinanceAccountType = BinanceAccountType.SPOT , base_url_ws : Optional [ str ] = None , use_agg_trade_ticks : bool = False )

Bases: BinanceCommonDataClient

Provides a data client for the Binance Spot/Margin exchange.

Parameters :

• loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

• client ( BinanceHttpClient ) – The binance HTTP client.

• msgbus ( MessageBus ) – The message bus for the client.

• cache ( Cache ) – The cache for the client.

• clock ( LiveClock ) – The clock for the client.

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

• instrument_provider ( InstrumentProvider ) – The instrument provider.

• account_type ( BinanceAccountType ) – The account type for the client.

• base_url_ws ( str , optional ) – The base URL for the WebSocket client.

• use_agg_trade_ticks ( bool , default False ) – Whether to use aggregated trade tick endpoints instead of raw trade ticks. TradeId of ticks will be the Aggregate tradeId returned by Binance.

connect ( ) → None

Connect the client.

create_task ( coro : Coroutine , log_msg : Optional [ str ] = None , actions : Optional [ Callable ] = None , success : Optional [ str ] = None ) → Task

Run the given coroutine with error handling and optional callback actions when done.

Parameters :

• coro ( Coroutine ) – The coroutine to run.

• log_msg ( str , optional ) – The log message for the task.

• actions ( Callable , optional ) – The actions callback to run when the coroutine is done.

• success ( str , optional ) – The log message to write on actions success.

Returns :

asyncio.Task

degrade ( self ) → void

Degrade the component.

While executing on_degrade() , any exception will be logged and reraised. The component will remain in a DEGRADING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

disconnect ( ) → None

Disconnect the client.

dispose ( self ) → void

Dispose of the component.

While executing on_dispose() , any exception will be logged and reraised. The component will remain in a DISPOSING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

fault ( self ) → void

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

While executing on_fault() , any exception will be logged and reraised. The component will remain in a FAULTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

classmethod fully_qualified_name ( type cls ) → str

Return the fully qualified name for the components class.

Returns :

str

References

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

id

The components ID.

Returns :

ComponentId

is_connected

If the client is connected.

Returns :

bool

is_degraded

Return whether the current component state is DEGRADED .

Returns :

bool

is_disposed

Return whether the current component state is DISPOSED .

Returns :

bool

is_faulted

Return whether the current component state is FAULTED .

Returns :

bool

is_initialized

Return whether the component has been initialized (component.state >= INITIALIZED ).

Returns :

bool

is_running

Return whether the current component state is RUNNING .

Returns :

bool

is_stopped

Return whether the current component state is STOPPED .

Returns :

bool

request ( self , DataType data_type , UUID4 correlation_id ) → void

Request data for the given data type.

Parameters :

• data_type ( DataType ) – The data type for the subscription.

• correlation_id ( UUID4 ) – The correlation ID for the response.

request_bars ( self , BarType bar_type , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void

Request historical Bar data.

Parameters :

• bar_type ( BarType ) – The bar type for the request.

• limit ( int ) – The limit for the number of returned bars.

• correlation_id ( UUID4 ) – The correlation ID for the request.

• start ( datetime , optional ) – The specified from datetime for the data.

• end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

request_instrument ( self , InstrumentId instrument_id , UUID4 correlation_id ) → void

Request Instrument data for the given instrument ID.

Parameters :

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

• correlation_id ( UUID4 ) – The correlation ID for the request.

request_instruments ( self , Venue venue , UUID4 correlation_id ) → void

Request all Instrument data for the given venue.

Parameters :

• venue ( Venue ) – The venue for the request.

• correlation_id ( UUID4 ) – The correlation ID for the request.

request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void

Request historical QuoteTick data.

Parameters :

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

• limit ( int ) – The limit for the number of returned ticks.

• correlation_id ( UUID4 ) – The correlation ID for the request.

• start ( datetime , optional ) – The specified from datetime for the data.

• end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

request_trade_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start=None , datetime end=None ) → void

Request historical TradeTick data.

Parameters :

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

• limit ( int ) – The limit for the number of returned ticks.

• correlation_id ( UUID4 ) – The correlation ID for the request.

• start ( datetime , optional ) – The specified from datetime for the data.

• end ( datetime , optional ) – The specified to datetime for the data. If None then will default to the current datetime.

reset ( self ) → void

Reset the component.

All stateful fields are reset to their initial value.

While executing on_reset() , any exception will be logged and reraised. The component will remain in a RESETTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

resume ( self ) → void

Resume the component.

While executing on_resume() , any exception will be logged and reraised. The component will remain in a RESUMING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

async run_after_delay ( delay : float , coro : Coroutine ) → None

Run the given coroutine after a delay.

Parameters :

• delay ( float ) – The delay (seconds) before running the coroutine.

• coro ( Coroutine ) – The coroutine to run after the initial delay.

start ( self ) → void

Start the component.

While executing on_start() , any exception will be logged and reraised. The component will remain in a STARTING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

state

Return the components current state.

Returns :

ComponentState

stop ( self ) → void

Stop the component.

While executing on_stop() , any exception will be logged and reraised. The component will remain in a STOPPING state.

Warning

Do not override.

If the component is not in a valid state from which to execute this method, then the component state will not change, and an error will be logged.

subscribe ( self , DataType data_type ) → void

Subscribe to data for the given data type.

Parameters :

data_type ( DataType ) – The data type for the subscription.

subscribe_bars ( self , BarType bar_type ) → void

Subscribe to Bar data for the given bar type.

Parameters :

bar_type ( BarType ) – The bar type to subscribe to.

subscribe_instrument ( self , InstrumentId instrument_id ) → void

Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close ( self , InstrumentId instrument_id ) → void

Subscribe to InstrumentClose updates for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void

Subscribe to InstrumentStatusUpdates data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_instruments ( self ) → void

Subscribe to all Instrument data.

subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) → void

Subscribe to OrderBookDeltas data for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The order book instrument to subscribe to.

• book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.

• depth ( int , optional , default None ) – The maximum depth for the subscription.

• kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

subscribe_order_book_snapshots ( self , InstrumentId instrument_id , BookType book_type , int depth=0 , dict kwargs=None ) → void

Subscribe to OrderBookSnapshot data for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The order book instrument to subscribe to.

• book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book level.

• depth ( int , optional ) – The maximum depth for the order book. A depth of 0 is maximum depth.

• kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.

subscribe_quote_ticks ( self , InstrumentId instrument_id ) → void

Subscribe to QuoteTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_ticker ( self , InstrumentId instrument_id ) → void

Subscribe to Ticker data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The ticker instrument to subscribe to.

subscribe_trade_ticks ( self , InstrumentId instrument_id ) → void

Subscribe to TradeTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.

subscribe_venue_status_updates ( self , Venue venue ) → void

Subscribe to InstrumentStatusUpdate data for the venue.

Parameters :

venue ( Venue ) – The venue to subscribe to.

subscribed_bars ( self ) → list

Return the bar types subscribed to.

Returns :

list[BarType]

subscribed_generic_data ( self ) → list

Return the generic data types subscribed to.

Returns :

list[DataType]

subscribed_instrument_close ( self ) → list

Return the