Data

The data subpackage groups components relating to the data stack and data tooling for the platform.

The layered architecture of the data stack somewhat mirrors the execution stack with a central engine, cache layer beneath, database layer beneath, with alternative implementations able to be written on top.

Due to the high-performance, the core components are reusable between both backtest and live implementations - helping to ensure consistent logic for trading operations.

Aggregation

class BarAggregator ( Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Logger logger )

Bases: object

Provides a means of aggregating specified bars and sending to a registered handler.

Parameters
  • instrument ( Instrument ) – The instrument for the aggregator.

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

  • handler ( Callable [ [ Bar ] , None ] ) – The bar handler for the aggregator.

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

Raises

ValueError – If instrument.id != bar_type.instrument_id .

bar_type

The aggregators bar type.

Returns

BarType

handle_quote_tick ( self , QuoteTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( QuoteTick ) – The tick for the update.

handle_trade_tick ( self , TradeTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( TradeTick ) – The tick for the update.

class BarBuilder ( Instrument instrument , BarType bar_type )

Bases: object

Provides a generic bar builder for aggregation.

Parameters
  • instrument ( Instrument ) – The instrument for the builder.

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

Raises

ValueError – If instrument.id != bar_type.instrument_id .

build ( self , uint64_t ts_event ) Bar

Return the aggregated bar with the given closing timestamp, and reset.

Parameters

ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) of the bar close.

Returns

Bar

build_now ( self ) Bar

Return the aggregated bar and reset.

Returns

Bar

count

The builders current update count.

Returns

int

initialized

If the builder is initialized.

Returns

bool

price_precision

The price precision for the builders instrument.

Returns

uint8

reset ( self ) void

Reset the bar builder.

All stateful fields are reset to their initial value.

set_partial ( self , Bar partial_bar ) void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

Parameters

partial_bar ( Bar ) – The partial bar with values to set.

size_precision

The size precision for the builders instrument.

Returns

uint8

ts_last

The UNIX timestamp (nanoseconds) when the builder last updated.

Returns

uint64_t

update ( self , Price price , Quantity size , uint64_t ts_event ) void

Update the bar builder.

Parameters
  • price ( Price ) – The update price.

  • size ( Decimal ) – The update size.

  • ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) of the update.

class TickBarAggregator ( Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Logger logger )

Bases: nautilus_trader.data.aggregation.BarAggregator

Provides a means of building tick bars from ticks.

When received tick count reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

Parameters
  • instrument ( Instrument ) – The instrument for the aggregator.

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

  • handler ( Callable [ [ Bar ] , None ] ) – The bar handler for the aggregator.

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

Raises

ValueError – If instrument.id != bar_type.instrument_id .

bar_type

The aggregators bar type.

Returns

BarType

handle_quote_tick ( self , QuoteTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( QuoteTick ) – The tick for the update.

handle_trade_tick ( self , TradeTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( TradeTick ) – The tick for the update.

class TimeBarAggregator ( Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Clock clock, Logger logger )

Bases: nautilus_trader.data.aggregation.BarAggregator

Provides a means of building time bars from ticks with an internal timer.

When the time reaches the next time interval of the bar specification, then a bar is created and sent to the handler.

Parameters
  • instrument ( Instrument ) – The instrument for the aggregator.

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

  • handler ( Callable [ [ Bar ] , None ] ) – The bar handler for the aggregator.

  • clock ( Clock ) – The clock for the aggregator.

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

Raises

ValueError – If instrument.id != bar_type.instrument_id .

bar_type

The aggregators bar type.

Returns

BarType

get_start_time ( self ) datetime

Return the start time for the aggregators next bar.

Returns

datetime – The timestamp (UTC).

handle_quote_tick ( self , QuoteTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( QuoteTick ) – The tick for the update.

handle_trade_tick ( self , TradeTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( TradeTick ) – The tick for the update.

interval

The aggregators time interval.

Returns

timedelta

interval_ns

The aggregators time interval.

Returns

uint64_t

next_close_ns

The aggregators next closing time.

Returns

uint64_t

set_partial ( self , Bar partial_bar ) void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

Parameters

partial_bar ( Bar ) – The partial bar with values to set.

stop ( self ) void

Stop the bar aggregator.

class ValueBarAggregator ( Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Logger logger )

Bases: nautilus_trader.data.aggregation.BarAggregator

Provides a means of building value bars from ticks.

When received value reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

Parameters
  • instrument ( Instrument ) – The instrument for the aggregator.

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

  • handler ( Callable [ [ Bar ] , None ] ) – The bar handler for the aggregator.

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

Raises

ValueError – If instrument.id != bar_type.instrument_id .

bar_type

The aggregators bar type.

Returns

BarType

get_cumulative_value ( self )

Return the current cumulative value of the aggregator.

Returns

Decimal

handle_quote_tick ( self , QuoteTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( QuoteTick ) – The tick for the update.

handle_trade_tick ( self , TradeTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( TradeTick ) – The tick for the update.

class VolumeBarAggregator ( Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Logger logger )

Bases: nautilus_trader.data.aggregation.BarAggregator

Provides a means of building volume bars from ticks.

When received volume reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

Parameters
  • instrument ( Instrument ) – The instrument for the aggregator.

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

  • handler ( Callable [ [ Bar ] , None ] ) – The bar handler for the aggregator.

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

Raises

ValueError – If instrument.id != bar_type.instrument_id .

bar_type

The aggregators bar type.

Returns

BarType

handle_quote_tick ( self , QuoteTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( QuoteTick ) – The tick for the update.

handle_trade_tick ( self , TradeTick tick ) void

Update the aggregator with the given tick.

Parameters

tick ( TradeTick ) – The tick for the update.

Client

class DataClient ( ClientId client_id, Venue venue: Optional[Venue], MessageBus msgbus, Cache cache, Clock clock, Logger logger, dict config=None )

Bases: nautilus_trader.common.component.Component

The abstract base class for all data clients.

Parameters
  • client_id ( ClientId ) – The data client ID.

  • venue ( Venue , optional ) – The client venue. If multi-venue then can be None .

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

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

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

  • config ( dict [ str , object ] , optional ) – The configuration for the instance.

Warning

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

degrade ( self ) void

Degrade the component.

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

Warning

Do not override.

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

dispose ( self ) void

Dispose of the component.

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

Warning

Do not override.

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

fault ( self ) void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the components class.

Returns

str

References

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

id

The components ID.

Returns

ComponentId

is_connected

If the client is connected.

Returns

bool

is_degraded

Return whether the current component state is DEGRADED .

Returns

bool

is_disposed

Return whether the current component state is DISPOSED .

Returns

bool

is_faulted

Return whether the current component state is FAULTED .

Returns

bool

is_initialized

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

Returns

bool

is_running

Return whether the current component state is RUNNING .

Returns

bool

is_stopped

Return whether the current component state is STOPPED .

Returns

bool

request ( self , DataType data_type , UUID4 correlation_id ) void

Request data for the given data type.

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

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

reset ( self ) void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) void

Resume the component.

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

Warning

Do not override.

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

start ( self ) void

Start the component.

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

Warning

Do not override.

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

state

Return the components current state.

Returns

ComponentState

stop ( self ) void

Stop the component.

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

Warning

Do not override.

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

subscribe ( self , DataType data_type ) void

Subscribe to data for the given data type.

Parameters

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

subscribed_generic_data ( self ) list

Return the generic data types subscribed to.

Returns

list[DataType]

trader_id

The trader ID associated with the component.

Returns

TraderId

type

The components type.

Returns

type

unsubscribe ( self , DataType data_type ) void

Unsubscribe from data for the given data type.

Parameters

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

venue

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

Returns

Venue or None

class MarketDataClient ( ClientId client_id, Venue venue: Optional[Venue], MessageBus msgbus, Cache cache, Clock clock, Logger logger, dict config=None )

Bases: nautilus_trader.data.client.DataClient

The abstract base class for all market data clients.

Parameters
  • client_id ( ClientId ) – The data client ID.

  • venue ( Venue , optional ) – The client venue. If multi-venue then can be None .

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

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

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

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

  • config ( dict [ str , object ] , optional ) – The configuration for the instance.

Warning

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

degrade ( self ) void

Degrade the component.

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

Warning

Do not override.

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

dispose ( self ) void

Dispose of the component.

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

Warning

Do not override.

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

fault ( self ) void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the components class.

Returns

str

References

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

id

The components ID.

Returns

ComponentId

is_connected

If the client is connected.

Returns

bool

is_degraded

Return whether the current component state is DEGRADED .

Returns

bool

is_disposed

Return whether the current component state is DISPOSED .

Returns

bool

is_faulted

Return whether the current component state is FAULTED .

Returns

bool

is_initialized

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

Returns

bool

is_running

Return whether the current component state is RUNNING .

Returns

bool

is_stopped

Return whether the current component state is STOPPED .

Returns

bool

request ( self , DataType data_type , UUID4 correlation_id ) void

Request data for the given data type.

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

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

request_bars ( self , BarType bar_type , datetime from_datetime , datetime to_datetime , int limit , UUID4 correlation_id ) void

Request historical Bar data.

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

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

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

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

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

request_instrument ( self , InstrumentId instrument_id , UUID4 correlation_id ) void

Request Instrument data for the given instrument ID.

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

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

request_quote_ticks ( self , InstrumentId instrument_id , datetime from_datetime , datetime to_datetime , int limit , UUID4 correlation_id ) void

Request historical QuoteTick data.

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

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

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

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

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

request_trade_ticks ( self , InstrumentId instrument_id , datetime from_datetime , datetime to_datetime , int limit , UUID4 correlation_id ) void

Request historical TradeTick data.

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

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

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

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

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

reset ( self ) void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) void

Resume the component.

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

Warning

Do not override.

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

start ( self ) void

Start the component.

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

Warning

Do not override.

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

state

Return the components current state.

Returns

ComponentState

stop ( self ) void

Stop the component.

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

Warning

Do not override.

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

subscribe ( self , DataType data_type ) void

Subscribe to data for the given data type.

Parameters

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

subscribe_bars ( self , BarType bar_type ) void

Subscribe to Bar data for the given bar type.

Parameters

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

subscribe_instrument ( self , InstrumentId instrument_id ) void

Subscribe to the Instrument with the given instrument ID.

subscribe_instrument_close_prices ( self , InstrumentId instrument_id ) void

Subscribe to InstrumentClosePrice data for the given instrument ID.

Parameters

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

subscribe_instrument_status_updates ( self , InstrumentId instrument_id ) void

Subscribe to InstrumentStatusUpdates data for the given instrument ID.

Parameters

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

subscribe_instruments ( self ) void

Subscribe to all Instrument data.

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

Subscribe to OrderBookDeltas data for the given instrument ID.

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

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

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

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

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

Subscribe to OrderBookSnapshot data for the given instrument ID.

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

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

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

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

subscribe_quote_ticks ( self , InstrumentId instrument_id ) void

Subscribe to QuoteTick data for the given instrument ID.

Parameters

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

subscribe_ticker ( self , InstrumentId instrument_id ) void

Subscribe to Ticker data for the given instrument ID.

Parameters

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

subscribe_trade_ticks ( self , InstrumentId instrument_id ) void

Subscribe to TradeTick data for the given instrument ID.

Parameters

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

subscribed_bars ( self ) list

Return the bar types subscribed to.

Returns

list[BarType]

subscribed_generic_data ( self ) list

Return the generic data types subscribed to.

Returns

list[DataType]

subscribed_instrument_close_prices ( self ) list

Return the close price instruments subscribed to.

Returns

list[InstrumentId]

subscribed_instrument_status_updates ( self ) list

Return the status update instruments subscribed to.

Returns

list[InstrumentId]

subscribed_instruments ( self ) list

Return the instruments subscribed to.

Returns

list[InstrumentId]

subscribed_order_book_deltas ( self ) list

Return the order book delta instruments subscribed to.

Returns

list[InstrumentId]

subscribed_order_book_snapshots ( self ) list

Return the order book snapshot instruments subscribed to.

Returns

list[InstrumentId]

subscribed_quote_ticks ( self ) list

Return the quote tick instruments subscribed to.

Returns

list[InstrumentId]

subscribed_tickers ( self ) list

Return the ticker instruments subscribed to.

Returns

list[InstrumentId]

subscribed_trade_ticks ( self ) list

Return the trade tick instruments subscribed to.

Returns

list[InstrumentId]

trader_id

The trader ID associated with the component.

Returns

TraderId

type

The components type.

Returns

type

unsubscribe ( self , DataType data_type ) void

Unsubscribe from data for the given data type.

Parameters

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

unsubscribe_bars ( self , BarType bar_type ) void

Unsubscribe from Bar data for the given bar type.

Parameters

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

unsubscribe_instrument ( self , InstrumentId instrument_id ) void

Unsubscribe from Instrument data for the given instrument ID.

Parameters

instrument_id ( InstrumentId ) – The instrument to unsubscribe from.

unsubscribe_instrument_close_prices ( self , InstrumentId instrument_id ) void

Unsubscribe from InstrumentClosePrice data for the given instrument ID.

Parameters

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

unsubscribe_instrument_status_updates ( self , InstrumentId instrument_id ) void

Unsubscribe from InstrumentStatusUpdates data for the given instrument ID.

Parameters

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

unsubscribe_instruments ( self ) void

Unsubscribe from all Instrument data.

unsubscribe_order_book_deltas ( self , InstrumentId instrument_id ) void

Unsubscribe from OrderBookDeltas data for the given instrument ID.

Parameters

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

unsubscribe_order_book_snapshots ( self , InstrumentId instrument_id ) void

Unsubscribe from OrderBookSnapshot data for the given instrument ID.

Parameters

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

unsubscribe_quote_ticks ( self , InstrumentId instrument_id ) void

Unsubscribe from QuoteTick data for the given instrument ID.

Parameters

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

unsubscribe_ticker ( self , InstrumentId instrument_id ) void

Unsubscribe from Ticker data for the given instrument ID.

Parameters

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

unsubscribe_trade_ticks ( self , InstrumentId instrument_id ) void

Unsubscribe from TradeTick data for the given instrument ID.

Parameters

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

venue

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

Returns

Venue or None

Engine

The DataEngine is the central component of the entire data stack.

The data engines primary responsibility is to orchestrate interactions between the DataClient instances, and the rest of the platform. This includes sending requests to, and receiving responses from, data endpoints via its registered data clients.

The engine employs a simple fan-in fan-out messaging pattern to execute DataCommand type messages, and process DataResponse messages or market data objects.

Alternative implementations can be written on top of the generic engine - which just need to override the execute , process , send and receive methods.

class DataEngine ( MessageBus msgbus , Cache cache , Clock clock , Logger logger , config: Optional[DataEngineConfig] = None )

Bases: nautilus_trader.common.component.Component

Provides a high-performance data engine for managing many DataClient instances, for the asynchronous ingest of data.

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

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

  • clock ( Clock ) – The clock for the engine.

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

  • config ( DataEngineConfig , optional ) – The configuration for the instance.

check_connected ( self ) bool

Check all of the engines clients are connected.

Returns

bool – True if all clients connected, else False.

check_disconnected ( self ) bool

Check all of the engines clients are disconnected.

Returns

bool – True if all clients disconnected, else False.

command_count

The total count of data commands received by the engine.

Returns

int

data_count

The total count of data stream objects received by the engine.

Returns

int

debug

If debug mode is active (will provide extra debug logging).

Returns

bool

default_client

Return the default data client registered with the engine.

Returns

Optional[ClientId]

degrade ( self ) void

Degrade the component.

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

Warning

Do not override.

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

deregister_client ( self , DataClient client ) void

Deregister the given data client from the data engine.

Parameters

client ( DataClient ) – The data client to deregister.

dispose ( self ) void

Dispose of the component.

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

Warning

Do not override.

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

execute ( self , DataCommand command ) void

Execute the given data command.

Parameters

command ( DataCommand ) – The command to execute.

fault ( self ) void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the components class.

Returns

str

References

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

id

The components ID.

Returns

ComponentId

is_degraded

Return whether the current component state is DEGRADED .

Returns

bool

is_disposed

Return whether the current component state is DISPOSED .

Returns

bool

is_faulted

Return whether the current component state is FAULTED .

Returns

bool

is_initialized

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

Returns

bool

is_running

Return whether the current component state is RUNNING .

Returns

bool

is_stopped

Return whether the current component state is STOPPED .

Returns

bool

process ( self , Data data ) void

Process the given data.

Parameters

data ( Data ) – The data to process.

register_client ( self , DataClient client ) void

Register the given data client with the data engine.

Parameters

client ( DataClient ) – The client to register.

Raises

ValueError – If client is already registered.

register_default_client ( self , DataClient client ) void

Register the given client as the default routing client (when a specific venue routing cannot be found).

Any existing default routing client will be overwritten.

Parameters

client ( DataClient ) – The client to register.

register_venue_routing ( self , DataClient client , Venue venue ) void

Register the given client to route orders to the given venue.

Any existing client in the routing map for the given venue will be overwritten.

Parameters
registered_clients

Return the execution clients registered with the engine.

Returns

list[ClientId]

request ( self , DataRequest request ) void

Handle the given request.

Parameters

request ( DataRequest ) – The request to handle.

request_count

The total count of data requests received by the engine.

Returns

int

reset ( self ) void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

response ( self , DataResponse response ) void

Handle the given response.

Parameters

response ( DataResponse ) – The response to handle.

response_count

The total count of data responses received by the engine.

Returns

int

resume ( self ) void

Resume the component.

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

Warning

Do not override.

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

start ( self ) void

Start the component.

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

Warning

Do not override.

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

state

Return the components current state.

Returns

ComponentState

stop ( self ) void

Stop the component.

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

Warning

Do not override.

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

subscribed_bars ( self ) list

Return the bar types subscribed to.

Returns

list[BarType]

subscribed_generic_data ( self ) list

Return the generic data types subscribed to.

Returns

list[DataType]

subscribed_instrument_close_prices ( self ) list

Return the close price instruments subscribed to.

Returns

list[InstrumentId]

subscribed_instrument_status_updates ( self ) list

Return the status update instruments subscribed to.

Returns

list[InstrumentId]

subscribed_instruments ( self ) list

Return the instruments subscribed to.

Returns

list[InstrumentId]

subscribed_order_book_deltas ( self ) list

Return the order book delta instruments subscribed to.

Returns

list[InstrumentId]

subscribed_order_book_snapshots ( self ) list

Return the order book snapshot instruments subscribed to.

Returns

list[InstrumentId]

subscribed_quote_ticks ( self ) list

Return the quote tick instruments subscribed to.

Returns

list[InstrumentId]

subscribed_tickers ( self ) list

Return the ticker instruments subscribed to.

Returns

list[InstrumentId]

subscribed_trade_ticks ( self ) list

Return the trade tick instruments subscribed to.

Returns

list[InstrumentId]

trader_id

The trader ID associated with the component.

Returns

TraderId

type

The components type.

Returns

type

Messages

class DataCommand ( ClientId client_id: Optional[ClientId], Venue venue: Optional[Venue], DataType data_type, UUID4 command_id, uint64_t ts_init )

Bases: nautilus_trader.core.message.Command

The abstract base class for all data commands.

Parameters
  • client_id ( ClientId , optional ) – The data client ID for the command.

  • venue ( Venue , optional ) – The venue for the command.

  • data_type ( type ) – The data type for the command.

  • command_id ( UUID4 ) – The command ID.

  • ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.

Raises

ValueError – If both client_id and venue are both None (not enough routing info).

Warning

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

category

The message category.

Returns

MessageCategory

client_id

The data client ID for the command.

Returns

ClientId or None

data_type

The command data type.

Returns

type

id

The message ID.

Returns

UUID4

ts_init

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

Returns

uint64_t

venue

The venue for the command.

Returns

Venue or None

class DataRequest ( ClientId client_id: Optional[ClientId], Venue venue: Optional[Venue], DataType data_type, callback: Callable[[Any], None], UUID4 request_id, uint64_t ts_init )

Bases: nautilus_trader.core.message.Request

Represents a request for data.

Parameters
  • client_id ( ClientId , optional ) – The data client ID for the request.

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

  • data_type ( type ) – The data type for the request.

  • callback ( Callable [ [ Any ] , None ] ) – The delegate to call with the data.

  • request_id ( UUID4 ) – The request ID.

  • ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.

Raises

ValueError – If both client_id and venue are both None (not enough routing info).

callback

The callback for the response.

Returns

Callable

category

The message category.

Returns

MessageCategory

client_id

The data client ID for the request.

Returns

ClientId or None

data_type

The request data type.

Returns

type

id

The message ID.

Returns

UUID4

ts_init

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

Returns

uint64_t

venue

The venue for the request.

Returns

Venue or None

class DataResponse ( ClientId client_id: Optional[ClientId], Venue venue: Optional[Venue], DataType data_type, data, UUID4 correlation_id, UUID4 response_id, uint64_t ts_init )

Bases: nautilus_trader.core.message.Response

Represents a response with data.

Parameters
  • client_id ( ClientId , optional ) – The data client ID of the response.

  • venue ( Venue , optional ) – The venue for the response.

  • data_type ( type ) – The data type of the response.

  • data ( object ) – The data of the response.

  • correlation_id ( UUID4 ) – The correlation ID.

  • response_id ( UUID4 ) – The response ID.

  • ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.

Raises

ValueError – If both client_id and venue are both None (not enough routing info).

category

The message category.

Returns

MessageCategory

client_id

The data client ID for the response.

Returns

ClientId or None

correlation_id

The response correlation ID.

Returns

UUID4

data

The response data.

Returns

object

data_type

The response data type.

Returns

type

id

The message ID.

Returns

UUID4

ts_init

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

Returns

uint64_t

venue

The venue for the response.

Returns

Venue or None

class Subscribe ( ClientId client_id: Optional[ClientId], Venue venue: Optional[Venue], DataType data_type, UUID4 command_id, uint64_t ts_init )

Bases: nautilus_trader.data.messages.DataCommand

Represents a command to subscribe to data.

Parameters
  • client_id ( ClientId , optional ) – The data client ID for the command.

  • venue ( Venue , optional ) – The venue for the command.

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

  • command_id ( UUID4 ) – The command ID.

  • ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.

Raises

ValueError – If both client_id and venue are both None (not enough routing info).

category

The message category.

Returns

MessageCategory

client_id

The data client ID for the command.

Returns

ClientId or None

data_type

The command data type.

Returns

type

id

The message ID.

Returns

UUID4

ts_init

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

Returns

uint64_t

venue

The venue for the command.

Returns

Venue or None

class Unsubscribe ( ClientId client_id: Optional[ClientId], Venue venue: Optional[Venue], DataType data_type, UUID4 command_id, uint64_t ts_init )

Bases: nautilus_trader.data.messages.DataCommand

Represents a command to unsubscribe from data.

Parameters
  • client_id ( ClientId , optional ) – The data client ID for the command.

  • venue ( Venue , optional ) – The venue for the command.

  • data_type ( type ) – The data type to unsubscribe from.

  • command_id ( UUID4 ) – The command ID.

  • ts_init ( uint64_t ) – The UNIX timestamp (nanoseconds) when the object was initialized.

Raises

ValueError – If both client_id and venue are both None (not enough routing info).

category

The message category.

Returns

MessageCategory

client_id

The data client ID for the command.

Returns

ClientId or None

data_type

The command data type.

Returns

type

id

The message ID.

Returns

UUID4

ts_init

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

Returns

uint64_t

venue

The venue for the command.

Returns

Venue or None