Backtest ¶

The backtest subpackage groups components relating to backtesting.

This module provides a data client for backtesting.

class BacktestDataClient ( ClientId client_id , MessageBus msgbus , Cache cache , Clock clock , Logger logger , dict config=None ) ¶

Bases: DataClient

Provides an implementation of DataClient for backtesting.

Parameters :

client_id ( ClientId ) – The data client ID.
msgbus ( MessageBus ) – The message bus for the client.
cache ( Cache ) – The cache for the client.
clock ( Clock ) – The clock for the client.
logger ( Logger ) – The logger for the client.
config ( dict [ str , object ] , optional ) – The configuration for the instance.

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.

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 ¶

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.

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 ¶

subscribed_generic_data ( self ) → list ¶

Return the generic data types subscribed to.

Returns :: list[DataType]

trader_id ¶

The trader ID associated with the component.

Returns :: TraderId

type ¶

The components type.

Returns :: type

unsubscribe ( self , DataType data_type ) → void ¶

venue ¶

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

Returns :: Venue or None

class BacktestMarketDataClient ( ClientId client_id , MessageBus msgbus , Cache cache , Clock clock , Logger logger ) ¶

Bases: MarketDataClient

Provides an implementation of MarketDataClient for backtesting.

Parameters :

client_id ( ClientId ) – The data client ID.
msgbus ( MessageBus ) – The message bus for the client.
cache ( Cache ) – The cache for the client.
clock ( Clock ) – The clock for the client.
logger ( Logger ) – The logger for the client.

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.

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: Optional[datetime] = None , datetime end: Optional[datetime] = None ) → void ¶

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

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

request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start: Optional[datetime] = None , datetime end: Optional[datetime] = None ) → void ¶

request_trade_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime start: Optional[datetime] = None , datetime end: Optional[datetime] = None ) → void ¶

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.

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_instrument ( self , InstrumentId instrument_id ) → void ¶

subscribe_instrument_close ( self , InstrumentId instrument_id ) → void ¶

subscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void ¶

subscribe_instruments ( self ) → void ¶

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

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

subscribe_quote_ticks ( self , InstrumentId instrument_id ) → void ¶

subscribe_ticker ( self , InstrumentId instrument_id ) → void ¶

subscribe_trade_ticks ( self , InstrumentId instrument_id ) → void ¶

subscribe_venue_status_updates ( self , Venue venue ) → void ¶

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_instrument ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_instrument_close ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_instruments ( self ) → void ¶

unsubscribe_order_book_deltas ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_quote_ticks ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_ticker ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_trade_ticks ( self , InstrumentId instrument_id ) → void ¶

unsubscribe_venue_status_updates ( self , Venue venue ) → void ¶

venue ¶

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

Returns :: Venue or None

class BacktestEngine ( config : Optional [ BacktestEngineConfig ] = None ) ¶

Bases: object

Provides a backtest engine to run a portfolio of strategies over historical data.

Parameters :: config ( BacktestEngineConfig , optional ) – The configuration for the instance.
Raises :: TypeError – If config is not of type BacktestEngineConfig .

add_actor ( self , Actor actor: Actor ) → None ¶

Add the given actor to the backtest engine.

Parameters :: actor ( Actor ) – The actor to add.

add_actors ( self, list actors: list[Actor] ) → None ¶

Add the given list of actors to the backtest engine.

Parameters :: actors ( list [ Actor ] ) – The actors to add.

add_data ( self , list data , ClientId client_id=None ) → None ¶

Add the given data to the backtest engine.

Parameters :

data ( list [ Data ] ) – The data to add.
client_id ( ClientId , optional ) – The data client ID to associate with generic data.

Raises :

ValueError – If data is empty.
ValueError – If data contains objects which are not a type of Data .
ValueError – If instrument_id for the data is not found in the cache.
ValueError – If data elements do not have an instrument_id and client_id is None .

Warning

Assumes all data elements are of the same type. Adding lists of varying data types could result in incorrect backtest logic.

add_exec_algorithm ( self , ExecAlgorithm exec_algorithm: ExecAlgorithm ) → None ¶

Add the given execution algorithm to the backtest engine.

Parameters :: exec_algorithm ( ExecAlgorithm ) – The execution algorithm to add.

add_exec_algorithms ( self, list exec_algorithms: list[ExecAlgorithm] ) → None ¶

Add the given list of execution algorithms to the backtest engine.

Parameters :: exec_algorithms ( list [ ExecAlgorithm ] ) – The execution algorithms to add.

add_instrument ( self , Instrument instrument ) → None ¶

Add the instrument to the backtest engine.

The instrument must be valid for its associated venue. For instance, derivative instruments which would trade on margin cannot be added to a venue with a CASH account.

Parameters :

instrument ( Instrument ) – The instrument to add.

Raises :

InvalidConfiguration – If the venue for the instrument has not been added to the engine.
InvalidConfiguration – If instrument is not valid for its associated venue.

add_strategies ( self, list strategies: list[Strategy] ) → None ¶

Add the given list of strategies to the backtest engine.

Parameters :: strategies ( list [ Strategy ] ) – The strategies to add.

add_strategy ( self , Strategy strategy: Strategy ) → None ¶

Add the given strategy to the backtest engine.

Parameters :: strategy ( Strategy ) – The strategy to add.

add_venue ( self, Venue venue: Venue, OmsType oms_type: OmsType, AccountType account_type: AccountType, list starting_balances: list[Money], Currency base_currency: Optional[Currency] = None, default_leverage: Optional[Decimal] = None, dict leverages: Optional[dict[InstrumentId, Decimal]] = None, list modules: Optional[list[SimulationModule]] = None, FillModel fill_model: Optional[FillModel] = None, LatencyModel latency_model: Optional[LatencyModel] = None, BookType book_type: BookType = BookType.L1_TBBO, routing: bool = False, frozen_account: bool = False, bar_execution: bool = True, reject_stop_orders: bool = True, support_gtd_orders: bool = True, use_position_ids: bool = True, use_random_ids: bool = False, use_reduce_only: bool = True ) → None ¶

Add a SimulatedExchange with the given parameters to the backtest engine.

Parameters :

venue ( Venue ) – The venue ID.
oms_type (OmsType { HEDGING , NETTING }) – The order management system type for the exchange. If HEDGING will generate new position IDs.
account_type ( AccountType ) – The account type for the client.
starting_balances ( list [ Money ] ) – The starting account balances (specify one for a single asset account).
base_currency ( Currency , optional ) – The account base currency for the client. Use None for multi-currency accounts.
default_leverage ( Decimal , optional ) – The account default leverage (for margin accounts).
leverages ( dict [ InstrumentId , Decimal ] , optional ) – The instrument specific leverage configuration (for margin accounts).
modules ( list [ SimulationModule ] , optional ) – The simulation modules to load into the exchange.
fill_model ( FillModel , optional ) – The fill model for the exchange.
latency_model ( LatencyModel , optional ) – The latency model for the exchange.
book_type (BookType, default BookType.L1_TBBO ) – The default order book type for fill modelling.
routing ( bool , default False ) – If multi-venue routing should be enabled for the execution client.
frozen_account ( bool , default False ) – If the account for this exchange is frozen (balances will not change).
bar_execution ( bool , default True ) – If bars should be processed by the matching engine(s) (and move the market).
reject_stop_orders ( bool , default True ) – If stop orders are rejected on submission if trigger price is in the market.
support_gtd_orders ( bool , default True ) – If orders with GTD time in force will be supported by the venue.
use_position_ids ( bool , default True ) – If venue position IDs will be generated on order fills.
use_random_ids ( bool , default False ) – If all venue generated identifiers will be random UUID4’s.
use_reduce_only ( bool , default True ) – If the reduce_only execution instruction on orders will be honored.

Raises :

ValueError – If venue is already registered with the engine.

backtest_end ¶

Optional[datetime]

Return the last backtest run time range end (if run).

Returns :: datetime or None
Type :: BacktestEngine.backtest_end

backtest_start ¶

Optional[datetime]

Return the last backtest run time range start (if run).

Returns :: datetime or None
Type :: BacktestEngine.backtest_start

cache ¶

CacheFacade

Return the engines internal read-only cache.

Returns :: CacheFacade
Type :: BacktestEngine.cache

change_fill_model ( self , Venue venue , FillModel model ) → None ¶

Change the fill model for the exchange of the given venue.

Parameters :

venue ( Venue ) – The venue of the simulated exchange.
model ( FillModel ) – The fill model to change to.

clear_actors ( self ) → None ¶: Clear all actors from the engines internal trader.

clear_data ( self ) → None ¶

Clear the engines internal data stream.

Does not clear added instruments.

clear_exec_algorthms ( self ) → None ¶: Clear all execution algorithms from the engines internal trader.

clear_strategies ( self ) → None ¶: Clear all trading strategies from the engines internal trader.

data ¶

list[Data]

Return the engines internal data stream.

Returns :: list[Data]
Type :: BacktestEngine.data

dispose ( self ) → None ¶

Dispose of the backtest engine by disposing the trader and releasing system resources.

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.

dump_pickled_data ( self ) → bytes ¶

Return the internal data stream pickled.

Returns :: bytes

end ( self ) ¶

Manually end the backtest.

Notes

Only required if you have previously been running with streaming.

get_result ( self ) ¶

Return the backtest result from the last run.

Returns :: BacktestResult

instance_id ¶

UUID4

Return the engines instance ID.

This is a unique identifier per initialized engine.

Returns :: UUID4
Type :: BacktestEngine.instance_id

iteration ¶

int

Return the backtest engine iteration count.

Returns :: int
Type :: BacktestEngine.iteration

kernel ¶

NautilusKernel

Return the internal kernel for the engine.

Returns :: NautilusKernel
Type :: BacktestEngine.kernel

list_venues ( self ) → list [ Venue ] ¶

Return the venues contained within the engine.

Returns :: list[Venue]

load_pickled_data ( self , bytes data ) → None ¶

Load the given pickled data directly into the internal data stream.

It is highly advised to only pass data to this method which was obtained through a call to .dump_pickled_data() .

Warning

This low-level direct access method makes the following assumptions:

The data contains valid Nautilus objects only, which inherit from Data .
The data was successfully pickled from a call to pickle.dumps() .
The data was sorted prior to pickling.
All required instruments have been added to the engine.

machine_id ¶

str

Return the engines machine ID.

Returns :: str
Type :: BacktestEngine.machine_id

portfolio ¶

PortfolioFacade

Return the engines internal read-only portfolio.

Returns :: PortfolioFacade
Type :: BacktestEngine.portfolio

reset ( self ) → None ¶

Reset the backtest engine.

All stateful fields are reset to their initial value.

Note: instruments and data are not dropped/reset, this can be done through a separate call to .clear_data() if desired.

run ( self , start: Optional[Union[datetime , str , int]] = None , end: Optional[Union[datetime , str , int]] = None , unicode run_config_id: Optional[str] = None , streaming: bool = False ) → None ¶

Run a backtest.

At the end of the run the trader and strategies will be stopped, then post-run analysis performed.

If more data than can fit in memory is to be run through the backtest engine, then streaming mode can be utilized. The expected sequence is as follows:

Add initial data batch and strategies.

Call run(streaming=True) .

Call clear_data() .

Add next batch of data stream.

Call either run(streaming=False) or end() . When there is no more data to run on.

Parameters :

start ( Union [ datetime , str , int ] , optional ) – The start datetime (UTC) for the backtest run. If None engine runs from the start of the data.
end ( Union [ datetime , str , int ] , optional ) – The end datetime (UTC) for the backtest run. If None engine runs to the end of the data.
run_config_id ( str , optional ) – The tokenized BacktestRunConfig ID.
streaming ( bool , default False ) – If running in streaming mode. If False then will end the backtest following the run iterations.

Raises :

ValueError – If no data has been added to the engine.
ValueError – If the start is >= the end datetime.

run_config_id ¶

str

Return the last backtest engine run config ID.

Returns :: str or None
Type :: BacktestEngine.run_config_id

run_finished ¶

Optional[datetime]

Return when the last backtest run finished (if run).

Returns :: datetime or None
Type :: BacktestEngine.run_finished

run_id ¶

UUID4

Return the last backtest engine run ID (if run).

Returns :: UUID4 or None
Type :: BacktestEngine.run_id

run_started ¶

Optional[datetime]

Return when the last backtest run started (if run).

Returns :: datetime or None
Type :: BacktestEngine.run_started

trader ¶

Trader

Return the engines internal trader.

Returns :: Trader
Type :: BacktestEngine.trader

trader_id ¶

TraderId

Return the engines trader ID.

Returns :: TraderId
Type :: BacktestEngine.trader_id

class SimulatedExchange ( Venue venue, OmsType oms_type, AccountType account_type, list starting_balances, Currency base_currency: Optional[Currency], default_leverage: Decimal, dict leverages: dict[InstrumentId, Decimal], list instruments, list modules, MessageBus msgbus, CacheFacade cache, TestClock clock, Logger logger, FillModel fill_model, LatencyModel latency_model=None, BookType book_type=BookType.L1_TBBO, bool frozen_account=False, bool bar_execution=True, bool reject_stop_orders=True, bool support_gtd_orders=True, bool use_position_ids=True, bool use_random_ids=False, bool use_reduce_only=True ) ¶

Bases: object

Provides a simulated financial market exchange.

Parameters :

venue ( Venue ) – The venue to simulate.
oms_type (OmsType { HEDGING , NETTING }) – The order management system type used by the exchange.
account_type ( AccountType ) – The account type for the client.
starting_balances ( list [ Money ] ) – The starting balances for the exchange.
base_currency ( Currency , optional ) – The account base currency for the client. Use None for multi-currency accounts.
default_leverage ( Decimal ) – The account default leverage (for margin accounts).
leverages ( dict [ InstrumentId , Decimal ] ) – The instrument specific leverage configuration (for margin accounts).
msgbus ( MessageBus ) – The message bus for the exchange.
cache ( CacheFacade ) – The read-only cache for the exchange.
fill_model ( FillModel ) – The fill model for the exchange.
latency_model ( LatencyModel , optional ) – The latency model for the exchange.
clock ( TestClock ) – The clock for the exchange.
logger ( Logger ) – The logger for the exchange.
book_type ( BookType ) – The order book type for the exchange.
frozen_account ( bool , default False ) – If the account for this exchange is frozen (balances will not change).
bar_execution ( bool , default True ) – If bars should be processed by the matching engine(s) (and move the market).
reject_stop_orders ( bool , default True ) – If stop orders are rejected on submission if in the market.
support_gtd_orders ( bool , default True ) – If orders with GTD time in force will be supported by the venue.
use_position_ids ( bool , default True ) – If venue position IDs will be generated on order fills.
use_random_ids ( bool , default False ) – If all venue generated identifiers will be random UUID4’s.
use_reduce_only ( bool , default True ) – If the reduce_only execution instruction on orders will be honored.

Raises :

ValueError – If instruments is empty.
ValueError – If instruments contains a type other than Instrument .
ValueError – If starting_balances is empty.
ValueError – If starting_balances contains a type other than Money .
ValueError – If base_currency and multiple starting balances.
ValueError – If modules contains a type other than SimulationModule .

account_type ¶

The account base currency.

Returns :: AccountType

add_instrument ( self , Instrument instrument ) → void ¶

Add the given instrument to the venue.

A random and unique 32-bit unsigned integer raw ID will be generated.

Parameters :

instrument ( Instrument ) – The instrument to add.

Raises :

ValueError – If instrument.id.venue is not equal to the venue ID.
InvalidConfiguration – If instrument is invalid for this venue.

adjust_account ( self , Money adjustment ) → void ¶

Adjust the account at the exchange with the given adjustment.

Parameters :: adjustment ( Money ) – The adjustment for the account.

bar_execution ¶

If bars should be processed by the matching engine(s) (and move the market).

Returns :: bool

base_currency ¶

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

Returns :: Currency or None

best_ask_price ( self , InstrumentId instrument_id ) → Price ¶

Return the best ask price for the given instrument ID (if found).

Parameters :: instrument_id ( InstrumentId ) – The instrument ID for the price.
Returns :: Price or None

best_bid_price ( self , InstrumentId instrument_id ) → Price ¶

Return the best bid price for the given instrument ID (if found).

Parameters :: instrument_id ( InstrumentId ) – The instrument ID for the price.
Returns :: Price or None

book_type ¶

The exchange default order book type.

Returns :: BookType

cache ¶

The cache wired to the exchange.

Returns :: CacheFacade

default_leverage ¶

The accounts default leverage.

Returns :: Decimal

exec_client ¶

The execution client wired to the exchange.

Returns :: BacktestExecClient

fill_model ¶

The fill model for the exchange.

Returns :: FillModel

get_account ( self ) → Account ¶

Return the account for the registered client (if registered).

Returns :: Account or None

get_book ( self , InstrumentId instrument_id ) → OrderBook ¶

Return the order book for the given instrument ID.

Parameters :: instrument_id ( InstrumentId ) – The instrument ID for the price.
Returns :: OrderBook or None

get_books ( self ) → dict ¶

Return all order books within the exchange.

Returns :: dict[InstrumentId, OrderBook]

get_matching_engine ( self , InstrumentId instrument_id ) → OrderMatchingEngine ¶

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

Parameters :: instrument_id ( InstrumentId ) – The instrument ID for the matching engine.
Returns :: OrderMatchingEngine or None

get_matching_engines ( self ) → dict ¶

Return all matching engines for the exchange (for every instrument).

Returns :: dict[InstrumentId, OrderMatchingEngine]

get_open_ask_orders ( self , InstrumentId instrument_id=None ) → list ¶

Return the open ask orders at the exchange.

Parameters :: instrument_id ( InstrumentId , optional ) – The instrument_id query filter.
Returns :: list[Order]

get_open_bid_orders ( self , InstrumentId instrument_id=None ) → list ¶

Return the open bid orders at the exchange.

Parameters :: instrument_id ( InstrumentId , optional ) – The instrument_id query filter.
Returns :: list[Order]

get_open_orders ( self , InstrumentId instrument_id=None ) → list ¶

Return the open orders at the exchange.

Parameters :: instrument_id ( InstrumentId , optional ) – The instrument_id query filter.
Returns :: list[Order]

id ¶

The exchange ID.

Returns :: Venue

initialize_account ( self ) → void ¶: Initialize the account to the starting balances.

instruments ¶

The exchange instruments.

Returns :: dict[InstrumentId, Instrument]

is_frozen_account ¶

If the account for the exchange is frozen.

Returns :: bool

latency_model ¶

The latency model for the exchange.

Returns :: LatencyModel

leverages ¶

The accounts instrument specific leverage configuration.

Returns :: dict[InstrumentId, Decimal]

modules ¶

The simulation modules registered with the exchange.

Returns :: list[SimulationModule]

msgbus ¶

The message bus wired to the exchange.

Returns :: MessageBus

oms_type ¶

The exchange order management system type.

Returns :: OmsType

process ( self , uint64_t ts_now ) → void ¶

Process the exchange to the gives time.

All pending commands will be processed along with all simulation modules.

Parameters :: ts_now ( uint64_t ) – The current UNIX timestamp (nanoseconds).

process_bar ( self , Bar bar ) → void ¶

Process the exchanges market for the given bar.

Market dynamics are simulated by auctioning open orders.

Parameters :: bar ( Bar ) – The bar to process.

process_instrument_status ( self , InstrumentStatusUpdate update ) → void ¶

Process a specific instrument status.

Parameters :: update ( VenueStatusUpdate ) – The status to process.

process_order_book_delta ( self , OrderBookDelta delta ) → void ¶

Process the exchanges market for the given order book delta.

Parameters :: data ( OrderBookDelta ) – The order book delta to process.

process_order_book_deltas ( self , OrderBookDeltas deltas ) → void ¶

Process the exchanges market for the given order book deltas.

Parameters :: data ( OrderBookDeltas ) – The order book deltas to process.

process_quote_tick ( self , QuoteTick tick ) → void ¶

Process the exchanges market for the given quote tick.

Market dynamics are simulated by auctioning open orders.

Parameters :: tick ( QuoteTick ) – The tick to process.

process_trade_tick ( self , TradeTick tick ) → void ¶

Process the exchanges market for the given trade tick.

Market dynamics are simulated by auctioning open orders.

Parameters :: tick ( TradeTick ) – The tick to process.

process_venue_status ( self , VenueStatusUpdate update ) → void ¶

Process the exchange for the given status.

Parameters :: update ( VenueStatusUpdate ) – The status to process.

register_client ( self , BacktestExecClient client ) → void ¶

Register the given execution client with the simulated exchange.

Parameters :: client ( BacktestExecClient ) – The client to register

reject_stop_orders ¶

If stop orders are rejected on submission if in the market.

Returns :: bool

reset ( self ) → void ¶

Reset the simulated exchange.

All stateful fields are reset to their initial value.

send ( self , TradingCommand command ) → void ¶

Send the given trading command into the exchange.

Parameters :: command ( TradingCommand ) – The command to send.

set_fill_model ( self , FillModel fill_model ) → void ¶

Set the fill model for all matching engines.

Parameters :: fill_model ( FillModel ) – The fill model to set.

set_latency_model ( self , LatencyModel latency_model ) → void ¶

Change the latency model for this exchange.

Parameters :: latency_model ( LatencyModel ) – The latency model to set.

starting_balances ¶

The account starting balances for each backtest run.

Returns :: bool

support_gtd_orders ¶

If orders with GTD time in force will be supported by the venue.

Returns :: bool

use_position_ids ¶

If venue position IDs will be generated on order fills.

Returns :: bool

use_random_ids ¶

If venue order and position IDs will be randomly generated UUID4s.

Returns :: bool

use_reduce_only ¶

If the reduce_only option on orders will be honored.

Returns :: bool

class BacktestExecClient ( SimulatedExchange exchange , MessageBus msgbus , Cache cache , TestClock clock , Logger logger , bool routing=False , bool frozen_account=False ) ¶

Bases: ExecutionClient

Provides an execution client for the BacktestEngine .

Parameters :

exchange ( SimulatedExchange ) – The simulated exchange for the backtest.
msgbus ( MessageBus ) – The message bus for the client.
cache ( Cache ) – The cache for the client.
clock ( TestClock ) – The clock for the client.
logger ( Logger ) – The logger for the client.
routing ( bool ) – If multi-venue routing is enabled for the client.
frozen_account ( bool ) – If the backtest run account is frozen.

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_order ( self , CancelOrder command ) → void ¶

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.

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.

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.

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.

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 ¶

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.

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_order_list ( self , SubmitOrderList command ) → void ¶

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

class FillModel ( double prob_fill_on_limit=1.0 , double prob_fill_on_stop=1.0 , double prob_slippage=0.0 , int random_seed: Optional[int] = None ) ¶

Bases: object

Provides probabilistic modeling for order fill dynamics including probability of fills and slippage by order type.

Parameters :

prob_fill_on_limit ( double ) – The probability of limit order filling if the market rests on its price.
prob_fill_on_stop ( double ) – The probability of stop orders filling if the market rests on its price.
prob_slippage ( double ) – The probability of order fill prices slipping by one tick.
random_seed ( int , optional ) – The random seed (if None then no random seed).

Raises :

ValueError – If any probability argument is not within range [0, 1].
TypeError – If random_seed is not None and not of type int .

is_limit_filled ( self ) → bool ¶

Return a value indicating whether a LIMIT order filled.

Returns :: bool

is_slipped ( self ) → bool ¶

Return a value indicating whether an order fill slipped.

Returns :: bool

is_stop_filled ( self ) → bool ¶

Return a value indicating whether a STOP-MARKET order filled.

Returns :: bool

prob_fill_on_limit ¶

The probability of limit orders filling on the limit price.

Returns :: bool

prob_fill_on_stop ¶

The probability of stop orders filling on the stop price.

Returns :: bool

prob_slippage ¶

The probability of aggressive order execution slipping.

Returns :: bool

class LatencyModel ( uint64_t base_latency_nanos=NANOSECONDS_IN_MILLISECOND , uint64_t insert_latency_nanos=0 , uint64_t update_latency_nanos=0 , uint64_t cancel_latency_nanos=0 ) ¶

Bases: object

Provides a latency model for simulated exchange message I/O.

Parameters :

base_latency_nanos ( int , default 1_000_000_000 ) – The base latency (nanoseconds) for the model.
insert_latency_nanos ( int , default 0 ) – The order insert latency (nanoseconds) for the model.
update_latency_nanos ( int , default 0 ) – The order update latency (nanoseconds) for the model.
cancel_latency_nanos ( int , default 0 ) – The order cancel latency (nanoseconds) for the model.

Raises :

ValueError – If base_latency_nanos is negative (< 0).
ValueError – If insert_latency_nanos is negative (< 0).
ValueError – If update_latency_nanos is negative (< 0).
ValueError – If cancel_latency_nanos is negative (< 0).

base_latency_nanos ¶

The default latency to the exchange.

Returns :: int

cancel_latency_nanos ¶

The latency (nanoseconds) for order cancel messages to reach the exchange.

Returns :: int

insert_latency_nanos ¶

The latency (nanoseconds) for order insert messages to reach the exchange.

Returns :: int

update_latency_nanos ¶

The latency (nanoseconds) for order update messages to reach the exchange.

Returns :: int

class FXRolloverInterestConfig ( rate_data : DataFrame , * , component_id : Optional [ str ] = None ) ¶

Bases: ActorConfig

Provides an FX rollover interest simulation module.

Parameters :: rate_data ( pd.DataFrame ) – The interest rate data for the internal rollover interest calculator.

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 FXRolloverInterestModule ( config : FXRolloverInterestConfig ) ¶

Bases: SimulationModule

Provides an FX rollover interest simulation module.

Parameters :: config ( FXRolloverInterestConfig ) –

active_task_ids ( self ) → list ¶

Return the active task identifiers.

Returns :: list[TaskId]

add_synthetic ( self , SyntheticInstrument synthetic ) → void ¶

Add the created synthetic instrument to the cache.

Parameters :: synthetic ( SyntheticInstrument ) – The synthetic instrument to add to the cache.
Raises :: KeyError – If synthetic is already in the cache.

Notes

If you are updating the synthetic instrument then you should use the update_synthetic method.

cache ¶

The read-only cache for the actor.

Returns :: CacheFacade

cancel_all_tasks ( self ) → void ¶: Cancel all queued and active tasks.

cancel_task ( self , task_id : TaskId ) → void ¶

Cancel the task with the given task_id (if queued or active).

If the task is not found then a warning is logged.

Parameters :: task_id ( TaskId ) – The task identifier.

clock ¶

The actors clock.

Returns :: Clock

config ¶

The actors configuration.

Returns :: NautilusConfig

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.

deregister_warning_event ( self , type event ) → void ¶

Deregister the given event type from warning log levels.

Parameters :: event ( type ) – The event class to deregister.

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/

handle_bar ( self , Bar bar ) → void ¶

Handle the given bar data.

If state is RUNNING then passes to on_bar .

Parameters :: bar ( Bar ) – The bar received.

Warning

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

handle_bars ( self , list bars ) → void ¶

Handle the given historical bar data by handling each bar individually.

Parameters :: bars ( list [ Bar ] ) – The bars to handle.

Warning

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

handle_data ( self , Data data ) → void ¶

Handle the given data.

If state is RUNNING then passes to on_data .

Parameters :: data ( Data ) – The data received.

Warning

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

handle_event ( self , Event event ) → void ¶

Handle the given event.

If state is RUNNING then passes to on_event .

Parameters :: event ( Event ) – The event received.

Warning

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

handle_historical_data ( self , Data data ) → void ¶

Handle the given historical data.

Parameters :: data ( Data ) – The historical data received.

Warning

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

handle_instrument ( self , Instrument instrument ) → void ¶

Handle the given instrument.

Passes to on_instrument if state is RUNNING .

Parameters :: instrument ( Instrument ) – The instrument received.

Warning

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

handle_instrument_close ( self , InstrumentClose update ) → void ¶

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close .

Parameters :: update ( InstrumentClose ) – The update received.

Warning

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

handle_instrument_status_update ( self , InstrumentStatusUpdate update ) → void ¶

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status_update .

Parameters :: update ( InstrumentStatusUpdate ) – The update received.

Warning

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

handle_instruments ( self , list instruments ) → void ¶

Handle the given instruments data by handling each instrument individually.

Parameters :: instruments ( list [ Instrument ] ) – The instruments received.

Warning

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

handle_order_book ( self , OrderBook order_book ) → void ¶

Handle the given order book.

Passes to on_order_book if state is RUNNING .

Parameters :: order_book ( OrderBook ) – The order book received.

Warning

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

handle_order_book_deltas ( self , OrderBookDeltas deltas ) → void ¶

Handle the given order book deltas.

Passes to on_order_book_delta if state is RUNNING .

Parameters :: deltas ( OrderBookDeltas ) – The order book deltas received.

Warning

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

handle_quote_tick ( self , QuoteTick tick ) → void ¶

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick .

Parameters :: tick ( QuoteTick ) – The tick received.

Warning

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

handle_quote_ticks ( self , list ticks ) → void ¶

Handle the given historical quote tick data by handling each tick individually.

Parameters :: ticks ( list [ QuoteTick ] ) – The ticks received.

Warning

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

handle_ticker ( self , Ticker ticker ) → void ¶

Handle the given ticker.

If state is RUNNING then passes to on_ticker .

Parameters :: ticker ( Ticker ) – The ticker received.

Warning

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

handle_trade_tick ( self , TradeTick tick ) → void ¶

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick .

Parameters :: tick ( TradeTick ) – The tick received.

Warning

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

handle_trade_ticks ( self , list ticks ) → void ¶

Handle the given tick data by handling each tick individually.

Parameters :: ticks ( list [ TradeTick ] ) – The ticks received.

Warning

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

handle_venue_status_update ( self , VenueStatusUpdate update ) → void ¶

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status_update .

Parameters :: update ( VenueStatusUpdate ) – The update received.

Warning

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

has_active_tasks ( self ) → bool ¶

Return a value indicating whether there are any active tasks.

Returns :: bool

has_any_tasks ( self ) → bool ¶

Return a value indicating whether there are any queued or active tasks.

Returns :: bool

has_pending_requests ( self ) → bool ¶

Return whether the actor is pending processing for any requests.

Returns :: bool – True if any requests are pending, else False.

has_queued_tasks ( self ) → bool ¶

Return a value indicating whether there are any queued tasks.

Returns :: bool

id ¶

The components ID.

Returns :: ComponentId

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_pending_request ( self , UUID4 request_id ) → bool ¶

Return whether the request for the given identifier is pending processing.

Parameters :: request_id ( UUID4 ) – The request ID to check.
Returns :: bool – True if request is pending, else False.

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

load ( self , dict state ) → void ¶

Load the actor/strategy state from the give state dictionary.

Calls on_load and passes the state.

Parameters :: state ( dict [ str , object ] ) – The state dictionary.
Raises :: RuntimeError – If actor/strategy is not registered with a trader.

Warning

Exceptions raised will be caught, logged, and reraised.

log ¶

The actors logger.

Returns :: LoggerAdapter

log_diagnostics ( self , LoggerAdapter log ) → void ¶

Log diagnostics out to the BacktestEngine logger.

Parameters :: log ( LoggerAdapter ) – The logger to log to.

msgbus ¶

The message bus for the actor (if registered).

Returns :: MessageBus or None

on_bar ( self , Bar bar ) → void ¶

Actions to be performed when running and receives a bar.

Parameters :: bar ( Bar ) – The bar received.

Warning

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

on_data ( self , Data data ) → void ¶

Actions to be performed when running and receives generic data.

Parameters :: data ( Data ) – The data received.

Warning

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

on_degrade ( self ) → void ¶: Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose ( self ) → void ¶

Actions to be performed on dispose.

Cleanup/release any resources used here.

Warning

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

on_event ( self , Event event ) → void ¶

Actions to be performed running and receives an event.

Parameters :: event ( Event ) – The event received.

Warning

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

on_fault ( self ) → void ¶

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_historical_data ( self , Data data ) → void ¶

Actions to be performed when running and receives historical data.

Parameters :: data ( Data ) – The historical data received.

Warning

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

on_instrument ( self , Instrument instrument ) → void ¶

Actions to be performed when running and receives an instrument.

Parameters :: instrument ( Instrument ) – The instrument received.

Warning

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

on_instrument_close ( self , InstrumentClose update ) → void ¶

Actions to be performed when running and receives an instrument close update.

Parameters :: update ( InstrumentClose ) – The update received.

Warning

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

on_instrument_status_update ( self , InstrumentStatusUpdate update ) → void ¶

Actions to be performed when running and receives an instrument status update.

Parameters :: update ( InstrumentStatusUpdate ) – The update received.

Warning

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

on_load ( self , dict state ) → void ¶

Actions to be performed when the actor state is loaded.

Saved state values will be contained in the give state dictionary.

Warning

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

on_order_book ( self , OrderBook order_book ) → void ¶

Actions to be performed when running and receives an order book.

Parameters :: order_book ( OrderBook ) – The order book received.

Warning

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

on_order_book_deltas ( self , OrderBookDeltas deltas ) → void ¶

Actions to be performed when running and receives order book deltas.

Parameters :: deltas ( OrderBookDeltas ) – The order book deltas received.

Warning

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

on_quote_tick ( self , QuoteTick tick ) → void ¶

Actions to be performed when running and receives a quote tick.

Parameters :: tick ( QuoteTick ) – The tick received.

Warning

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

on_reset ( self ) → void ¶: Actions to be performed on reset.

Warning

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

Should be overridden in a user implementation.

on_resume ( self ) → void ¶: Actions to be performed on resume.

Warning

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

on_save ( self ) → dict ¶

Actions to be performed when the actor state is saved.

Create and return a state dictionary of values to be saved.

Returns :: dict[str, bytes] – The strategy state dictionary.

Warning

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

on_start ( self ) → void ¶

Actions to be performed on start.

The intent is that this method is called once per trading ‘run’, when initially starting.

It is recommended to subscribe/request for data here.

Warning

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

Should be overridden in a user implementation.

on_stop ( self ) → void ¶

Actions to be performed on stop.

The intent is that this method is called to pause, or when done for day.

Warning

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

Should be overridden in a user implementation.

on_ticker ( self , Ticker ticker ) → void ¶

Actions to be performed when running and receives a ticker.

Parameters :: ticker ( Ticker ) – The ticker received.

Warning

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

on_trade_tick ( self , TradeTick tick ) → void ¶

Actions to be performed when running and receives a trade tick.

Parameters :: tick ( TradeTick ) – The tick received.

Warning

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

on_venue_status_update ( self , VenueStatusUpdate update ) → void ¶

Actions to be performed when running and receives a venue status update.

Parameters :: update ( VenueStatusUpdate ) – The update received.

Warning

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

pending_requests ( self ) → set ¶

Return the request IDs which are currently pending processing.

Returns :: set[UUID4]

process ( self , uint64_t ts_now ) → void ¶

Process the given tick through the module.

Parameters :: ts_now ( uint64_t ) – The current UNIX time (nanoseconds) in the simulated exchange.

publish_data ( self , DataType data_type , Data data ) → void ¶

Publish the given data to the message bus.

Parameters :

data_type ( DataType ) – The data type being published.
data ( Data ) – The data to publish.

publish_signal ( self , unicode name , value , uint64_t ts_event=0 ) → void ¶

Publish the given value as a signal to the message bus. Optionally setup persistence for this signal .

Parameters :

name ( str ) – The name of the signal being published.
value ( object ) – The signal data to publish.
ts_event ( uint64_t , optional ) – The UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

queue_for_executor ( self, func: Callable[..., Any], tuple args=None, dict kwargs=None ) ¶

Queues the callable func to be executed as fn(*args, **kwargs) sequentially.

Parameters :

func ( Callable ) – The function to be executed.
args ( positional arguments ) – The positional arguments for the call to func .
kwargs ( arbitrary keyword arguments ) – The keyword arguments for the call to func .

Raises :

TypeError – If func is not of type Callable .

Notes

For backtesting the func is immediately executed, as there’s no need for a Future object that can be awaited. In a backtesting scenario, the execution is not in real time, and so the results of func are ‘immediately’ available after it’s called.

queued_task_ids ( self ) → list ¶

Return the queued task identifiers.

Returns :: list[TaskId]

register_base ( self , MessageBus msgbus , CacheFacade cache , Clock clock , Logger logger ) → void ¶

Register with a trader.

Parameters :

msgbus ( MessageBus ) – The message bus for the actor.
cache ( CacheFacade ) – The read-only cache for the actor.
clock ( Clock ) – The clock for the actor.
logger ( Logger ) – The logger for the actor.

Warning

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

register_executor ( self , loop : asyncio.AbstractEventLoop , executor : Executor ) → void ¶

Register the given Executor for the actor.

Parameters :

loop ( asyncio.AsbtractEventLoop ) – The event loop of the application.
executor ( concurrent.futures.Executor ) – The executor to register.

Raises :

TypeError – If executor is not of type concurrent.futures.Executor

register_venue ( self , SimulatedExchange exchange ) → void ¶

Register the given simulated exchange with the module.

Parameters :: exchange ( SimulatedExchange ) – The exchange to register.

register_warning_event ( self , type event ) → void ¶

Register the given event type for warning log levels.

Parameters :: event ( type ) – The event class to register.

request_bars ( self, BarType bar_type, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None ) → UUID4 ¶

Request historical Bar data.

If end is None then will request up to the most recent data.

Parameters :

bar_type ( BarType ) – The bar type 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 (inclusive). If None then will default to the current datetime (UTC).
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

ValueError – If start is not less than end .
TypeError – If callback is not None and not of type Callable .

request_data ( self, DataType data_type, ClientId client_id, callback: Callable[[UUID4], None] | None = None ) → UUID4 ¶

Request custom data for the given data type from the given data client.

Parameters :

data_type ( DataType ) – The data type for the request.
client_id ( ClientId ) – The data client ID.
callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

TypeError – If callback is not None and not of type Callable .

request_instrument ( self, InstrumentId instrument_id, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None ) → UUID4 ¶

Request Instrument data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the request.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

TypeError – If callback is not None and not of type Callable .

request_instruments ( self, Venue venue, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None ) → UUID4 ¶

Request all Instrument data for the given venue.

Parameters :

venue ( Venue ) – The venue for the request.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

TypeError – If callback is not None and not of type Callable .

request_quote_ticks ( self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None ) → UUID4 ¶

Request historical QuoteTick data.

If end is None then will request up to the most recent data.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument 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 (inclusive). If None then will default to the current datetime (UTC).
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

ValueError – If start is not less than end .
TypeError – If callback is not None and not of type Callable .

request_trade_ticks ( self, InstrumentId instrument_id, datetime start=None, datetime end=None, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None ) → UUID4 ¶

Request historical TradeTick data.

If end is None then will request up to the most recent data.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument 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 (inclusive). If None then will default to the current datetime (UTC).
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

ValueError – If start is not less than end .
TypeError – If callback is not None and not of type Callable .

reset ( self ) → void ¶

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.

run_in_executor ( self, func: Callable[..., Any], tuple args=None, dict kwargs=None ) ¶

Schedules the callable func to be executed as fn(*args, **kwargs) .

Parameters :

func ( Callable ) – The function to be executed.
args ( positional arguments ) – The positional arguments for the call to func .
kwargs ( arbitrary keyword arguments ) – The keyword arguments for the call to func .

Returns :

TaskId – The unique task identifier for the execution. This also corresponds to any future objects memory address.

Raises :

TypeError – If func is not of type Callable .

Notes

For backtesting the func is immediately executed, as there’s no need for a Future object that can be awaited. In a backtesting scenario, the execution is not in real time, and so the results of func are ‘immediately’ available after it’s called.

save ( self ) → dict ¶

Return the actor/strategy state dictionary to be saved.

Calls on_save .

Raises :: RuntimeError – If actor/strategy is not registered with a trader.

Warning

Exceptions raised will be caught, logged, and reraised.

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_bars ( self , BarType bar_type , ClientId client_id=None ) → void ¶

Subscribe to streaming Bar data for the given bar type.

Parameters :

bar_type ( BarType ) – The bar type to subscribe to.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_data ( self , DataType data_type , ClientId client_id=None ) → void ¶

Subscribe to data of the given data type.

Parameters :

data_type ( DataType ) – The data type to subscribe to.
client_id ( ClientId , optional ) – The data client ID. If supplied then a Subscribe command will be sent to the corresponding data client.

subscribe_instrument ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Subscribe to update Instrument data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument ID for the subscription.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_close ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Subscribe to close updates for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument to subscribe to status updates for.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instrument_status_updates ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Subscribe to status updates for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument to subscribe to status updates for.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_instruments ( self , Venue venue , ClientId client_id=None ) → void ¶

Subscribe to update Instrument data for the given venue.

Parameters :

venue ( Venue ) – The venue for the subscription.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue.

subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type=BookType.L2_MBP , int depth=0 , dict kwargs=None , ClientId client_id=None ) → void ¶

Subscribe to the order book data stream, being a snapshot then deltas for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The order book instrument ID to subscribe to.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.
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.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_order_book_snapshots ( self , InstrumentId instrument_id , BookType book_type=BookType.L2_MBP , int depth=0 , int interval_ms=1000 , dict kwargs=None , ClientId client_id=None ) → void ¶

Subscribe to OrderBook snapshots at a specified interval, for the given instrument ID.

The DataEngine will only maintain one order book for each instrument. Because of this - the level, depth and kwargs for the stream will be set as per the last subscription request (this will also affect all subscribers).

Parameters :

instrument_id ( InstrumentId ) – The order book instrument ID to subscribe to.
book_type (BookType { L1_TBBO , L2_MBP , L3_MBO }) – The order book type.
depth ( int , optional ) – The maximum depth for the order book. A depth of 0 is maximum depth.
interval_ms ( int ) – The order book snapshot interval in milliseconds.
kwargs ( dict , optional ) – The keyword arguments for exchange specific parameters.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

Raises :

ValueError – If depth is negative (< 0).
ValueError – If interval_ms is not positive (> 0).

subscribe_quote_ticks ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Subscribe to streaming QuoteTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_ticker ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Subscribe to streaming Ticker data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_trade_ticks ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Subscribe to streaming TradeTick data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The tick instrument to subscribe to.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

subscribe_venue_status_updates ( self , Venue venue , ClientId client_id=None ) → void ¶

Subscribe to status updates for the given venue.

Parameters :

venue ( Venue ) – The venue to subscribe to.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue.

to_importable_config ( self ) → ImportableActorConfig ¶

Returns an importable configuration for this actor.

Returns :: ImportableActorConfig

trader_id ¶

The trader ID associated with the component.

Returns :: TraderId

type ¶

The components type.

Returns :: type

unsubscribe_bars ( self , BarType bar_type , ClientId client_id=None ) → void ¶

Unsubscribe from streaming Bar data for the given bar type.

Parameters :

bar_type ( BarType ) – The bar type to unsubscribe from.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_data ( self , DataType data_type , ClientId client_id=None ) → void ¶

Unsubscribe from data of the given data type.

Parameters :

data_type ( DataType ) – The data type to unsubscribe from.
client_id ( ClientId , optional ) – The data client ID. If supplied then an Unsubscribe command will be sent to the data client.

unsubscribe_instrument ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Unsubscribe from update Instrument data for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The instrument to unsubscribe from.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Unsubscribe to status updates of the given venue.

Parameters :

instrument_id ( InstrumentId ) – The instrument to unsubscribe to status updates for.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_instruments ( self , Venue venue , ClientId client_id=None ) → void ¶

Unsubscribe from update Instrument data for the given venue.

Parameters :

venue ( Venue ) – The venue for the subscription.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue.

unsubscribe_order_book_deltas ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Unsubscribe the order book deltas stream for the given instrument ID.

Parameters :

instrument_id ( InstrumentId ) – The order book instrument to subscribe to.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id , int interval_ms=1000 , ClientId client_id=None ) → void ¶

Unsubscribe from OrderBook snapshots, for the given instrument ID.

The interval must match the previously subscribed interval.

Parameters :

instrument_id ( InstrumentId ) – The order book instrument to subscribe to.
interval_ms ( int ) – The order book snapshot interval in milliseconds.
client_id ( ClientId , optional ) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.

unsubscribe