Execution

The execution subpackage groups components relating to the execution stack for the platform.

The layered architecture of the execution stack somewhat mirrors the data 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.

Components

class ExecAlgorithm ( config : Optional [ ExecAlgorithmConfig ] = None )

Bases: Actor

The base class for all execution algorithms.

This class allows traders to implement their own customized execution algorithms.

Parameters :

config ( ExecAlgorithmConfig , optional ) – The execution algorithm configuration.

Raises :

TypeError – If config is not of type ExecAlgorithmConfig .

Warning

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

active_task_ids ( self ) → list

Return the active task identifiers.

Returns :

list[TaskId]

add_synthetic ( self , SyntheticInstrument synthetic ) → void

Add the created synthetic instrument to the cache.

Parameters :

synthetic ( SyntheticInstrument ) – The synthetic instrument to add to the cache.

Raises :

KeyError – If synthetic is already in the cache.

Notes

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

cache

The read-only cache for the actor.

Returns :

CacheFacade

cancel_all_tasks ( self ) → void

Cancel all queued and active tasks.

cancel_order ( self , Order order , ClientId client_id=None ) → void

Cancel the given order with optional routing instructions.

A CancelOrder command will be created and then sent to either the OrderEmulator or the ExecutionEngine (depending on whether the order is emulated).

Logs an error if no VenueOrderId has been assigned to the order.

Parameters :

• order ( Order ) – The order to cancel.

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

cancel_task ( self , task_id : TaskId ) → void

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

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

Parameters :

task_id ( TaskId ) – The task identifier.

clock

The actors clock.

Returns :

Clock

config

The actors configuration.

Returns :

NautilusConfig

degrade ( self ) → void

Degrade the component.

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

Warning

Do not override.

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

deregister_warning_event ( self , type event ) → void

Deregister the given event type from warning log levels.

Parameters :

event ( type ) – The event class to deregister.

dispose ( self ) → void

Dispose of the component.

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

Warning

Do not override.

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

execute ( self , TradingCommand command ) → void

Handle the given trading command by processing it with the execution algorithm.

Parameters :

command ( SubmitOrder ) – The command to handle.

Raises :

ValueError – If command.exec_algorithm_id is not equal to self.id .

fault ( self ) → void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the components class.

Returns :

str

References

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

handle_bar ( self , Bar bar ) → void

Handle the given bar data.

If state is RUNNING then passes to on_bar .

Parameters :

bar ( Bar ) – The bar received.

Warning

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

handle_bars ( self , list bars ) → void

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

Parameters :

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

Warning

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

handle_data ( self , Data data ) → void

Handle the given data.

If state is RUNNING then passes to on_data .

Parameters :

data ( Data ) – The data received.

Warning

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

handle_event ( self , Event event ) → void

Handle the given event.

If state is RUNNING then passes to on_event .

Parameters :

event ( Event ) – The event received.

Warning

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

handle_historical_data ( self , Data data ) → void

Handle the given historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

handle_instrument ( self , Instrument instrument ) → void

Handle the given instrument.

Passes to on_instrument if state is RUNNING .

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

handle_instrument_close ( self , InstrumentClose update ) → void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close .

Parameters :

update ( InstrumentClose ) – The update received.

Warning

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

handle_instrument_status ( self , InstrumentStatus data ) → void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status .

Parameters :

data ( InstrumentStatus ) – The status update received.

Warning

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

handle_instruments ( self , list instruments ) → void

Handle the given instruments data by handling each instrument individually.

Parameters :

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

Warning

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

handle_order_book ( self , OrderBook order_book ) → void

Handle the given order book.

Passes to on_order_book if state is RUNNING .

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

handle_order_book_deltas ( self , OrderBookDeltas deltas ) → void

Handle the given order book deltas.

Passes to on_order_book_delta if state is RUNNING .

Parameters :

deltas ( OrderBookDeltas ) – The order book deltas received.

Warning

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

handle_quote_tick ( self , QuoteTick tick ) → void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick .

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

handle_quote_ticks ( self , list ticks ) → void

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

Parameters :

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

Warning

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

handle_ticker ( self , Ticker ticker ) → void

Handle the given ticker.

If state is RUNNING then passes to on_ticker .

Parameters :

ticker ( Ticker ) – The ticker received.

Warning

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

handle_trade_tick ( self , TradeTick tick ) → void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick .

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

handle_trade_ticks ( self , list ticks ) → void

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

Parameters :

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

Warning

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

handle_venue_status ( self , VenueStatus data ) → void

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status .

Parameters :

data ( VenueStatus ) – The status update received.

Warning

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

has_active_tasks ( self ) → bool

Return a value indicating whether there are any active tasks.

Returns :

bool

has_any_tasks ( self ) → bool

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

Returns :

bool

has_pending_requests ( self ) → bool

Return whether the actor is pending processing for any requests.

Returns :

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

has_queued_tasks ( self ) → bool

Return a value indicating whether there are any queued tasks.

Returns :

bool

id

The components ID.

Returns :

ComponentId

indicators_initialized ( self ) → bool

Return a value indicating whether all indicators are initialized.

Returns :

bool – True if all initialized, else False

is_degraded

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_pending_request ( self , UUID4 request_id ) → bool

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

Parameters :

request_id ( UUID4 ) – The request ID to check.

Returns :

bool – True if request is pending, else False.

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

load ( self , dict state ) → void

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

Calls on_load and passes the state.

Parameters :

state ( dict [ str , object ] ) – The state dictionary.

Raises :

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

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns :

LoggerAdapter

modify_order ( self , Order order , Quantity quantity=None , Price price=None , Price trigger_price=None , ClientId client_id=None ) → void

Modify the given order with optional parameters and routing instructions.

An ModifyOrder command will be created and then sent to the RiskEngine .

At least one value must differ from the original order for the command to be valid.

Will use an Order Cancel/Replace Request (a.k.a Order Modification) for FIX protocols, otherwise if order update is not available for the API, then will cancel and replace with a new order using the original ClientOrderId .

Parameters :

• order ( Order ) – The order to update.

• quantity ( Quantity , optional ) – The updated quantity for the given order.

• price ( Price , optional ) – The updated price for the given order (if applicable).

• trigger_price ( Price , optional ) – The updated trigger price for the given order (if applicable).

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

Raises :

• ValueError – If price is not None and order does not have a price .

• ValueError – If trigger is not None and order does not have a trigger_price .

Warning

If the order is already closed or at PENDING_CANCEL status then the command will not be generated, and a warning will be logged.

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_G_71.html

modify_order_in_place ( self , Order order , Quantity quantity=None , Price price=None , Price trigger_price=None ) → void

Modify the given INITIALIZED order in place (immediately) with optional parameters.

At least one value must differ from the original order for the command to be valid.

Parameters :

• order ( Order ) – The order to update.

• quantity ( Quantity , optional ) – The updated quantity for the given order.

• price ( Price , optional ) – The updated price for the given order (if applicable).

• trigger_price ( Price , optional ) – The updated trigger price for the given order (if applicable).

Raises :

• ValueError – If order.status is not INITIALIZED or RELEASED .

• ValueError – If price is not None and order does not have a price .

• ValueError – If trigger is not None and order does not have a trigger_price .

Warning

If the order is already closed or at PENDING_CANCEL status then the command will not be generated, and a warning will be logged.

References

https://www.onixs.biz/fix-dictionary/5.0.SP2/msgType_G_71.html

msgbus

The message bus for the actor (if registered).

Returns :

MessageBus or None

on_bar ( self , Bar bar ) → void

Actions to be performed when running and receives a bar.

Parameters :

bar ( Bar ) – The bar received.

Warning

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

on_data ( self , Data data ) → void

Actions to be performed when running and receives generic data.

Parameters :

data ( Data ) – The data received.

Warning

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

on_degrade ( self ) → void

Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose ( self ) → void

Actions to be performed on dispose.

Cleanup/release any resources used here.

Warning

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

on_event ( self , Event event ) → void

Actions to be performed running and receives an event.

Parameters :

event ( Event ) – The event received.

Warning

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

on_fault ( self ) → void

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_historical_data ( self , Data data ) → void

Actions to be performed when running and receives historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

on_instrument ( self , Instrument instrument ) → void

Actions to be performed when running and receives an instrument.

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

on_instrument_close ( self , InstrumentClose update ) → void

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

Parameters :

update ( InstrumentClose ) – The instrument close received.

Warning

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

on_instrument_status ( self , InstrumentStatus data ) → void

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

Parameters :

data ( InstrumentStatus ) – The instrument status update received.

Warning

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

on_load ( self , dict state ) → void

Actions to be performed when the actor state is loaded.

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

Warning

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

on_order ( self , Order order ) → void

Actions to be performed when running and receives an order.

Parameters :

order ( Order ) – The order to be handled.

Warning

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

on_order_accepted ( self , OrderAccepted event ) → void

Actions to be performed when running and receives an order accepted event.

Parameters :

event ( OrderAccepted ) – The event received.

Warning

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

on_order_book ( self , OrderBook order_book ) → void

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

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

on_order_book_deltas ( self , OrderBookDeltas deltas ) → void

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

Parameters :

deltas ( OrderBookDeltas ) – The order book deltas received.

Warning

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

on_order_cancel_rejected ( self , OrderCancelRejected event ) → void

Actions to be performed when running and receives an order cancel rejected event.

Parameters :

event ( OrderCancelRejected ) – The event received.

Warning

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

on_order_canceled ( self , OrderCanceled event ) → void

Actions to be performed when running and receives an order canceled event.

Parameters :

event ( OrderCanceled ) – The event received.

Warning

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

on_order_denied ( self , OrderDenied event ) → void

Actions to be performed when running and receives an order denied event.

Parameters :

event ( OrderDenied ) – The event received.

Warning

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

on_order_emulated ( self , OrderEmulated event ) → void

Actions to be performed when running and receives an order initialized event.

Parameters :

event ( OrderEmulated ) – The event received.

Warning

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

on_order_event ( self , OrderEvent event ) → void

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

Parameters :

event ( OrderEvent ) – The event received.

Warning

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

on_order_expired ( self , OrderExpired event ) → void

Actions to be performed when running and receives an order expired event.

Parameters :

event ( OrderExpired ) – The event received.

Warning

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

on_order_filled ( self , OrderFilled event ) → void

Actions to be performed when running and receives an order filled event.

Parameters :

event ( OrderFilled ) – The event received.

Warning

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

on_order_initialized ( self , OrderInitialized event ) → void

Actions to be performed when running and receives an order initialized event.

Parameters :

event ( OrderInitialized ) – The event received.

Warning

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

on_order_list ( self , OrderList order_list ) → void

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

Parameters :

order_list ( OrderList ) – The order list to be handled.

Warning

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

on_order_modify_rejected ( self , OrderModifyRejected event ) → void

Actions to be performed when running and receives an order modify rejected event.

Parameters :

event ( OrderModifyRejected ) – The event received.

Warning

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

on_order_pending_cancel ( self , OrderPendingCancel event ) → void

Actions to be performed when running and receives an order pending cancel event.

Parameters :

event ( OrderPendingCancel ) – The event received.

Warning

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

on_order_pending_update ( self , OrderPendingUpdate event ) → void

Actions to be performed when running and receives an order pending update event.

Parameters :

event ( OrderPendingUpdate ) – The event received.

Warning

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

on_order_rejected ( self , OrderRejected event ) → void

Actions to be performed when running and receives an order rejected event.

Parameters :

event ( OrderRejected ) – The event received.

Warning

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

on_order_released ( self , OrderReleased event ) → void

Actions to be performed when running and receives an order released event.

Parameters :

event ( OrderReleased ) – The event received.

Warning

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

on_order_submitted ( self , OrderSubmitted event ) → void

Actions to be performed when running and receives an order submitted event.

Parameters :

event ( OrderSubmitted ) – The event received.

Warning

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

on_order_triggered ( self , OrderTriggered event ) → void

Actions to be performed when running and receives an order triggered event.

Parameters :

event ( OrderTriggered ) – The event received.

Warning

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

on_order_updated ( self , OrderUpdated event ) → void

Actions to be performed when running and receives an order updated event.

Parameters :

event ( OrderUpdated ) – The event received.

Warning

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

on_position_changed ( self , PositionChanged event ) → void

Actions to be performed when running and receives a position changed event.

Parameters :

event ( PositionChanged ) – The event received.

Warning

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

on_position_closed ( self , PositionClosed event ) → void

Actions to be performed when running and receives a position closed event.

Parameters :

event ( PositionClosed ) – The event received.

Warning

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

on_position_event ( self , PositionEvent event ) → void

Actions to be performed when running and receives a position event.

Parameters :

event ( PositionEvent ) – The event received.

Warning

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

on_position_opened ( self , PositionOpened event ) → void

Actions to be performed when running and receives a position opened event.

Parameters :

event ( PositionOpened ) – The event received.

Warning

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

on_quote_tick ( self , QuoteTick tick ) → void

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

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

on_reset ( self ) → void

Actions to be performed on reset.

Warning

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

Should be overridden in a user implementation.

on_resume ( self ) → void

Actions to be performed on resume.

Warning

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

on_save ( self ) → dict

Actions to be performed when the actor state is saved.

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

Returns :

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

Warning

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

on_start ( self ) → void

Actions to be performed on start.

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

It is recommended to subscribe/request for data here.

Warning

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

Should be overridden in a user implementation.

on_stop ( self ) → void

Actions to be performed on stop.

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

Warning

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

Should be overridden in a user implementation.

on_ticker ( self , Ticker ticker ) → void

Actions to be performed when running and receives a ticker.

Parameters :

ticker ( Ticker ) – The ticker received.

Warning

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

on_trade_tick ( self , TradeTick tick ) → void

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

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

on_venue_status ( self , VenueStatus data ) → void

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

Parameters :

data ( VenueStatus ) – The venue status update received.

Warning

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

pending_requests ( self ) → set

Return the request IDs which are currently pending processing.

Returns :

set[UUID4]

portfolio

The read-only portfolio for the strategy.

Returns :

PortfolioFacade

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

Publish the given data to the message bus.

Parameters :

• data_type ( DataType ) – The data type being published.

• data ( Data ) – The data to publish.

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

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

Parameters :

• name ( str ) – The name of the signal being published.

• value ( object ) – The signal data to publish.

• ts_event ( uint64_t , optional ) – The UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

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

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

Parameters :

• func ( Callable ) – The function to be executed.

• args ( positional arguments ) – The positional arguments for the call to func .

• kwargs ( arbitrary keyword arguments ) – The keyword arguments for the call to func .

Raises :

TypeError – If func is not of type Callable .

Notes

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

queued_task_ids ( self ) → list

Return the queued task identifiers.

Returns :

list[TaskId]

register ( self , TraderId trader_id , PortfolioFacade portfolio , MessageBus msgbus , CacheFacade cache , Clock clock , Logger logger ) → void

Register the execution algorithm with a trader.

Parameters :

• trader_id ( TraderId ) – The trader ID for the execution algorithm.

• portfolio ( PortfolioFacade ) – The read-only portfolio for the execution algorithm.

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

• cache ( CacheFacade ) – The read-only cache for the execution algorithm.

• clock ( Clock ) – The clock for the execution algorithm.

• logger ( Logger ) – The logger for the execution algorithm.

Warning

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

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

Register with a trader.

Parameters :

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

• cache ( CacheFacade ) – The read-only cache for the actor.

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

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

Warning

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

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

Register the given Executor for the actor.

Parameters :

• loop ( asyncio.AsbtractEventLoop ) – The event loop of the application.

• executor ( concurrent.futures.Executor ) – The executor to register.

Raises :

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

register_indicator_for_bars ( self , BarType bar_type , Indicator indicator ) → void

Register the given indicator with the actor/strategy to receive bar data for the given bar type.

Parameters :

• bar_type ( BarType ) – The bar type for bar updates.

• indicator ( Indicator ) – The indicator to register.

register_indicator_for_quote_ticks ( self , InstrumentId instrument_id , Indicator indicator ) → void

Register the given indicator with the actor/strategy to receive quote tick data for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The instrument ID for tick updates.

• indicator ( Indicator ) – The indicator to register.

register_indicator_for_trade_ticks ( self , InstrumentId instrument_id , Indicator indicator ) → void

Register the given indicator with the actor/strategy to receive trade tick data for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The instrument ID for tick updates.

• indicator ( indicator ) – The indicator to register.

register_warning_event ( self , type event ) → void

Register the given event type for warning log levels.

Parameters :

event ( type ) – The event class to register.

registered_indicators

Return the registered indicators for the strategy.

Returns :

list[Indicator]

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

Request historical Bar data.

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

Parameters :

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

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

• end ( datetime , optional ) – The end datetime (UTC) of request time range (inclusive). If None then will default to the current datetime (UTC).

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

• callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

• ValueError – If start is not less than end .

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

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

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

Parameters :

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

• client_id ( ClientId ) – The data client ID.

• callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

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

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

Request Instrument data for the given instrument ID.

Parameters :

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

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

• callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

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

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

Request all Instrument data for the given venue.

Parameters :

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

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

• callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

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

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

Request historical QuoteTick data.

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

Parameters :

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

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

• end ( datetime , optional ) – The end datetime (UTC) of request time range (inclusive). If None then will default to the current datetime (UTC).

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

• callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

• ValueError – If start is not less than end .

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

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

Request historical TradeTick data.

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

Parameters :

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

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

• end ( datetime , optional ) – The end datetime (UTC) of request time range (inclusive). If None then will default to the current datetime (UTC).

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

• callback ( Callable [ [ UUID4 ] , None ] , optional ) – The registered callback, to be called with the request ID when the response has completed processing.

Returns :

UUID4 – The request_id for the request.

Raises :

• ValueError – If start is not less than end .

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

reset ( self ) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) → void

Resume the component.

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

Warning

Do not override.

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

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

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

Parameters :

• func ( Callable ) – The function to be executed.

• args ( positional arguments ) – The positional arguments for the call to func .

• kwargs ( arbitrary keyword arguments ) – The keyword arguments for the call to func .

Returns :

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

Raises :

TypeError – If func is not of type Callable .

Notes

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

save ( self ) → dict

Return the actor/strategy state dictionary to be saved.

Calls on_save .

Raises :

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

Warning

Exceptions raised will be caught, logged, and reraised.

spawn_limit ( self , Order primary , Quantity quantity , Price price , TimeInForce time_in_force=TimeInForce.GTC , datetime expire_time=None , bool post_only=False , bool reduce_only=False , Quantity display_qty=None , TriggerType emulation_trigger=TriggerType.NO_TRIGGER , unicode tags=None , bool reduce_primary=True ) → LimitOrder

Spawn a new LIMIT order from the given primary order.

Parameters :

• primary ( Order ) – The primary order from which this order will spawn.

• quantity ( Quantity ) – The spawned orders quantity (> 0). Must be less than primary.quantity .

• price ( Price ) – The spawned orders price.

• time_in_force (TimeInForce { GTC , IOC , FOK , GTD , DAY , AT_THE_OPEN , AT_THE_CLOSE }, default GTC ) – The spawned orders time in force.

• expire_time ( datetime , optional ) – The spawned order expiration (for GTD orders).

• post_only ( bool , default False ) – If the spawned order will only provide liquidity (make a market).

• reduce_only ( bool , default False ) – If the spawned order carries the ‘reduce-only’ execution instruction.

• display_qty ( Quantity , optional ) – The quantity of the spawned order to display on the public book (iceberg).

• emulation_trigger (TriggerType, default NO_TRIGGER ) – The spawned orders emulation trigger.

• tags ( str , optional ) – The custom user tags for the order. These are optional and can contain any arbitrary delimiter if required.

• reduce_primary ( bool , default True ) – If the primary order quantity should be reduced by the given quantity .

Returns :

LimitOrder

Raises :

• ValueError – If primary.exec_algorithm_id is not equal to self.id .

• ValueError – If quantity is not positive (> 0).

• ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.

• ValueError – If display_qty is negative (< 0) or greater than quantity .

spawn_market ( self , Order primary , Quantity quantity , TimeInForce time_in_force=TimeInForce.GTC , bool reduce_only=False , unicode tags=None , bool reduce_primary=True ) → MarketOrder

Spawn a new MARKET order from the given primary order.

Parameters :

• primary ( Order ) – The primary order from which this order will spawn.

• quantity ( Quantity ) – The spawned orders quantity (> 0).

• time_in_force (TimeInForce { GTC , IOC , FOK , DAY , AT_THE_OPEN , AT_THE_CLOSE }, default GTC ) – The spawned orders time in force. Often not applicable for market orders.

• reduce_only ( bool , default False ) – If the spawned order carries the ‘reduce-only’ execution instruction.

• tags ( str , optional ) – The custom user tags for the order. These are optional and can contain any arbitrary delimiter if required.

• reduce_primary ( bool , default True ) – If the primary order quantity should be reduced by the given quantity .

Returns :

MarketOrder

Raises :

• ValueError – If primary.exec_algorithm_id is not equal to self.id .

• ValueError – If quantity is not positive (> 0).

• ValueError – If time_in_force is GTD .

spawn_market_to_limit ( self , Order primary , Quantity quantity , TimeInForce time_in_force=TimeInForce.GTC , datetime expire_time=None , bool reduce_only=False , Quantity display_qty=None , TriggerType emulation_trigger=TriggerType.NO_TRIGGER , unicode tags=None , bool reduce_primary=True ) → MarketToLimitOrder

Spawn a new MARKET_TO_LIMIT order from the given primary order.

Parameters :

• primary ( Order ) – The primary order from which this order will spawn.

• quantity ( Quantity ) – The spawned orders quantity (> 0). Must be less than primary.quantity .

• time_in_force (TimeInForce { GTC , IOC , FOK , GTD , DAY , AT_THE_OPEN , AT_THE_CLOSE }, default GTC ) – The spawned orders time in force.

• expire_time ( datetime , optional ) – The spawned order expiration (for GTD orders).

• reduce_only ( bool , default False ) – If the spawned order carries the ‘reduce-only’ execution instruction.

• display_qty ( Quantity , optional ) – The quantity of the spawned order to display on the public book (iceberg).

• emulation_trigger (TriggerType, default NO_TRIGGER ) – The spawned orders emulation trigger.

• tags ( str , optional ) – The custom user tags for the order. These are optional and can contain any arbitrary delimiter if required.

• reduce_primary ( bool , default True ) – If the primary order quantity should be reduced by the given quantity .

Returns :

MarketToLimitOrder

Raises :

• ValueError – If primary.exec_algorithm_id is not equal to self.id .

• ValueError – If quantity is not positive (> 0).

• ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.

• ValueError – If display_qty is negative (< 0) or greater than quantity .

start ( self ) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Returns :

ComponentState

Type :

Component.state

stop ( self ) → void

Stop the component.

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

Warning

Do not override.

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

submit_order ( self , Order order ) → void

Submit the given order (may be the primary or spawned order).

A SubmitOrder command will be created and sent to the RiskEngine .

If the client order ID is duplicate, then the order will be denied.

Parameters :

• order ( Order ) – The order to submit.

• parent_order_id ( ClientOrderId , optional ) – The parent client order identifier. If provided then will be considered a child order of the parent.

Raises :

• ValueError – If order.status is not INITIALIZED or RELEASED .

• ValueError – If order.emulation_trigger is not NO_TRIGGER .

Warning

If a position_id is passed and a position does not yet exist, then any position opened by the order will have this position ID assigned. This may not be what you intended.

Emulated orders cannot be sent from execution algorithms (intentionally constraining complexity).

subscribe_bars ( self , BarType bar_type , ClientId client_id=None , bool await_partial=False ) → void

Subscribe to streaming Bar data for the given bar type.

Parameters :

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

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

• await_partial ( bool , default False ) – If the bar aggregator should await the arrival of a historical partial bar prior to activaely aggregating new bars.

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

Subscribe to data of the given data type.

Parameters :

• data_type ( DataType ) – The data type to subscribe to.

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

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

Subscribe to update Instrument data for the given instrument ID.

Parameters :

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

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

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

Subscribe to close updates for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The instrument to subscribe to status updates for.

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

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

Subscribe to status updates for the given instrument ID.

Parameters :

• instrument_id ( InstrumentId ) – The instrument to subscribe to status updates for.

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

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

Subscribe to update Instrument data for the given venue.

Parameters :

• venue ( Venue ) – The venue for the subscription.

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

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

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

Parameters :

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

• book_type (BookType { L1_MBP , L2_MBP , L3_MBO }) – The order book type.

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

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

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

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

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

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

Parameters :

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

• book_type (BookType { L1_MBP , L2_MBP , L3_MBO }) – The order book type.

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

• interval_ms ( int ) – The order book snapshot interval in milliseconds.

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

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

Raises :

• ValueError – If depth is negative (< 0).

• ValueError – If interval_ms is not positive (> 0).

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

Subscribe to streaming QuoteTick data for the given instrument ID.

Parameters :

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

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

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

Subscribe to streaming Ticker data for the given instrument ID.

Parameters :

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

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

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

Subscribe to streaming TradeTick data for the given instrument ID.

Parameters :

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

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

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

Subscribe to status updates for the given venue.

Parameters :

• venue ( Venue ) – The venue to subscribe to.

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

to_importable_config ( self ) → ImportableExecAlgorithmConfig

Returns an importable configuration for this execution algorithm.

Returns :

ImportableExecAlgorithmConfig

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

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

Unsubscribe from streaming Bar data for the given bar type.

Parameters :

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

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

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

Unsubscribe from data of the given data type.

Parameters :

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

• client_id ( ClientId , optional ) – The data client ID. If supplied then an Unsubscribe command will be sent to the data client.

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

Unsubscribe from update Instrument data for the given instrument ID.

Parameters :

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

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

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

Unsubscribe to status updates of the given venue.

Parameters :

• instrument_id ( InstrumentId ) – The instrument to unsubscribe to status updates for.

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

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

Unsubscribe from update Instrument data for the given venue.

Parameters :

• venue ( Venue ) – The venue for the subscription.

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

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

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

Parameters :

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

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

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

Unsubscribe from OrderBook snapshots, for the given instrument ID.

The interval must match the previously subscribed interval.

Parameters :

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

• interval_ms ( int ) – The order book snapshot interval in milliseconds.

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

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

Unsubscribe from streaming QuoteTick data for the given instrument ID.

Parameters :

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

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

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

Unsubscribe from streaming Ticker data for the given instrument ID.

Parameters :

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

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

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

Parameters :

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

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

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

Unsubscribe to status updates for the given venue.

Parameters :

• venue ( Venue ) – The venue to unsubscribe from.

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

update_synthetic ( self , SyntheticInstrument synthetic ) → void

Update the synthetic instrument in the cache.

Parameters :

synthetic ( SyntheticInstrument ) – The synthetic instrument to update in the cache.

Raises :

KeyError – If synthetic does not already exist in the cache.

Notes

If you are adding a new synthetic instrument then you should use the add_synthetic method.

class ExecutionClient ( ClientId client_id, Venue venue: Optional[Venue], OmsType oms_type, AccountType account_type, Currency base_currency: Optional[Currency], MessageBus msgbus, Cache cache, Clock clock, Logger logger, dict config=None )

Bases: Component

The base class for all execution clients.

Parameters :

• client_id ( ClientId ) – The client ID.

• venue (Venue, optional with no default so None must be passed explicitly) – The client venue. If multi-venue then can be None .

• oms_type ( OmsType ) – The venues order management system type.

• account_type ( AccountType ) – The account type for the client.

• base_currency (Currency, optional with no default so None must be passed explicitly) – The account base currency. Use None for multi-currency accounts.

• 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.

Raises :

• ValueError – If client_id is not equal to account_id.get_issuer() .

• ValueError – If oms_type is UNSPECIFIED (must be specified).

Warning

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

account_id

The clients account ID.

Returns :

AccountId or None

account_type

The clients account type.

Returns :

AccountType

base_currency

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

Returns :

Currency or None

batch_cancel_orders ( self , BatchCancelOrders command ) → void

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

Parameters :

command ( BatchCancelOrders ) – The command to execute.

cancel_all_orders ( self , CancelAllOrders command ) → void

Cancel all orders for the instrument ID contained in the given command.

Parameters :

command ( CancelAllOrders ) – The command to execute.

cancel_order ( self , CancelOrder command ) → void

Cancel the order with the client order ID contained in the given command.

Parameters :

command ( CancelOrder ) – The command to execute.

degrade ( self ) → void

Degrade the component.

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

Warning

Do not override.

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

dispose ( self ) → void

Dispose of the component.

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

Warning

Do not override.

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

fault ( self ) → void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the components class.

Returns :

str

References

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

generate_account_state ( self , list balances , list margins , bool reported , uint64_t ts_event , dict info=None ) → void

Generate an AccountState event and publish on the message bus.

Parameters :

• balances ( list [ AccountBalance ] ) – The account balances.

• margins ( list [ MarginBalance ] ) – The margin balances.

• reported ( bool ) – If the balances are reported directly from the exchange.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the account state event occurred.

• info ( dict [ str , object ] ) – The additional implementation specific account information.

generate_order_accepted ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderAccepted event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order accepted event occurred.

generate_order_cancel_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , unicode reason , uint64_t ts_event ) → void

Generate an OrderCancelRejected event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• reason ( str ) – The order cancel rejected reason.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

generate_order_canceled ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderCanceled event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when order canceled event occurred.

generate_order_expired ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderExpired event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order expired event occurred.

generate_order_filled ( self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: Optional[PositionId], TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event ) → void

Generate an OrderFilled event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• trade_id ( TradeId ) – The trade ID.

• venue_position_id (PositionId, optional with no default so None must be passed explicitly) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.

• order_side (OrderSide { BUY , SELL }) – The execution order side.

• order_type ( OrderType ) – The execution order type.

• last_qty ( Quantity ) – The fill quantity for this execution.

• last_px ( Price ) – The fill price for this execution (not average price).

• quote_currency ( Currency ) – The currency of the price.

• commission ( Money ) – The fill commission.

• liquidity_side (LiquiditySide { NO_LIQUIDITY_SIDE , MAKER , TAKER }) – The execution liquidity side.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order filled event occurred.

generate_order_modify_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , unicode reason , uint64_t ts_event ) → void

Generate an OrderModifyRejected event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• reason ( str ) – The order update rejected reason.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , unicode reason , uint64_t ts_event ) → void

Generate an OrderRejected event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• reason ( datetime ) – The order rejected reason.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order rejected event occurred.

generate_order_submitted ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , uint64_t ts_event ) → void

Generate an OrderSubmitted event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order submitted event occurred.

generate_order_triggered ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderTriggered event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order triggered event occurred.

generate_order_updated ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , Quantity quantity , Price price , Price trigger_price , uint64_t ts_event , bool venue_order_id_modified=False ) → void

Generate an OrderUpdated event and send it to the ExecutionEngine .

Parameters :

• strategy_id ( StrategyId ) – The strategy ID associated with the event.

• instrument_id ( InstrumentId ) – The instrument ID.

• client_order_id ( ClientOrderId ) – The client order ID.

• venue_order_id ( VenueOrderId ) – The venue order ID (assigned by the venue).

• quantity ( Quantity ) – The orders current quantity.

• price ( Price ) – The orders current price.

• trigger_price (Price, optional with no default so None must be passed explicitly) – The orders current trigger price.

• ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the order update event occurred.

• venue_order_id_modified ( bool ) – If the ID was modified for this event.

get_account ( self ) → Account

Return the account for the client (if registered).

Returns :

Account or None

id

The components ID.

Returns :

ComponentId

is_connected

If the client is connected.

Returns :

bool

is_degraded

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

modify_order ( self , ModifyOrder command ) → void

Modify the order with parameters contained in the command.

Parameters :

command ( ModifyOrder ) – The command to execute.

oms_type

The venues order management system type.

Returns :

OmsType

query_order ( self , QueryOrder command ) → void

Initiate a reconciliation for the queried order which will generate an OrderStatusReport .

Parameters :

command ( QueryOrder ) – The command to execute.

reset ( self ) → void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) → void

Resume the component.

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

Warning

Do not override.

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

start ( self ) → void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Returns :

ComponentState

Type :

Component.state

stop ( self ) → void

Stop the component.

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

Warning

Do not override.

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

submit_order ( self , SubmitOrder command ) → void

Submit the order contained in the given command for execution.

Parameters :

command ( SubmitOrder ) – The command to execute.

submit_order_list ( self , SubmitOrderList command ) → void

Submit the order list contained in the given command for execution.

Parameters :

command ( SubmitOrderList ) – The command to execute.

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

venue

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

Returns :

Venue or None

class OrderEmulator ( TraderId trader_id , MessageBus msgbus , Cache cache , Clock clock , Logger logger , config: Optional[OrderEmulatorConfig] = None )

Bases: Actor

Provides order emulation for specified trigger types.

Parameters :

• trader_id ( TraderId ) – The trader ID for the order emulator.

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

• cache ( Cache ) – The cache for the order emulator.

• clock ( Clock ) – The clock for the order emulator.

• logger ( Logger ) – The logger for the order emulator.

• config ( OrderEmulatorConfig , optional ) – The configuration for the order emulator.

active_task_ids ( self ) → list

Return the active task identifiers.

Returns :

list[TaskId]

add_synthetic ( self , SyntheticInstrument synthetic ) → void

Add the created synthetic instrument to the cache.

Parameters :

synthetic ( SyntheticInstrument ) – The synthetic instrument to add to the cache.

Raises :

KeyError – If synthetic is already in the cache.

Notes

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

cache

The read-only cache for the actor.

Returns :

CacheFacade

cancel_all_tasks ( self ) → void

Cancel all queued and active tasks.

cancel_task ( self , task_id : TaskId ) → void

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

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

Parameters :

task_id ( TaskId ) – The task identifier.

clock

The actors clock.

Returns :

Clock

command_count

The total count of commands received by the emulator.

Returns :

int

config

The actors configuration.

Returns :

NautilusConfig

create_matching_core ( self , InstrumentId instrument_id , Price price_increment ) → MatchingCore

Create an internal matching core for the given instrument .

Parameters :

• instrument_id ( InstrumentId ) – The instrument ID for the matching core.

• price_increment ( Price ) – The minimum price increment (tick size) for the matching core.

Returns :

MatchingCore

Raises :

KeyError – If a matching core for the given instrument_id already exists.

debug

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

Returns :

bool

degrade ( self ) → void

Degrade the component.

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

Warning

Do not override.

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

deregister_warning_event ( self , type event ) → void

Deregister the given event type from warning log levels.

Parameters :

event ( type ) – The event class to deregister.

dispose ( self ) → void

Dispose of the component.

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

Warning

Do not override.

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

event_count

The total count of events received by the emulator.

Returns :

int

execute ( self , TradingCommand command ) → void

Execute the given command.

Parameters :

command ( TradingCommand ) – The command to execute.

fault ( self ) → void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( cls ) → str

Return the fully qualified name for the components class.

Returns :

str

References

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

get_matching_core ( self , InstrumentId instrument_id ) → Optional [ MatchingCore ]

Return the emulators matching core for the given instrument ID.

Returns :

MatchingCore or None

get_submit_order_commands ( self ) → dict [ ClientOrderId , SubmitOrder ]

Return the emulators cached submit order commands.

Returns :

dict[ClientOrderId, SubmitOrder]

handle_bar ( self , Bar bar ) → void

Handle the given bar data.

If state is RUNNING then passes to on_bar .

Parameters :

bar ( Bar ) – The bar received.

Warning

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

handle_bars ( self , list bars ) → void

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

Parameters :

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

Warning

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

handle_data ( self , Data data ) → void

Handle the given data.

If state is RUNNING then passes to on_data .

Parameters :

data ( Data ) – The data received.

Warning

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

handle_event ( self , Event event ) → void

Handle the given event.

If state is RUNNING then passes to on_event .

Parameters :

event ( Event ) – The event received.

Warning

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

handle_historical_data ( self , Data data ) → void

Handle the given historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

handle_instrument ( self , Instrument instrument ) → void

Handle the given instrument.

Passes to on_instrument if state is RUNNING .

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

handle_instrument_close ( self , InstrumentClose update ) → void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close .

Parameters :

update ( InstrumentClose ) – The update received.

Warning

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

handle_instrument_status ( self , InstrumentStatus data ) → void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status .

Parameters :

data ( InstrumentStatus ) – The status update received.

Warning

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

handle_instruments ( self , list instruments ) → void

Handle the given instruments data by handling each instrument individually.

Parameters :

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

Warning

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

handle_order_book ( self , OrderBook order_book ) → void

Handle the given order book.

Passes to on_order_book if state is RUNNING .

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

handle_order_book_deltas ( self , OrderBookDeltas deltas ) → void

Handle the given order book deltas.

Passes to on_order_book_delta if state is RUNNING .

Parameters :

deltas ( OrderBookDeltas ) – The order book deltas received.

Warning

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

handle_quote_tick ( self , QuoteTick tick ) → void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick .

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

handle_quote_ticks ( self , list ticks ) → void

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

Parameters :

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

Warning

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

handle_ticker ( self , Ticker ticker ) → void

Handle the given ticker.

If state is RUNNING then passes to on_ticker .

Parameters :

ticker ( Ticker ) – The ticker received.

Warning

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

handle_trade_tick ( self , TradeTick tick ) → void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick .

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

handle_trade_ticks ( self , list ticks ) → void

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

Parameters :

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

Warning

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

handle_venue_status ( self , VenueStatus data ) → void

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status .

Parameters :

data ( VenueStatus ) – The status update received.

Warning

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

has_active_tasks ( self ) → bool

Return a value indicating whether there are any active tasks.

Returns :

bool

has_any_tasks ( self ) → bool

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

Returns :

bool

has_pending_requests ( self ) → bool

Return whether the actor is pending processing for any requests.

Returns :

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

has_queued_tasks ( self ) → bool

Return a value indicating whether there are any queued tasks.

Returns :

bool

id

The components ID.

Returns :

ComponentId

indicators_initialized ( self ) → bool

Return a value indicating whether all indicators are initialized.

Returns :

bool – True if all initialized, else False

is_degraded

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_pending_request ( self , UUID4 request_id ) → bool

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

Parameters :

request_id ( UUID4 ) – The request ID to check.

Returns :

bool – True if request is pending, else False.

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

load ( self , dict state ) → void

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

Calls on_load and passes the state.

Parameters :

state ( dict [ str , object ] ) – The state dictionary.

Raises :

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

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns :

LoggerAdapter

msgbus

The message bus for the actor (if registered).

Returns :

MessageBus or None

on_bar ( self , Bar bar ) → void

Actions to be performed when running and receives a bar.

Parameters :

bar ( Bar ) – The bar received.

Warning

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

on_data ( self , Data data ) → void

Actions to be performed when running and receives generic data.

Parameters :

data ( Data ) – The data received.

Warning

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

on_degrade ( self ) → void

Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose ( self ) → void

on_event ( self , Event event ) → void

Handle the given event .

Parameters :

event ( Event ) – The received event to handle.

on_fault ( self ) → void

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_historical_data ( self , Data data ) → void

Actions to be performed when running and receives historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

on_instrument ( self , Instrument instrument ) → void

Actions to be performed when running and receives an instrument.

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

on_instrument_close ( self , InstrumentClose update ) → void

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

Parameters :

update ( InstrumentClose ) – The instrument close received.

Warning

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

on_instrument_status ( self , InstrumentStatus data ) → void

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

Parameters :

data ( InstrumentStatus ) – The instrument status update received.

Warning

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

on_load ( self , dict state ) → void

Actions to be performed when the actor state is loaded.

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

Warning

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

on_order_book ( self , OrderBook order_book ) → void

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

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

on_order_book_deltas ( self , OrderBookDeltas deltas ) → void

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

Parameters :

deltas ( OrderBookDeltas ) – The order book deltas received.

Warning

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

on_quote_tick ( self , QuoteTick tick ) → void

on_reset ( self ) → void

on_resume ( self ) → void

Actions to be performed on resume.

Warning

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

on_save ( self ) → dict

Actions to be performed when the actor state is saved.

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

Returns :

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

Warning

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

on_start ( self ) → void

on_stop ( self ) → void

on_ticker ( self , Ticker ticker ) → void

Actions to be performed when running and receives a ticker.

Parameters :

ticker ( Ticker ) – The ticker received.

Warning

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

on_trade_tick ( self , TradeTick tick ) → void

on_venue_status ( self , VenueStatus data ) → void

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

Parameters :

data ( VenueStatus ) – The venue status update received.

Warning

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

pending_requests ( self ) → set

Return the request IDs which are currently pending processing.

Returns :

set[UUID4]

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

Publish the given data to the message bus.

Parameters :

• data_type ( DataType ) – The data type being published.

• data ( Data ) – The data to publish.

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

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

Parameters :

• name ( str ) – The name of the signal being published.

• value ( object ) – The signal data to publish.

• ts_event ( uint64_t , optional ) – The UNIX timestamp (nanoseconds) when the signal event occurred. If None then will timestamp current time.

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

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

Parameters :

• func ( Callable ) – The function to be executed.

• args ( positional arguments ) – The positional arguments for the call to func .

• kwargs ( arbitrary keyword arguments ) – The keyword arguments for the call to func .

Raises :

TypeError – If func is not of type Callable .

Notes

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

queued_task_ids ( self ) → list

Return the queued task identifiers.

Returns :

list[TaskId]

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

Register with a trader.

Parameters :

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

• cache ( CacheFacade ) – The read-only cache for the actor.

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

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

Warning

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

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