Live

The live subpackage groups all engine and client implementations for live trading.

Generally a common event loop is passed into each live engine to support the overarching design of a single efficient event loop, by default uvloop.

The LiveDataClient class is responsible for interfacing with a particular API which may be presented directly by a venue, or through a broker intermediary.

It could also be possible to write clients for specialized data providers.

class LiveDataClient

Bases: DataClient

The base class for all live data clients.

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

WARNING

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

async run_after_delay(delay: float, coro: Coroutine) → None

Run the given coroutine after a delay.

• Parameters:
  • delay (float) – The delay (seconds) before running the coroutine.
  • coro (Coroutine) – The coroutine to run after the initial delay.

create_task(coro: ~collections.abc.Coroutine, log_msg: str | None = None, actions: ~collections.abc.Callable | None = None, success_msg: str | None = None, success_color: ~posei_trader.core.rust.common.LogColor = <LogColor.NORMAL: 0>) → Task

Run the given coroutine with error handling and optional callback actions when done.

• Parameters:
  • coro (Coroutine) – The coroutine to run.
  • log_msg (str , optional) – The log message for the task.
  • actions (Callable , optional) – The actions callback to run when the coroutine is done.
  • success_msg (str , optional) – The log message to write on actions success.
  • success_color (LogColor, default NORMAL) – The log message color for actions success.
• Return type: asyncio.Task

connect() → None

Connect the client.

disconnect() → None

Disconnect the client.

subscribe(self, SubscribeData command) → void

Subscribe to data for the given data type.

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

unsubscribe(self, UnsubscribeData command) → void

Unsubscribe from data for the given data type.

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

request(self, RequestData request) → void

Request data for the given data type.

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

degrade(self) → void

Degrade the component.

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

WARNING

Do not override.

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

dispose(self) → void

Dispose of the component.

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

WARNING

Do not override.

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

fault(self) → void

Fault the component.

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

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

WARNING

Do not override.

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

classmethod fully_qualified_name(cls) → str

Return the fully qualified name for the components class.

• Return type: str

id

The components ID.

• Returns: ComponentId

is_connected

If the client is connected.

• Returns: bool

is_degraded

bool Return whether the current component state is DEGRADED.

• Return type: bool
• Type: Component.is_degraded

is_disposed

bool Return whether the current component state is DISPOSED.

• Return type: bool
• Type: Component.is_disposed

is_faulted

bool Return whether the current component state is FAULTED.

• Return type: bool
• Type: Component.is_faulted

is_initialized

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

• Return type: bool
• Type: Component.is_initialized

is_running

bool Return whether the current component state is RUNNING.

• Return type: bool
• Type: Component.is_running

is_stopped

bool Return whether the current component state is STOPPED.

• Return type: bool
• Type: Component.is_stopped

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.

subscribed_custom_data(self) → list

Return the custom data types subscribed to.

• Return type: list[DataType]

trader_id

The trader ID associated with the component.

• Returns: TraderId

type

The components type.

• Returns: type

venue

The clients venue ID (if applicable).

• Returns: Venue or None

class LiveMarketDataClient

Bases: MarketDataClient

The base class for all live data clients.

• Parameters:
  • loop (asyncio.AbstractEventLoop) – The event loop for the client.
  • client_id (ClientId) – The client ID.
  • venue (Venue or None) – The client venue. If multi-venue then can be None.
  • msgbus (MessageBus) – The message bus for the client.
  • cache (Cache) – The cache for the client.
  • clock (LiveClock) – The clock for the client.
  • instrument_provider (InstrumentProvider) – The instrument provider for the client.
  • config (PoseiConfig , optional) – The configuration for the instance.

WARNING

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

async run_after_delay(delay: float, coro: Coroutine) → None

Run the given coroutine after a delay.

• Parameters:
  • delay (float) – The delay (seconds) before running the coroutine.
  • coro (Coroutine) – The coroutine to run after the initial delay.

create_task(coro: ~collections.abc.Coroutine, log_msg: str | None = None, actions: ~collections.abc.Callable | None = None, success_msg: str | None = None, success_color: ~posei_trader.core.rust.common.LogColor = <LogColor.NORMAL: 0>) → Task

Run the given coroutine with error handling and optional callback actions when done.

• Parameters:
  • coro (Coroutine) – The coroutine to run.
  • log_msg (str , optional) – The log message for the task.
  • actions (Callable , optional) – The actions callback to run when the coroutine is done.
  • success_msg (str , optional) – The log message to write on actions success.
  • success_color (LogColor, default NORMAL) – The log message color for actions success.
• Return type: asyncio.Task

connect() → None

Connect the client.

disconnect() → None

Disconnect the client.

subscribe(self, SubscribeData command) → void

Subscribe to data for the given data type.

• Parameters:
  • data_type (DataType) – The data type for the subscription.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instruments(self, SubscribeInstruments command) → void

Subscribe to all Instrument data.

• Parameters: params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instrument(self, SubscribeInstrument command) → void

Subscribe to the Instrument with the given instrument ID.

• Parameters: params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_order_book_deltas(self, SubscribeOrderBook command) → void

Subscribe to OrderBookDeltas data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to subscribe to.
  • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book type.
  • depth (int , optional , default None) – The maximum depth for the subscription.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_order_book_snapshots(self, SubscribeOrderBook command) → void

Subscribe to OrderBook snapshots data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to subscribe to.
  • book_type (BookType {L1_MBP, L2_MBP, L3_MBO}) – The order book level.
  • depth (int , optional) – The maximum depth for the order book. A depth of 0 is maximum depth.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_quote_ticks(self, SubscribeQuoteTicks command) → void

Subscribe to QuoteTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_trade_ticks(self, SubscribeTradeTicks command) → void

Subscribe to TradeTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_mark_prices(self, SubscribeMarkPrices command) → void

Subscribe to MarkPriceUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_index_prices(self, SubscribeIndexPrices command) → void

Subscribe to IndexPriceUpdate data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_bars(self, SubscribeBars command) → void

Subscribe to Bar data for the given bar type.

• Parameters:
  • bar_type (BarType) – The bar type to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instrument_status(self, SubscribeInstrumentStatus command) → void

Subscribe to InstrumentStatus data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

subscribe_instrument_close(self, SubscribeInstrumentClose command) → void

Subscribe to InstrumentClose updates for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to subscribe to.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe(self, UnsubscribeData command) → void

Unsubscribe from data for the given data type.

• Parameters:
  • data_type (DataType) – The data type for the subscription.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_instruments(self, UnsubscribeInstruments command) → void

Unsubscribe from all Instrument data.

• Parameters: params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_instrument(self, UnsubscribeInstrument command) → void

Unsubscribe from Instrument data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_order_book_deltas(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBookDeltas data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_order_book_snapshots(self, UnsubscribeOrderBook command) → void

Unsubscribe from OrderBook snapshots data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The order book instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_quote_ticks(self, UnsubscribeQuoteTicks command) → void

Unsubscribe from QuoteTick data for the given instrument ID.

• Parameters:
  • instrument_id (InstrumentId) – The tick instrument to unsubscribe from.
  • params (dict *[*str , Any ] , optional) – Additional params for the subscription.

unsubscribe_trade_ticks(self, UnsubscribeTradeTicks command) → void