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 EconomicNewsEventFilter ( list currencies , list impacts , news_data: pd.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.

currencies ¶

Return the currencies the data is filtered on.

Returns :: list[str]

impacts ¶

Return the news impacts the data is filtered on.

Returns :: list[str]

next_event ( self , datetime time_now ) → NewsEvent ¶

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

Parameters :

time_now ( datetime ) –

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 ( self , datetime time_now ) → NewsEvent ¶

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 ) –

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.

unfiltered_data_end ¶

Return the end of the raw data.

Returns :: datetime

unfiltered_data_start ¶

Return the start of the raw data.

Returns :: datetime

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 ( self , session: ForexSession , datetime time_now ) → 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_end ( self , session: ForexSession , datetime time_now ) → 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.

next_start ( self , session: ForexSession , datetime time_now ) → 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_end ( self , session: ForexSession , datetime time_now ) → 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.

prev_start ( self , session: ForexSession , datetime time_now ) → 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.

class NewsEvent ( impact: NewsImpact , unicode name , Currency currency , uint64_t ts_event , uint64_t ts_init ) ¶

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

currency ¶

The currency affected by the news event.

Returns :: Currency

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the Data class.

Returns :: str

References

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

impact ¶

The expected news impact.

Returns :: Enum

name ¶

The descriptive name of the news event.

Returns :: str

ts_event ¶

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

Returns :: uint64_t

ts_init ¶

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

Returns :: uint64_t

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

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 : Optional [ StrategyConfig ] = 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.

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.

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_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 the ExecutionEngine .

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

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.

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.

degrade ( self ) → void ¶

Degrade the component.

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

Warning

Do not override.

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

deregister_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. The component will remain in a DISPOSING state.

Warning

Do not override.

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

fault ( self ) → void ¶

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

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

Warning

Do not override.

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

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the components class.

Returns :: str

References

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

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.

If state is RUNNING then passes to on_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_update ( self , InstrumentStatusUpdate update ) → void ¶

Handle the given instrument status update.

If state is RUNNING then passes to on_instrument_status_update .

Parameters :: update ( InstrumentStatusUpdate ) – The 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 snapshot.

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_delta ( self , OrderBookData delta ) → void ¶

Handle the given order book data.

Passes to on_order_book_delta if state is RUNNING .

Parameters :: delta ( OrderBookDelta , OrderBookDeltas , OrderBookSnapshot ) – The order book delta 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_ticker ( self , Ticker ticker ) → void ¶

Handle the given ticker.

If state is RUNNING then passes to on_ticker .

Parameters :: ticker ( Ticker ) – The ticker 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_update ( self , VenueStatusUpdate update ) → void ¶

Handle the given venue status update.

If state is RUNNING then passes to on_venue_status_update .

Parameters :: update ( VenueStatusUpdate ) – The update received.

Warning

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

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 ¶

Return whether the current component state is DEGRADED .

Returns :: bool

is_disposed ¶

Return whether the current component state is DISPOSED .

Returns :: bool

is_faulted ¶

Return whether the current component state is FAULTED .

Returns :: bool

is_initialized ¶

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

Returns :: bool

is_running ¶

Return whether the current component state is RUNNING .

Returns :: bool

is_stopped ¶

Return whether the current component state is STOPPED .

Returns :: bool

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 :: LoggerAdapter

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 is created and then sent to the ExecutionEngine . Either one or both values 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 generic 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 update received.

Warning

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

on_instrument_status_update ( self , InstrumentStatusUpdate update ) → void ¶

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

Parameters :: update ( InstrumentStatusUpdate ) – The 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 snapshot.

Parameters :: order_book ( OrderBook ) – The order book received.

Warning

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

on_order_book_delta ( self , OrderBookData delta ) → void ¶

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

Parameters :: delta ( OrderBookDelta , OrderBookDeltas , OrderBookSnapshot ) – The order book delta 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_ticker ( self , Ticker ticker ) → void ¶

Actions to be performed when running and receives a ticker.

Parameters :: ticker ( Ticker ) – The ticker received.

Warning

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

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_update ( self , VenueStatusUpdate update ) → void ¶

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

Parameters :: update ( VenueStatusUpdate ) – The 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

portfolio ¶

The read-only portfolio for the strategy.

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.

register ( self , TraderId trader_id , PortfolioFacade portfolio , MessageBus msgbus , CacheFacade cache , Clock clock , Logger logger ) → 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.
logger ( Logger ) – The logger for the strategy.

Warning

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

register_base ( self , MessageBus msgbus , CacheFacade cache , Clock clock , Logger logger ) → void ¶

Register with a trader.

Parameters :

msgbus ( MessageBus ) – The message bus for the actor.
cache ( CacheFacade ) – The read-only cache for the actor.
clock ( Clock ) – The clock for the actor.
logger ( Logger ) – The logger for the actor.

Warning

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

register_indicator_for_bars ( self , BarType bar_type , Indicator indicator ) → void ¶

Register the given indicator with the 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 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 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 ) → void ¶

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 (inclusive). If None then will default to the current datetime (UTC).
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 start is not less than end .

request_data ( self , ClientId client_id , DataType data_type ) → void ¶

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

Parameters :

client_id ( ClientId ) – The data client ID.
data_type ( DataType ) – The data type for the request.

request_instrument ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Request Instrument data for the given instrument ID.

Parameters :

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

request_instruments ( self , Venue venue , ClientId client_id=None ) → void ¶

Request all Instrument data for the given venue.

Parameters :

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

request_quote_ticks ( self , InstrumentId instrument_id , datetime start=None , datetime end=None , ClientId client_id=None ) → void ¶

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 (inclusive). If None then will default to the current datetime (UTC).
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 start is not less than end .

request_trade_ticks ( self , InstrumentId instrument_id , datetime start=None , datetime end=None , ClientId client_id=None ) → void ¶

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 (inclusive). If None then will default to the current datetime (UTC).
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 start is not less than end .

reset ( self ) → void ¶

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) → void ¶

Resume the component.

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

Warning

Do not override.

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

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. The component will remain in a STARTING state.

Warning

Do not override.

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

state ¶

Return the components current state.

Returns :: ComponentState

stop ( self ) → void ¶

Stop the component.

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

Warning

Do not override.

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

submit_order ( self , Order order , PositionId position_id=None , bool manage_gtd_expiry=False , ExecAlgorithmSpecification exec_algorithm_spec=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 the RiskEngine .

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.
manage_gtd_expiry ( bool , default False ) – If any GTD time in force order expiry should be managed by the strategy.
exec_algorithm_spec ( ExecAlgorithmSpecification , optional ) – The execution algorithm specification for the order.
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 , bool manage_gtd_expiry=False , list exec_algorithm_specs=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 the RiskEngine .

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.
manage_gtd_expiry ( bool , default False ) – If any GTD time in force order expiry should be managed by the strategy.
exec_algorithm_specs ( list [ ExecAlgorithmSpecification ] , optional ) – The execution algorithm specifications for the orders.
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 ) → 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.

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_updates ( 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 ) → void ¶

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

Parameters :

instrument_id ( InstrumentId ) – The order book instrument ID to subscribe to.
book_type (BookType { L1_TBBO , 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.

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 ) → void ¶

Subscribe to OrderBook snapshots 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_TBBO , 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.
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.

Raises :

ValueError – If depth is negative (< 0).
ValueError – If interval_ms is not positive (> 0).

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_ticker ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Subscribe to streaming Ticker 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_updates ( 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_updates ( 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 order book 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_ticker ( self , InstrumentId instrument_id , ClientId client_id=None ) → void ¶

Unsubscribe from streaming Ticker 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_updates ( 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.

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 ( TraderId trader_id , MessageBus msgbus , Cache cache , Portfolio portfolio , DataEngine data_engine , RiskEngine risk_engine , ExecutionEngine exec_engine , Clock clock , Logger logger , loop: Optional[AbstractEventLoop] = None , dict config=None ) ¶

Bases: Component

Provides a trader for managing a fleet of trading strategies.

Parameters :

trader_id ( TraderId ) – The ID for the trader.
msgbus ( MessageBus ) – The message bus for the trader.
cache ( Cache ) – The cache for the trader.
portfolio ( Portfolio ) – The portfolio for the trader.
data_engine ( DataEngine ) – The data engine for the trader.
risk_engine ( RiskEngine ) – The risk engine for the trader.
exec_engine ( ExecutionEngine ) – The execution engine for the trader.
clock ( Clock ) – The clock for the trader.
logger ( Logger ) – The logger for the trader.
loop ( AbstractEventLoop , optional ) – The event loop for the trader.
config ( dict [ str , Any ] ) – The configuration for the trader.

Raises :

ValueError – If portfolio is not equal to the exec_engine portfolio.
ValueError – If strategies is None .
ValueError – If strategies is empty.
TypeError – If strategies contains a type other than Strategy .

actor_ids ( self ) → list ¶

Return the actor IDs loaded in the trader.

Returns :: list[ComponentId]

actor_states ( self ) → dict ¶

Return the traders actor states.

Returns :: dict[ComponentId, str]

actors ( self ) → list ¶

Return the actors loaded in the trader.

Returns :: list[Actor]

add_actor ( self , Actor actor ) → void ¶

Add the given custom component to the trader.

Parameters :

actor ( Actor ) – The actor to add and register.

Raises :

KeyError – If component.id already exists in the trader.
ValueError – If component.state is RUNNING or DISPOSED .

add_actors ( self, list actors: [Actor] ) → void ¶

Add the given actors to the trader.

Parameters :: actors ( list [ TradingStrategies ] ) – The actors to add and register.
Raises :: ValueError – If actors is None or empty.

add_strategies ( self, list strategies: [Strategy] ) → void ¶

Add the given trading strategies to the trader.

Parameters :: strategies ( list [ TradingStrategies ] ) – The trading strategies to add and register.
Raises :: ValueError – If strategies is None or empty.

add_strategy ( self , Strategy strategy ) → void ¶

Add the given trading strategy to the trader.

Parameters :

strategy ( Strategy ) – The trading strategy to add and register.

Raises :

KeyError – If strategy.id already exists in the trader.
ValueError – If strategy.state is RUNNING or DISPOSED .

check_residuals ( self ) → void ¶: Check for residual open state such as open orders or open positions.

clear_actors ( self ) → void ¶

Dispose and clear all actors held by the trader.

Raises :: ValueError – If state is RUNNING .

clear_strategies ( self ) → void ¶

Dispose and clear all strategies held by the trader.

Raises :: ValueError – If state is RUNNING .

degrade ( self ) → void ¶

Degrade the component.

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

Warning

Do not override.

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

dispose ( self ) → void ¶

Dispose of the component.

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

Warning

Do not override.

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

fault ( self ) → void ¶

Fault the component.

This method is idempotent and irreversible. No other methods should be called after faulting.

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

Warning

Do not override.

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

classmethod fully_qualified_name ( type cls ) → str ¶

Return the fully qualified name for the components class.

Returns :: str

References

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

generate_account_report ( self , Venue venue ) ¶

Generate an account report.

Returns :: pd.DataFrame

generate_order_fills_report ( self ) ¶

Generate an order fills report.

Returns :: pd.DataFrame

generate_orders_report ( self ) ¶

Generate an orders report.

Returns :: pd.DataFrame

generate_positions_report ( self ) ¶

Generate a positions report.

Returns :: pd.DataFrame

id ¶

The components ID.

Returns :: ComponentId

is_degraded ¶

Return whether the current component state is DEGRADED .

Returns :: bool

is_disposed ¶

Return whether the current component state is DISPOSED .

Returns :: bool

is_faulted ¶

Return whether the current component state is FAULTED .

Returns :: bool

is_initialized ¶

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

Returns :: bool

is_running ¶

Return whether the current component state is RUNNING .

Returns :: bool

is_stopped ¶

Return whether the current component state is STOPPED .

Returns :: bool

load ( self ) → void ¶: Load all actor and strategy states from the cache.

reset ( self ) → void ¶

Reset the component.

All stateful fields are reset to their initial value.

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

Warning

Do not override.

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

resume ( self ) → void ¶

Resume the component.

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

Warning

Do not override.

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

save ( self ) → void ¶: Save all actor and strategy states to the cache.

start ( self ) → void ¶

Start the component.

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

Warning

Do not override.

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

state ¶

Return the components current state.

Returns :: ComponentState

stop ( self ) → void ¶

Stop the component.

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

Warning

Do not override.

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

strategies ( self ) → list ¶

Return the strategies loaded in the trader.

Returns :: list[Strategy]

strategy_ids ( self ) → list ¶

Return the strategy IDs loaded in the trader.

Returns :: list[StrategyId]

strategy_states ( self ) → dict ¶

Return the traders strategy states.

Returns :: dict[StrategyId, str]

subscribe ( self, unicode topic, handler: Callable[[Any], None] ) → void ¶

Subscribe to the given message topic with the given callback handler.

Parameters :

topic ( str ) – The topic for the subscription. May include wildcard glob patterns.
handler ( Callable [ [ Any ] , None ] ) – The handler for the subscription.

trader_id ¶

The trader ID associated with the component.

Returns :: TraderId

type ¶

The components type.

Returns :: type

unsubscribe ( self, unicode topic, handler: Callable[[Any], None] ) → void ¶

Unsubscribe the given handler from the given message topic.

Parameters :

topic ( str , optional ) – The topic to unsubscribe from. May include wildcard glob patterns.
handler ( Callable [ [ Any ] , None ] ) – The handler for the subscription.