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.
- class Cache ( Logger logger , CacheDatabase database: Optional[CacheDatabase] = None , bool snapshot_orders: bool = False , bool snapshot_positions: bool = False , config: Optional[CacheConfig] = None ) ¶
-
Bases:
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.
-
snapshot_orders ( bool , default False ) – If order state snapshots should be persisted.
-
snapshot_positions ( bool , default False ) – If position state snapshots should be persisted.
-
- 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]
- actor_ids ( self ) set ¶
-
Return all actor IDs.
- Returns :
-
set[ComponentId]
- add ( self , unicode key , bytes value ) void ¶
-
Add the given general object to the cache.
The cache is agnostic to what the object actually is (and how it may be serialized), offering maximum flexibility.
- Parameters :
-
-
key ( str ) – The cache key for the object.
-
value ( bytes ) – The object value to write.
-
- 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=None , ClientId client_id=None , bool override=False ) void ¶
-
Add the given order to the cache indexed with the given position ID.
- Parameters :
-
-
order ( Order ) – The order to add.
-
position_id ( PositionId , optional ) – The position ID to index for the order.
-
client_id ( ClientId , optional ) – The execution client ID for order routing.
-
override ( bool , default False ) – If the added order should ‘override’ any existing order and replace it in the cache. This is currently used for emulated orders which are being released and transformed into another type.
-
- 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_order_list ( self , OrderList order_list ) void ¶
-
Add the given order list to the cache.
- Parameters :
-
order_list ( OrderList ) – The order_list to add.
- Raises :
-
ValueError – If order_list.id is already contained in the cache.
- 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_synthetic ( self , SyntheticInstrument synthetic ) void ¶
-
Add the given synthetic instrument to the cache.
- Parameters :
-
synthetic ( SyntheticInstrument ) – The synthetic instrument 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 returnsNone
.
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 cache database.
- cache_currencies ( self ) void ¶
-
Clear the current currencies cache and load currencies from the cache database.
- cache_general ( self ) void ¶
-
Clear the current general cache and load the general objects from the cache database.
- cache_instruments ( self ) void ¶
-
Clear the current instruments cache and load instruments from the cache database.
- cache_order_lists ( self ) void ¶
-
Clear the current order lists cache and load order lists using cached orders.
- cache_orders ( self ) void ¶
-
Clear the current orders cache and load orders from the cache database.
- cache_positions ( self ) void ¶
-
Clear the current positions cache and load positions from the cache database.
- cache_synthetics ( self ) void ¶
-
Clear the current synthetic instruments cache and load synthetic instruments from the cache 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_index ( self ) void ¶
- client_id ( self , ClientOrderId client_order_id ) ClientId ¶
-
Return the specific execution client ID matching the given client order ID (if found).
- Returns :
-
ClientId or
None
- 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_emulated ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set ¶
-
Return all emulated 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_actor ( self , Actor actor ) void ¶
-
Delete the given actor from the cache.
- Parameters :
-
actor ( Actor ) – The actor to deregister.
- Raises :
-
ValueError – If actor is not contained in the actors index.
- 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 index.
- exec_algorithm_ids ( self ) set ¶
-
Return all execution algorithm IDs.
- Returns :
-
set[ExecAlgorithmId]
- exec_spawn_total_filled_qty ( self , ClientOrderId exec_spawn_id , bool active_only=False ) Quantity ¶
-
Return the total filled quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns
None
.- Parameters :
-
-
exec_spawn_id ( ClientOrderId ) – The execution algorithm spawning primary (original) client order ID.
-
active_only ( bool , default False ) – The flag to filter for active execution spawn orders only.
-
- Returns :
-
Quantity or
None
Notes
An “active” order is defined as one which is not closed .
- exec_spawn_total_leaves_qty ( self , ClientOrderId exec_spawn_id , bool active_only=False ) Quantity ¶
-
Return the total leaves quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns
None
.- Parameters :
-
-
exec_spawn_id ( ClientOrderId ) – The execution algorithm spawning primary (original) client order ID.
-
active_only ( bool , default False ) – The flag to filter for active execution spawn orders only.
-
- Returns :
-
Quantity or
None
Notes
An “active” order is defined as one which is not closed .
- exec_spawn_total_quantity ( self , ClientOrderId exec_spawn_id , bool active_only=False ) Quantity ¶
-
Return the total quantity for the given execution spawn ID (if found).
If no execution spawn ID matches then returns
None
.- Parameters :
-
-
exec_spawn_id ( ClientOrderId ) – The execution algorithm spawning primary (original) client order ID.
-
active_only ( bool , default False ) – The flag to filter for active execution spawn orders only.
-
- Returns :
-
Quantity or
None
Notes
An “active” order is defined as one which is not closed .
- flush_db ( self ) void ¶
-
Flush the caches database which permanently removes all persisted data.
Warning
Permanent data loss.
- get ( self , unicode key ) bytes ¶
-
Add the given general object to the cache.
The cache is agnostic to what the object actually is (and how it may be serialized), offering maximum flexibility.
- Parameters :
-
key ( str ) – The cache key for the object.
- Returns :
-
bytes or
None
- get_xrate ( self , Venue venue , Currency from_currency , Currency to_currency , PriceType price_type=PriceType.MID ) double ¶
-
Return the calculated exchange rate.
- Parameters :
- 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
- heartbeat ( self , datetime timestamp ) void ¶
-
Add a heartbeat at the given timestamp .
- Parameters :
-
timestamp ( datetime ) – The timestamp for the heartbeat.
- 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_emulated ( self , ClientOrderId client_order_id ) bool ¶
-
Return a value indicating whether an order with the given ID is emulated.
- 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_order_pending_cancel_local ( self , ClientOrderId client_order_id ) bool ¶
-
Return a value indicating whether an order with the given ID is pending cancel locally.
- 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_actor ( self , Actor actor ) void ¶
-
Load the state dictionary into the given actor.
- Parameters :
-
actor ( Actor ) – The actor to load.
- 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 :
-
Instrument 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 into the given strategy.
- Parameters :
-
strategy ( Strategy ) – The strategy to load.
- load_synthetic ( self , InstrumentId instrument_id ) SyntheticInstrument ¶
-
Load the synthetic instrument associated with the given instrument_id (if found).
- Parameters :
-
instrument_id ( InstrumentId ) – The synthetic instrument ID to load.
- Returns :
-
SyntheticInstrument or
None
- Raises :
-
ValueError – If instrument_id is not a synthetic instrument ID.
- 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
- order_list ( self , OrderListId order_list_id ) OrderList ¶
-
Return the order list matching the given order list ID (if found).
- Returns :
-
OrderList or
None
- order_list_exists ( self , OrderListId order_list_id ) bool ¶
-
Return a value indicating whether an order list with the given ID exists.
- Parameters :
-
order_list_id ( OrderListId ) – The order list ID to check.
- Returns :
-
bool
- order_list_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set ¶
-
Return all order list IDs.
- Returns :
-
set[OrderListId]
- order_lists ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list ¶
-
Return all order lists matching the given query filters.
No particular order of list elements is guaranteed.
- Returns :
-
list[OrderList]
- orders ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Return all orders matching the given query filters.
No particular order of list elements is guaranteed.
- 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
NO_ORDER_SIDE
(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.NO_ORDER_SIDE ) list ¶
-
Return all closed orders with the given query filters.
No particular order of list elements is guaranteed.
- 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
NO_ORDER_SIDE
(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.NO_ORDER_SIDE ) 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
NO_ORDER_SIDE
(no filter)) – The order side query filter.
-
- Returns :
-
int
- orders_emulated ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Return all emulated orders with the given query filters.
No particular order of list elements is guaranteed.
- 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
NO_ORDER_SIDE
(no filter)) – The order side query filter.
-
- Returns :
-
list[Order]
- orders_emulated_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) int ¶
-
Return the count of emulated 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
NO_ORDER_SIDE
(no filter)) – The order side query filter.
-
- Returns :
-
int
- orders_for_exec_algorithm ( self , ExecAlgorithmId exec_algorithm_id , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Return all execution algorithm orders for the given query filters.
- Parameters :
-
-
exec_algorithm_id ( ExecAlgorithmId ) – The execution algorithm ID.
-
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
NO_ORDER_SIDE
(no filter)) – The order side query filter.
-
- Returns :
-
list[Order]
- orders_for_exec_spawn ( self , ClientOrderId exec_spawn_id ) list ¶
-
Return all orders for the given execution spawn ID (if found).
Will also include the primary (original) order.
- Parameters :
-
exec_spawn_id ( ClientOrderId ) – The execution algorithm spawning primary (original) client order ID.
- Returns :
-
list[Order]
- 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.NO_ORDER_SIDE ) list ¶
-
Return all in-flight orders with the given query filters.
No particular order of list elements is guaranteed.
- 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
NO_ORDER_SIDE
(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.NO_ORDER_SIDE ) 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
NO_ORDER_SIDE
(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.NO_ORDER_SIDE ) list ¶
-
Return all open orders with the given query filters.
No particular order of list elements is guaranteed.
- 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
NO_ORDER_SIDE
(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.NO_ORDER_SIDE ) 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
NO_ORDER_SIDE
(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.NO_ORDER_SIDE ) 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
NO_ORDER_SIDE
(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 , PositionSide side=PositionSide.NO_POSITION_SIDE ) list ¶
-
Return all positions with the given query filters.
No particular order of list elements is guaranteed.
- 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 (PositionSide, default
NO_POSITION_SIDE
(no filter)) – The position side 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.
No particular order of list elements is guaranteed.
- 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 , PositionSide side=PositionSide.NO_POSITION_SIDE ) list ¶
-
Return all open positions with the given query filters.
No particular order of list elements is guaranteed.
- 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 (PositionSide, default
NO_POSITION_SIDE
(no filter)) – The position side query filter.
-
- Returns :
-
list[Position]
- positions_open_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , PositionSide side=PositionSide.NO_POSITION_SIDE ) 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.
-
side (PositionSide, default
NO_POSITION_SIDE
(no filter)) – The position side query filter.
-
- Returns :
-
int
- positions_total_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , PositionSide side=PositionSide.NO_POSITION_SIDE ) 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.
-
side (PositionSide, default
NO_POSITION_SIDE
(no filter)) – The position side 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 returnsNone
.
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_order_state ( self , Order order ) void ¶
-
Snapshot the state dictionary for the given order .
This method will persist to the backing cache database.
- Parameters :
-
order ( Order ) – The order to snapshot the state for.
- snapshot_orders ¶
-
If order state snapshots should be persisted.
- Returns :
-
bool
- snapshot_position ( self , Position position ) void ¶
-
Snapshot the given position in its current state.
The position ID will be appended with a UUID v4 string.
- Parameters :
-
position ( Position ) – The position to snapshot.
- snapshot_position_state ( self , Position position , uint64_t ts_snapshot , bool open_only=True ) void ¶
-
Snapshot the state dictionary for the given position .
This method will persist to the backing cache database.
- Parameters :
-
-
position ( Position ) – The position to snapshot the state for.
-
ts_snapshot ( uint64_t ) – The UNIX timestamp (nanoseconds) when the snapshot was taken.
-
open_only ( bool , default True ) – If only open positions should be snapshot, this flag helps to avoid race conditions where a position is snapshot when no longer open.
-
- snapshot_positions ¶
-
If position state snapshots should be persisted.
- Returns :
-
bool
- 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]
- synthetic ( self , InstrumentId instrument_id ) SyntheticInstrument ¶
-
Return the synthetic instrument corresponding to the given instrument ID.
- Parameters :
-
instrument_id ( InstrumentId ) – The instrument ID of the synthetic instrument to return.
- Returns :
-
SyntheticInstrument or
None
- Raises :
-
ValueError – If instrument_id is not a synthetic instrument ID.
- synthetic_ids ( self ) list ¶
-
Return all synthetic instrument IDs held by the cache.
- Returns :
-
list[InstrumentId]
- synthetics ( self ) list ¶
-
Return all synthetic instruments held by the cache.
- Returns :
-
list[SyntheticInstrument]
- 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 returnsNone
.
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 returnsNone
.
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_actor ( self , Actor actor ) void ¶
-
Update the given actor state in the cache.
- Parameters :
-
actor ( Actor ) – The actor to update.
- update_order ( self , Order order ) void ¶
-
Update the given order in the cache.
- Parameters :
-
order ( Order ) – The order to update (from last event).
- update_order_pending_cancel_local ( self , Order order ) void ¶
-
Update the given order as pending cancel locally.
- Parameters :
-
order ( Order ) – The order to update.
- 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
- class CacheDatabase ( Logger logger , config: Optional[CacheDatabaseConfig] = None ) ¶
-
Bases:
object
The 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 ( self , unicode key , bytes value ) void ¶
-
Abstract method (implement in 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 , PositionId position_id=None , ClientId client_id=None ) void ¶
-
Abstract method (implement in subclass).
- add_position ( self , Position position ) void ¶
-
Abstract method (implement in subclass).
- add_synthetic ( self , SyntheticInstrument synthetic ) void ¶
-
Abstract method (implement in subclass).
- delete_actor ( self , ComponentId component_id ) 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).
- heartbeat ( self , datetime timestamp ) void ¶
-
Abstract method (implement in subclass).
- index_order_position ( self , ClientOrderId client_order_id , PositionId position_id ) void ¶
-
Abstract method (implement in subclass).
- index_venue_order_id ( self , ClientOrderId client_order_id , VenueOrderId venue_order_id ) void ¶
-
Abstract method (implement in subclass).
- load ( self ) dict ¶
-
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_actor ( self , ComponentId component_id ) dict ¶
-
Abstract method (implement in subclass).
- load_currencies ( self ) dict ¶
-
Abstract method (implement in subclass).
- load_index_order_client ( self ) dict ¶
-
Abstract method (implement in subclass).
- load_index_order_position ( self ) dict ¶
-
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_positions ( self ) dict ¶
-
Abstract method (implement in subclass).
- load_strategy ( self , StrategyId strategy_id ) dict ¶
-
Abstract method (implement in subclass).
- load_synthetic ( self , InstrumentId instrument_id ) SyntheticInstrument ¶
-
Abstract method (implement in subclass).
- load_synthetics ( self ) dict ¶
-
Abstract method (implement in subclass).
- snapshot_order_state ( self , Order order ) void ¶
-
Abstract method (implement in subclass).
- snapshot_position_state ( self , Position position , uint64_t ts_snapshot , Money unrealized_pnl=None ) void ¶
-
Abstract method (implement in subclass).
- update_account ( self , Account event ) void ¶
-
Abstract method (implement in subclass).
- update_actor ( self , Actor actor ) 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).
- 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).
- accounts ( self ) list ¶
-
Abstract method (implement in subclass).
- actor_ids ( self ) set ¶
-
Abstract method (implement in subclass).
- add ( self , unicode key , bytes value ) void ¶
-
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_id ( self , ClientOrderId client_order_id ) ClientId ¶
-
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_emulated ( 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).
- exec_algorithm_ids ( self ) set ¶
-
Abstract method (implement in subclass).
- exec_spawn_total_filled_qty ( self , ClientOrderId exec_spawn_id , bool active_only=False ) Quantity ¶
-
Abstract method (implement in subclass).
- exec_spawn_total_leaves_qty ( self , ClientOrderId exec_spawn_id , bool active_only=False ) Quantity ¶
-
Abstract method (implement in subclass).
- exec_spawn_total_quantity ( self , ClientOrderId exec_spawn_id , bool active_only=False ) Quantity ¶
-
Abstract method (implement in subclass).
- get ( self , unicode key ) bytes ¶
-
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_emulated ( 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_order_pending_cancel_local ( 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_book ( self , InstrumentId instrument_id ) OrderBook ¶
-
Abstract method (implement in subclass).
- order_exists ( self , ClientOrderId client_order_id ) bool ¶
-
Abstract method (implement in subclass).
- order_list ( self , OrderListId order_list_id ) OrderList ¶
-
Abstract method (implement in subclass).
- order_list_exists ( self , OrderListId order_list_id ) bool ¶
-
Abstract method (implement in subclass).
- order_list_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set ¶
-
Abstract method (implement in subclass).
- order_lists ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list ¶
-
Abstract method (implement in subclass).
- orders ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Abstract method (implement in subclass).
- orders_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Abstract method (implement in subclass).
- orders_closed_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) int ¶
-
Abstract method (implement in subclass).
- orders_emulated ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Abstract method (implement in subclass).
- orders_emulated_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) int ¶
-
Abstract method (implement in subclass).
- orders_for_exec_algorithm ( self , ExecAlgorithmId exec_algorithm_id , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Abstract method (implement in subclass).
- orders_for_exec_spawn ( self , ClientOrderId exec_spawn_id ) list ¶
-
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.NO_ORDER_SIDE ) list ¶
-
Abstract method (implement in subclass).
- orders_inflight_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) int ¶
-
Abstract method (implement in subclass).
- orders_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) list ¶
-
Abstract method (implement in subclass).
- orders_open_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) int ¶
-
Abstract method (implement in subclass).
- orders_total_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , OrderSide side=OrderSide.NO_ORDER_SIDE ) int ¶
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Abstract method (implement in subclass).
- position_closed_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set ¶
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Abstract method (implement in subclass).
- position_exists ( self , PositionId position_id ) bool ¶
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Abstract method (implement in subclass).
- position_for_order ( self , ClientOrderId client_order_id ) Position ¶
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Abstract method (implement in subclass).
- position_id ( self , ClientOrderId client_order_id ) PositionId ¶
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Abstract method (implement in subclass).
- position_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set ¶
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Abstract method (implement in subclass).
- position_open_ids ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) set ¶
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Abstract method (implement in subclass).
- position_snapshots ( self , PositionId position_id=None ) list ¶
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Abstract method (implement in subclass).
- positions ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , PositionSide side=PositionSide.NO_POSITION_SIDE ) list ¶
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Abstract method (implement in subclass).
- positions_closed ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) list ¶
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Abstract method (implement in subclass).
- positions_closed_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None ) int ¶
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Abstract method (implement in subclass).
- positions_open ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , PositionSide side=PositionSide.NO_POSITION_SIDE ) list ¶
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Abstract method (implement in subclass).
- positions_open_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , PositionSide side=PositionSide.NO_POSITION_SIDE ) int ¶
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Abstract method (implement in subclass).
- positions_total_count ( self , Venue venue=None , InstrumentId instrument_id=None , StrategyId strategy_id=None , PositionSide side=PositionSide.NO_POSITION_SIDE ) int ¶
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Abstract method (implement in subclass).
- price ( self , InstrumentId instrument_id , PriceType price_type ) Price ¶
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Abstract method (implement in subclass).
- quote_tick ( self , InstrumentId instrument_id , int index=0 ) QuoteTick ¶
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Abstract method (implement in subclass).
- quote_tick_count ( self , InstrumentId instrument_id ) int ¶
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Abstract method (implement in subclass).
- quote_ticks ( self , InstrumentId instrument_id ) list ¶
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Abstract method (implement in subclass).
- strategy_id_for_order ( self , ClientOrderId client_order_id ) StrategyId ¶
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Abstract method (implement in subclass).
- strategy_id_for_position ( self , PositionId position_id ) StrategyId ¶
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Abstract method (implement in subclass).
- strategy_ids ( self ) set ¶
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Abstract method (implement in subclass).
- synthetic ( self , InstrumentId instrument_id ) SyntheticInstrument ¶
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Abstract method (implement in subclass).
- synthetic_ids ( self ) list ¶
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Abstract method (implement in subclass).
- synthetics ( self ) list ¶
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Abstract method (implement in subclass).
- ticker ( self , InstrumentId instrument_id , int index=0 ) Ticker ¶
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Abstract method (implement in subclass).
- ticker_count ( self , InstrumentId instrument_id ) int ¶
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Abstract method (implement in subclass).
- tickers ( self , InstrumentId instrument_id ) list ¶
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Abstract method (implement in subclass).
- trade_tick ( self , InstrumentId instrument_id , int index=0 ) TradeTick ¶
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Abstract method (implement in subclass).
- trade_tick_count ( self , InstrumentId instrument_id ) int ¶
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Abstract method (implement in subclass).
- trade_ticks ( self , InstrumentId instrument_id ) list ¶
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Abstract method (implement in subclass).
- venue_order_id ( self , ClientOrderId client_order_id ) VenueOrderId ¶
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Abstract method (implement in subclass).