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 : str | None = None , api_secret : str | None = None , account_type : BinanceAccountType = BinanceAccountType.SPOT , base_url_http : str | None = None , base_url_ws : str | None = 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/

property id : str

Return the hashed identifier for the configuration.

Returns :

str

json ( ) bytes

Return serialized JSON encoded bytes.

Returns :

bytes

json_primitives ( ) dict [ str , Any ]

Return a dictionary representation of the configuration with JSON primitive types as values.

Returns :

dict[str, Any]

classmethod parse ( raw : bytes | str ) Any

Return a decoded object of the given cls .

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

  • raw ( bytes or str ) – The raw bytes or JSON string 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 : str | None = None , api_secret : str | None = None , account_type : BinanceAccountType = BinanceAccountType.SPOT , base_url_http : str | None = None , base_url_ws : str | None = None , us : bool = False , testnet : bool = False , use_gtd : bool = True , use_reduce_only : bool = True , use_position_ids : bool = True , treat_expired_as_canceled : bool = False , max_retries : Optional [ int ] = None , retry_delay : Optional [ float ] = None )

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.

  • use_gtd ( bool , default True ) – If GTD orders will use the Binance GTD TIF option. If False then GTD time in force will be remapped to GTC (this is useful if managing GTD orders locally).

  • use_reduce_only ( bool , default True ) – If the reduce_only execution instruction on orders is sent through to the exchange. If True then will assign the value on orders sent to the exchange, otherwise will always be False.

  • use_position_ids ( bool , default True ) – If Binance Futures hedging position IDs should be used. If False then order event position_id`(s) from the execution client will be `None , which allows virtual positions with OmsType.HEDGING .

  • treat_expired_as_canceled ( bool , default False ) – If the EXPIRED execution type is semantically treated as CANCELED . Binance treats cancels with certain combinations of order type and time in force as expired events. This config option allows you to treat these uniformally as cancels.

  • max_retries ( PositiveInt , optional ) – The maximum number of times a submit or cancel order request will be retried.

  • retry_delay ( PositiveFloat , optional ) – The delay (seconds) between retries.

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/

property id : str

Return the hashed identifier for the configuration.

Returns :

str

json ( ) bytes

Return serialized JSON encoded bytes.

Returns :

bytes

json_primitives ( ) dict [ str , Any ]

Return a dictionary representation of the configuration with JSON primitive types as values.

Returns :

dict[str, Any]

classmethod parse ( raw : bytes | str ) Any

Return a decoded object of the given cls .

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

  • raw ( bytes or str ) – The raw bytes or JSON string to decode.

Returns :

Any

validate ( ) bool

Return whether the configuration can be represented as valid JSON.

Returns :

bool

Factories

get_cached_binance_http_client ( clock : LiveClock , account_type : BinanceAccountType , key : str | None = None , secret : str | None = None , base_url : str | None = 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 :
  • clock ( LiveClock ) – The clock 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 , clock : LiveClock , account_type : BinanceAccountType , is_testnet : bool , 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.

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

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

  • is_testnet ( bool , default False ) – If the provider is for the Spot testnet.

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

Returns :

BinanceSpotInstrumentProvider

get_cached_binance_futures_instrument_provider ( client : BinanceHttpClient , 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.

  • 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 ) nautilus_trader.adapters.binance.spot.data.BinanceSpotDataClient | nautilus_trader.adapters.binance.futures.data.BinanceFuturesDataClient

Create a new Binance data client.

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

  • name ( str ) – The custom client ID.

  • 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.

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 ) nautilus_trader.adapters.binance.spot.execution.BinanceSpotExecutionClient | nautilus_trader.adapters.binance.futures.execution.BinanceFuturesExecutionClient

Create a new Binance execution client.

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

  • name ( str ) – The custom client ID.

  • 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.

Returns :

BinanceExecutionClient

Raises :

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

Enums

Defines Binance common enums.

References

https://binance-docs.github.io/apidocs/spot/en/#public-api-definitions https://binance-docs.github.io/apidocs/futures/en/#public-endpoints-info

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

Bases: Enum

Represents a Binance newOrderRespType.

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

Bases: Enum

Represents a Binance error code (covers futures).

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

BarType

Return the bar type of bar.

Returns :

BarType

Type :

Bar.bar_type

close

Price

Return the close price of the bar.

Returns :

Price

Type :

Bar.close

static from_pyo3 ( pyo3_bar ) Bar

Return a legacy Cython bar converted from the given pyo3 Rust object.

Parameters :

pyo3_bar ( nautilus_pyo3.Bar ) – The pyo3 Rust bar to convert from.

Returns :

Bar

static from_pyo3_list ( list pyo3_bars ) list [ Bar ]

Return legacy Cython bars converted from the given pyo3 Rust objects.

Parameters :

pyo3_bars ( list [ nautilus_pyo3.Bar ] ) – The pyo3 Rust bars to convert from.

Returns :

list[Bar]

static from_raw ( BarType bar_type , int64_t open , int64_t high , int64_t low , int64_t close , uint8_t price_prec , uint64_t volume , uint8_t size_prec , uint64_t ts_event , uint64_t ts_init ) Bar
static from_raw_arrays_to_list ( BarType bar_type , uint8_t price_prec , uint8_t size_prec , int64_t[:] opens , int64_t[:] highs , int64_t[:] lows , int64_t[:] closes , uint64_t[:] volumes , uint64_t[:] ts_events , uint64_t[:] ts_inits ) list [ Bar ]
classmethod fully_qualified_name ( cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

high

Price

Return the high price of the bar.

Returns :

Price

Type :

Bar.high

is_revision

If this bar is a revision for a previous bar with the same ts_event .

Returns :

bool

is_single_price ( self ) bool

If the OHLC are all equal to a single price.

Returns :

bool

low

Price

Return the low price of the bar.

Returns :

Price

Type :

Bar.low

open

Price

Return the open price of the bar.

Returns :

Price

Type :

Bar.open

static to_pyo3_list ( list bars ) list [ nautilus_pyo3.Bar ]

Return pyo3 Rust bars converted from the given legacy Cython objects.

Parameters :

bars ( list [ Bar ] ) – The legacy Cython bars to convert from.

Returns :

list[nautilus_pyo3.Bar]

ts_event

int

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

Returns :

int

Type :

Bar.ts_event

ts_init

int

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

Returns :

int

Type :

Bar.ts_init

volume

Quantity

Return the volume of the bar.

Returns :

Quantity

Type :

Bar.volume

class 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 : decimal.Decimal | None = None , bid_price : decimal.Decimal | None = None , bid_qty : decimal.Decimal | None = None , ask_price : decimal.Decimal | None = None , ask_qty : decimal.Decimal | None = None )

Bases: Data

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

property ts_event : int

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

Returns :

int

property ts_init : int

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

Returns :

int

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 ( cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

Futures

Data

class BinanceFuturesDataClient ( loop : AbstractEventLoop , client : BinanceHttpClient , msgbus : MessageBus , cache : Cache , clock : LiveClock , instrument_provider : InstrumentProvider , base_url_ws : str , config : BinanceDataClientConfig , account_type : BinanceAccountType = BinanceAccountType.USDT_FUTURE , name : str | None = None )

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.

  • instrument_provider ( InstrumentProvider ) – The instrument provider.

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

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

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

  • name ( str , optional ) – The custom client ID.

connect ( ) None

Connect the client.

create_task ( coro : Coroutine , log_msg : str | None = None , actions : collections.abc.Callable | None = None , success_msg : str | None = None , success_color : LogColor = LogColor.NORMAL ) 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_msg ( str , optional ) – The log message to write on actions success.

  • success_color (LogColor, default NORMAL ) – The log message color for actions success.

Returns :

asyncio.Task

degrade ( self ) void

Degrade the component.

While executing on_degrade() any exception will be logged and reraised, then 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, then 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.

Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.

While executing on_fault() any exception will be logged and reraised, then 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 ( 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

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

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 start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_instrument ( self , InstrumentId instrument_id , UUID4 correlation_id , datetime start=None , datetime end=None ) 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.

  • start ( datetime , optional ) – The start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_instruments ( self , Venue venue , UUID4 correlation_id , datetime start=None , datetime end=None ) 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.

  • start ( datetime , optional ) – The start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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 start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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 start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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, then 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, then 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, then 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

ComponentState

Return the components current state.

Returns :

ComponentState

Type :

Component.state

stop ( self ) void

Stop the component.

While executing on_stop() any exception will be logged and reraised, then 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 ( self , InstrumentId instrument_id ) void

Subscribe to InstrumentStatus 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_MBP , 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 OrderBook snapshots data for the given instrument ID.

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

  • book_type (BookType { L1_MBP , 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_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 ( self , Venue venue ) void

Subscribe to InstrumentStatus 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_custom_data ( self ) list

Return the custom data types subscribed to.

Returns :

list[DataType]

subscribed_instrument_close ( self ) list

Return the instrument closes subscribed to.

Returns :

list[InstrumentId]

subscribed_instrument_status ( 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_trade_ticks ( self ) list

Return the trade tick instruments subscribed to.

Returns :

list[InstrumentId]

subscribed_venue_status ( 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 ( self , InstrumentId instrument_id ) void

Unsubscribe from InstrumentStatus 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 OrderBook snapshots 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_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 ( self , Venue venue ) void

Unsubscribe from InstrumentStatus data for the given venue.

Parameters :

venue ( Venue ) – The venue to unsubscribe from.

venue

The clients venue ID (if applicable).

Returns :

Venue or None

Enums

Defines Binance Futures specific enums.

References

https://binance-docs.github.io/apidocs/futures/en/#public-endpoints-info

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 , instrument_provider : BinanceFuturesInstrumentProvider , base_url_ws : str , config : BinanceExecClientConfig , account_type : BinanceAccountType = BinanceAccountType.USDT_FUTURE , name : str | None = None )

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.

  • instrument_provider ( BinanceFuturesInstrumentProvider ) – The instrument provider.

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

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

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

  • name ( str , optional ) – The custom client ID.

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

batch_cancel_orders ( self , BatchCancelOrders command ) void

Batch cancel orders for the instrument ID contained in the given command.

Parameters :

command ( BatchCancelOrders ) – The command to execute.

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 : str | None = None , actions : collections.abc.Callable | None = None , success_msg : str | None = None , success_color : LogColor = LogColor.NORMAL ) 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_msg ( str , optional ) – The log message to write on actions success.

  • success_color (str, default NORMAL ) – The log message color for actions success.

Returns :

asyncio.Task

degrade ( self ) void

Degrade the component.

While executing on_degrade() any exception will be logged and reraised, then 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, then 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.

Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.

While executing on_fault() any exception will be logged and reraised, then 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 ( 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_fill_reports ( instrument_id : nautilus_trader.model.identifiers.InstrumentId | None = None , venue_order_id : nautilus_trader.model.identifiers.VenueOrderId | None = None , start : pandas._libs.tslibs.timestamps.Timestamp | None = None , end : pandas._libs.tslibs.timestamps.Timestamp | None = None ) list [ nautilus_trader.execution.reports.FillReport ]

Generate a list of ` FillReport`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 (UTC) query filter.

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

Returns :

list[FillReport]

async generate_mass_status ( lookback_mins : int | None = None ) nautilus_trader.execution.reports.ExecutionMassStatus | None

Generate an ExecutionMassStatus report.

Parameters :

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

Returns :

ExecutionMassStatus or None

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: PositionId | None , 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 : nautilus_trader.model.identifiers.ClientOrderId | None = None , venue_order_id : nautilus_trader.model.identifiers.VenueOrderId | None = None ) nautilus_trader.execution.reports.OrderStatusReport | None

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 : nautilus_trader.model.identifiers.InstrumentId | None = None , start : pandas._libs.tslibs.timestamps.Timestamp | None = None , end : pandas._libs.tslibs.timestamps.Timestamp | None = 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 (UTC) query filter.

  • end ( pd.Timestamp , optional ) – The end datetime (UTC) 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 : nautilus_trader.model.identifiers.InstrumentId | None = None , start : pandas._libs.tslibs.timestamps.Timestamp | None = None , end : pandas._libs.tslibs.timestamps.Timestamp | None = 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 (UTC) query filter.

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

Returns :

list[PositionStatusReport]

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

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

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, then 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, then 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, then 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

ComponentState

Return the components current state.

Returns :

ComponentState

Type :

Component.state

stop ( self ) void

Stop the component.

While executing on_stop() any exception will be logged and reraised, then 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

property treat_expired_as_canceled : bool

Whether the EXPIRED execution type is treated as a CANCEL .

Returns :

bool

type

The components type.

Returns :

type

property use_position_ids : bool

Whether a position_id will be assigned to order events generated by the client.

Returns :

bool

venue

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

Returns :

Venue or None

Providers

class BinanceFuturesInstrumentProvider ( client : BinanceHttpClient , clock : LiveClock , account_type : BinanceAccountType = BinanceAccountType.USDT_FUTURE , config : nautilus_trader.common.config.InstrumentProviderConfig | None = None )

Bases: InstrumentProvider

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

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

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

async load_all_async ( filters : dict | None = 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 : dict | None = 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 : dict | None = 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.objects.Currency ]

Return all currencies held by the instrument provider.

Returns :

dict[str, Currency]

currency ( code : str ) nautilus_trader.model.objects.Currency | None

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 ) nautilus_trader.model.instruments.base.Instrument | None

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 : dict | None = 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 : dict | None = 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 : dict | None = 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.

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

property ts_event : int

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

Returns :

int

property ts_init : int

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

Returns :

int

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 ( cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

Spot

Data

class BinanceSpotDataClient ( loop : AbstractEventLoop , client : BinanceHttpClient , msgbus : MessageBus , cache : Cache , clock : LiveClock , instrument_provider : InstrumentProvider , base_url_ws : str , config : BinanceDataClientConfig , account_type : BinanceAccountType = BinanceAccountType.SPOT , name : str | None = None )

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.

  • instrument_provider ( InstrumentProvider ) – The instrument provider.

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

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

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

  • name ( str , optional ) – The custom client ID.

connect ( ) None

Connect the client.

create_task ( coro : Coroutine , log_msg : str | None = None , actions : collections.abc.Callable | None = None , success_msg : str | None = None , success_color : LogColor = LogColor.NORMAL ) 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_msg ( str , optional ) – The log message to write on actions success.

  • success_color (LogColor, default NORMAL ) – The log message color for actions success.

Returns :

asyncio.Task

degrade ( self ) void

Degrade the component.

While executing on_degrade() any exception will be logged and reraised, then 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, then 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.

Calling this method multiple times has the same effect as calling it once (it is idempotent). Once called, it cannot be reversed, and no other methods should be called on this instance.

While executing on_fault() any exception will be logged and reraised, then 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 ( 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

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

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 start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_instrument ( self , InstrumentId instrument_id , UUID4 correlation_id , datetime start=None , datetime end=None ) 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.

  • start ( datetime , optional ) – The start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

request_instruments ( self , Venue venue , UUID4 correlation_id , datetime start=None , datetime end=None ) 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.

  • start ( datetime , optional ) – The start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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 start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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 start datetime (UTC) of request time range (inclusive).

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

reset ( self ) void