Trading

The trading subpackage groups all trading domain specific components and tooling.

This is a top-level package where the majority of users will interface with the framework. Custom trading strategies can be implemented by inheriting from the Strategy base class.

class Controller ( trader : Trader , config : nautilus_trader.common.config.ActorConfig | None = None )

Bases: Actor

The base class for all trader controllers.

Parameters :
  • trader ( Trader ) – The reference to the trader instance to control.

  • config ( ActorConfig , optional ) – The configuration for the controller

Raises :

TypeError – If config is not of type ActorConfig .

create_actor ( actor : Actor , start : bool = True ) None

Add the given actor to the controlled trader.

Parameters :
  • actor ( Actor ) – The actor to add.

  • start ( bool , default True ) – If the actor should be started immediately.

Raises :
  • ValueError – If actor.state is RUNNING or DISPOSED .

  • RuntimeError – If actor is already registered with the trader.

create_strategy ( strategy : Strategy , start : bool = True ) None

Add the given strategy to the controlled trader.

Parameters :
  • strategy ( Strategy ) – The strategy to add.

  • start ( bool , default True ) – If the strategy should be started immediately.

Raises :
  • ValueError – If strategy.state is RUNNING or DISPOSED .

  • RuntimeError – If strategy is already registered with the trader.

start_actor ( actor : Actor ) None

Start the given actor .

Will log a warning if the actor is already RUNNING .

Raises :

ValueError – If actor is not already registered with the trader.

start_strategy ( strategy : Strategy ) None

Start the given strategy .

Will log a warning if the strategy is already RUNNING .

Raises :

ValueError – If strategy is not already registered with the trader.

stop_actor ( actor : Actor ) None

Stop the given actor .

Will log a warning if the actor is not RUNNING .

Parameters :

actor ( Actor ) – The actor to stop.

Raises :

ValueError – If actor is not already registered with the trader.

stop_strategy ( strategy : Strategy ) None

Stop the given strategy .

Will log a warning if the strategy is not RUNNING .

Parameters :

strategy ( Strategy ) – The strategy to stop.

Raises :

ValueError – If strategy is not already registered with the trader.

remove_actor ( actor : Actor ) None

Remove the given actor .

Will stop the actor first if state is RUNNING .

Parameters :

actor ( Actor ) – The actor to remove.

Raises :

ValueError – If actor is not already registered with the trader.

remove_strategy ( strategy : Strategy ) None

Remove the given strategy .

Will stop the strategy first if state is RUNNING .

Parameters :

strategy ( Strategy ) – The strategy to remove.

Raises :

ValueError – If strategy is not already registered with the trader.

active_task_ids ( self ) list

Return the active task identifiers.

Returns :

list[TaskId]

add_synthetic ( self , SyntheticInstrument synthetic ) void

Add the created synthetic instrument to the cache.

Parameters :

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

Raises :

KeyError – If synthetic is already in the cache.

Notes

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

cache

The read-only cache for the actor.

Returns :

CacheFacade

cancel_all_tasks ( self ) void

Cancel all queued and active tasks.

cancel_task ( self , task_id : TaskId ) void

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

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

Parameters :

task_id ( TaskId ) – The task identifier.

clock

The actors clock.

Returns :

Clock

config

The actors configuration.

Returns :

NautilusConfig

degrade ( self ) void

Degrade the component.

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

Warning

Do not override.

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

deregister_warning_event ( self , type event ) void

Deregister the given event type from warning log levels.

Parameters :

event ( type ) – The event class to deregister.

dispose ( self ) void

Dispose of the component.

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

Warning

Do not override.

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

fault ( self ) void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( cls ) str

Return the fully qualified name for the components class.

Returns :

str

References

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

handle_bar ( self , Bar bar ) void

Handle the given bar data.

If state is RUNNING then passes to on_bar .

Parameters :

bar ( Bar ) – The bar received.

Warning

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

handle_bars ( self , list bars ) void

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

Parameters :

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

Warning

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

handle_data ( self , Data data ) void

Handle the given data.

If state is RUNNING then passes to on_data .

Parameters :

data ( Data ) – The data received.

Warning

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

handle_event ( self , Event event ) void

Handle the given event.

If state is RUNNING then passes to on_event .

Parameters :

event ( Event ) – The event received.

Warning

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

handle_historical_data ( self , Data data ) void

Handle the given historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

handle_instrument ( self , Instrument instrument ) void

Handle the given instrument.

Passes to on_instrument if state is RUNNING .

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

handle_instrument_close ( self , InstrumentClose update ) void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close .

Parameters :

update ( InstrumentClose ) – The update received.

Warning

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

handle_instrument_status ( self , InstrumentStatus data ) void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status .

Parameters :

data ( InstrumentStatus ) – The status update received.

Warning

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

handle_instruments ( self , list instruments ) void

Handle the given instruments data by handling each instrument individually.

Parameters :

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

Warning

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

handle_order_book ( self , OrderBook order_book ) void

Handle the given order book.

Passes to on_order_book if state is RUNNING .

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

handle_order_book_deltas ( self , deltas ) void

Handle the given order book deltas.

Passes to on_order_book_deltas if state is RUNNING . The deltas will be nautilus_pyo3.OrderBookDeltas if the pyo3_conversion flag was set for the subscription.

Parameters :

deltas ( OrderBookDeltas or nautilus_pyo3.OrderBookDeltas ) – The order book deltas received.

Warning

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

handle_quote_tick ( self , QuoteTick tick ) void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick .

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

handle_quote_ticks ( self , list ticks ) void

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

Parameters :

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

Warning

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

handle_trade_tick ( self , TradeTick tick ) void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick .

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

handle_trade_ticks ( self , list ticks ) void

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

Parameters :

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

Warning

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

handle_venue_status ( self , VenueStatus data ) void

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status .

Parameters :

data ( VenueStatus ) – The status update received.

Warning

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

has_active_tasks ( self ) bool

Return a value indicating whether there are any active tasks.

Returns :

bool

has_any_tasks ( self ) bool

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

Returns :

bool

has_pending_requests ( self ) bool

Return whether the actor is pending processing for any requests.

Returns :

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

has_queued_tasks ( self ) bool

Return a value indicating whether there are any queued tasks.

Returns :

bool

id

The components ID.

Returns :

ComponentId

indicators_initialized ( self ) bool

Return a value indicating whether all indicators are initialized.

Returns :

bool – True if all initialized, else False

is_degraded

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_pending_request ( self , UUID4 request_id ) bool

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

Parameters :

request_id ( UUID4 ) – The request ID to check.

Returns :

bool – True if request is pending, else False.

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

load ( self , dict state ) void

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

Calls on_load and passes the state.

Parameters :

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

Raises :

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

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns :

Logger

msgbus

The message bus for the actor (if registered).

Returns :

MessageBus or None

on_bar ( self , Bar bar ) void

Actions to be performed when running and receives a bar.

Parameters :

bar ( Bar ) – The bar received.

Warning

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

on_data ( self , Data data ) void

Actions to be performed when running and receives data.

Parameters :

data ( Data ) – The data received.

Warning

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

on_degrade ( self ) void

Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose ( self ) void

Actions to be performed on dispose.

Cleanup/release any resources used here.

Warning

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

on_event ( self , Event event ) void

Actions to be performed running and receives an event.

Parameters :

event ( Event ) – The event received.

Warning

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

on_fault ( self ) void

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_historical_data ( self , Data data ) void

Actions to be performed when running and receives historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

on_instrument ( self , Instrument instrument ) void

Actions to be performed when running and receives an instrument.

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

on_instrument_close ( self , InstrumentClose update ) void

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

Parameters :

update ( InstrumentClose ) – The instrument close received.

Warning

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

on_instrument_status ( self , InstrumentStatus data ) void

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

Parameters :

data ( InstrumentStatus ) – The instrument status update received.

Warning

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

on_load ( self , dict state ) void

Actions to be performed when the actor state is loaded.

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

Warning

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

on_order_book ( self , OrderBook order_book ) void

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

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

on_order_book_deltas ( self , deltas ) void

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

Parameters :

deltas ( OrderBookDeltas or nautilus_pyo3.OrderBookDeltas ) – The order book deltas received.

Warning

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

on_quote_tick ( self , QuoteTick tick ) void

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

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

on_reset ( self ) void

Actions to be performed on reset.

Warning

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

Should be overridden in a user implementation.

on_resume ( self ) void

Actions to be performed on resume.

Warning

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

on_save ( self ) dict

Actions to be performed when the actor state is saved.

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

Returns :

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

Warning

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

on_start ( self ) void

Actions to be performed on start.

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

It is recommended to subscribe/request for data here.

Warning

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

Should be overridden in a user implementation.

on_stop ( self ) void

Actions to be performed on stop.

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

Warning

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

Should be overridden in a user implementation.

on_trade_tick ( self , TradeTick tick ) void

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

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

on_venue_status ( self , VenueStatus data ) void

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

Parameters :

data ( VenueStatus ) – The venue status update received.

Warning

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

pending_requests ( self ) set

Return the request IDs which are currently pending processing.

Returns :

set[UUID4]

portfolio

The read-only portfolio for the actor.

Returns :

PortfolioFacade

publish_data ( self , DataType data_type , Data data ) void

Publish the given data to the message bus.

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

  • data ( Data ) – The data to publish.

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

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

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

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

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

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

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

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

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

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

Raises :

TypeError – If func is not of type Callable .

Notes

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

queued_task_ids ( self ) list

Return the queued task identifiers.

Returns :

list[TaskId]

register_base ( self , PortfolioFacade portfolio , MessageBus msgbus , CacheFacade cache , Clock clock ) void

Register with a trader.

Parameters :

Warning

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

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

Register the given Executor for the actor.

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

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

Raises :

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

register_indicator_for_bars ( self , BarType bar_type , Indicator indicator ) void

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

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

  • indicator ( Indicator ) – The indicator to register.

register_indicator_for_quote_ticks ( self , InstrumentId instrument_id , Indicator indicator ) void

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

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

  • indicator ( Indicator ) – The indicator to register.

register_indicator_for_trade_ticks ( self , InstrumentId instrument_id , Indicator indicator ) void

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

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

  • indicator ( indicator ) – The indicator to register.

register_warning_event ( self , type event ) void

Register the given event type for warning log levels.

Parameters :

event ( type ) – The event class to register.

registered_indicators

Return the registered indicators for the strategy.

Returns :

list[Indicator]

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

Request historical Bar data.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

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

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

  • client_id ( ClientId ) – The data client ID.

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

Returns :

UUID4 – The request_id for the request.

Raises :

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

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

Request Instrument data for the given instrument ID.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

Request all Instrument data for the given venue.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

Request historical QuoteTick data.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

Request historical TradeTick data.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

reset ( self ) void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) void

Resume the component.

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

Warning

Do not override.

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

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

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

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

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

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

Returns :

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

Raises :

TypeError – If func is not of type Callable .

Notes

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

save ( self ) dict

Return the actor/strategy state dictionary to be saved.

Calls on_save .

Raises :

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

Warning

Exceptions raised will be caught, logged, and reraised.

start ( self ) void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Returns :

ComponentState

Type :

Component.state

stop ( self ) void

Stop the component.

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

Warning

Do not override.

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

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

Subscribe to streaming Bar data for the given bar type.

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

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

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

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

Subscribe to data of the given data type.

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

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

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

Subscribe to update Instrument data for the given instrument ID.

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

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

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

Subscribe to close updates for the given instrument ID.

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

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

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

Subscribe to status updates for the given instrument ID.

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

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

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

Subscribe to update Instrument data for the given venue.

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

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

subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type=BookType.L2_MBP , int depth=0 , dict kwargs=None , ClientId client_id=None , bool managed=True , bool pyo3_conversion=False ) void

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

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

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

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

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

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

  • managed ( bool , default True ) – If an order book should be managed by the data engine based on the subscribed feed.

  • pyo3_conversion ( bool , default False ) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

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

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

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

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

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

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

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

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

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

  • managed ( bool , default True ) – If an order book should be managed by the data engine based on the subscribed feed.

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

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

Warning

Consider subscribing to order book deltas if you need intervals less than 100 milliseconds.

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

Subscribe to streaming QuoteTick data for the given instrument ID.

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

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

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

Subscribe to streaming TradeTick data for the given instrument ID.

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

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

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

Subscribe to status updates for the given venue.

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

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

to_importable_config ( self ) ImportableActorConfig

Returns an importable configuration for this actor.

Returns :

ImportableActorConfig

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

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

Unsubscribe from streaming Bar data for the given bar type.

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

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

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

Unsubscribe from data of the given data type.

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

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

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

Unsubscribe from update Instrument data for the given instrument ID.

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

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

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

Unsubscribe to status updates of the given venue.

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

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

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

Unsubscribe from update Instrument data for the given venue.

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

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

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

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

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

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

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

Unsubscribe from OrderBook snapshots, for the given instrument ID.

The interval must match the previously subscribed interval.

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

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

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

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

Unsubscribe from streaming QuoteTick data for the given instrument ID.

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

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

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

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

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

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

Unsubscribe to status updates for the given venue.

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

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

update_synthetic ( self , SyntheticInstrument synthetic ) void

Update the synthetic instrument in the cache.

Parameters :

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

Raises :

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

Notes

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

class ForexSession ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

class ForexSessionFilter

Bases: object

Provides methods to help filter trading strategy rules dependent on Forex session times.

local_from_utc ( session : ForexSession , time_now : datetime ) datetime

Return the local datetime from the given session and time_now (UTC).

Parameters :
  • session ( ForexSession ) – The session for the local timezone conversion.

  • time_now ( datetime ) – The time now (UTC).

Returns :

datetime – The converted local datetime.

Raises :

ValueError – If time_now is not tz aware UTC.

next_start ( session : ForexSession , time_now : datetime ) datetime

Return the next session start.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

Parameters :
  • session ( ForexSession ) – The session for the start datetime.

  • time_now ( datetime ) – The datetime now.

Returns :

datetime

Raises :

ValueError – If time_now is not tz aware UTC.

prev_start ( session : ForexSession , time_now : datetime ) datetime

Return the previous session start.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

Parameters :
  • session ( ForexSession ) – The session for the start datetime.

  • time_now ( datetime ) – The datetime now.

Returns :

datetime

Raises :

ValueError – If time_now is not tz aware UTC.

next_end ( session : ForexSession , time_now : datetime ) datetime

Return the next session end.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

Parameters :
  • session ( ForexSession ) – The session for the end datetime.

  • time_now ( datetime ) – The datetime now (UTC).

Returns :

datetime

Raises :

ValueError – If time_now is not tz aware UTC.

prev_end ( session : ForexSession , time_now : datetime ) datetime

Return the previous sessions end.

All FX sessions run Monday to Friday local time.

Sydney Session 0700-1600 ‘Australia/Sydney’

Tokyo Session 0900-1800 ‘Asia/Tokyo’

London Session 0800-1600 ‘Europe/London’

New York Session 0800-1700 ‘America/New_York’

Parameters :
  • session ( ForexSession ) – The session for end datetime.

  • time_now ( datetime ) – The datetime now.

Returns :

datetime

Raises :

ValueError – If time_now is not tz aware UTC.

class NewsImpact ( value , names = None , * , module = None , qualname = None , type = None , start = 1 , boundary = None )

Bases: Enum

class NewsEvent ( impact : NewsImpact , name : str , currency : Currency , ts_event : int , ts_init : int )

Bases: Data

Represents an economic news event.

Parameters :
  • impact ( NewsImpact ) – The expected impact for the economic news event.

  • name ( str ) – The name of the economic news event.

  • currency ( Currency ) – The currency the economic news event is expected to affect.

  • ts_event ( int ) – The UNIX timestamp (nanoseconds) when the news event occurred.

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

property ts_event : int

int

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

Returns :

int

Type :

Data.ts_event

property ts_init : int

int

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

Returns :

int

Type :

Data.ts_init

classmethod fully_qualified_name ( cls ) str

Return the fully qualified name for the Data class.

Returns :

str

References

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

class EconomicNewsEventFilter ( currencies : list [ str ] , impacts : list [ str ] , news_data : DataFrame )

Bases: object

Provides methods to help filter trading strategy rules based on economic news events.

Parameters :
  • currencies ( list [ str ] ) – The list of three letter currency codes to filter.

  • impacts ( list [ str ] ) – The list of impact levels to filter (‘LOW’, ‘MEDIUM’, ‘HIGH’).

  • news_data ( pd.DataFrame ) – The economic news data.

property unfiltered_data_start

Return the start of the raw data.

Returns :

datetime

property unfiltered_data_end

Return the end of the raw data.

Returns :

datetime

property currencies

Return the currencies the data is filtered on.

Returns :

list[str]

property impacts

Return the news impacts the data is filtered on.

Returns :

list[str]

next_event ( time_now : datetime ) nautilus_trader.trading.filters.NewsEvent | None

Return the next news event matching the filter conditions. Will return None if no news events match the filter conditions.

Parameters :

time_now ( datetime ) – The current time.

Returns :

NewsEvent or None – The next news event in the filtered data if any.

Raises :
  • ValueError – The time_now < self.unfiltered_data_start .

  • ValueError – The time_now > self.unfiltered_data_end .

  • ValueError – If time_now is not tz aware UTC.

prev_event ( time_now : datetime ) nautilus_trader.trading.filters.NewsEvent | None

Return the previous news event matching the initial filter conditions. Will return None if no news events match the filter conditions.

Parameters :

time_now ( datetime ) – The current time.

Returns :

NewsEvent or None – The previous news event in the filtered data if any.

Raises :
  • ValueError – The time_now < self.unfiltered_data_start .

  • ValueError – The time_now > self.unfiltered_data_end .

  • ValueError – If time_now is not tz aware UTC.

This module defines a trading strategy class which allows users to implement their own customized trading strategies

A user can inherit from Strategy and optionally override any of the “on” named event methods. The class is not entirely initialized in a stand-alone way, the intended usage is to pass strategies to a Trader so that they can be fully “wired” into the platform. Exceptions will be raised if a Strategy attempts to operate without a managing Trader instance.

class Strategy ( config : StrategyConfig | None = None )

Bases: Actor

The base class for all trading strategies.

This class allows traders to implement their own customized trading strategies. A trading strategy can configure its own order management system type, which determines how positions are handled by the ExecutionEngine .

Strategy OMS (Order Management System) types:
  • UNSPECIFIED : No specific type has been configured, will therefore default to the native OMS type for each venue.

  • HEDGING : A position ID will be assigned for each new position which is opened per instrument.

  • NETTING : There will only be a single position for the strategy per instrument. The position ID naming convention is {instrument_id}-{strategy_id} .

Parameters :

config ( StrategyConfig , optional ) – The trading strategy configuration.

Raises :

TypeError – If config is not of type StrategyConfig .

Warning

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

  • Do not call components such as clock and logger in the __init__ prior to registration.

active_task_ids ( self ) list

Return the active task identifiers.

Returns :

list[TaskId]

add_synthetic ( self , SyntheticInstrument synthetic ) void

Add the created synthetic instrument to the cache.

Parameters :

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

Raises :

KeyError – If synthetic is already in the cache.

Notes

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

cache

The read-only cache for the actor.

Returns :

CacheFacade

cancel_all_orders ( self , InstrumentId instrument_id , OrderSide order_side=OrderSide.NO_ORDER_SIDE , ClientId client_id=None ) void

Cancel all orders for this strategy for the given instrument ID.

A CancelAllOrders command will be created and then sent to both the OrderEmulator and the ExecutionEngine .

Parameters :
  • instrument_id ( InstrumentId ) – The instrument for the orders to cancel.

  • order_side (OrderSide, default NO_ORDER_SIDE (both sides)) – The side of the orders to cancel.

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

cancel_all_tasks ( self ) void

Cancel all queued and active tasks.

cancel_gtd_expiry ( self , Order order ) void

Cancel the managed GTD expiry for the given order.

If there is no current GTD expiry timer, then an error will be logged.

Parameters :

order ( Order ) – The order to cancel the GTD expiry for.

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

Cancel the given order with optional routing instructions.

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

Parameters :
  • order ( Order ) – The order to cancel.

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

cancel_orders ( self , list orders , ClientId client_id=None ) void

Batch cancel the given list of orders with optional routing instructions.

For each order in the list, a CancelOrder command will be created and added to a BatchCancelOrders command. This command is then sent to the ExecutionEngine .

Logs an error if the orders list contains local/emulated orders.

Parameters :
  • orders ( list [ Order ] ) – The orders to cancel.

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

Raises :
  • ValueError – If orders is empty.

  • TypeError – If orders contains a type other than Order .

cancel_task ( self , task_id : TaskId ) void

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

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

Parameters :

task_id ( TaskId ) – The task identifier.

change_id ( self , StrategyId strategy_id ) void

Change the strategies identifier to the given strategy_id .

Parameters :

strategy_id ( StrategyId ) – The new strategy ID to change to.

change_order_id_tag ( self , unicode order_id_tag ) void

Change the order identifier tag to the given order_id_tag .

Parameters :

order_id_tag ( str ) – The new order ID tag to change to.

clock

The actors clock.

Returns :

Clock

close_all_positions ( self , InstrumentId instrument_id , PositionSide position_side=PositionSide.NO_POSITION_SIDE , ClientId client_id=None , unicode tags=None ) void

Close all positions for the given instrument ID for this strategy.

Parameters :
  • instrument_id ( InstrumentId ) – The instrument for the positions to close.

  • position_side (PositionSide, default NO_POSITION_SIDE (both sides)) – The side of the positions to close.

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

  • tags ( str , optional ) – The tags for the market orders closing the positions.

close_position ( self , Position position , ClientId client_id=None , unicode tags=None ) void

Close the given position.

A closing MarketOrder for the position will be created, and then sent to the ExecutionEngine via a SubmitOrder command.

Parameters :
  • position ( Position ) – The position to close.

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

  • tags ( str , optional ) – The tags for the market order closing the position.

config

The actors configuration.

Returns :

NautilusConfig

degrade ( self ) void

Degrade the component.

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

Warning

Do not override.

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

deregister_warning_event ( self , type event ) void

Deregister the given event type from warning log levels.

Parameters :

event ( type ) – The event class to deregister.

dispose ( self ) void

Dispose of the component.

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

Warning

Do not override.

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

external_order_claims

The external order claims instrument IDs for the strategy.

Returns :

list[InstrumentId]

fault ( self ) void

Fault the component.

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

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

Warning

Do not override.

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

classmethod fully_qualified_name ( cls ) str

Return the fully qualified name for the components class.

Returns :

str

References

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

handle_bar ( self , Bar bar ) void

Handle the given bar data.

If state is RUNNING then passes to on_bar .

Parameters :

bar ( Bar ) – The bar received.

Warning

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

handle_bars ( self , list bars ) void

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

Parameters :

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

Warning

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

handle_data ( self , Data data ) void

Handle the given data.

If state is RUNNING then passes to on_data .

Parameters :

data ( Data ) – The data received.

Warning

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

handle_event ( self , Event event ) void

Handle the given event.

If state is RUNNING then passes to on_event .

Parameters :

event ( Event ) – The event received.

Warning

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

handle_historical_data ( self , Data data ) void

Handle the given historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

handle_instrument ( self , Instrument instrument ) void

Handle the given instrument.

Passes to on_instrument if state is RUNNING .

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

handle_instrument_close ( self , InstrumentClose update ) void

Handle the given instrument close update.

If state is RUNNING then passes to on_instrument_close .

Parameters :

update ( InstrumentClose ) – The update received.

Warning

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

handle_instrument_status ( self , InstrumentStatus data ) void

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status .

Parameters :

data ( InstrumentStatus ) – The status update received.

Warning

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

handle_instruments ( self , list instruments ) void

Handle the given instruments data by handling each instrument individually.

Parameters :

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

Warning

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

handle_order_book ( self , OrderBook order_book ) void

Handle the given order book.

Passes to on_order_book if state is RUNNING .

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

handle_order_book_deltas ( self , deltas ) void

Handle the given order book deltas.

Passes to on_order_book_deltas if state is RUNNING . The deltas will be nautilus_pyo3.OrderBookDeltas if the pyo3_conversion flag was set for the subscription.

Parameters :

deltas ( OrderBookDeltas or nautilus_pyo3.OrderBookDeltas ) – The order book deltas received.

Warning

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

handle_quote_tick ( self , QuoteTick tick ) void

Handle the given quote tick.

If state is RUNNING then passes to on_quote_tick .

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

handle_quote_ticks ( self , list ticks ) void

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

Parameters :

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

Warning

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

handle_trade_tick ( self , TradeTick tick ) void

Handle the given trade tick.

If state is RUNNING then passes to on_trade_tick .

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

handle_trade_ticks ( self , list ticks ) void

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

Parameters :

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

Warning

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

handle_venue_status ( self , VenueStatus data ) void

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status .

Parameters :

data ( VenueStatus ) – The status update received.

Warning

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

has_active_tasks ( self ) bool

Return a value indicating whether there are any active tasks.

Returns :

bool

has_any_tasks ( self ) bool

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

Returns :

bool

has_pending_requests ( self ) bool

Return whether the actor is pending processing for any requests.

Returns :

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

has_queued_tasks ( self ) bool

Return a value indicating whether there are any queued tasks.

Returns :

bool

id

The components ID.

Returns :

ComponentId

indicators_initialized ( self ) bool

Return a value indicating whether all indicators are initialized.

Returns :

bool – True if all initialized, else False

is_degraded

bool

Return whether the current component state is DEGRADED .

Returns :

bool

Type :

Component.is_degraded

is_disposed

bool

Return whether the current component state is DISPOSED .

Returns :

bool

Type :

Component.is_disposed

is_faulted

bool

Return whether the current component state is FAULTED .

Returns :

bool

Type :

Component.is_faulted

is_initialized

bool

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

Returns :

bool

Type :

Component.is_initialized

is_pending_request ( self , UUID4 request_id ) bool

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

Parameters :

request_id ( UUID4 ) – The request ID to check.

Returns :

bool – True if request is pending, else False.

is_running

bool

Return whether the current component state is RUNNING .

Returns :

bool

Type :

Component.is_running

is_stopped

bool

Return whether the current component state is STOPPED .

Returns :

bool

Type :

Component.is_stopped

load ( self , dict state ) void

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

Calls on_load and passes the state.

Parameters :

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

Raises :

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

Warning

Exceptions raised will be caught, logged, and reraised.

log

The actors logger.

Returns :

Logger

manage_contingent_orders

If contingent orders should be managed automatically by the strategy.

Returns :

bool

manage_gtd_expiry

If all order GTD time in force expirations should be managed automatically by the strategy.

Returns :

bool

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

Modify the given order with optional parameters and routing instructions.

An ModifyOrder command will be created and then sent to either the OrderEmulator or the RiskEngine (depending on whether the order is emulated).

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

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

Parameters :
  • order ( Order ) – The order to update.

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

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

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

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

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

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

Warning

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

References

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

msgbus

The message bus for the actor (if registered).

Returns :

MessageBus or None

oms_type

The order management system for the strategy.

Returns :

OmsType

on_bar ( self , Bar bar ) void

Actions to be performed when running and receives a bar.

Parameters :

bar ( Bar ) – The bar received.

Warning

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

on_data ( self , Data data ) void

Actions to be performed when running and receives data.

Parameters :

data ( Data ) – The data received.

Warning

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

on_degrade ( self ) void

Actions to be performed on degrade.

Warning

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

Should be overridden in the actor implementation.

on_dispose ( self ) void

Actions to be performed on dispose.

Cleanup/release any resources used here.

Warning

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

on_event ( self , Event event ) void

Actions to be performed running and receives an event.

Parameters :

event ( Event ) – The event received.

Warning

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

on_fault ( self ) void

Actions to be performed on fault.

Cleanup any resources used by the actor here.

Warning

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

Should be overridden in the actor implementation.

on_historical_data ( self , Data data ) void

Actions to be performed when running and receives historical data.

Parameters :

data ( Data ) – The historical data received.

Warning

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

on_instrument ( self , Instrument instrument ) void

Actions to be performed when running and receives an instrument.

Parameters :

instrument ( Instrument ) – The instrument received.

Warning

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

on_instrument_close ( self , InstrumentClose update ) void

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

Parameters :

update ( InstrumentClose ) – The instrument close received.

Warning

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

on_instrument_status ( self , InstrumentStatus data ) void

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

Parameters :

data ( InstrumentStatus ) – The instrument status update received.

Warning

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

on_load ( self , dict state ) void

Actions to be performed when the actor state is loaded.

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

Warning

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

on_order_accepted ( self , OrderAccepted event ) void

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

Parameters :

event ( OrderAccepted ) – The event received.

Warning

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

on_order_book ( self , OrderBook order_book ) void

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

Parameters :

order_book ( OrderBook ) – The order book received.

Warning

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

on_order_book_deltas ( self , deltas ) void

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

Parameters :

deltas ( OrderBookDeltas or nautilus_pyo3.OrderBookDeltas ) – The order book deltas received.

Warning

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

on_order_cancel_rejected ( self , OrderCancelRejected event ) void

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

Parameters :

event ( OrderCancelRejected ) – The event received.

Warning

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

on_order_canceled ( self , OrderCanceled event ) void

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

Parameters :

event ( OrderCanceled ) – The event received.

Warning

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

on_order_denied ( self , OrderDenied event ) void

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

Parameters :

event ( OrderDenied ) – The event received.

Warning

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

on_order_emulated ( self , OrderEmulated event ) void

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

Parameters :

event ( OrderEmulated ) – The event received.

Warning

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

on_order_event ( self , OrderEvent event ) void

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

Parameters :

event ( OrderEvent ) – The event received.

Warning

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

on_order_expired ( self , OrderExpired event ) void

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

Parameters :

event ( OrderExpired ) – The event received.

Warning

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

on_order_filled ( self , OrderFilled event ) void

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

Parameters :

event ( OrderFilled ) – The event received.

Warning

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

on_order_initialized ( self , OrderInitialized event ) void

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

Parameters :

event ( OrderInitialized ) – The event received.

Warning

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

on_order_modify_rejected ( self , OrderModifyRejected event ) void

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

Parameters :

event ( OrderModifyRejected ) – The event received.

Warning

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

on_order_pending_cancel ( self , OrderPendingCancel event ) void

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

Parameters :

event ( OrderPendingCancel ) – The event received.

Warning

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

on_order_pending_update ( self , OrderPendingUpdate event ) void

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

Parameters :

event ( OrderPendingUpdate ) – The event received.

Warning

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

on_order_rejected ( self , OrderRejected event ) void

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

Parameters :

event ( OrderRejected ) – The event received.

Warning

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

on_order_released ( self , OrderReleased event ) void

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

Parameters :

event ( OrderReleased ) – The event received.

Warning

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

on_order_submitted ( self , OrderSubmitted event ) void

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

Parameters :

event ( OrderSubmitted ) – The event received.

Warning

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

on_order_triggered ( self , OrderTriggered event ) void

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

Parameters :

event ( OrderTriggered ) – The event received.

Warning

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

on_order_updated ( self , OrderUpdated event ) void

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

Parameters :

event ( OrderUpdated ) – The event received.

Warning

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

on_position_changed ( self , PositionChanged event ) void

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

Parameters :

event ( PositionChanged ) – The event received.

Warning

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

on_position_closed ( self , PositionClosed event ) void

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

Parameters :

event ( PositionClosed ) – The event received.

Warning

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

on_position_event ( self , PositionEvent event ) void

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

Parameters :

event ( PositionEvent ) – The event received.

Warning

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

on_position_opened ( self , PositionOpened event ) void

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

Parameters :

event ( PositionOpened ) – The event received.

Warning

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

on_quote_tick ( self , QuoteTick tick ) void

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

Parameters :

tick ( QuoteTick ) – The tick received.

Warning

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

on_reset ( self ) void
on_resume ( self ) void
on_save ( self ) dict

Actions to be performed when the actor state is saved.

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

Returns :

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

Warning

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

on_start ( self ) void
on_stop ( self ) void
on_trade_tick ( self , TradeTick tick ) void

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

Parameters :

tick ( TradeTick ) – The tick received.

Warning

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

on_venue_status ( self , VenueStatus data ) void

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

Parameters :

data ( VenueStatus ) – The venue status update received.

Warning

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

order_factory

The order factory for the strategy.

Returns :

OrderFactory

order_id_tag

The order ID tag for the strategy.

Returns :

str

pending_requests ( self ) set

Return the request IDs which are currently pending processing.

Returns :

set[UUID4]

portfolio

The read-only portfolio for the actor.

Returns :

PortfolioFacade

publish_data ( self , DataType data_type , Data data ) void

Publish the given data to the message bus.

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

  • data ( Data ) – The data to publish.

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

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

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

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

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

query_order ( self , Order order , ClientId client_id=None ) void

Query the given order with optional routing instructions.

A QueryOrder command will be created and then sent to the ExecutionEngine .

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

Parameters :
  • order ( Order ) – The order to query.

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

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

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

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

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

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

Raises :

TypeError – If func is not of type Callable .

Notes

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

queued_task_ids ( self ) list

Return the queued task identifiers.

Returns :

list[TaskId]

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

Register the strategy with a trader.

Parameters :
  • trader_id ( TraderId ) – The trader ID for the strategy.

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

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

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

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

Warning

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

register_base ( self , PortfolioFacade portfolio , MessageBus msgbus , CacheFacade cache , Clock clock ) void

Register with a trader.

Parameters :

Warning

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

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

Register the given Executor for the actor.

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

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

Raises :

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

register_indicator_for_bars ( self , BarType bar_type , Indicator indicator ) void

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

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

  • indicator ( Indicator ) – The indicator to register.

register_indicator_for_quote_ticks ( self , InstrumentId instrument_id , Indicator indicator ) void

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

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

  • indicator ( Indicator ) – The indicator to register.

register_indicator_for_trade_ticks ( self , InstrumentId instrument_id , Indicator indicator ) void

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

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

  • indicator ( indicator ) – The indicator to register.

register_warning_event ( self , type event ) void

Register the given event type for warning log levels.

Parameters :

event ( type ) – The event class to register.

registered_indicators

Return the registered indicators for the strategy.

Returns :

list[Indicator]

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

Request historical Bar data.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

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

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

  • client_id ( ClientId ) – The data client ID.

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

Returns :

UUID4 – The request_id for the request.

Raises :

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

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

Request Instrument data for the given instrument ID.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

Request all Instrument data for the given venue.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

Request historical QuoteTick data.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

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

Request historical TradeTick data.

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

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

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

  • end ( datetime , optional ) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.

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

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

Returns :

UUID4 – The request_id for the request.

Raises :
  • ValueError – If start and end are not None and start is >= end .

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

reset ( self ) void

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) void

Resume the component.

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

Warning

Do not override.

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

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

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

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

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

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

Returns :

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

Raises :

TypeError – If func is not of type Callable .

Notes

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

save ( self ) dict

Return the actor/strategy state dictionary to be saved.

Calls on_save .

Raises :

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

Warning

Exceptions raised will be caught, logged, and reraised.

start ( self ) void

Start the component.

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

Warning

Do not override.

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

state

ComponentState

Return the components current state.

Returns :

ComponentState

Type :

Component.state

stop ( self ) void

Stop the component.

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

Warning

Do not override.

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

submit_order ( self , Order order , PositionId position_id=None , ClientId client_id=None ) void

Submit the given order with optional position ID, execution algorithm and routing instructions.

A SubmitOrder command will be created and sent to either an ExecAlgorithm , the OrderEmulator or the RiskEngine (depending whether the order is emulated and/or has an exec_algorithm_id specified).

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

Parameters :
  • order ( Order ) – The order to submit.

  • position_id ( PositionId , optional ) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.

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

Raises :

ValueError – If order.status is not INITIALIZED .

Warning

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

submit_order_list ( self , OrderList order_list , PositionId position_id=None , ClientId client_id=None ) void

Submit the given order list with optional position ID, execution algorithm and routing instructions.

A SubmitOrderList command with be created and sent to either the OrderEmulator , or the RiskEngine (depending whether an order is emulated).

If the order list ID is duplicate, or any client order ID is duplicate, then all orders will be denied.

Parameters :
  • order_list ( OrderList ) – The order list to submit.

  • position_id ( PositionId , optional ) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.

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

Raises :

ValueError – If any order.status is not INITIALIZED .

Warning

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

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

Subscribe to streaming Bar data for the given bar type.

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

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

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

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

Subscribe to data of the given data type.

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

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

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

Subscribe to update Instrument data for the given instrument ID.

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

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

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

Subscribe to close updates for the given instrument ID.

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

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

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

Subscribe to status updates for the given instrument ID.

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

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

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

Subscribe to update Instrument data for the given venue.

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

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

subscribe_order_book_deltas ( self , InstrumentId instrument_id , BookType book_type=BookType.L2_MBP , int depth=0 , dict kwargs=None , ClientId client_id=None , bool managed=True , bool pyo3_conversion=False ) void

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

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

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

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

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

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

  • managed ( bool , default True ) – If an order book should be managed by the data engine based on the subscribed feed.

  • pyo3_conversion ( bool , default False ) – If received deltas should be converted to nautilus_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.

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

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

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

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

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

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

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

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

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

  • managed ( bool , default True ) – If an order book should be managed by the data engine based on the subscribed feed.

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

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

Warning

Consider subscribing to order book deltas if you need intervals less than 100 milliseconds.

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

Subscribe to streaming QuoteTick data for the given instrument ID.

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

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

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

Subscribe to streaming TradeTick data for the given instrument ID.

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

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

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

Subscribe to status updates for the given venue.

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

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

to_importable_config ( self ) ImportableStrategyConfig

Returns an importable configuration for this strategy.

Returns :

ImportableStrategyConfig

trader_id

The trader ID associated with the component.

Returns :

TraderId

type

The components type.

Returns :

type

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

Unsubscribe from streaming Bar data for the given bar type.

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

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

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

Unsubscribe from data of the given data type.

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

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

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

Unsubscribe from update Instrument data for the given instrument ID.

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

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

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

Unsubscribe to status updates of the given venue.

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

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

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

Unsubscribe from update Instrument data for the given venue.

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

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

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

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

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

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

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

Unsubscribe from OrderBook snapshots, for the given instrument ID.

The interval must match the previously subscribed interval.

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

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

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

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

Unsubscribe from streaming QuoteTick data for the given instrument ID.

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

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

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

Unsubscribe from streaming TradeTick data for the given instrument ID.

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

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

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

Unsubscribe to status updates for the given venue.

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

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

update_synthetic ( self , SyntheticInstrument synthetic ) void

Update the synthetic instrument in the cache.

Parameters :

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

Raises :

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

Notes

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

The Trader class is intended to manage a fleet of trading strategies within a running instance of the platform.

A running instance could be either a test/backtest or live implementation - the Trader will operate in the same way.

class Trader ( trader_id : TraderId , instance_id : UUID4 , msgbus : MessageBus , cache : Cache , portfolio : Portfolio , data_engine : DataEngine , risk_engine : RiskEngine , exec_engine : ExecutionEngine , clock :