Live

The live subpackage groups all engine and client implementations for live trading.

Generally a common event loop is passed into each live engine to support the overarching design of a single efficient event loop, by default uvloop .

Data Client

The LiveDataClient class is responsible for interfacing with a particular API which may be presented directly by an exchange, or broker intermediary. It could also be possible to write clients for specialized data publishers.

class LiveDataClient ( loop : AbstractEventLoop , client_id : ClientId , venue : Optional [ Venue ] , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , config : Optional [ dict [ str , Any ] ] = None )

Bases: DataClient

The abstract base class for all live data clients.

Parameters :

  • loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

  • 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 .

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

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

  • clock ( LiveClock ) – 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.

connect ( ) → None

Connect the client.

disconnect ( ) → None

Disconnect the client.

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 LiveMarketDataClient ( loop : AbstractEventLoop , client_id : ClientId , venue : Optional [ Venue ] , instrument_provider : InstrumentProvider , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , config : Optional [ dict [ str , Any ] ] = None )

Bases: MarketDataClient

The abstract base class for all live data clients.

Parameters :

  • loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

  • 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 .

  • instrument_provider ( InstrumentProvider ) – The instrument provider for the client.

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

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

  • clock ( LiveClock ) – 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.

connect ( ) → None

Connect the client.

disconnect ( ) → None

Disconnect the client.

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 , int limit , UUID4 correlation_id , datetime from_datetime=None , datetime to_datetime=None ) → void

Request historical Bar data.

Parameters :

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

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

  • correlation_id ( UUID4 ) – The correlation 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.

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_instruments ( self , Venue venue , UUID4 correlation_id ) → void

Request all Instrument data for the given venue.

Parameters :

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

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

request_quote_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime from_datetime=None , datetime to_datetime=None ) → void

Request historical QuoteTick data.

Parameters :

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

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

  • correlation_id ( UUID4 ) – The correlation 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.

request_trade_ticks ( self , InstrumentId instrument_id , int limit , UUID4 correlation_id , datetime from_datetime=None , datetime to_datetime=None ) → void

Request historical TradeTick data.

Parameters :

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

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

  • correlation_id ( UUID4 ) – The correlation 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.

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

Data Engine

class LiveDataEngine ( loop: asyncio.AbstractEventLoop , MessageBus msgbus , Cache cache , LiveClock clock , Logger logger , config: Optional[LiveDataEngineConfig] = None )

Bases: DataEngine

Provides a high-performance asynchronous live data engine.

Parameters :

  • loop ( asyncio.AbstractEventLoop ) – The event loop for the engine.

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

Raises :

TypeError – If config is not of type LiveDataEngineConfig .

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

connect ( self )

Connect the engine by calling connect on all registered clients.

data_count

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

Returns :

int

data_qsize ( self ) → int

Return the number of objects buffered on the internal data queue.

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.

disconnect ( self )

Disconnect the engine by calling disconnect on all registered clients.

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.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

command ( DataCommand ) – The command to execute.

Warning

This method should only be called from the same thread the event loop is running on.

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/

get_event_loop ( self ) → asyncio.AbstractEventLoop

Return the internal event loop for the engine.

Returns :

asyncio.AbstractEventLoop

get_run_queue_task ( self ) → asyncio.Task

Return the internal run queue task for the engine.

Returns :

asyncio.Task

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

If the data engine is running.

Returns :

bool

is_stopped

Return whether the current component state is STOPPED .

Returns :

bool

kill ( self ) → void

Kill the engine by abruptly cancelling the queue tasks and calling stop.

message_qsize ( self ) → int

Return the number of objects buffered on the internal message queue.

Returns :

int

process ( self , Data data ) → void

Process the given data.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

data ( Data ) – The data to process.

Warning

This method should only be called from the same thread the event loop is running on.

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.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

request ( DataRequest ) – The request to handle.

Warning

This method should only be called from the same thread the event loop is running on.

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.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

response ( DataResponse ) – The response to handle.

Warning

This method should only be called from the same thread the event loop is running on.

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

Execution Client

The LiveExecutionClient class is responsible for interfacing with a particular API which may be presented directly by an exchange, or broker intermediary.

class LiveExecutionClient ( loop : AbstractEventLoop , client_id : ClientId , venue : Optional [ Venue ] , oms_type : OMSType , account_type : AccountType , base_currency : Optional [ Currency ] , instrument_provider : InstrumentProvider , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : Logger , config : Optional [ dict [ str , Any ] ] = None )

Bases: ExecutionClient

The abstract base class for all live execution clients.

Parameters :

  • loop ( asyncio.AbstractEventLoop ) – The event loop for the client.

  • 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 .

  • instrument_provider ( InstrumentProvider ) – The instrument provider for the client.

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

  • base_currency ( Currency , optional ) – The account base currency for the client. Use None for multi-currency accounts.

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

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

  • clock ( LiveClock ) – 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 oms_type is NONE value (must be defined).

Warning

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

connect ( ) → None

Connect the client.

disconnect ( ) → None

Disconnect the client.

submit_order ( command : SubmitOrder ) → None

Execute the given command asynchronously.

Parameters :

command ( SubmitOrder ) – The command to execute.

submit_order_list ( command : SubmitOrderList ) → None

Execute the given command asynchronously.

Parameters :

command ( SubmitOrderList ) – The command to execute.

modify_order ( command : ModifyOrder ) → None

Execute the given command asynchronously.

Parameters :

command ( ModifyOrder ) – The command to execute.

cancel_order ( command : CancelOrder ) → None

Execute the given command asynchronously.

Parameters :

command ( CancelOrder ) – The command to execute.

cancel_all_orders ( command : CancelAllOrders ) → None

Execute the given command asynchronously.

Parameters :

command ( CancelAllOrders ) – The command to execute.

query_order ( command : QueryOrder ) → None

Execute the given command asynchronously.

Parameters :

command ( QueryOrder ) – The command to execute.

async generate_order_status_report ( instrument_id : InstrumentId , client_order_id : Optional [ ClientOrderId ] = None , venue_order_id : Optional [ VenueOrderId ] = None ) → Optional [ OrderStatusReport ]

Generate an order status report for the given order identifier parameter(s).

If the order is not found, or an error occurs, then logs and returns None .

Parameters :

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

  • client_order_id ( ClientOrderId , optional ) – The client order ID for the report.

  • venue_order_id ( VenueOrderId , optional ) – The venue order ID for the report.

Returns :

OrderStatusReport or None

Raises :

ValueError – If both the client_order_id and venue_order_id are None .

async generate_order_status_reports ( instrument_id : Optional [ InstrumentId ] = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None , open_only : bool = False ) → list [ nautilus_trader.execution.reports.OrderStatusReport ]

Generate a list of order status reports with optional query filters.

The returned list may be empty if no orders match the given parameters.

Parameters :

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

  • start ( pd.Timestamp , optional ) – The start datetime query filter.

  • end ( pd.Timestamp , optional ) – The end datetime query filter.

  • open_only ( bool , default False ) – If the query is for open orders only.

Returns :

list[OrderStatusReport]

async generate_trade_reports ( instrument_id : Optional [ InstrumentId ] = None , venue_order_id : Optional [ VenueOrderId ] = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) → list [ nautilus_trader.execution.reports.TradeReport ]

Generate a list of trade reports with optional query filters.

The returned list may be empty if no trades match the given parameters.

Parameters :

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

  • venue_order_id ( VenueOrderId , optional ) – The venue order ID (assigned by the venue) query filter.

  • start ( pd.Timestamp , optional ) – The start datetime query filter.

  • end ( pd.Timestamp , optional ) – The end datetime query filter.

Returns :

list[TradeReport]

async generate_position_status_reports ( instrument_id : Optional [ InstrumentId ] = None , start : Optional [ Timestamp ] = None , end : Optional [ Timestamp ] = None ) → list [ nautilus_trader.execution.reports.PositionStatusReport ]

Generate a list of position status reports with optional query filters.

The returned list may be empty if no positions match the given parameters.

Parameters :

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

  • start ( pd.Timestamp , optional ) – The start datetime query filter.

  • end ( pd.Timestamp , optional ) – The end datetime query filter.

Returns :

list[PositionStatusReport]

async generate_mass_status ( lookback_mins : Optional [ int ] = None ) → ExecutionMassStatus

Generate an execution mass status report.

Parameters :

lookback_mins ( int , optional ) – The maximum lookback for querying closed orders, trades and positions.

Returns :

ExecutionMassStatus

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

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/

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 { NONE , 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_pending_cancel ( self , StrategyId strategy_id , InstrumentId instrument_id , ClientOrderId client_order_id , VenueOrderId venue_order_id , uint64_t ts_event ) → void

Generate an OrderPendingCancel 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 pending cancel event occurred.

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

Generate an OrderPendingUpdate 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 pending update 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

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

oms_type

The venues order management system type.

Returns :

OMSType

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.

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

Execution Engine

class LiveExecutionEngine ( loop: asyncio.AbstractEventLoop , MessageBus msgbus , Cache cache , LiveClock clock , Logger logger , config: Optional[LiveExecEngineConfig] = None )

Bases: ExecutionEngine

Provides a high-performance asynchronous live execution engine.

Parameters :

  • loop ( asyncio.AbstractEventLoop ) – The event loop for the engine.

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

Raises :

TypeError – If config is not of type LiveExecEngineConfig .

allow_cash_positions

If unleveraged spot/cash assets should generate positions.

Returns :

bool

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.

check_integrity ( self ) → bool

Check integrity of data within the cache and clients.

Returns :

bool – True if checks pass, else False.

check_residuals ( self ) → bool

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

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

Returns :

bool – True if residuals exist, else False.

command_count

The total count of commands received by the engine.

Returns :

int

connect ( self )

Connect the engine by calling connect on all registered clients.

debug

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

Returns :

bool

default_client

Return the default execution 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 , ExecutionClient client ) → void

Deregister the given execution client from the execution engine.

Parameters :

client ( ExecutionClient ) – The execution client to deregister.

Raises :

ValueError – If client is not registered with the execution engine.

disconnect ( self )

Disconnect the engine by calling disconnect on all registered clients.

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.

event_count

The total count of events received by the engine.

Returns :

int

execute ( self , TradingCommand command ) → void

Execute the given command.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

command ( TradingCommand ) – The command to execute.

Warning

This method should only be called from the same thread the event loop is running on.

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.

flush_db ( self ) → void

Flush the execution database which permanently removes all persisted data.

Warning

Permanent data loss.

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/

get_inflight_check_task ( self ) → asyncio.Task

Return the internal in-flight check task for the engine.

Returns :

asyncio.Task

get_run_queue_task ( self ) → asyncio.Task

Return the internal run queue task for the engine.

Returns :

asyncio.Task

id

The components ID.

Returns :

ComponentId

inflight_check_interval_ms

The in-flight check interval (milliseconds).

Returns :

int

inflight_check_threshold_ms

The in-flight check threshold (milliseconds).

Returns :

int

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

If the execution engine is running.

Returns :

bool

is_stopped

Return whether the current component state is STOPPED .

Returns :

bool

kill ( self ) → void

Kill the engine by abruptly cancelling the queue task and calling stop.

load_cache ( self ) → void

Load the cache up from the execution database.

position_id_count ( self , StrategyId strategy_id ) → int

The position ID count for the given strategy ID.

Parameters :

strategy_id ( StrategyId ) – The strategy ID for the position count.

Returns :

int

process ( self , OrderEvent event ) → void

Process the given event.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

event ( OrderEvent ) – The event to process.

Warning

This method should only be called from the same thread the event loop is running on.

qsize ( self ) → int

Return the number of messages buffered on the internal queue.

Returns :

int

reconcile_mass_status ( self , ExecutionMassStatus report ) → void

Reconcile the given execution mass status report.

Parameters :

report ( Document ) – The execution mass status report to reconcile.

reconcile_report ( self , ExecutionReport report ) → void

Check the given execution report.

Parameters :

report ( Document ) – The execution report to check.

async reconcile_state ( self , double timeout_secs=10.0 ) → bool

Reconcile the execution engines state with all execution clients.

Parameters :

timeout_secs ( double , default 10.0 ) – The seconds to allow for reconciliation before timing out.

Returns :

bool – True if states reconcile within timeout, else False.

Raises :

ValueError – If timeout_secs is not positive (> 0).

reconciliation

If the execution engine reconciliation is active at start-up.

Returns :

bool

reconciliation_lookback_mins

The lookback window for reconciliation on start-up (zero for max lookback).

Returns :

int

register_client ( self , ExecutionClient client ) → void

Register the given execution client with the execution engine.

If the client.venue is None and a default routing client has not been previously registered then will be registered as such.

Parameters :

client ( ExecutionClient ) – The execution client to register.

Raises :

ValueError – If client is already registered with the execution engine.

register_default_client ( self , ExecutionClient 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 ( ExecutionClient ) – The client to register.

register_oms_type ( self , Strategy strategy ) → void

Register the given trading strategies OMS (Order Management System) type.

Parameters :

strategy ( Strategy ) – The strategy for the registration.

register_venue_routing ( self , ExecutionClient 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]

report_count

The total count of reports 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.

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.

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

Risk Engine

class LiveRiskEngine ( loop: asyncio.AbstractEventLoop , PortfolioFacade portfolio , MessageBus msgbus , CacheFacade cache , LiveClock clock , Logger logger , config: Optional[LiveRiskEngineConfig] = None )

Bases: RiskEngine

Provides a high-performance asynchronous live risk engine.

Parameters :

  • loop ( asyncio.AbstractEventLoop ) – The event loop for the engine.

  • portfolio ( PortfolioFacade ) – The portfolio for the engine.

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

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

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

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

  • config ( LiveRiskEngineConfig ) – The configuration for the instance.

Raises :

TypeError – If config is not of type LiveRiskEngineConfig .

command_count

The total count of commands received by the engine.

Returns :

int

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. 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.

deny_modify_pending_update

If deny ModifyOrder commands when an order is in a PENDING_UPDATE state.

Returns :

bool

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.

event_count

The total count of events received by the engine.

Returns :

int

execute ( self , Command command ) → void

Execute the given command.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

command ( Command ) – The command to execute.

Warning

This method should only be called from the same thread the event loop is running on.

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/

get_event_loop ( self )

Return the internal event loop for the engine.

Returns :

asyncio.AbstractEventLoop

get_run_queue_task ( self )

Return the internal run queue task for the engine.

Returns :

asyncio.Task

id

The components ID.

Returns :

ComponentId

is_bypassed

If the risk engine is completely bypassed.

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

If the risk engine is running.

Returns :

bool

is_stopped

Return whether the current component state is STOPPED .

Returns :

bool

kill ( self ) → void

Kill the engine by abruptly cancelling the queue task and calling stop.

max_notional_per_order ( self , InstrumentId instrument_id )

Return the current maximum notional per order for the given instrument ID.

Returns :

Decimal or None

max_notionals_per_order ( self ) → dict

Return the current maximum notionals per order settings.

Returns :

dict[InstrumentId, Decimal]

max_order_modify_rate ( self ) → tuple

Return the current maximum order modify rate limit setting.

Returns :

(int, timedelta) – The limit per timedelta interval.

max_order_submit_rate ( self ) → tuple

Return the current maximum order submit rate limit setting.

Returns :

(int, timedelta) – The limit per timedelta interval.

process ( self , Event event ) → void

Process the given event.

If the internal queue is already full then will log a warning and block until queue size reduces.

Parameters :

event ( Event ) – The event to process.

Warning

This method should only be called from the same thread the event loop is running on.

qsize ( self ) → int

Return the number of messages buffered on the internal queue.

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.

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.

set_max_notional_per_order ( self , InstrumentId instrument_id , new_value ) → void

Set the maximum notional value per order for the given instrument ID.

Passing a new_value of None will disable the pre-trade risk max notional check.

Parameters :

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

  • new_value ( integer , float , string or Decimal ) – The max notional value to set.

Raises :

  • decimal.InvalidOperation – If new_value not a valid input for decimal.Decimal .

  • ValueError – If new_value is not None and not positive.

set_trading_state ( self , TradingState state ) → void

Set the trading state for the engine.

Parameters :

state ( TradingState ) – The state to set.

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.

trader_id

The trader ID associated with the component.

Returns :

TraderId

trading_state

The current trading state for the engine.

Returns :

TradingState

type

The components type.

Returns :

type

Node

class TradingNode ( config : Optional [ TradingNodeConfig ] = None )

Bases: object

Provides an asynchronous network node for live trading.

Parameters :

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

property trader_id : TraderId

Return the nodes trader ID.

Returns :

TraderId

property machine_id : str

Return the nodes machine ID.

Returns :

str

property instance_id : UUID4

Return the nodes instance ID.

Returns :

UUID4

property trader : Trader

Return the nodes internal trader.

Returns :

Trader

property cache : CacheFacade

Return the nodes internal read-only cache.

Returns :

CacheFacade

property portfolio : PortfolioFacade

Return the nodes internal read-only portfolio.

Returns :

PortfolioFacade

property is_running : bool

Return whether the trading node is running.

Returns :

bool

property is_built : bool

Return whether the trading node clients are built.

Returns :

bool

get_event_loop ( ) → Optional [ AbstractEventLoop ]

Return the event loop of the trading node.

Returns :

asyncio.AbstractEventLoop or None

get_logger ( ) → LiveLogger

Return the logger for the trading node.

Returns :

LiveLogger

add_data_client_factory ( name : str , factory )

Add the given data client factory to the node.

Parameters :

  • name ( str ) – The name of the client factory.

  • factory ( LiveDataClientFactory or LiveExecutionClientFactory ) – The factory to add.

Raises :

  • ValueError – If name is not a valid string.

  • KeyError – If name has already been added.

add_exec_client_factory ( name : str , factory )

Add the given execution client factory to the node.

Parameters :

  • name ( str ) – The name of the client factory.

  • factory ( LiveDataClientFactory or LiveExecutionClientFactory ) – The factory to add.

Raises :

  • ValueError – If name is not a valid string.

  • KeyError – If name has already been added.

build ( ) → None

Build the nodes clients.

start ( ) → None

Start the trading node.

stop ( ) → None

Stop the trading node gracefully.

After a specified delay the internal Trader residuals will be checked.

If save strategy is specified then strategy states will then be saved.

dispose ( ) → None

Dispose of the trading node.

Gracefully shuts down the executor and event loop.

Node Builder

class TradingNodeBuilder ( loop : AbstractEventLoop , data_engine : LiveDataEngine , exec_engine : LiveExecutionEngine , msgbus : MessageBus , cache : Cache , clock : LiveClock , logger : LiveLogger , log : LoggerAdapter )

Bases: object

Provides building services for a trading node.

Parameters :

  • loop ( asyncio.AbstractEventLoop ) – The event loop for the clients.

  • data_engine ( LiveDataEngine ) – The data engine for the trading node.

  • exec_engine ( LiveExecutionEngine ) – The execution engine for the trading node.

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

  • cache ( Cache ) – The cache for building clients.

  • clock ( LiveClock ) – The clock for building clients.

  • logger ( LiveLogger ) – The logger for building clients.

  • log ( LoggerAdapter ) – The trading nodes logger.

add_data_client_factory ( name : str , factory )

Add the given data client factory to the builder.

Parameters :

  • name ( str ) – The name of the client.

  • factory ( LiveDataClientFactory or LiveExecClientFactory ) – The factory to add.

Raises :

  • ValueError – If name is not a valid string.

  • KeyError – If name has already been added.

add_exec_client_factory ( name : str , factory )

Add the given client factory to the builder.

Parameters :

  • name ( str ) – The name of the client.

  • factory ( LiveDataClientFactory or LiveExecClientFactory ) – The factory to add.

Raises :

  • ValueError – If name is not a valid string.

  • KeyError – If name has already been added.

build_data_clients ( config : dict [ str , nautilus_trader.config.common.ImportableConfig ] )

Build the data clients with the given configuration.

Parameters :

config ( dict [ str , object ] ) – The data clients configuration.

build_exec_clients ( config : dict [ str , nautilus_trader.config.common.ImportableConfig ] )

Build the execution clients with the given configuration.

Parameters :

config ( dict [ str , object ] ) – The execution clients configuration.