Persistence ¶
The persistence subpackage handles data storage and retrieval, mainly to support backtesting.
External ¶
Core ¶
- class RawFile ( open_file : fsspec.core.OpenFile , block_size : Optional [ int ] = None , progress : bool = False ) ¶
-
Bases:
object
Provides a wrapper of fsspec.OpenFile that processes a raw file and writes to parquet.
- split_and_serialize ( objs : List ) Dict [ type , Dict [ Optional [ str ] , List ] ] ¶
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Given a list of Nautilus objs ; serialize and split into dictionaries per type / instrument ID.
- dicts_to_dataframes ( dicts ) Dict [ type , Dict [ str , pandas.core.frame.DataFrame ] ] ¶
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Convert dicts from split_and_serialize into sorted dataframes.
- determine_partition_cols ( cls : type , instrument_id : Optional [ str ] = None ) Optional [ List ] ¶
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Determine partition columns (if any) for this type cls .
- merge_existing_data ( catalog : nautilus_trader.persistence.catalog.base.BaseDataCatalog , cls : type , df : pandas.core.frame.DataFrame ) pandas.core.frame.DataFrame ¶
-
Handle existing data for instrument subclasses.
Instruments all live in a single file, so merge with existing data. For all other classes, simply return data unchanged.
- write_tables ( catalog : nautilus_trader.persistence.catalog.parquet.ParquetDataCatalog , tables : Dict [ type , Dict [ str , pandas.core.frame.DataFrame ] ] , ** kwargs ) ¶
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Write tables to catalog.
- write_parquet ( fs : fsspec.spec.AbstractFileSystem , path : pathlib.Path , df : pandas.core.frame.DataFrame , partition_cols : Optional [ List [ str ] ] , schema : pyarrow.lib.Schema , ** kwargs ) ¶
-
Write a single dataframe to parquet.
- read_progress ( func , total ) ¶
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Wrap a file handle and update progress bar as bytes are read.
Readers ¶
- class LinePreprocessor ¶
-
Bases:
object
Provides pre-processing lines before they are passed to a Reader class (currently only TextReader ).
Used if the input data requires any pre-processing that may also be required as attributes on the resulting Nautilus objects that are created.
Examples
For example, if you were logging data in Python with a prepended timestamp, as below:
2021-06-29T06:03:14.528000 - {“op”:”mcm”,”pt”:1624946594395,”mc”:[{“id”:”1.179082386”,”rc”:[{“atb”:[[1.93,0]]}]}
The raw JSON data is contained after the logging timestamp, additionally we would also want to use this timestamp as the Nautilus ts_init value. In this instance, you could use something like:
>>> class LoggingLinePreprocessor(LinePreprocessor): >>> @staticmethod >>> def pre_process(line): >>> timestamp, json_data = line.split(' - ') >>> yield json_data, {'ts_init': pd.Timestamp(timestamp)} >>> >>> @staticmethod >>> def post_process(obj: Any, state: dict): >>> obj.ts_init = state['ts_init'] >>> return obj
- class Reader ( instrument_provider : Optional [ nautilus_trader.common.providers.InstrumentProvider ] = None , instrument_provider_update : Optional [ Callable ] = None ) ¶
-
Bases:
object
Provides parsing of raw byte blocks to Nautilus objects.
- class ByteReader ( block_parser : Callable , instrument_provider : Optional [ nautilus_trader.common.providers.InstrumentProvider ] = None , instrument_provider_update : Optional [ Callable ] = None ) ¶
-
Bases:
nautilus_trader.persistence.external.readers.Reader
A Reader subclass for reading blocks of raw bytes; byte_parser will be passed a blocks of raw bytes.
- Parameters
-
-
block_parser ( Callable ) – The handler which takes a blocks of bytes and yields Nautilus objects.
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instrument_provider ( InstrumentProvider , optional ) – The instrument provider for the reader.
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instrument_provider_update ( Callable , optional ) – An optional hook/callable to update instrument provider before data is passed to byte_parser (in many cases instruments need to be known ahead of parsing).
-
- class TextReader ( line_parser : Callable , line_preprocessor : Optional [ nautilus_trader.persistence.external.readers.LinePreprocessor ] = None , instrument_provider : Optional [ nautilus_trader.common.providers.InstrumentProvider ] = None , instrument_provider_update : Optional [ Callable ] = None , newline : bytes = b'\n' ) ¶
-
Bases:
nautilus_trader.persistence.external.readers.ByteReader
A Reader subclass for reading lines of a text-like file; line_parser will be passed a single row of bytes.
- Parameters
-
-
line_parser ( Callable ) – The handler which takes byte strings and yields Nautilus objects.
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line_preprocessor ( Callable , optional ) – The context manager for pre-processing (cleaning log lines) of lines before json.loads is called. Nautilus objects are returned to the context manager for any post-processing also (for example, setting the ts_init ).
-
instrument_provider ( InstrumentProvider , optional ) – The instrument provider for the reader.
-
instrument_provider_update ( Callable , optional ) – An optional hook/callable to update instrument provider before data is passed to line_parser (in many cases instruments need to be known ahead of parsing).
-
newline ( bytes ) – The newline char value.
-
- class CSVReader ( block_parser : Callable , instrument_provider : Optional [ nautilus_trader.common.providers.InstrumentProvider ] = None , instrument_provider_update : Optional [ Callable ] = None , header : Optional [ List [ str ] ] = None , chunked : bool = True , as_dataframe : bool = True , separator : str = ',' , newline : bytes = b'\n' , encoding : str = 'utf-8' ) ¶
-
Bases:
nautilus_trader.persistence.external.readers.Reader
Provides parsing of CSV formatted bytes strings to Nautilus objects.
- Parameters
-
-
block_parser ( callable ) – The handler which takes byte strings and yields Nautilus objects.
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instrument_provider ( InstrumentProvider , optional ) – The readers instrument provider.
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instrument_provider_update – Optional hook to call before parser for the purpose of loading instruments into an InstrumentProvider
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header ( List [ str ] , default None ) – If first row contains names of columns, header has to be set to None . If data starts right at the first row, header has to be provided the list of column names.
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chunked ( bool , default True ) – If chunked=False, each CSV line will be passed to block_parser individually, if chunked=True, the data passed will potentially contain many lines (a block).
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as_dataframe ( bool , default False ) – If as_dataframe=True, the passes block will be parsed into a DataFrame before passing to block_parser .
-
- class ParquetReader ( parser : Optional [ Callable ] = None , instrument_provider : Optional [ nautilus_trader.common.providers.InstrumentProvider ] = None , instrument_provider_update : Optional [ Callable ] = None ) ¶
-
Bases:
nautilus_trader.persistence.external.readers.ByteReader
Provides parsing of parquet specification bytes to Nautilus objects.
- Parameters
-
-
parser ( Callable ) – The parser.
-
instrument_provider ( InstrumentProvider , optional ) – The readers instrument provider.
-
instrument_provider_update ( Callable , optional ) – An optional hook/callable to update instrument provider before data is passed to byte_parser (in many cases instruments need to be known ahead of parsing).
-
Batching ¶
- class FileMeta ( filename , datatype , instrument_id , client_id , start , end ) ¶
-
Bases:
tuple
- client_id ¶
-
Alias for field number 3
- count ( value , / ) ¶
-
Return number of occurrences of value.
- datatype ¶
-
Alias for field number 1
- end ¶
-
Alias for field number 5
- filename ¶
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Alias for field number 0
- index ( value , start = 0 , stop = 9223372036854775807 , / ) ¶
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Return first index of value.
Raises ValueError if the value is not present.
- instrument_id ¶
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Alias for field number 2
- start ¶
-
Alias for field number 4
- extract_generic_data_client_ids ( data_configs : List [ nautilus_trader.config.backtest.BacktestDataConfig ] ) Dict ¶
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Extract a mapping of data_type : client_id from the list of data_configs . In the process of merging the streaming data, we lose the client_id for generic data, we need to inject this back in so the backtest engine can be correctly loaded.
Catalog ¶
- class BaseDataCatalog ( * args , ** kw ) ¶
-
Bases:
abc.ABC
Provides a abstract base class for a queryable data catalog.
- class ParquetDataCatalog ( * args , ** kw ) ¶
-
Bases:
nautilus_trader.persistence.catalog.base.BaseDataCatalog
Provides a queryable data catalog persisted to file in parquet format.
- Parameters
-
-
path ( str ) – The root path for this data catalog. Must exist and must be an absolute path.
-
fs_protocol ( str , default 'file' ) – The fsspec filesystem protocol to use.
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fs_storage_options ( Dict , optional ) – The fs storage options.
-
Streaming ¶
- class StreamingFeatherWriter ( path : str , logger : nautilus_trader.common.logging.LoggerAdapter , fs_protocol : str = 'file' , flush_interval_ms : Optional [ int ] = None , replace : bool = False , include_types : Optional [ Tuple [ type ] ] = None ) ¶
-
Bases:
object
Provides a stream writer of Nautilus objects into feather files.
- Parameters
-
-
path ( str ) – The path to persist the stream to.
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logger ( LoggerAdapter ) – The logger for the writer.
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fs_protocol ( str , default 'file' ) – The fsspec file system protocol.
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flush_interval_ms ( int , optional ) – The flush interval (milliseconds) for writing chunks.
-
replace ( bool , default False ) – If existing files at the given path should be replaced.
-
- write ( obj : object ) None ¶
-
Write the object to the stream.
- Parameters
-
obj ( object ) – The object to write.
- Raises
-
ValueError – If obj is
None
.
- check_flush ( ) None ¶
-
Flush all stream writers if current time greater than the next flush interval.
- flush ( ) None ¶
-
Flush all stream writers.
- close ( ) None ¶
-
Flush and close all stream writers.
- generate_signal_class ( name : str ) ¶
-
Dynamically create a Data subclass for this signal.