Data

The data subpackage groups components relating to the data stack and data tooling for the platform.

The layered architecture of the data stack somewhat mirrors the execution stack with a central engine, cache layer beneath, database layer beneath, with alternative implementations able to be written on top.

Due to the high-performance, the core components are reusable between both backtest and live implementations - helping to ensure consistent logic for trading operations.

Aggregation

class BarAggregator

Bases: object

BarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], bool await_partial=False) -> None Provides a means of aggregating specified bars and sending to a registered handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
  • await_partial (bool , default False) – If the aggregator should await an initial partial bar prior to aggregating.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

• Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

is_running

‘bool’

• Type: is_running

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar) → void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None

stop_batch_update(self) → None

class BarBuilder

Bases: object

BarBuilder(Instrument instrument, BarType bar_type) -> None Provides a generic bar builder for aggregation.

• Parameters:
  • instrument (Instrument) – The instrument for the builder.
  • bar_type (BarType) – The bar type for the builder.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

build(self, uint64_t ts_event, uint64_t ts_init) → Bar

Return the aggregated bar with the given closing timestamp, and reset.

• Parameters:
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) for the bar event.
  • ts_init (uint64_t) – UNIX timestamp (nanoseconds) for the bar initialization.
• Return type: Bar

build_now(self) → Bar

Return the aggregated bar and reset.

• Return type: Bar

count

The builders current update count.

• Returns: int

initialized

If the builder is initialized.

• Returns: bool

price_precision

The price precision for the builders instrument.

• Returns: uint8

reset(self) → void

Reset the bar builder.

All stateful fields are reset to their initial value.

set_partial(self, Bar partial_bar) → void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

size_precision

The size precision for the builders instrument.

• Returns: uint8

ts_last

UNIX timestamp (nanoseconds) when the builder last updated.

• Returns: uint64_t

update(self, Price price, Quantity size, uint64_t ts_event) → void

Update the bar builder.

• Parameters:
  • price (Price) – The update price.
  • size (Decimal) – The update size.
  • ts_event (uint64_t) – UNIX timestamp (nanoseconds) of the update.

update_bar(self, Bar bar, Quantity volume, uint64_t ts_init) → void

Update the bar builder.

• Parameters: bar (Bar) – The update Bar.

class TickBarAggregator

Bases: BarAggregator

TickBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None Provides a means of building tick bars from ticks.

When received tick count reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

• Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

is_running

‘bool’

• Type: is_running

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar) → void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None

stop_batch_update(self) → None

class TimeBarAggregator

Bases: BarAggregator

TimeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None], Clock clock, str interval_type=’left-open’, bool timestamp_on_close=True, bool skip_first_non_full_bar=False, bool build_with_no_updates=True, time_bars_origin: pd.Timedelta | pd.DateOffset = None, int composite_bar_build_delay=15) -> None Provides a means of building time bars from ticks with an internal timer.

When the time reaches the next time interval of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
  • clock (Clock) – The clock for the aggregator.
  • interval_type (str , default 'left-open') – Determines the type of interval used for time aggregation.
    • ‘left-open’: start time is excluded and end time is included (default).
    • ‘right-open’: start time is included and end time is excluded.
  • timestamp_on_close (bool , default True) – If True, then timestamp will be the bar close time. If False, then timestamp will be the bar open time.
  • skip_first_non_full_bar (bool , default False) – If will skip emitting a bar if the aggregation starts mid-interval.
  • build_with_no_updates (bool , default True) – If build and emit bars with no new market updates.
  • time_bars_origin (pd.Timedelta or pd.DateOffset , optional) – The origin time offset.
  • composite_bar_build_delay (int , default 15) – The time delay (microseconds) before building and emitting a composite bar type.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

get_start_time(self, datetime now: datetime) → datetime

Return the start time for the aggregators next bar.

• Returns: The timestamp (UTC).
• Return type: datetime

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

• Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

interval

The aggregators time interval.

• Returns: timedelta

interval_ns

The aggregators time interval.

• Returns: uint64_t

is_running

‘bool’

• Type: is_running

next_close_ns

The aggregators next closing time.

• Returns: uint64_t

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar) → void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None

stop(self) → void

Stop the bar aggregator.

stop_batch_update(self) → None

class ValueBarAggregator

Bases: BarAggregator

ValueBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None Provides a means of building value bars from ticks.

When received value reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

get_cumulative_value(self)

Return the current cumulative value of the aggregator.

• Return type: Decimal

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

• Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

is_running

‘bool’

• Type: is_running

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar) → void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None

stop_batch_update(self) → None

class VolumeBarAggregator

Bases: BarAggregator

VolumeBarAggregator(Instrument instrument, BarType bar_type, handler: Callable[[Bar], None]) -> None Provides a means of building volume bars from ticks.

When received volume reaches the step threshold of the bar specification, then a bar is created and sent to the handler.

• Parameters:
  • instrument (Instrument) – The instrument for the aggregator.
  • bar_type (BarType) – The bar type for the aggregator.
  • handler (Callable [ [Bar ] , None ]) – The bar handler for the aggregator.
• Raises: ValueError – If instrument.id != bar_type.instrument_id.

bar_type

The aggregators bar type.

• Returns: BarType

handle_bar(self, Bar bar) → void

Update the aggregator with the given bar.

• Parameters: bar (Bar) – The bar for the update.

handle_quote_tick(self, QuoteTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (QuoteTick) – The tick for the update.

handle_trade_tick(self, TradeTick tick) → void

Update the aggregator with the given tick.

• Parameters: tick (TradeTick) – The tick for the update.

is_running

‘bool’

• Type: is_running

set_await_partial(self, bool value)

set_partial(self, Bar partial_bar) → void

Set the initial values for a partially completed bar.

This method can only be called once per instance.

• Parameters: partial_bar (Bar) – The partial bar with values to set.

start_batch_update(self, handler: Callable[[Bar], None], uint64_t time_ns) → None

stop_batch_update(self) → None

Client

class DataClient

Bases: Component

DataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: PoseiConfig | None = None) The base class for all data clients.

• Parameters:
  • client_id (ClientId) – The data client ID.
  • msgbus (MessageBus) – The message bus for the client.
  • clock (Clock) – The clock for the client.
  • venue (Venue , optional) – The client venue. If multi-venue then can be None.
  • config (PoseiConfig , optional) – The configuration for the instance.

WARNING

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

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.

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.

• Return type: str

id

The components ID.

• Returns: ComponentId

is_connected

If the client is connected.

• Returns: bool

is_degraded

bool Return whether the current component state is DEGRADED.

• Return type: bool
• Type: Component.is_degraded

is_disposed

bool Return whether the current component state is DISPOSED.

• Return type: bool
• Type: Component.is_disposed

is_faulted

bool Return whether the current component state is FAULTED.

• Return type: bool
• Type: Component.is_faulted

is_initialized

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

• Return type: bool
• Type: Component.is_initialized

is_running

bool Return whether the current component state is RUNNING.

• Return type: bool
• Type: Component.is_running

is_stopped

bool Return whether the current component state is STOPPED.

• Return type: bool
• Type: Component.is_stopped

request(self, RequestData request) → void

Request data for the given data type.

• Parameters: request (RequestData) – The message for the data request.

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.

shutdown_system(self, str reason=None) → void

Initiate a system-wide shutdown by generating and publishing a ShutdownSystem command.

The command is handled by the system’s PoseiKernel, which will invoke either stop (synchronously) or stop_async (asynchronously) depending on the execution context and the presence of an active event loop.

• Parameters: reason (str , optional) – The reason for issuing the shutdown command.

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.

• Return type: 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(self, SubscribeData command) → void

Subscribe to data for the given data type.

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

subscribed_custom_data(self) → list

Return the custom data types subscribed to.

• Return type: list[DataType]

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

unsubscribe(self, UnsubscribeData command) → void

Unsubscribe from data for the given data type.

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

venue

The clients venue ID (if applicable).

• Returns: Venue or None

class MarketDataClient

Bases: DataClient

MarketDataClient(ClientId client_id, MessageBus msgbus, Cache cache, Clock clock, Venue venue: Venue | None = None, config: PoseiConfig | None = None) The base class for all market data clients.

• Parameters:
  • client_id (ClientId) – The data client ID.
  • msgbus (MessageBus) – The message bus for the client.
  • cache (Cache) – The cache for the client.
  • clock (Clock) – The clock for the client.
  • venue (Venue , optional) – The client venue. If multi-venue then can be None.
  • config (PoseiConfig , optional) – The configuration for the instance.

WARNING

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

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.

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.

• Return type: str

id

The components ID.

• Returns: ComponentId

is_connected

If the client is connected.

• Returns: bool

is_degraded

bool Return whether the current component state is DEGRADED.

• Return type: bool
• Type: Component.is_degraded

is_disposed

bool Return whether the current component state is DISPOSED.

• Return type: bool
• Type: Component.is_disposed

is_faulted

bool Return whether the current component state is FAULTED.

• Return type: bool
• Type: Component.is_faulted

is_initialized

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

• Return type: bool
• Type: Component.is_initialized

is_running

bool Return whether the current component state is RUNNING.

• Return type: bool
• Type: Component.is_running

is_stopped