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Execution

The execution subpackage groups components relating to the execution stack for the platform.

The layered architecture of the execution stack somewhat mirrors the data 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.

Components​

class ExecAlgorithm​

Bases: Actor

ExecAlgorithm(config: ExecAlgorithmConfig | None = None) The base class for all execution algorithms.

This class allows traders to implement their own customized execution algorithms.

  • Parameters: config (ExecAlgorithmConfig , optional) – The execution algorithm configuration.
  • Raises: TypeError – If config is not of type ExecAlgorithmConfig.

WARNING​

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

active_task_ids(self) → list​

Return the active task identifiers.

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.

cache​

The read-only cache for the actor.

  • Returns: CacheFacade

cancel_all_tasks(self) → void​

Cancel all queued and active tasks.

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).

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.

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: PoseiConfig

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.

execute(self, TradingCommand command) → void​

Handle the given trading command by processing it with the execution algorithm.

  • Parameters: command (SubmitOrder) – The command to handle.
  • Raises: ValueError – If command.exec_algorithm_id is not equal to self.id.

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

greeks​

The read-only greeks calculator for the actor.

  • Returns: GreeksCalculator

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).

  • Raises: RuntimeError – If bar data has incorrectly sorted timestamps (not monotonically increasing).

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) → 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_index_price(self, IndexPriceUpdate index_price) → void​

Handle the given index price update.

If state is RUNNING then passes to on_index_price.

  • Parameters: index_price (IndexPriceUpdate) – The index price update 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.

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.

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_mark_price(self, MarkPriceUpdate mark_price) → void​

Handle the given mark price update.

If state is RUNNING then passes to on_mark_price.

  • Parameters: mark_price (MarkPriceUpdate) – The mark price update 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 posei_pyo3.OrderBookDeltas if the pyo3_conversion flag was set for the subscription.

  • Parameters: deltas (OrderBookDeltas or posei_pyo3.OrderBookDeltas) – The order book deltas received.

WARNING​

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

handle_order_book_depth(self, OrderBookDepth10 depth) → void​

Handle the given order book depth

Passes to on_order_book_depth if state is RUNNING.

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_signal(self, Data signal) → void​

Handle the given signal.

If state is RUNNING then passes to on_signal.

  • Parameters: signal (Data) – The signal 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).

has_active_tasks(self) → bool​

Return a value indicating whether there are any active tasks.

  • Return type: bool

has_any_tasks(self) → bool​

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

  • Return type: bool

has_pending_requests(self) → bool​

Return whether the actor is pending processing for any requests.

  • Returns: True if any requests are pending, else False.
  • Return type: bool

has_queued_tasks(self) → bool​

Return a value indicating whether there are any queued tasks.

  • Return type: bool

id​

The components ID.

  • Returns: ComponentId

indicators_initialized(self) → bool​

Return a value indicating whether all indicators are initialized.

  • Returns: True if all initialized, else False
  • Return type: 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_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: True if request is pending, else False.
  • Return type: bool

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

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 , bytes ]) – The strategy state to load.

WARNING​

Exceptions raised will be caught, logged, and reraised.

log​

The actors logger.

  • Returns: Logger

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 the RiskEngine.

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.

modify_order_in_place(self, Order order, Quantity quantity=None, Price price=None, Price trigger_price=None) → void​

Modify the given INITIALIZED order in place (immediately) with optional parameters.

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

  • 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).
  • Raises:
    • ValueError – If order.status is not INITIALIZED or RELEASED.
    • 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.

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) → 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) → 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_index_price(self, IndexPriceUpdate index_price) → void​

Actions to be performed when running and receives an index price update.

  • Parameters: index_price (IndexPriceUpdate) – The index price update 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.

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.

  • Parameters: state (dict *[*str , bytes ]) – The strategy state to load.

WARNING​

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

on_mark_price(self, MarkPriceUpdate mark_price) → void​

Actions to be performed when running and receives a mark price update.

  • Parameters: mark_price (MarkPriceUpdate) – The mark price update received.

WARNING​

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

on_order(self, Order order) → void​

Actions to be performed when running and receives an order.

  • Parameters: order (Order) – The order to be handled.

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.

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 posei_pyo3.OrderBookDeltas) – The order book deltas received.

WARNING​

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

on_order_book_depth(self, depth) → void​

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

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.

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.

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.

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.

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.

WARNING​

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

on_order_list(self, OrderList order_list) → void​

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

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

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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: The strategy state to save.
  • Return type: dict[str, bytes]

WARNING​

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

on_signal(self, signal) → void​

Actions to be performed when running and receives signal data.

  • Parameters: signal (Data) – The signal received.

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).

pending_requests(self) → set​

Return the request IDs which are currently pending processing.

  • Return type: 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, str name, value, uint64_t ts_event=0) → void​

Publish the given value as a signal to the message bus.

  • Parameters:
    • name (str) – The name of the signal being published. The signal name will be converted to title case, with each word capitalized (e.g., ‘example’ becomes ‘SignalExample’).
    • value (object) – The signal data to publish.
    • ts_event (uint64_t , optional) – 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.

queued_task_ids(self) → list​

Return the queued task identifiers.

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

Register the execution algorithm with a trader.

  • Parameters:
    • trader_id (TraderId) – The trader ID for the execution algorithm.
    • portfolio (PortfolioFacade) – The read-only portfolio for the execution algorithm.
    • msgbus (MessageBus) – The message bus for the execution algorithm.
    • cache (CacheFacade) – The read-only cache for the execution algorithm.
    • clock (Clock) – The clock for the execution algorithm.

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:
    • portfolio (PortfolioFacade) – The read-only portfolio for the actor.
    • msgbus (MessageBus) – The message bus for the actor.
    • cache (CacheFacade) – The read-only cache for the actor.
    • clock (Clock) – The clock for the actor.

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.AbstractEventLoop) – 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.

request_aggregated_bars(self, list bar_types, datetime start=None, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, bool include_external_data=False, bool update_subscriptions=False, update_catalog_mode: UpdateCatalogMode | None = None, dict params=None) → UUID4​

Request historical aggregated Bar data for multiple bar types. The first bar is used to determine which market data type will be queried. This can either be quotes, trades or bars. If bars are queried, the first bar type needs to have a composite bar that is external (i.e. not internal/aggregated). This external bar type will be queried.

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

Once the response is received, the bar data is forwarded from the message bus to the on_historical_data handler. Any tick data used for aggregation is also forwarded to the on_historical_data handler.

If the request fails, then an error is logged.

  • Parameters:
    • bar_types (list [BarType ]) – The list of bar types for the request. Composite bars can also be used and need to figure in the list after a BarType on which it depends.
    • start (datetime , optional) – The start datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int , optional) – The limit on the amount of data received (quote ticks, trade ticks or bars).
    • 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.
    • include_external_data (bool , default False) – If True, includes the queried external data in the response.
    • update_subscriptions (bool , default False) – If True, updates the aggregators of any existing or future subscription with the queried external data.
    • update_catalog_mode (UpdateCatalogMode , optional) – If not None, then updates the catalog with new data received from a client. Recommended catalog write modes are:
      • UpdateCatalogMode.MODIFY (appends or prepends new data to the catalog by concatenating it to the existing unique parquet file).
      • UpdateCatalogMode.NEWFILE (appends new data to the catalog by creating a new parquet file). It is assumed that the data in a catalog for an instrument id is contiguous in time. Be mindful not to create data “holes” when appending new data and using non empty start and end parameters at the same time.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • ValueError – If bar_types is empty.
    • TypeError – If callback is not None and not of type Callable.
    • TypeError – If bar_types is empty or contains elements not of type BarType.

request_bars(self, BarType bar_type, datetime start=None, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, update_catalog_mode: UpdateCatalogMode | None = None, dict params=None) → UUID4​

Request historical Bar data.

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

Once the response is received, the bar data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

  • Parameters:
    • bar_type (BarType) – The bar type for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int , optional) – The limit on the amount of bars received.
    • 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.
    • update_catalog_mode (UpdateCatalogMode , optional) – If not None, then updates the catalog with new data received from a client. Recommended catalog write modes are:
      • UpdateCatalogMode.MODIFY (appends or prepends new data to the catalog by concatenating it to the existing unique parquet file).
      • UpdateCatalogMode.NEWFILE (appends new data to the catalog by creating a new parquet file). It is assumed that the data in a catalog for an instrument id is contiguous in time. Be mindful not to create data “holes” when appending new data and using non empty start and end parameters at the same time.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • 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, datetime start=None, datetime end=None, int limit=0, callback: Callable[[UUID4], None] | None = None, update_catalog_mode: UpdateCatalogMode | None = None, dict params=None) → UUID4​

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

Once the response is received, the data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

  • Parameters:
    • data_type (DataType) – The data type for the request.
    • client_id (ClientId) – The data client ID.
    • start (datetime , optional) – The start datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int , optional) – The limit on the amount of data points received.
    • callback (Callable [ [UUID4 ] , None ] , optional) – The registered callback, to be called with the request ID when the response has completed processing.
    • update_catalog_mode (UpdateCatalogMode , optional) – If not None, then updates the catalog with new data received from a client. Recommended catalog write modes are:
      • UpdateCatalogMode.MODIFY (appends or prepends new data to the catalog by concatenating it to the existing unique parquet file).
      • UpdateCatalogMode.NEWFILE (appends new data to the catalog by creating a new parquet file). It is assumed that the data in a catalog for an instrument id is contiguous in time. Be mindful not to create data “holes” when appending new data and using non empty start and end parameters at the same time.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • 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, update_catalog_mode: UpdateCatalogMode | None = None, dict params=None) → UUID4​

Request Instrument data for the given instrument ID.

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

Once the response is received, the instrument data is forwarded from the message bus to the on_instrument handler.

If the request fails, then an error is logged.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • 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.
    • update_catalog_mode (UpdateCatalogMode , optional) – If not None, then updates the catalog with new data received from a client. Recommended catalog write modes are:
      • UpdateCatalogMode.MODIFY (appends or prepends new data to the catalog by concatenating it to the existing unique parquet file).
      • UpdateCatalogMode.NEWFILE (appends new data to the catalog by creating a new parquet file).
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • 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, update_catalog_mode: UpdateCatalogMode | None = None, dict params=None) → UUID4​

Request all Instrument data for the given venue.

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

Once the response is received, the instrument data is forwarded from the message bus to the on_instrument handler.

If the request fails, then an error is logged.

  • Parameters:
    • venue (Venue) – The venue for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • 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.
    • update_catalog_mode (UpdateCatalogMode , optional) – If not None, then updates the catalog with new data received from a client. Recommended catalog write modes are:
      • UpdateCatalogMode.MODIFY (appends or prepends new data to the catalog by concatenating it to the existing unique parquet file).
      • UpdateCatalogMode.NEWFILE (appends new data to the catalog by creating a new parquet file).
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • ValueError – If start and end are not None and start is >= end.
    • TypeError – If callback is not None and not of type Callable.

request_order_book_snapshot(self, InstrumentId instrument_id, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, dict params=None) → UUID4​

Request an order book snapshot.

Once the response is received, the order book data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the order book snapshot request.
    • limit (int , optional) – The limit on the depth of the order book snapshot.
    • client_id (ClientId , optional) – The specific client ID for the command. If None, it 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If the instrument_id is None.
    • TypeError – If callback is not None and not of type Callable.

request_quote_ticks(self, InstrumentId instrument_id, datetime start=None, datetime end=None, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, update_catalog_mode: UpdateCatalogMode | None = None, dict params=None) → UUID4​

Request historical QuoteTick data.

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

Once the response is received, the quote tick data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int , optional) – The limit on the amount of quote ticks received.
    • 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.
    • update_catalog_mode (UpdateCatalogMode , optional) – If not None, then updates the catalog with new data received from a client. Recommended catalog write modes are:
      • UpdateCatalogMode.MODIFY (appends or prepends new data to the catalog by concatenating it to the existing unique parquet file).
      • UpdateCatalogMode.NEWFILE (appends new data to the catalog by creating a new parquet file). It is assumed that the data in a catalog for an instrument_id is contiguous in time. Be mindful not to create data “holes” when appending new data and using non empty start and end parameters at the same time.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • 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, int limit=0, ClientId client_id=None, callback: Callable[[UUID4], None] | None = None, update_catalog_mode: UpdateCatalogMode | None = None, dict params=None) → UUID4​

Request historical TradeTick data.

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

Once the response is received, the trade tick data is forwarded from the message bus to the on_historical_data handler.

If the request fails, then an error is logged.

  • Parameters:
    • instrument_id (InstrumentId) – The tick instrument ID for the request.
    • start (datetime , optional) – The start datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • end (datetime , optional) – The end datetime (UTC) of request time range. The inclusiveness depends on individual data client implementation.
    • limit (int , optional) – The limit on the amount of trade ticks received.
    • 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.
    • update_catalog_mode (UpdateCatalogMode , optional) – If not None, then updates the catalog with new data received from a client. Recommended catalog write modes are:
      • UpdateCatalogMode.MODIFY (appends or prepends new data to the catalog by concatenating it to the existing unique parquet file).
      • UpdateCatalogMode.NEWFILE (appends new data to the catalog by creating a new parquet file). It is assumed that the data in a catalog for an instrument id is contiguous in time. Be mindful not to create data “holes” when appending new data and using non empty start and end parameters at the same time.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • Returns: The request_id for the request.
  • Return type: UUID4
  • Raises:
    • ValueError – If start is not None and > current timestamp (now).
    • ValueError – If end is not None and > current timestamp (now).
    • 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: The unique task identifier for the execution. This also corresponds to any future objects memory address.
  • Return type: TaskId
  • Raises: TypeError – If func is not of type Callable.

save(self) → dict​

Return the actor/strategy state dictionary to be saved.

Calls on_save.

  • Returns: The strategy state to save.
  • Return type: dict[str, bytes]

WARNING​

Exceptions raised will be caught, logged, and reraised.

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.

spawn_limit(self, Order primary, Quantity quantity, Price price, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool post_only=False, bool reduce_only=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, list tags=None, bool reduce_primary=True) → LimitOrder​

Spawn a new LIMIT order from the given primary order.

  • Parameters:
    • primary (Order) – The primary order from which this order will spawn.
    • quantity (Quantity) – The spawned orders quantity (> 0). Must be less than primary.quantity.
    • price (Price) – The spawned orders price.
    • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force.
    • expire_time (datetime , optional) – The spawned order expiration (for GTD orders).
    • post_only (bool , default False) – If the spawned order will only provide liquidity (make a market).
    • reduce_only (bool , default False) – If the spawned order carries the ‘reduce-only’ execution instruction.
    • display_qty (Quantity , optional) – The quantity of the spawned order to display on the public book (iceberg).
    • emulation_trigger (TriggerType, default NO_TRIGGER) – The type of market price trigger to use for local order emulation.
      • NO_TRIGGER (default): Disables local emulation; orders are sent directly to the venue.
      • DEFAULT (the same as BID_ASK): Enables local order emulation by triggering orders based on bid/ask prices. Additional trigger types are available. See the “Emulated Orders” section in the documentation for more details.
    • tags (list *[*str ] , optional) – The custom user tags for the order.
    • reduce_primary (bool , default True) – If the primary order quantity should be reduced by the given quantity.
  • Return type: LimitOrder
  • Raises:
    • ValueError – If primary.exec_algorithm_id is not equal to self.id.
    • ValueError – If quantity is not positive (> 0).
    • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
    • ValueError – If display_qty is negative (< 0) or greater than quantity.

spawn_market(self, Order primary, Quantity quantity, TimeInForce time_in_force=TimeInForce.GTC, bool reduce_only=False, list tags=None, bool reduce_primary=True) → MarketOrder​

Spawn a new MARKET order from the given primary order.

  • Parameters:
    • primary (Order) – The primary order from which this order will spawn.
    • quantity (Quantity) – The spawned orders quantity (> 0).
    • time_in_force (TimeInForce {GTC, IOC, FOK, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force. Often not applicable for market orders.
    • reduce_only (bool , default False) – If the spawned order carries the ‘reduce-only’ execution instruction.
    • tags (list *[*str ] , optional) – The custom user tags for the order.
    • reduce_primary (bool , default True) – If the primary order quantity should be reduced by the given quantity.
  • Return type: MarketOrder
  • Raises:
    • ValueError – If primary.exec_algorithm_id is not equal to self.id.
    • ValueError – If quantity is not positive (> 0).
    • ValueError – If time_in_force is GTD.

spawn_market_to_limit(self, Order primary, Quantity quantity, TimeInForce time_in_force=TimeInForce.GTC, datetime expire_time=None, bool reduce_only=False, Quantity display_qty=None, TriggerType emulation_trigger=TriggerType.NO_TRIGGER, list tags=None, bool reduce_primary=True) → MarketToLimitOrder​

Spawn a new MARKET_TO_LIMIT order from the given primary order.

  • Parameters:
    • primary (Order) – The primary order from which this order will spawn.
    • quantity (Quantity) – The spawned orders quantity (> 0). Must be less than primary.quantity.
    • time_in_force (TimeInForce {GTC, IOC, FOK, GTD, DAY, AT_THE_OPEN, AT_THE_CLOSE}, default GTC) – The spawned orders time in force.
    • expire_time (datetime , optional) – The spawned order expiration (for GTD orders).
    • reduce_only (bool , default False) – If the spawned order carries the ‘reduce-only’ execution instruction.
    • display_qty (Quantity , optional) – The quantity of the spawned order to display on the public book (iceberg).
    • emulation_trigger (TriggerType, default NO_TRIGGER) – The type of market price trigger to use for local order emulation.
      • NO_TRIGGER (default): Disables local emulation; orders are sent directly to the venue.
      • DEFAULT (the same as BID_ASK): Enables local order emulation by triggering orders based on bid/ask prices. Additional trigger types are available. See the “Emulated Orders” section in the documentation for more details.
    • tags (list *[*str ] , optional) – The custom user tags for the order.
    • reduce_primary (bool , default True) – If the primary order quantity should be reduced by the given quantity.
  • Return type: MarketToLimitOrder
  • Raises:
    • ValueError – If primary.exec_algorithm_id is not equal to self.id.
    • ValueError – If quantity is not positive (> 0).
    • ValueError – If time_in_force is GTD and expire_time <= UNIX epoch.
    • ValueError – If display_qty is negative (< 0) or greater than quantity.

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.

submit_order(self, Order order) → void​

Submit the given order (may be the primary or spawned order).

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.
    • parent_order_id (ClientOrderId , optional) – The parent client order identifier. If provided then will be considered a child order of the parent.
  • Raises:
    • ValueError – If order.status is not INITIALIZED or RELEASED.
    • ValueError – If order.emulation_trigger is not NO_TRIGGER.

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.

Emulated orders cannot be sent from execution algorithms (intentionally constraining complexity).

subscribe_bars(self, BarType bar_type, ClientId client_id=None, bool await_partial=False, dict params=None) → void​

Subscribe to streaming Bar data for the given bar type.

Once subscribed, any matching bar data published on the message bus is forwarded to the on_bar handler.

  • 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 actively aggregating new bars.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_data(self, DataType data_type, ClientId client_id=None, dict params=None) → void​

Subscribe to data of the given data type.

Once subscribed, any matching data published on the message bus is forwarded to the on_data handler.

  • 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_index_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Subscribe to streaming IndexPriceUpdate data for the given instrument ID.

Once subscribed, any matching index price updates published on the message bus are forwarded to the on_index_price handler.

  • Parameters:
    • instrument_id (InstrumentId) – The 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Subscribe to update Instrument data for the given instrument ID.

Once subscribed, any matching instrument data published on the message bus is forwarded to the on_instrument handler.

  • 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Subscribe to close updates for the given instrument ID.

Once subscribed, any matching instrument close data published on the message bus is forwarded to the on_instrument_close handler.

  • 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Subscribe to status updates for the given instrument ID.

Once subscribed, any matching instrument status data published on the message bus is forwarded to the on_instrument_status handler.

  • 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_instruments(self, Venue venue, ClientId client_id=None, dict params=None) → void​

Subscribe to update Instrument data for the given venue.

Once subscribed, any matching instrument data published on the message bus is forwarded the on_instrument handler.

  • 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_mark_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Subscribe to streaming MarkPriceUpdate data for the given instrument ID.

Once subscribed, any matching mark price updates published on the message bus are forwarded to the on_mark_price handler.

  • Parameters:
    • instrument_id (InstrumentId) – The 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

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

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

Once subscribed, any matching order book updates published on the message bus are forwarded to the on_order_book handler.

The DataEngine will only maintain one order book for each instrument. Because of this - the level, depth and params 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 , default 1000) – The order book snapshot interval (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.
    • managed (bool , default True) – If an order book should be managed by the data engine based on the subscribed feed.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
  • 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_order_book_deltas(self, InstrumentId instrument_id, BookType book_type=BookType.L2_MBP, int depth=0, ClientId client_id=None, bool managed=True, bool pyo3_conversion=False, dict params=None) → void​

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

Once subscribed, any matching order book data published on the message bus is forwarded to the on_order_book_deltas handler.

  • 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.
    • 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 posei_pyo3.OrderBookDeltas prior to being passed to the on_order_book_deltas handler.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

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

Subscribe to the order book depth stream for the given instrument ID.

Once subscribed, any matching order book data published on the message bus is forwarded to the on_order_book_depth handler.

  • 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.
    • 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 posei_pyo3.OrderBookDepth prior to being passed to the on_order_book_depth handler.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Subscribe to streaming QuoteTick data for the given instrument ID.

Once subscribed, any matching quote tick data published on the message bus is forwarded to the on_quote_tick handler.

  • 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

subscribe_signal(self, str name='') → void​

Subscribe to a specific signal by name, or to all signals if no name is provided.

Once subscribed, any matching signal data published on the message bus is forwarded to the on_signal handler.

  • Parameters: name (str , optional) – The name of the signal to subscribe to. If not provided or an empty string is passed, the subscription will include all signals. The signal name is case-insensitive and will be capitalized (e.g., ‘example’ becomes ‘SignalExample*’).

subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Subscribe to streaming TradeTick data for the given instrument ID.

Once subscribed, any matching trade tick data published on the message bus is forwarded to the on_trade_tick handler.

  • 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

to_importable_config(self) → ImportableExecAlgorithmConfig​

Returns an importable configuration for this execution algorithm.

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, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_data(self, DataType data_type, ClientId client_id=None, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_index_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Unsubscribe from streaming IndexPriceUpdate data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=None, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=None, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_instruments(self, Venue venue, ClientId client_id=None, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_mark_prices(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Unsubscribe from streaming MarkPriceUpdate data for the given instrument ID.

  • Parameters:
    • instrument_id (InstrumentId) – The 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_order_book_at_interval(self, InstrumentId instrument_id, int interval_ms=1000, ClientId client_id=None, dict params=None) → void​

Unsubscribe from an OrderBook at a specified interval 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 , default 1000) – The order book snapshot interval (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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_order_book_deltas(self, InstrumentId instrument_id, ClientId client_id=None, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_order_book_depth(self, InstrumentId instrument_id, ClientId client_id=None, dict params=None) → void​

Unsubscribe the order book depth 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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=None, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

unsubscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=None, dict params=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.
    • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

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.

class ExecutionClient​

Bases: Component

ExecutionClient(ClientId client_id, Venue venue: Venue | None, OmsType oms_type, AccountType account_type, Currency base_currency: Currency | None, MessageBus msgbus, Cache cache, Clock clock, config: PoseiConfig | None = None) The base class for all execution clients.

  • Parameters:
    • client_id (ClientId) – The client ID.
    • venue (Venue or None) – The client venue. If multi-venue then can be None.
    • oms_type (OmsType) – The venues order management system type.
    • account_type (AccountType) – The account type for the client.
    • base_currency (Currency or None) – The account base currency. Use None for multi-currency accounts.
    • msgbus (MessageBus) – The message bus for the client.
    • cache (Cache) – The cache for the client.
    • clock (Clock) – The clock for the client.
    • config (PoseiConfig , optional) – The configuration for the instance.
  • Raises:
    • ValueError – If client_id is not equal to account_id.get_issuer().
    • ValueError – If oms_type is UNSPECIFIED (must be specified).

WARNING​

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

account_id​

The clients account ID.

  • Returns: AccountId or None

account_type​

The clients account type.

  • Returns: AccountType

base_currency​

The clients account base currency (None for multi-currency accounts).

  • Returns: Currency or None

batch_cancel_orders(self, BatchCancelOrders command) → void​

Batch cancel orders for the instrument ID contained in the given command.

cancel_all_orders(self, CancelAllOrders command) → void​

Cancel all orders for the instrument ID contained in the given command.

cancel_order(self, CancelOrder command) → void​

Cancel the order with the client order ID contained in the given command.

  • Parameters: command (CancelOrder) – The command to execute.

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

generate_account_state(self, list balances, list margins, bool reported, uint64_t ts_event, dict info=None) → void​

Generate an AccountState event and publish on the message bus.

  • Parameters:
    • balances (list [AccountBalance ]) – The account balances.
    • margins (list [MarginBalance ]) – The margin balances.
    • reported (bool) – If the balances are reported directly from the exchange.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the account state event occurred.
    • info (dict *[*str , object ]) – The additional implementation specific account information.

generate_order_accepted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderAccepted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order accepted event occurred.

generate_order_cancel_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, str reason, uint64_t ts_event) → void​

Generate an OrderCancelRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order cancel rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order cancel rejected event occurred.

generate_order_canceled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderCanceled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when order canceled event occurred.

generate_order_expired(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderExpired event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order expired event occurred.

generate_order_filled(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, PositionId venue_position_id: PositionId | None, TradeId trade_id, OrderSide order_side, OrderType order_type, Quantity last_qty, Price last_px, Currency quote_currency, Money commission, LiquiditySide liquidity_side, uint64_t ts_event, dict info=None) → void​

Generate an OrderFilled event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • trade_id (TradeId) – The trade ID.
    • venue_position_id (PositionId or None) – The venue position ID associated with the order. If the trading venue has assigned a position ID / ticket then pass that here, otherwise pass None and the execution engine OMS will handle position ID resolution.
    • order_side (OrderSide {BUY, SELL}) – The execution order side.
    • order_type (OrderType) – The execution order type.
    • last_qty (Quantity) – The fill quantity for this execution.
    • last_px (Price) – The fill price for this execution (not average price).
    • quote_currency (Currency) – The currency of the price.
    • commission (Money) – The fill commission.
    • liquidity_side (LiquiditySide {NO_LIQUIDITY_SIDE, MAKER, TAKER}) – The execution liquidity side.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order filled event occurred.
    • info (dict *[*str , object ] , optional) – The additional fill information.

generate_order_modify_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, str reason, uint64_t ts_event) → void​

Generate an OrderModifyRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • reason (str) – The order update rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update rejection event occurred.

generate_order_rejected(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, str reason, uint64_t ts_event) → void​

Generate an OrderRejected event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • reason (datetime) – The order rejected reason.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order rejected event occurred.

generate_order_submitted(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, uint64_t ts_event) → void​

Generate an OrderSubmitted event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order submitted event occurred.

generate_order_triggered(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, uint64_t ts_event) → void​

Generate an OrderTriggered event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order triggered event occurred.

generate_order_updated(self, StrategyId strategy_id, InstrumentId instrument_id, ClientOrderId client_order_id, VenueOrderId venue_order_id, Quantity quantity, Price price, Price trigger_price, uint64_t ts_event, bool venue_order_id_modified=False) → void​

Generate an OrderUpdated event and send it to the ExecutionEngine.

  • Parameters:
    • strategy_id (StrategyId) – The strategy ID associated with the event.
    • instrument_id (InstrumentId) – The instrument ID.
    • client_order_id (ClientOrderId) – The client order ID.
    • venue_order_id (VenueOrderId) – The venue order ID (assigned by the venue).
    • quantity (Quantity) – The orders current quantity.
    • price (Price) – The orders current price.
    • trigger_price (Price or None) – The orders current trigger price.
    • ts_event (uint64_t) – UNIX timestamp (nanoseconds) when the order update event occurred.
    • venue_order_id_modified (bool) – If the ID was modified for this event.

get_account(self) → Account​

Return the account for the client (if registered).

  • Return type: Account or None

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

modify_order(self, ModifyOrder command) → void​

Modify the order with parameters contained in the command.

  • Parameters: command (ModifyOrder) – The command to execute.

oms_type​

The venues order management system type.

  • Returns: OmsType

query_order(self, QueryOrder command) → void​

Initiate a reconciliation for the queried order which will generate an OrderStatusReport.

  • Parameters: command (QueryOrder) – The command to execute.

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.

submit_order(self, SubmitOrder command) → void​

Submit the order contained in the given command for execution.

  • Parameters: command (SubmitOrder) – The command to execute.

submit_order_list(self, SubmitOrderList command) → void​

Submit the order list contained in the given command for execution.

trader_id​

The trader ID associated with the component.

  • Returns: TraderId

type​

The components type.

  • Returns: type

venue​

The clients venue ID (if not a routing client).

  • Returns: Venue or None

class OrderEmulator​

Bases: Actor

OrderEmulator(PortfolioFacade portfolio, MessageBus msgbus, Cache cache, Clock clock, config: OrderEmulatorConfig | None = None) Provides order emulation for specified trigger types.

  • Parameters:
    • portfolio (PortfolioFacade) – The read-only portfolio for the order emulator.
    • msgbus (MessageBus) – The message bus for the order emulator.
    • cache (Cache) – The cache for the order emulator.
    • clock (Clock) – The clock for the order emulator.
    • config (OrderEmulatorConfig , optional) – The configuration for the order emulator.

active_task_ids(self) → list​

Return the active task identifiers.

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.

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

command_count​

The total count of commands received by the emulator.

  • Returns: int

config​

The actors configuration.

  • Returns: PoseiConfig

create_matching_core(self, InstrumentId instrument_id, Price price_increment) → MatchingCore​

Create an internal matching core for the given instrument.

  • Parameters:
    • instrument_id (InstrumentId) – The instrument ID for the matching core.
    • price_increment (Price) – The minimum price increment (tick size) for the matching core.
  • Return type: MatchingCore
  • Raises: KeyError – If a matching core for the given instrument_id already exists.

debug​

If debug mode is active (will provide extra debug logging).

  • Returns: bool

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.

event_count​

The total count of events received by the emulator.

  • Returns: int

execute(self, TradingCommand command) → void​

Execute the given command.

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

get_matching_core(self, InstrumentId instrument_id) → MatchingCore | None​

Return the emulators matching core for the given instrument ID.

  • Return type: MatchingCore or None

get_submit_order_commands(self) → dict[ClientOrderId, SubmitOrder]​

Return the emulators cached submit order commands.

greeks​

The read-only greeks calculator for the actor.

  • Returns: GreeksCalculator

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).

  • Raises: RuntimeError – If bar data has incorrectly sorted timestamps (not monotonically increasing).

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) → 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_index_price(self, IndexPriceUpdate index_price) → void​

Handle the given index price update.

If state is RUNNING then passes to on_index_price.

  • Parameters: index_price (IndexPriceUpdate) – The index price update 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.

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.

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_mark_price(self, MarkPriceUpdate mark_price) → void​

Handle the given mark price update.

If state is RUNNING then passes to on_mark_price.

  • Parameters: mark_price (MarkPriceUpdate) – The mark price update 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 posei_pyo3.OrderBookDeltas if the pyo3_conversion flag was set for the subscription.

  • Parameters: deltas (OrderBookDeltas or posei_pyo3.OrderBookDeltas) – The order book deltas received.

WARNING​

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

handle_order_book_depth(self, OrderBookDepth10 depth) → void​

Handle the given order book depth

Passes to on_order_book_depth if state is RUNNING.

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_signal(self, Data signal) → void​

Handle the given signal.

If state is RUNNING then passes to on_signal.

  • Parameters: signal (Data) – The signal 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).

has_active_tasks(self) → bool​

Return a value indicating whether there are any active tasks.

  • Return type: bool

has_any_tasks(self)