Config

Backtest

parse_filters_expr(s: str | None)

Parse a pyarrow.dataset filter expression from a string.

>>> parse_filters_expr('field("Currency") == "CHF"')
<pyarrow.dataset.Expression (Currency == "CHF")>

>>> parse_filters_expr("print('hello')")

>>> parse_filters_expr("None")

class BacktestVenueConfig

Bases: PoseiConfig

Represents a venue configuration for one specific backtest engine.

• Parameters:
  • name (str) – The name of the venue.
  • oms_type (str) – The order management system type for the exchange. If HEDGING will generate new position IDs.
  • account_type (str) – The account type for the exchange.
  • starting_balances (list [Money | str ]) – The starting account balances (specify one for a single asset account).
  • base_currency (Currency | str , optional) – The account base currency for the exchange. Use None for multi-currency accounts.
  • default_leverage (float , optional) – The account default leverage (for margin accounts).
  • leverages (dict *[*str , float ] , optional) – The instrument specific leverage configuration (for margin accounts).
  • book_type (str) – The default order book type.
  • routing (bool , default False) – If multi-venue routing should be enabled for the execution client.
  • frozen_account (bool , default False) – If the account for this exchange is frozen (balances will not change).
  • reject_stop_orders (bool , default True) – If stop orders are rejected on submission if trigger price is in the market.
  • support_gtd_orders (bool , default True) – If orders with GTD time in force will be supported by the venue.
  • support_contingent_orders (bool , default True) – If contingent orders will be supported/respected by the venue. If False, then it’s expected the strategy will be managing any contingent orders.
  • use_position_ids (bool , default True) – If venue position IDs will be generated on order fills.
  • use_random_ids (bool , default False) – If all venue generated identifiers will be random UUID4’s.
  • use_reduce_only (bool , default True) – If the reduce_only execution instruction on orders will be honored.
  • bar_execution (bool , default True) – If bars should be processed by the matching engine(s) (and move the market).
  • bar_adaptive_high_low_ordering (bool , default False) – Determines whether the processing order of bar prices is adaptive based on a heuristic. This setting is only relevant when bar_execution is True. If False, bar prices are always processed in the fixed order: Open, High, Low, Close. If True, the processing order adapts with the heuristic:
    • If High is closer to Open than Low then the processing order is Open, High, Low, Close.
    • If Low is closer to Open than High then the processing order is Open, Low, High, Close.
  • trade_execution (bool , default False) – If trades should be processed by the matching engine(s) (and move the market).
  • modules (list [ImportableActorConfig ] , optional) – The simulation modules for the venue.
  • fill_model (ImportableFillModelConfig , optional) – The fill model for the venue.
  • latency_model (ImportableLatencyModelConfig , optional) – The latency model for the venue.
  • fee_model (ImportableFeeModelConfig , optional) – The fee model for the venue.

name : str

oms_type : str

account_type : str

starting_balances : list[str]

base_currency : str | None

default_leverage : float

leverages : dict[str, float] | None

book_type : str

routing : bool

frozen_account : bool

reject_stop_orders : bool

support_gtd_orders : bool

support_contingent_orders : bool

use_position_ids : bool

use_random_ids : bool

use_reduce_only : bool

bar_execution : bool

bar_adaptive_high_low_ordering : bool

trade_execution : bool

modules : list[ImportableActorConfig] | None

fill_model : ImportableFillModelConfig | None

latency_model : ImportableLatencyModelConfig | None

fee_model : ImportableFeeModelConfig | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

• Return type: dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the PoseiConfig class.

• Return type: str

property id : str

Return the hashed identifier for the configuration.

• Return type: str

json() → bytes

Return serialized JSON encoded bytes.

• Return type: bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

• Return type: dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• Return type: dict[str, Any]

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

• Parameters:
  • cls (type) – The type to decode to.
  • raw (bytes or str) – The raw bytes or JSON string to decode.
• Return type: Any

validate() → bool

Return whether the configuration can be represented as valid JSON.

• Return type: bool

class BacktestDataConfig

Bases: PoseiConfig

Represents the data configuration for one specific backtest run.

• Parameters:
  • catalog_path (str) – The path to the data catalog.
  • data_cls (str) – The data type for the configuration.
  • catalog_fs_protocol (str , optional) – The fsspec filesystem protocol for the catalog.
  • catalog_fs_storage_options (dict , optional) – The fsspec storage options.
  • instrument_id (InstrumentId | str , optional) – The instrument ID for the data configuration.
  • start_time (str or int , optional) – The start time for the data configuration. Can be an ISO 8601 format datetime string, or UNIX nanoseconds integer.
  • end_time (str or int , optional) – The end time for the data configuration. Can be an ISO 8601 format datetime string, or UNIX nanoseconds integer.
  • filter_expr (str , optional) – The additional filter expressions for the data catalog query.
  • client_id (str , optional) – The client ID for the data configuration.
  • metadata (dict , optional) – The metadata for the data catalog query.
  • bar_spec (BarSpecification | str , optional) – The bar specification for the data catalog query.
  • instrument_ids (list [InstrumentId | str ] , optional) – The instrument IDs for the data catalog query. Can be used if instrument_id is not specified. If bar_spec is specified an equivalent list of bar_types will be constructed.
  • bar_types (list [BarType | str ] , optional) – The bar types for the data catalog query. Can be used if instrument_id is not specified.

catalog_path : str

data_cls : str

catalog_fs_protocol : str | None

catalog_fs_storage_options : dict | None

instrument_id : InstrumentId | None

start_time : str | int | None

end_time : str | int | None

filter_expr : str | None

client_id : str | None

metadata : dict | None

bar_spec : str | None

instrument_ids : list[str] | None

bar_types : list[str] | None

property data_type : type

Return a type for the specified data_cls for the configuration.

• Return type: type

property query : dict[str, Any]

Return a catalog query object for the configuration.

• Return type: dict[str, Any]

property start_time_nanos : int

Return the data configuration start time in UNIX nanoseconds.

Will be zero if no start_time was specified.

• Return type: int

property end_time_nanos : int

Return the data configuration end time in UNIX nanoseconds.

Will be sys.maxsize if no end_time was specified.

• Return type: int

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

• Return type: dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the PoseiConfig class.

• Return type: str

property id : str

Return the hashed identifier for the configuration.

• Return type: str

json() → bytes

Return serialized JSON encoded bytes.

• Return type: bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

• Return type: dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• Return type: dict[str, Any]

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

• Parameters:
  • cls (type) – The type to decode to.
  • raw (bytes or str) – The raw bytes or JSON string to decode.
• Return type: Any

validate() → bool

Return whether the configuration can be represented as valid JSON.

• Return type: bool

class BacktestEngineConfig

Bases: PoseiKernelConfig

Configuration for BacktestEngine instances.

• Parameters:
  • trader_id (TraderId) – The trader ID for the node (must be a name and ID tag separated by a hyphen).
  • log_level (str , default "INFO") – The stdout log level for the node.
  • loop_debug (bool , default False) – If the asyncio event loop should be in debug mode.
  • cache (CacheConfig , optional) – The cache configuration.
  • data_engine (DataEngineConfig , optional) – The live data engine configuration.
  • risk_engine (RiskEngineConfig , optional) – The live risk engine configuration.
  • exec_engine (ExecEngineConfig , optional) – The live execution engine configuration.
  • streaming (StreamingConfig , optional) – The configuration for streaming to feather files.
  • strategies (list [ImportableStrategyConfig ]) – The strategy configurations for the kernel.
  • actors (list [ImportableActorConfig ]) – The actor configurations for the kernel.
  • exec_algorithms (list [ImportableExecAlgorithmConfig ]) – The execution algorithm configurations for the kernel.
  • controller (ImportableControllerConfig , optional) – The trader controller for the kernel.
  • load_state (bool , default True) – If trading strategy state should be loaded from the database on start.
  • save_state (bool , default True) – If trading strategy state should be saved to the database on stop.
  • bypass_logging (bool , default False) – If logging should be bypassed.
  • run_analysis (bool , default True) – If post backtest performance analysis should be run.

environment : Environment

trader_id : TraderId

data_engine : DataEngineConfig

risk_engine : RiskEngineConfig

exec_engine : ExecEngineConfig

run_analysis : bool

actors : list[ImportableActorConfig]

cache : CacheConfig | None

catalogs : list[DataCatalogConfig]

controller : ImportableControllerConfig | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

• Return type: dict[str, Any]

emulator : OrderEmulatorConfig | None

exec_algorithms : list[ImportableExecAlgorithmConfig]

classmethod fully_qualified_name() → str

Return the fully qualified name for the PoseiConfig class.

• Return type: str

property id : str

Return the hashed identifier for the configuration.

• Return type: str

instance_id : UUID4 | None

json() → bytes

Return serialized JSON encoded bytes.

• Return type: bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

• Return type: dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• Return type: dict[str, Any]

load_state : bool

logging : LoggingConfig | None

loop_debug : bool

message_bus : MessageBusConfig | None

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

• Parameters:
  • cls (type) – The type to decode to.
  • raw (bytes or str) – The raw bytes or JSON string to decode.
• Return type: Any

portfolio : PortfolioConfig | None

save_state : bool

strategies : list[ImportableStrategyConfig]

streaming : StreamingConfig | None

timeout_connection : PositiveFloat

timeout_disconnection : PositiveFloat

timeout_portfolio : PositiveFloat

timeout_post_stop : PositiveFloat

timeout_reconciliation : PositiveFloat

timeout_shutdown : PositiveFloat

validate() → bool

Return whether the configuration can be represented as valid JSON.

• Return type: bool

class BacktestRunConfig

Bases: PoseiConfig

Represents the configuration for one specific backtest run.

This includes a backtest engine with its actors and strategies, with the external inputs of venues and data.

• Parameters:
  • venues (list [BacktestVenueConfig ]) – The venue configurations for the backtest run.
  • data (list [BacktestDataConfig ]) – The data configurations for the backtest run.
  • engine (BacktestEngineConfig) – The backtest engine configuration (the core system kernel).
  • chunk_size (int , optional) – The number of data points to process in each chunk during streaming mode. If None, the backtest will run without streaming, loading all data at once.
  • raise_exception (bool , default False) – If exceptions during an engine build or run should be raised to interrupt the nodes process.
  • dispose_on_completion (bool , default True) – If the backtest engine should be disposed on completion of the run. If True, then will drop data and all state. If False, then will only drop data.
  • start (datetime or str or int , optional) – The start datetime (UTC) for the backtest run. If None engine runs from the start of the data.
  • end (datetime or str or int , optional) – The end datetime (UTC) for the backtest run. If None engine runs to the end of the data.

venues : list[BacktestVenueConfig]

data : list[BacktestDataConfig]

engine : BacktestEngineConfig | None

chunk_size : int | None

raise_exception : bool

dispose_on_completion : bool

start : str | int | None

end : str | int | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

• Return type: dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the PoseiConfig class.

• Return type: str

property id : str

Return the hashed identifier for the configuration.

• Return type: str

json() → bytes

Return serialized JSON encoded bytes.

• Return type: bytes

json_primitives() → dict[str, Any]

Return a dictionary representation of the configuration with JSON primitive types as values.

• Return type: dict[str, Any]

classmethod json_schema() → dict[str, Any]

Generate a JSON schema for this configuration class.

• Return type: dict[str, Any]

classmethod parse(raw: bytes | str) → Any

Return a decoded object of the given cls.

• Parameters:
  • cls (type) – The type to decode to.
  • raw (bytes or str) – The raw bytes or JSON string to decode.
• Return type: Any

validate() → bool

Return whether the configuration can be represented as valid JSON.

• Return type: bool

class SimulationModuleConfig

Bases: ActorConfig

Configuration for SimulationModule instances.

component_id : ComponentId | None

dict() → dict[str, Any]

Return a dictionary representation of the configuration.

• Return type: dict[str, Any]

classmethod fully_qualified_name() → str

Return the fully qualified name for the PoseiConfig class.

• Return type: str

property id : str