Cache

The cache subpackage provides common caching infrastructure.

A running Nautilus system generally uses a single centralized cache which can be accessed by many components.

Cache

class Cache ( Logger logger , CacheDatabase database: Optional[CacheDatabase] = None , config: Optional[CacheConfig] = None )

Bases: nautilus_trader.cache.base.CacheFacade

Provides a common object cache for market and execution related data.

Parameters
  • logger ( Logger ) – The logger for the cache.

  • database ( CacheDatabase , optional ) – The database for the cache. If None then will bypass persistence.

  • config ( CacheConfig , optional ) – The cache configuration.

Raises

TypeError – If config is not of type CacheConfig .

account ( self , AccountId account_id ) Account

Return the account matching the given ID (if found).

Parameters

account_id ( AccountId ) – The account ID.

Returns

Account or None

account_for_venue ( self , Venue venue ) Account

Return the account matching the given client ID (if found).

Parameters

venue ( Venue ) – The venue for the account.

Returns

Account or None

account_id ( self , Venue venue ) AccountId

Return the account ID for the given venue (if found).

Parameters

venue ( Venue ) – The venue for the account ID.

Returns

AccountId or None

accounts ( self ) list

Return all accounts in the cache.

Returns

list[Account]

add_account ( self , Account account ) void

Add the given account to the cache.

Parameters

account ( Account ) – The account to add.

Raises

ValueError – If account_id is already contained in the cache.

add_bar ( self , Bar bar ) void

Add the given bar to the cache.

Parameters

bar ( Bar ) – The bar to add.

add_bars ( self , list bars ) void

Add the given bars to the cache.

Parameters

bars ( list [ Bar ] ) – The bars to add.

add_currency ( self , Currency currency ) void

Add the given currency to the cache.

Parameters

currency ( Currency ) – The currency to add.

add_instrument ( self , Instrument instrument ) void

Add the given instrument to the cache.

Parameters

instrument ( Instrument ) – The instrument to add.

add_order ( self , Order order , PositionId position_id ) void

Add the given order to the cache indexed with the given position ID.

Parameters
  • order ( Order ) – The order to add.

  • position_id ( PositionId ) – The position ID to index for the order.

Raises

ValueError – If order.client_order_id is already contained in the cache.

add_order_book ( self , OrderBook order_book ) void

Add the given order book to the cache.

Parameters

order_book ( OrderBook ) – The order book to add.

add_position ( self , Position position , OMSType oms_type ) void

Add the given position to the cache.

Parameters
  • position ( Position ) – The position to add.

  • oms_type ( OMSType ) – The order management system type for the position.

Raises

ValueError – If oms_type is HEDGING and a virtual position.id is already contained in the cache.

add_position_id ( self , PositionId position_id , Venue venue , ClientOrderId client_order_id , StrategyId strategy_id ) void

Index the given position ID with the other given IDs.

Parameters
  • position_id ( PositionId ) – The position ID to index.

  • venue ( Venue ) – The venue ID to index with the position ID.

  • client_order_id ( ClientOrderId ) – The client order ID to index with the position ID.

  • strategy_id ( StrategyId ) – The strategy ID to index with the position ID.

add_quote_tick ( self , QuoteTick tick ) void

Add the given quote tick to the cache.

Parameters

tick ( QuoteTick ) – The tick to add.

add_quote_ticks ( self , list ticks ) void

Add the given quote ticks to the cache.

Parameters

ticks ( list [ QuoteTick ] ) – The ticks to add.

add_ticker ( self , Ticker ticker ) void

Add the given ticker to the cache.

Parameters

ticker ( Ticker ) – The ticker to add.

add_trade_tick ( self , TradeTick tick ) void

Add the given trade tick to the cache.

Parameters

tick ( TradeTick ) – The tick to add.

add_trade_ticks ( self , list ticks ) void

Add the given trade ticks to the cache.

Parameters

ticks ( list [ TradeTick ] ) – The ticks to add.

bar ( self , BarType bar_type , int index=0 ) Bar

Return the bar for the given bar type at the given index.

Last bar if no index specified.

Parameters
  • bar_type ( BarType ) – The bar type to get.

  • index ( int , optional ) – The index for the bar to get.

Returns

Bar or None – If no bars or no bar at index then returns None .

Notes

Reverse indexed (most recent bar at index 0).

bar_capacity

The caches bar capacity.

Returns

int

bar_count ( self , BarType bar_type ) int

The count of bars for the given bar type.

Parameters

bar_type ( BarType ) – The bar type to count.

Returns

int

bars ( self , BarType bar_type ) list

Return bars for the given bar type.

Parameters

bar_type ( BarType ) – The bar type for bars to get.

Returns

list[Bar]

book_update_count ( self , InstrumentId instrument_id ) int

The count of order book updates for the given instrument ID.

Will return zero if there is no book for the instrument ID.

Parameters

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

Returns

int

build_index ( self ) void

Clear the current cache index and re-build.

cache_accounts ( self ) void

Clear the current accounts cache and load accounts from the execution database.

cache_currencies ( self ) void

Clear the current currencies cache and load currencies from the execution database.

cache_instruments ( self ) void

Clear the current instruments cache and load instruments from the execution database.

cache_orders ( self ) void

Clear the current orders cache and load orders from the execution database.

cache_positions ( self ) void

Clear the current positions cache and load positions from the execution database.

check_integrity ( self ) bool

Check integrity of data within the cache.

All data should be loaded from the database prior to this call. If an error is found then a log error message will also be produced.

Returns

bool – True if checks pass, else False.

check_residuals ( self ) bool

Check for any residual open state and log warnings if any are found.

‘Open state’ is considered to be open orders and open positions.

Returns

bool – True if residuals exist, else False.

clear_cache ( self ) void

Clear the cache.

Warning

Calling this without rebuilding the index will result in errors.

clear_index ( self ) void
client_order_id ( self , VenueOrderId venue_order_id ) ClientOrderId

Return the client order ID matching the given venue order ID (if found).

Parameters

venue_order_id ( VenueOrderId ) – The venue assigned order ID.

Returns

ClientOrderId or None

client_order_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Return all client order IDs with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

set[ClientOrderId]

client_order_ids_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Return all closed client order IDs with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

set[ClientOrderId]

client_order_ids_inflight ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Return all in-flight client order IDs with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

set[ClientOrderId]

client_order_ids_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Return all open client order IDs with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

set[ClientOrderId]

delete_strategy ( self , Strategy strategy ) void

Delete the given strategy from the cache.

Parameters

strategy ( Strategy ) – The strategy to deregister.

Raises

ValueError – If strategy is not contained in the strategies.

flush_db ( self ) void

Flush the caches database which permanently removes all persisted data.

Warning

Permanent data loss.

get_xrate ( self , Venue venue , Currency from_currency , Currency to_currency , PriceType price_type=PriceType.MID ) double

Return the calculated exchange rate.

Parameters
  • venue ( Venue ) – The venue for the exchange rate.

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

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

  • price_type ( PriceType ) – The price type for the exchange rate.

Returns

double

Raises

ValueError – If price_type is LAST .

has_bars ( self , BarType bar_type ) bool

Return a value indicating whether the cache has bars for the given bar type.

Parameters

bar_type ( BarType ) – The bar type for the bars.

Returns

bool

has_order_book ( self , InstrumentId instrument_id ) bool

Return a value indicating whether the cache has an order book snapshot for the given instrument ID.

Parameters

instrument_id ( InstrumentId ) – The instrument ID for the order book snapshot.

Returns

bool

has_quote_ticks ( self , InstrumentId instrument_id ) bool

Return a value indicating whether the cache has quote ticks for the given instrument ID.

Parameters

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

Returns

bool

has_tickers ( self , InstrumentId instrument_id ) bool

Return a value indicating whether the cache has tickers for the given instrument ID.

Parameters

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

Returns

bool

has_trade_ticks ( self , InstrumentId instrument_id ) bool

Return a value indicating whether the cache has trade ticks for the given instrument ID.

Parameters

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

Returns

bool

instrument ( self , InstrumentId instrument_id ) Instrument

Return the instrument corresponding to the given instrument ID.

Parameters

instrument_id ( InstrumentId ) – The instrument ID of the instrument to return.

Returns

Instrument or None

instrument_ids ( self , Venue venue=None ) list

Return all instrument IDs held by the cache.

Parameters

venue ( Venue , optional ) – The venue filter for the query.

Returns

list[InstrumentId]

instruments ( self , Venue venue=None ) list

Return all instruments held by the cache.

Parameters

venue ( Venue , optional ) – The venue filter for the query.

Returns

list[Instrument]

is_order_closed ( self , ClientOrderId client_order_id ) bool

Return a value indicating whether an order with the given ID is closed.

Parameters

client_order_id ( ClientOrderId ) – The client order ID to check.

Returns

bool

is_order_inflight ( self , ClientOrderId client_order_id ) bool

Return a value indicating whether an order with the given ID is in-flight.

Parameters

client_order_id ( ClientOrderId ) – The client order ID to check.

Returns

bool

is_order_open ( self , ClientOrderId client_order_id ) bool

Return a value indicating whether an order with the given ID is open.

Parameters

client_order_id ( ClientOrderId ) – The client order ID to check.

Returns

bool

is_position_closed ( self , PositionId position_id ) bool

Return a value indicating whether a position with the given ID exists and is closed.

Parameters

position_id ( PositionId ) – The position ID.

Returns

bool

is_position_open ( self , PositionId position_id ) bool

Return a value indicating whether a position with the given ID exists and is open.

Parameters

position_id ( PositionId ) – The position ID.

Returns

bool

load_account ( self , AccountId account_id ) Account

Load the account associated with the given account_id (if found).

Parameters

account_id ( AccountId ) – The account ID to load.

Returns

Account or None

load_instrument ( self , InstrumentId instrument_id ) Instrument

Load the instrument associated with the given instrument_id (if found).

Parameters

instrument_id ( InstrumentId ) – The instrument ID to load.

Returns

Account or None

load_order ( self , ClientOrderId client_order_id ) Order

Load the order associated with the given ID (if found).

Parameters

client_order_id ( ClientOrderId ) – The client order ID to load.

Returns

Order or None

load_position ( self , PositionId position_id ) Position

Load the position associated with the given ID (if found).

Parameters

position_id ( PositionId ) – The position ID to load.

Returns

Position or None

load_strategy ( self , Strategy strategy ) void

Load the state dictionary for the given strategy.

Parameters

strategy ( Strategy ) – The strategy to load.

order ( self , ClientOrderId client_order_id ) Order

Return the order matching the given client order ID (if found).

Returns

Order or None

order_book ( self , InstrumentId instrument_id ) OrderBook

Return the order book for the given instrument ID.

Parameters

instrument_id ( InstrumentId ) –

Returns

OrderBook or None

order_exists ( self , ClientOrderId client_order_id ) bool

Return a value indicating whether an order with the given ID exists.

Parameters

client_order_id ( ClientOrderId ) – The client order ID to check.

Returns

bool

orders ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Return all orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

list[Order]

orders_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Return all closed orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

list[Order]

orders_closed_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Return the count of closed orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

int

orders_for_position ( self , PositionId position_id ) list

Return all orders for the given position ID.

Parameters

position_id ( PositionId ) – The position ID for the orders.

Returns

list[Order]

orders_inflight ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Return all in-flight orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

list[Order]

orders_inflight_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Return the count of in-flight orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

int

orders_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Return all open orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

list[Order]

orders_open_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Return the count of open orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

int

orders_total_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Return the total count of orders with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

  • side (OrderSide, default NONE (no filter)) – The order side query filter.

Returns

int

position ( self , PositionId position_id ) Position

Return the position associated with the given ID (if found).

Parameters

position_id ( PositionId ) – The position ID.

Returns

Position or None

position_closed_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Return all closed position IDs with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

Set[PositionId]

position_exists ( self , PositionId position_id ) bool

Return a value indicating whether a position with the given ID exists.

Parameters

position_id ( PositionId ) – The position ID.

Returns

int

position_for_order ( self , ClientOrderId client_order_id ) Position

Return the position associated with the given client order ID (if found).

Parameters

client_order_id ( ClientOrderId ) – The client order ID.

Returns

Position or None

position_id ( self , ClientOrderId client_order_id ) PositionId

Return the position ID associated with the given client order ID (if found).

Parameters

client_order_id ( ClientOrderId ) – The client order ID associated with the position.

Returns

PositionId or None

position_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Return all position IDs with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

Set[PositionId]

position_open_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Return all open position IDs with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

Set[PositionId]

position_snapshots ( self , PositionId position_id=None ) list

Return all position snapshots with the given optional identifier filter.

Parameters

position_id ( PositionId , optional ) – The position ID query filter.

Returns

list[Position]

positions ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list

Return all positions with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

list[Position]

positions_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list

Return all closed positions with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

list[Position]

positions_closed_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) int

Return the count of closed positions with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

int

positions_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list

Return all open positions with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

list[Position]

positions_open_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) int

Return the count of open positions with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

int

positions_total_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) int

Return the total count of positions with the given query filters.

Parameters
  • venue ( Venue , optional ) – The venue ID query filter.

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

  • strategy_id ( StrategyId , optional ) – The strategy ID query filter.

Returns

int

price ( self , InstrumentId instrument_id , PriceType price_type ) Price

Return the price for the given instrument ID and price type.

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

  • price_type ( PriceType ) – The price type for the query.

Returns

Price or None

quote_tick ( self , InstrumentId instrument_id , int index=0 ) QuoteTick

Return the quote tick for the given instrument ID at the given index.

Last quote tick if no index specified.

Parameters
  • instrument_id ( InstrumentId ) – The instrument ID for the tick to get.

  • index ( int , optional ) – The index for the tick to get.

Returns

QuoteTick or None – If no ticks or no tick at index then returns None .

Notes

Reverse indexed (most recent tick at index 0).

quote_tick_count ( self , InstrumentId instrument_id ) int

The count of quote ticks for the given instrument ID.

Parameters

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

Returns

int

quote_ticks ( self , InstrumentId instrument_id ) list

Return the quote ticks for the given instrument ID.

Parameters

instrument_id ( InstrumentId ) – The instrument ID for the ticks to get.

Returns

list[QuoteTick]

reset ( self ) void

Reset the cache.

All stateful fields are reset to their initial value.

snapshot_position ( self , Position position ) void

Snapshot the given position in its current state.

The position ID will be appended with a UUID4 string.

Parameters

position ( Position ) – The position to snapshot.

strategy_id_for_order ( self , ClientOrderId client_order_id ) StrategyId

Return the strategy ID associated with the given ID (if found).

Parameters

client_order_id ( ClientOrderId ) – The client order ID associated with the strategy.

Returns

StrategyId or None

strategy_id_for_position ( self , PositionId position_id ) StrategyId

Return the strategy ID associated with the given ID (if found).

Parameters

position_id ( PositionId ) – The position ID associated with the strategy.

Returns

StrategyId or None

strategy_ids ( self ) set

Return all strategy IDs.

Returns

Set[StrategyId]

tick_capacity

The caches tick capacity.

Returns

int

ticker ( self , InstrumentId instrument_id , int index=0 ) Ticker

Return the ticker for the given instrument ID at the given index.

Last ticker if no index specified.

Parameters
  • instrument_id ( InstrumentId ) – The instrument ID for the ticker to get.

  • index ( int , optional ) – The index for the ticker to get.

Returns

Ticker or None – If no tickers or no ticker at index then returns None .

Notes

Reverse indexed (most recent ticker at index 0).

ticker_count ( self , InstrumentId instrument_id ) int

The count of tickers for the given instrument ID.

Parameters

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

Returns

int

tickers ( self , InstrumentId instrument_id ) list

Return the tickers for the given instrument ID.

Parameters

instrument_id ( InstrumentId ) – The instrument ID for the ticks to get.

Returns

list[QuoteTick]

trade_tick ( self , InstrumentId instrument_id , int index=0 ) TradeTick

Return the trade tick for the given instrument ID at the given index

Last trade tick if no index specified.

Parameters
  • instrument_id ( InstrumentId ) – The instrument ID for the tick to get.

  • index ( int , optional ) – The index for the tick to get.

Returns

TradeTick or None – If no ticks or no tick at index then returns None .

Notes

Reverse indexed (most recent tick at index 0).

trade_tick_count ( self , InstrumentId instrument_id ) int

The count of trade ticks for the given instrument ID.

Parameters

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

Returns

int

trade_ticks ( self , InstrumentId instrument_id ) list

Return trade ticks for the given instrument ID.

Parameters

instrument_id ( InstrumentId ) – The instrument ID for the ticks to get.

Returns

list[TradeTick]

update_account ( self , Account account ) void

Update the given account in the cache.

Parameters

account ( The account to update ( from last event ) . ) –

update_order ( self , Order order ) void

Update the given order in the cache.

Parameters

order ( Order ) – The order to update (from last event).

update_position ( self , Position position ) void

Update the given position in the cache.

Parameters

position ( Position ) – The position to update (from last event).

update_strategy ( self , Strategy strategy ) void

Update the given strategy state in the cache.

Parameters

strategy ( Strategy ) – The strategy to update.

venue_order_id ( self , ClientOrderId client_order_id ) VenueOrderId

Return the order ID matching the given client order ID (if found).

Returns

VenueOrderId or None

Database

class CacheDatabase ( Logger logger )

Bases: object

The abstract base class for all cache databases.

Parameters

logger ( Logger ) – The logger for the database.

Warning

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

add_account ( self , Account account ) void

Abstract method (implement in subclass).

add_currency ( self , Currency currency ) void

Abstract method (implement in subclass).

add_instrument ( self , Instrument instrument ) void

Abstract method (implement in subclass).

add_order ( self , Order order ) void

Abstract method (implement in subclass).

add_position ( self , Position position ) void

Abstract method (implement in subclass).

delete_strategy ( self , StrategyId strategy_id ) void

Abstract method (implement in subclass).

flush ( self ) void

Abstract method (implement in subclass).

load_account ( self , AccountId account_id ) Account

Abstract method (implement in subclass).

load_accounts ( self ) dict

Abstract method (implement in subclass).

load_currencies ( self ) dict

Abstract method (implement in subclass).

load_currency ( self , unicode code ) Currency

Abstract method (implement in subclass).

load_instrument ( self , InstrumentId instrument_id ) Instrument

Abstract method (implement in subclass).

load_instruments ( self ) dict

Abstract method (implement in subclass).

load_order ( self , ClientOrderId client_order_id ) Order

Abstract method (implement in subclass).

load_orders ( self ) dict

Abstract method (implement in subclass).

load_position ( self , PositionId position_id ) Position

Abstract method (implement in subclass).

load_positions ( self ) dict

Abstract method (implement in subclass).

load_strategy ( self , StrategyId strategy_id ) dict

Abstract method (implement in subclass).

update_account ( self , Account event ) void

Abstract method (implement in subclass).

update_order ( self , Order order ) void

Abstract method (implement in subclass).

update_position ( self , Position position ) void

Abstract method (implement in subclass).

update_strategy ( self , Strategy strategy ) void

Abstract method (implement in subclass).

Base

class CacheFacade

Bases: object

Provides a read-only facade for the common Cache .

account ( self , AccountId account_id ) Account

Abstract method (implement in subclass).

account_for_venue ( self , Venue venue ) Account

Abstract method (implement in subclass).

account_id ( self , Venue venue ) AccountId

Abstract method (implement in subclass).

accounts ( self ) list

Abstract method (implement in subclass).

bar ( self , BarType bar_type , int index=0 ) Bar

Abstract method (implement in subclass).

bar_count ( self , BarType bar_type ) int

Abstract method (implement in subclass).

bars ( self , BarType bar_type ) list

Abstract method (implement in subclass).

book_update_count ( self , InstrumentId instrument_id ) int

Abstract method (implement in subclass).

client_order_id ( self , VenueOrderId venue_order_id ) ClientOrderId

Abstract method (implement in subclass).

client_order_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Abstract method (implement in subclass).

client_order_ids_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Abstract method (implement in subclass).

client_order_ids_inflight ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Abstract method (implement in subclass).

client_order_ids_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Abstract method (implement in subclass).

get_xrate ( self , Venue venue , Currency from_currency , Currency to_currency , PriceType price_type=PriceType.MID ) double

Abstract method (implement in subclass).

has_bars ( self , BarType bar_type ) bool

Abstract method (implement in subclass).

has_order_book ( self , InstrumentId instrument_id ) bool

Abstract method (implement in subclass).

has_quote_ticks ( self , InstrumentId instrument_id ) bool

Abstract method (implement in subclass).

has_tickers ( self , InstrumentId instrument_id ) bool

Abstract method (implement in subclass).

has_trade_ticks ( self , InstrumentId instrument_id ) bool

Abstract method (implement in subclass).

instrument ( self , InstrumentId instrument_id ) Instrument

Abstract method (implement in subclass).

instrument_ids ( self , Venue venue=None ) list

Abstract method (implement in subclass).

instruments ( self , Venue venue=None ) list

Abstract method (implement in subclass).

is_order_closed ( self , ClientOrderId client_order_id ) bool

Abstract method (implement in subclass).

is_order_inflight ( self , ClientOrderId client_order_id ) bool

Abstract method (implement in subclass).

is_order_open ( self , ClientOrderId client_order_id ) bool

Abstract method (implement in subclass).

is_position_closed ( self , PositionId position_id ) bool

Abstract method (implement in subclass).

is_position_open ( self , PositionId position_id ) bool

Abstract method (implement in subclass).

order ( self , ClientOrderId client_order_id ) Order

Abstract method (implement in subclass).

order_book ( self , InstrumentId instrument_id ) OrderBook

Abstract method (implement in subclass).

order_exists ( self , ClientOrderId client_order_id ) bool

Abstract method (implement in subclass).

orders ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Abstract method (implement in subclass).

orders_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Abstract method (implement in subclass).

orders_closed_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Abstract method (implement in subclass).

orders_for_position ( self , PositionId position_id ) list

Abstract method (implement in subclass).

orders_inflight ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Abstract method (implement in subclass).

orders_inflight_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Abstract method (implement in subclass).

orders_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) list

Abstract method (implement in subclass).

orders_open_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Abstract method (implement in subclass).

orders_total_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NONE ) int

Abstract method (implement in subclass).

position ( self , PositionId position_id ) Position

Abstract method (implement in subclass).

position_closed_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Abstract method (implement in subclass).

position_exists ( self , PositionId position_id ) bool

Abstract method (implement in subclass).

position_for_order ( self , ClientOrderId client_order_id ) Position

Abstract method (implement in subclass).

position_id ( self , ClientOrderId client_order_id ) PositionId

Abstract method (implement in subclass).

position_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Abstract method (implement in subclass).

position_open_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set

Abstract method (implement in subclass).

position_snapshots ( self , PositionId position_id=None ) list

Abstract method (implement in subclass).

positions ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list

Abstract method (implement in subclass).

positions_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list

Abstract method (implement in subclass).

positions_closed_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) int

Abstract method (implement in subclass).

positions_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list

Abstract method (implement in subclass).

positions_open_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) int

Abstract method (implement in subclass).

positions_total_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) int

Abstract method (implement in subclass).

price ( self , InstrumentId instrument_id , PriceType price_type ) Price

Abstract method (implement in subclass).

quote_tick ( self , InstrumentId instrument_id , int index=0 ) QuoteTick

Abstract method (implement in subclass).

quote_tick_count ( self , InstrumentId instrument_id ) int

Abstract method (implement in subclass).

quote_ticks ( self , InstrumentId instrument_id ) list

Abstract method (implement in subclass).

strategy_id_for_order ( self , ClientOrderId client_order_id ) StrategyId

Abstract method (implement in subclass).

strategy_id_for_position ( self , PositionId position_id ) StrategyId

Abstract method (implement in subclass).

strategy_ids ( self ) set

Abstract method (implement in subclass).

ticker ( self , InstrumentId instrument_id , int index=0 ) Ticker

Abstract method (implement in subclass).

ticker_count ( self , InstrumentId instrument_id ) int

Abstract method (implement in subclass).

tickers ( self , InstrumentId instrument_id ) list

Abstract method (implement in subclass).

trade_tick ( self , InstrumentId instrument_id , int index=0 ) TradeTick

Abstract method (implement in subclass).

trade_tick_count ( self , InstrumentId instrument_id ) int

Abstract method (implement in subclass).

trade_ticks ( self , InstrumentId instrument_id ) list

Abstract method (implement in subclass).

venue_order_id ( self , ClientOrderId client_order_id ) VenueOrderId

Abstract method (implement in subclass).