Data

Defines the fundamental data types represented within the trading domain.

class Bar ( BarType bar_type , Price open , Price high , Price low , Price close , Quantity volume , uint64_t ts_event , uint64_t ts_init , bool is_revision=False )

Bases: Data

Represents an aggregated bar.

Parameters :
  • bar_type ( BarType ) – The bar type for this bar.

  • open ( Price ) – The bars open price.

  • high ( Price ) – The bars high price.

  • low ( Price ) – The bars low price.

  • close ( Price ) – The bars close price.

  • volume ( Quantity ) – The bars volume.

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

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

  • is_revision ( bool , default False ) – If this bar is a revision of a previous bar with the same ts_event .

Raises :
  • ValueError – If high is not >= low .

  • ValueError – If high is not >= close .

  • ValueError – If low is not <= close .

bar_type

Return the bar type of bar.

Returns :

BarType

close

Return the close price of the bar.

Returns :

Price

static from_dict ( dict values ) Bar

Return a bar parsed from the given values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

Bar

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

high

Return the high price of the bar.

Returns :

Price

is_revision

If this bar is a revision for a previous bar with the same ts_event .

Returns :

bool

is_single_price ( self ) bool

If the OHLC are all equal to a single price.

Returns :

bool

low

Return the low price of the bar.

Returns :

Price

open

Return the open price of the bar.

Returns :

Price

static to_dict ( Bar obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

volume

Return the volume of the bar.

Returns :

Quantity

class BarSpecification ( int step , BarAggregation aggregation , PriceType price_type )

Bases: object

Represents a bar aggregation specification including a step, aggregation method/rule and price type.

Parameters :
  • step ( int ) – The step for binning samples for bar aggregation (> 0).

  • aggregation ( BarAggregation ) – The type of bar aggregation.

  • price_type ( PriceType ) – The price type to use for aggregation.

Raises :

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

aggregation

Return the aggregation for the specification.

Returns :

BarAggregation

static check_information_aggregated ( BarAggregation aggregation )

Check the given aggregation is a type of information aggregation.

Parameters :

aggregation ( BarAggregation ) – The aggregation type to check.

Returns :

bool – True if information aggregated, else False.

static check_threshold_aggregated ( BarAggregation aggregation )

Check the given aggregation is a type of threshold aggregation.

Parameters :

aggregation ( BarAggregation ) – The aggregation type to check.

Returns :

bool – True if threshold aggregated, else False.

static check_time_aggregated ( BarAggregation aggregation )

Check the given aggregation is a type of time aggregation.

Parameters :

aggregation ( BarAggregation ) – The aggregation type to check.

Returns :

bool – True if time aggregated, else False.

static from_str ( unicode value ) BarSpecification

Return a bar specification parsed from the given string.

Parameters :

value ( str ) – The bar specification string to parse.

Examples

String format example is ‘200-TICK-MID’.

Returns :

BarSpecification

Raises :

ValueError – If value is not a valid string.

static from_timedelta ( timedelta duration , PriceType price_type ) BarSpecification

Return a bar specification parsed from the given timedelta and price_type.

Parameters :
  • duration ( timedelta ) – The bar specification timedelta to parse.

  • price_type ( PriceType ) – The bar specification price_type.

Examples

BarSpecification.from_timedelta(datetime.timedelta(minutes=5), PriceType.LAST).

Returns :

BarSpecification

Raises :

ValueError – If duration is not rounded step of aggregation.

is_information_aggregated ( self ) bool

Return a value indicating whether the aggregation method is information-driven.

  • TICK_RUNS

  • VOLUME_RUNS

  • VALUE_RUNS

Returns :

bool

is_threshold_aggregated ( self ) bool

Return a value indicating whether the bar aggregation method is threshold-driven.

  • TICK

  • TICK_IMBALANCE

  • VOLUME

  • VOLUME_IMBALANCE

  • VALUE

  • VALUE_IMBALANCE

Returns :

bool

is_time_aggregated ( self ) bool

Return a value indicating whether the aggregation method is time-driven.

  • SECOND

  • MINUTE

  • HOUR

  • DAY

  • WEEK

  • MONTH

Returns :

bool

price_type

Return the price type for the specification.

Returns :

PriceType

step

Return the step size for the specification.

Returns :

int

timedelta

Return the timedelta for the specification.

Returns :

timedelta

Raises :

ValueError – If aggregation is not a time aggregation, or is``MONTH`` (which is ambiguous).

class BarType ( InstrumentId instrument_id , BarSpecification bar_spec , AggregationSource aggregation_source=AggregationSource.EXTERNAL )

Bases: object

Represents a bar type including the instrument ID, bar specification and aggregation source.

Parameters :
  • instrument_id ( InstrumentId ) – The bar types instrument ID.

  • bar_spec ( BarSpecification ) – The bar types specification.

  • aggregation_source ( AggregationSource , default EXTERNAL ) – The bar type aggregation source. If INTERNAL the DataEngine will subscribe to the necessary ticks and aggregate bars accordingly. Else if EXTERNAL then bars will be subscribed to directly from the data publisher.

Notes

It is expected that all bar aggregation methods other than time will be internally aggregated.

aggregation_source

Return the aggregation source for the bar type.

Returns :

AggregationSource

static from_str ( unicode value ) BarType

Return a bar type parsed from the given string.

Parameters :

value ( str ) – The bar type string to parse.

Returns :

BarType

Raises :

ValueError – If value is not a valid string.

instrument_id

Return the instrument ID for the bar type.

Returns :

InstrumentId

is_externally_aggregated ( self ) bool

Return a value indicating whether the bar aggregation source is EXTERNAL .

Returns :

bool

is_internally_aggregated ( self ) bool

Return a value indicating whether the bar aggregation source is INTERNAL .

Returns :

bool

spec

Return the specification for the bar type.

Returns :

BarSpecification

class BookOrder ( double price , double size , OrderSide side , unicode order_id=None )

Bases: object

Represents an order in a book.

Parameters :
  • price ( double ) – The order price.

  • size ( double ) – The order size.

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

  • id ( str ) – The order ID.

exposure ( self ) double

Return the total exposure for this order (price * size).

Returns :

double

static from_dict ( dict values ) BookOrder

Return an order from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

BookOrder

order_id

The orders ID.

Returns :

str

price

The orders price.

Returns :

double

side

The orders side.

Returns :

OrderSide

signed_size ( self ) double

Return the signed size of the order (negative for SELL ).

Returns :

double

size

The orders size.

Returns :

double

static to_dict ( BookOrder obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

update_order_id ( self , unicode value ) void

Update the orders ID.

Parameters :

value ( str ) – The updated order ID.

update_price ( self , double price ) void

Update the orders price.

Parameters :

price ( double ) – The updated price.

update_size ( self , double size ) void

Update the orders size.

Parameters :

size ( double ) – The updated size.

class OrderBookDelta ( InstrumentId instrument_id , BookAction action , BookOrder order , uint64_t ts_event , uint64_t ts_init , uint64_t sequence=0 )

Bases: Data

Represents a single difference on an OrderBook .

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

  • action (BookAction { ADD , UPDATED , DELETE , CLEAR }) – The order book delta action.

  • order ( Order ) – The order to apply.

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

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

  • sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

action

The order book delta action { ADD , UPDATED , DELETE , CLEAR }.

Returns :

BookAction

static from_dict ( dict values ) OrderBookDelta

Return an order book delta from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

OrderBookDelta

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The instrument ID for the order book.

Returns :

InstrumentId

order

The order to apply.

Returns :

Order

sequence

The unique sequence number.

Returns :

uint64

static to_dict ( OrderBookDelta obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class OrderBookDeltas ( InstrumentId instrument_id , list deltas , uint64_t ts_event , uint64_t ts_init , uint64_t sequence=0 )

Bases: Data

Represents bulk OrderBookDelta updates for an OrderBook .

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

  • deltas ( list [ OrderBookDelta ] ) – The list of order book changes.

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

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

deltas

The order book deltas.

Returns :

list[OrderBookDelta]

static from_dict ( dict values ) OrderBookDeltas

Return order book deltas from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

OrderBookDeltas

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The instrument ID for the order book.

Returns :

InstrumentId

sequence

The unique sequence number.

Returns :

uint64

static to_dict ( OrderBookDeltas obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class OrderBookSnapshot ( InstrumentId instrument_id , list bids , list asks , uint64_t ts_event , uint64_t ts_init , uint64_t sequence=0 )

Bases: Data

Represents a snapshot in time for an OrderBook .

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

  • bids ( list ) – The bids for the snapshot.

  • asks ( list ) – The asks for the snapshot.

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

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

  • sequence ( uint64 , default 0 ) – The unique sequence number for the update. If default 0 then will increment the sequence .

asks

The snapshot asks.

Returns :

list

bids

The snapshot bids.

Returns :

list

static from_dict ( dict values ) OrderBookSnapshot

Return an order book snapshot from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

OrderBookSnapshot

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The instrument ID for the order book.

Returns :

InstrumentId

sequence

The unique sequence number.

Returns :

uint64

static to_dict ( OrderBookSnapshot obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class Bet ( price , Quantity quantity , OrderSide side )

Bases: object

Represents a bet “order” or “trade” in price space (not probability).

Parameters :
  • price ( Price or decimal.Decimal ) – The price of the bet.

  • quantity ( Quantity ) – The size of the bet.

  • side (OrderSide { BUY , SELL }) – The side ( OrderSide.BUY = BACK, OrderSide.SELL = LAY ) of the bet.

Raises :

ValueError – If price is less than 1.0.

cost ( self )
exposure ( self )
static from_dict ( dict values ) Bet

Return a Bet parsed from the given values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

Bet

liability ( self )
lose_payoff ( self )
stake ( self )
static to_dict ( Bet obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

win_payoff ( self )
class QuoteTick ( InstrumentId instrument_id , Price bid , Price ask , Quantity bid_size , Quantity ask_size , uint64_t ts_event , uint64_t ts_init )

Bases: Data

Represents a single quote tick in a financial market.

Contains information about the best top of book bid and ask.

Parameters :
  • instrument_id ( InstrumentId ) – The quotes instrument ID.

  • bid ( Price ) – The top of book bid price.

  • ask ( Price ) – The top of book ask price.

  • bid_size ( Quantity ) – The top of book bid size.

  • ask_size ( Quantity ) – The top of book ask size.

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

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

Raises :
  • ValueError – If bid.precision != ask.precision .

  • ValueError – If bid_size.precision != ask_size.precision .

ask

Return the top of book ask price.

Returns :

Price

ask_size

Return the top of book ask size.

Returns :

Quantity

bid

Return the top of book bid price.

Returns :

Price

bid_size

Return the top of book bid size.

Returns :

Quantity

static capsule_from_list ( items )
extract_price ( self , PriceType price_type ) Price

Extract the price for the given price type.

Parameters :

price_type ( PriceType ) – The price type to extract.

Returns :

Price

extract_volume ( self , PriceType price_type ) Quantity

Extract the volume for the given price type.

Parameters :

price_type ( PriceType ) – The price type to extract.

Returns :

Quantity

static from_dict ( dict values ) QuoteTick

Return a quote tick parsed from the given values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

QuoteTick

static from_raw ( InstrumentId instrument_id , int64_t raw_bid , int64_t raw_ask , uint8_t bid_price_prec , uint8_t ask_price_prec , uint64_t raw_bid_size , uint64_t raw_ask_size , uint8_t bid_size_prec , uint8_t ask_size_prec , uint64_t ts_event , uint64_t ts_init ) QuoteTick

Return a quote tick from the given raw values.

Parameters :
  • instrument_id ( InstrumentId ) – The quotes instrument ID.

  • raw_bid ( int64_t ) – The raw top of book bid price (as a scaled fixed precision integer).

  • raw_ask ( int64_t ) – The raw top of book ask price (as a scaled fixed precision integer).

  • bid_price_prec ( uint8_t ) – The bid price precision.

  • ask_price_prec ( uint8_t ) – The ask price precision.

  • raw_bid_size ( Quantity ) – The raw top of book bid size (as a scaled fixed precision integer).

  • raw_ask_size ( Quantity ) – The raw top of book ask size (as a scaled fixed precision integer).

  • bid_size_prec ( uint8_t ) – The bid size precision.

  • ask_size_prec ( uint8_t ) – The ask size precision.

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

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

Returns :

QuoteTick

Raises :
  • ValueError – If bid_price_prec != ask_price_prec .

  • ValueError – If bid_size_prec != ask_size_prec .

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

Return the tick instrument ID.

Returns :

Price

static list_from_capsule ( capsule ) list [ QuoteTick ]
static to_dict ( QuoteTick obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class TradeTick ( InstrumentId instrument_id , Price price , Quantity size , AggressorSide aggressor_side , TradeId trade_id , uint64_t ts_event , uint64_t ts_init )

Bases: Data

Represents a single trade tick in a financial market.

Contains information about a single unique trade which matched buyer and seller counterparties.

Parameters :
  • instrument_id ( InstrumentId ) – The trade instrument ID.

  • price ( Price ) – The traded price.

  • size ( Quantity ) – The traded size.

  • aggressor_side ( AggressorSide ) – The trade aggressor side.

  • trade_id ( TradeId ) – The trade match ID (assigned by the venue).

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

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

Raises :

ValueError – If trade_id is not a valid string.

aggressor_side

Return the ticks aggressor side.

Returns :

AggressorSide

static capsule_from_list ( items )
static from_dict ( dict values ) TradeTick

Return a trade tick from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

TradeTick

static from_raw ( InstrumentId instrument_id , int64_t raw_price , uint8_t price_prec , uint64_t raw_size , uint8_t size_prec , AggressorSide aggressor_side , TradeId trade_id , uint64_t ts_event , uint64_t ts_init ) TradeTick

Return a trade tick from the given raw values.

Parameters :
  • instrument_id ( InstrumentId ) – The trade instrument ID.

  • raw_price ( int64_t ) – The traded raw price (as a scaled fixed precision integer).

  • price_prec ( uint8_t ) – The traded price precision.

  • raw_size ( uint64_t ) – The traded raw size (as a scaled fixed precision integer).

  • size_prec ( uint8_t ) – The traded size precision.

  • aggressor_side ( AggressorSide ) – The trade aggressor side.

  • trade_id ( TradeId ) – The trade match ID (assigned by the venue).

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

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

Returns :

TradeTick

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

Return the ticks instrument ID.

Returns :

Price

static list_from_capsule ( capsule ) list [ TradeTick ]
price

Return the ticks price.

Returns :

Price

size

Return the ticks size.

Returns :

Quantity

static to_dict ( TradeTick obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

trade_id

Return the ticks trade match ID.

Returns :

Price

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class Ticker ( InstrumentId instrument_id , uint64_t ts_event , uint64_t ts_init )

Bases: Data

The base class for all tickers.

Parameters :
  • instrument_id ( InstrumentId ) – The instrument ID.

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

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

Warning

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

static from_dict ( dict values ) Ticker

Return a ticker from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

Ticker

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The ticker instrument ID.

Returns :

InstrumentId

static to_dict ( Ticker obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class InstrumentClose ( InstrumentId instrument_id , Price close_price , InstrumentCloseType close_type , uint64_t ts_event , uint64_t ts_init )

Bases: Data

Represents an instrument close at a venue.

Parameters :
  • instrument_id ( InstrumentId ) – The instrument ID.

  • close_price ( Price ) – The closing price for the instrument.

  • close_type ( InstrumentCloseType ) – The type of closing price.

  • ts_event ( uint64_t ) – The UNIX timestamp (nanoseconds) when the close price event occurred.

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

close_price

The instrument close price.

Returns :

Price

close_type

The instrument close type.

Returns :

InstrumentCloseType

static from_dict ( dict values ) InstrumentClose

Return an instrument close price event from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

InstrumentClose

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The event instrument ID.

Returns :

InstrumentId

static to_dict ( InstrumentClose obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class InstrumentStatusUpdate ( InstrumentId instrument_id , MarketStatus status , uint64_t ts_event , uint64_t ts_init )

Bases: StatusUpdate

Represents an event that indicates a change in an instrument status.

Parameters :
  • instrument_id ( InstrumentId ) – The instrument ID.

  • status ( MarketStatus ) – The instrument market status.

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

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

static from_dict ( dict values ) InstrumentStatusUpdate

Return an instrument status update from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

InstrumentStatusUpdate

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

instrument_id

The instrument ID.

Returns :

InstrumentId

status

The instrument market status.

Returns :

MarketStatus

static to_dict ( InstrumentStatusUpdate obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class StatusUpdate ( uint64_t ts_event , uint64_t ts_init )

Bases: Data

The base class for all status updates.

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

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

Warning

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

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

class VenueStatusUpdate ( Venue venue , MarketStatus status , uint64_t ts_event , uint64_t ts_init )

Bases: StatusUpdate

Represents an update that indicates a change in a Venue status.

Parameters :
  • venue ( Venue ) – The venue ID.

  • status ( MarketStatus ) – The venue market status.

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

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

static from_dict ( dict values ) VenueStatusUpdate

Return a venue status update from the given dict values.

Parameters :

values ( dict [ str , object ] ) – The values for initialization.

Returns :

VenueStatusUpdate

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

status

The venue market status.

Returns :

MarketStatus

static to_dict ( VenueStatusUpdate obj )

Return a dictionary representation of this object.

Returns :

dict[str, object]

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t

venue

The venue.

Returns :

Venue

class DataType ( type type , dict metadata=None )

Bases: object

Represents a data type including metadata.

Parameters :
  • type ( type ) – The Data type of the data.

  • metadata ( dict ) – The data types metadata.

Raises :
  • ValueError – If type is not a subclass of Data .

  • TypeError – If metadata contains a key or value which is not hashable.

Warning

This class may be used as a key in hash maps throughout the system, thus the key and value contents of metadata must themselves be hashable.

metadata

The data types metadata.

Returns :

dict[str, object]

topic

The data types topic string.

Returns :

str

type

The Data type of the data.

Returns :

type

class GenericData ( DataType data_type , Data data )

Bases: Data

Provides a generic data wrapper which includes data type information.

Parameters :
  • data_type ( DataType ) – The data type.

  • data ( Data ) – The data object to wrap.

data

The data.

Returns :

Data

data_type

The data type.

Returns :

DataType

classmethod fully_qualified_name ( type cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

ts_event

The UNIX timestamp (nanoseconds) when the data event occurred.

Returns :

uint64_t

ts_init

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

Returns :

uint64_t