Data ¶

Defines the fundamental data types represented within the trading domain.

Bar ¶

class Bar ( BarType bar_type , Price open , Price high , Price low , Price close , Quantity volume , uint64_t ts_event , uint64_t ts_init ) ¶

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.

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_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.

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

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

Bet ¶

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 ) ¶

nautilus_to_bet ( Price price , Quantity quantity , OrderSide side ) → Bet ¶: Nautilus considers orders/trades in probability space; convert back to betting prices/quantities.

Tick ¶

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

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 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 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

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

Ticker ¶

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

Venue ¶

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

Bases: Data

Represents an instruments closing price at a venue.

Parameters :

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 events close price.

Returns :: Price

close_type ¶

The events close type.

Returns :: InstrumentCloseType

static from_dict ( dict values ) → InstrumentClosePrice ¶

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

Parameters :: values ( dict [ str , object ] ) – The values for initialization.
Returns :: InstrumentClosePrice

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 ( InstrumentClosePrice 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 , InstrumentStatus status , uint64_t ts_event , uint64_t ts_init ) ¶

Bases: StatusUpdate

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

Parameters :

status ( InstrumentStatus ) – The instrument 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 event instrument ID.

Returns :: InstrumentId

status ¶

The events instrument status.

Returns :: InstrumentStatus

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 abstract 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 , VenueStatus status , uint64_t ts_event , uint64_t ts_init ) ¶

Bases: StatusUpdate

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

Parameters :

status ( VenueStatus ) – The venue 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 events venue status.

Returns :: VenueStatus

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 event venue.

Returns :: Venue

Base ¶

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