Trading

The trading subpackage groups all trading domain specific components and tooling.

This is a top-level package where the majority of users will interface with the framework. Custom trading strategies can be implemented by inheriting from the Strategy base class.

class Controller

Bases: Actor

The base class for all trader controllers.

• Parameters:
  • trader (Trader) – The reference to the trader instance to control.
  • config (ActorConfig , optional) – The configuration for the controller
• Raises: TypeError – If config is not of type ActorConfig.

create_actor(actor: Actor, start: bool = True) → None

Add the given actor to the controlled trader.

• Parameters:
  • actor (Actor) – The actor to add.
  • start (bool , default True) – If the actor should be started immediately.
• Raises:
  • ValueError – If actor.state is RUNNING or DISPOSED.
  • RuntimeError – If actor is already registered with the trader.

create_actor_from_config(actor_config: ImportableActorConfig, start: bool = True) → None

Create the actor corresponding to actor_config.

• Parameters:
  • actor_config (ImportableActorConfig) – The actor config of the actor to add.
  • start (bool , default True) – If the actor should be started immediately.
• Raises:
  • ValueError – If actor.state is RUNNING or DISPOSED.
  • RuntimeError – If actor is already registered with the trader.

create_strategy(strategy: Strategy, start: bool = True) → None

Add the given strategy to the controlled trader.

• Parameters:
  • strategy (Strategy) – The strategy to add.
  • start (bool , default True) – If the strategy should be started immediately.
• Raises:
  • ValueError – If strategy.state is RUNNING or DISPOSED.
  • RuntimeError – If strategy is already registered with the trader.

create_strategy_from_config(strategy_config: ImportableStrategyConfig, start: bool = True) → None

Create the strategy corresponding to strategy_config.

• Parameters:
  • strategy_config (ImportableStrategyConfig) – The strategy config of the strategy to add.
  • start (bool , default True) – If the strategy should be started immediately.
• Raises:
  • ValueError – If strategy.state is RUNNING or DISPOSED.
  • RuntimeError – If strategy is already registered with the trader.

execute(command: Command) → None

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).

remove_actor(actor: Actor) → None

Remove the given actor.

Will stop the actor first if state is RUNNING.

• Parameters: actor (Actor) – The actor to remove.
• Raises: ValueError – If actor is not already registered with the trader.

remove_actor_from_id(actor_id: ComponentId) → None

Remove the actor corresponding to actor_id.

Will stop the actor first if state is RUNNING.

• Parameters: actor_id (ComponentId) – The ID of the actor to remove.
• Raises: ValueError – If actor is not already registered with the trader.

remove_strategy(strategy: Strategy) → None

Remove the given strategy.

Will stop the strategy first if state is RUNNING.

• Parameters: strategy (Strategy) – The strategy to remove.
• Raises: ValueError – If strategy is not already registered with the trader.

remove_strategy_from_id(strategy_id: StrategyId) → None

Remove the strategy corresponding to strategy_id.

Will stop the strategy first if state is RUNNING.

• Parameters: strategy_id (StrategyId) – The ID of the strategy to remove.
• Raises: ValueError – If strategy is not already registered with the trader.

start_actor(actor: Actor) → None

Start the given actor.

Will log a warning if the actor is already RUNNING.

• Raises: ValueError – If actor is not already registered with the trader.

start_actor_from_id(actor_id: ComponentId) → None

Start the actor corresponding to actor_id.

Will log a warning if the actor is already RUNNING.

• Parameters: actor_id (ComponentId) – The ID of the actor to start.
• Raises: ValueError – If actor is not already registered with the trader.

start_strategy(strategy: Strategy) → None

Start the given strategy.

Will log a warning if the strategy is already RUNNING.

• Raises: ValueError – If strategy is not already registered with the trader.

start_strategy_from_id(strategy_id: StrategyId) → None

Start the strategy corresponding to strategy_id.

Will log a warning if the strategy is already RUNNING.

• Parameters: strategy_id (StrategyId) – The ID of the strategy to start.
• Raises: ValueError – If strategy is not already registered with the trader.

stop_actor(actor: Actor) → None

Stop the given actor.

Will log a warning if the actor is not RUNNING.

• Parameters: actor (Actor) – The actor to stop.
• Raises: ValueError – If actor is not already registered with the trader.

stop_actor_from_id(actor_id: ComponentId) → None

Stop the actor corresponding to actor_id.

Will log a warning if the actor is not RUNNING.

• Parameters: actor_id (ComponentId) – The ID of the actor to stop.
• Raises: ValueError – If actor is not already registered with the trader.

stop_strategy(strategy: Strategy) → None

Stop the given strategy.

Will log a warning if the strategy is not RUNNING.

• Parameters: strategy (Strategy) – The strategy to stop.
• Raises: ValueError – If strategy is not already registered with the trader.

stop_strategy_from_id(strategy_id: StrategyId) → None

Stop the strategy corresponding to strategy_id.

Will log a warning if the strategy is not RUNNING.

• Parameters: strategy_id (StrategyId) – The ID of the strategy to stop.
• Raises: ValueError – If strategy is not already registered with the trader.

class Strategy

Bases: Actor

Strategy(config: StrategyConfig | None = None) The base class for all trading strategies.

This class allows traders to implement their own customized trading strategies. A trading strategy can configure its own order management system type, which determines how positions are handled by the ExecutionEngine.

Strategy OMS (Order Management System) types: : - UNSPECIFIED: No specific type has been configured, will therefore default to the native OMS type for each venue.

• HEDGING: A position ID will be assigned for each new position which is opened per instrument.
• NETTING: There will only be a single position for the strategy per instrument. The position ID naming convention is {instrument_id}-{strategy_id}.

• Parameters: config (StrategyConfig , optional) – The trading strategy configuration.
• Raises: TypeError – If config is not of type StrategyConfig.

WARNING

• This class should not be used directly, but through a concrete subclass.
• Do not call components such as clock and logger in the __init__ prior to registration.

cancel_all_orders(self, InstrumentId instrument_id, OrderSide order_side=OrderSide.NO_ORDER_SIDE, ClientId client_id=None, dict params=None) → void

Cancel all orders for this strategy for the given instrument ID.

A CancelAllOrders command will be created and then sent to both the OrderEmulator and the ExecutionEngine.

• Parameters:
  • instrument_id (InstrumentId) – The instrument for the orders to cancel.
  • order_side (OrderSide, default NO_ORDER_SIDE (both sides)) – The side of the orders to cancel.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

cancel_gtd_expiry(self, Order order) → void

Cancel the managed GTD expiry for the given order.

If there is no current GTD expiry timer, then an error will be logged.

• Parameters: order (Order) – The order to cancel the GTD expiry for.

cancel_order(self, Order order, ClientId client_id=None, dict params=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).

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

cancel_orders(self, list orders, ClientId client_id=None, dict params=None) → void

Batch cancel the given list of orders with optional routing instructions.

For each order in the list, a CancelOrder command will be created and added to a BatchCancelOrders command. This command is then sent to the ExecutionEngine.

Logs an error if the orders list contains local/emulated orders.

• Parameters:
  • orders (list [Order ]) – The orders to cancel.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
• Raises:
  • ValueError – If orders is empty.
  • TypeError – If orders contains a type other than Order.

change_id(self, StrategyId strategy_id) → void

Change the strategies identifier to the given strategy_id.

• Parameters: strategy_id (StrategyId) – The new strategy ID to change to.

change_order_id_tag(self, str order_id_tag) → void

Change the order identifier tag to the given order_id_tag.

• Parameters: order_id_tag (str) – The new order ID tag to change to.

close_all_positions(self, InstrumentId instrument_id, PositionSide position_side=PositionSide.NO_POSITION_SIDE, ClientId client_id=None, list tags=None, TimeInForce time_in_force=TimeInForce.GTC, bool reduce_only=True, dict params=None) → void

Close all positions for the given instrument ID for this strategy.

• Parameters:
  • instrument_id (InstrumentId) – The instrument for the positions to close.
  • position_side (PositionSide, default NO_POSITION_SIDE (both sides)) – The side of the positions to close.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • tags (list *[*str ] , optional) – The tags for the market orders closing the positions.
  • time_in_force (TimeInForce, default GTC) – The time in force for the market orders closing the positions.
  • reduce_only (bool , default True) – If the market orders to close positions should carry the ‘reduce-only’ execution instruction. Optional, as not all venues support this feature.
  • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

close_position(self, Position position, ClientId client_id=None, list tags=None, TimeInForce time_in_force=TimeInForce.GTC, bool reduce_only=True, dict params=None) → void

Close the given position.

A closing MarketOrder for the position will be created, and then sent to the ExecutionEngine via a SubmitOrder command.

• Parameters:
  • position (Position) – The position to close.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • tags (list *[*str ] , optional) – The tags for the market order closing the position.
  • time_in_force (TimeInForce, default GTC) – The time in force for the market order closing the position.
  • reduce_only (bool , default True) – If the market order to close the position should carry the ‘reduce-only’ execution instruction. Optional, as not all venues support this feature.
  • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

external_order_claims

The external order claims instrument IDs for the strategy.

• Returns: list[InstrumentId]

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).

manage_contingent_orders

If contingent orders should be managed automatically by the strategy.

• Returns: bool

manage_gtd_expiry

If all order GTD time in force expirations should be managed automatically by the strategy.

• Returns: bool

modify_order(self, Order order, Quantity quantity=None, Price price=None, Price trigger_price=None, ClientId client_id=None, dict params=None) → void

Modify the given order with optional parameters and routing instructions.

An ModifyOrder command will be created and then sent to either the OrderEmulator or the RiskEngine (depending on whether the order is emulated).

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

oms_type

The order management system for the strategy.

• Returns: OmsType

on_order_accepted(self, OrderAccepted event) → void

Actions to be performed when running and receives an order accepted event.

• Parameters: event (OrderAccepted) – The event received.

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.

• Parameters: event (OrderCancelRejected) – The event received.

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.

• Parameters: event (OrderCanceled) – The event received.

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 emulated event.

• Parameters: event (OrderEmulated) – The event received.

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.

• Parameters: event (OrderExpired) – The event received.

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.

• Parameters: event (OrderInitialized) – The event received.

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.

• Parameters: event (OrderModifyRejected) – The event received.

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.

• Parameters: event (OrderPendingCancel) – The event received.

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.

• Parameters: event (OrderPendingUpdate) – The event received.

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.

• Parameters: event (OrderRejected) – The event received.

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.

• Parameters: event (OrderReleased) – The event received.

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.

• Parameters: event (OrderSubmitted) – The event received.

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.

• Parameters: event (OrderTriggered) – The event received.

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.

• Parameters: event (OrderUpdated) – The event received.

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.

• Parameters: event (PositionChanged) – The event received.

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.

• Parameters: event (PositionClosed) – The event received.

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.

• Parameters: event (PositionEvent) – The event received.

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.

• Parameters: event (PositionOpened) – The event received.

WARNING

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

on_reset(self) → void

on_resume(self) → void

on_start(self) → void

on_stop(self) → void

order_factory

The order factory for the strategy.

• Returns: OrderFactory

order_id_tag

The order ID tag for the strategy.

• Returns: str

query_order(self, Order order, ClientId client_id=None, dict params=None) → void

Query the given order with optional routing instructions.

A QueryOrder command will be created and then sent to the ExecutionEngine.

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

• Parameters:
  • order (Order) – The order to query.
  • client_id (ClientId , optional) – The specific client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.

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

Register the strategy with a trader.

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

WARNING

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

submit_order(self, Order order, PositionId position_id=None, ClientId client_id=None, dict params=None) → void

Submit the given order with optional position ID, execution algorithm and routing instructions.

A SubmitOrder command will be created and sent to either an ExecAlgorithm, the OrderEmulator or the RiskEngine (depending whether the order is emulated and/or has an exec_algorithm_id specified).

If the client order ID is duplicate, then the order will be denied.

• Parameters:
  • order (Order) – The order to submit.
  • position_id (PositionId , optional) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.
  • client_id (ClientId , optional) – The specific execution client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
• Raises: ValueError – If order.status is not INITIALIZED.

WARNING

If a position_id is passed and a position does not yet exist, then any position opened by the order will have this position ID assigned. This may not be what you intended.

submit_order_list(self, OrderList order_list, PositionId position_id=None, ClientId client_id=None, dict params=None) → void

Submit the given order list with optional position ID, execution algorithm and routing instructions.

A SubmitOrderList command will be created and sent to either the OrderEmulator, or the RiskEngine (depending whether an order is emulated).

If the order list ID is duplicate, or any client order ID is duplicate, then all orders will be denied.

• Parameters:
  • order_list (OrderList) – The order list to submit.
  • position_id (PositionId , optional) – The position ID to submit the order against. If a position does not yet exist, then any position opened will have this identifier assigned.
  • client_id (ClientId , optional) – The specific execution client ID for the command. If None then will be inferred from the venue in the instrument ID.
  • params (dict *[*str , Any ] , optional) – Additional parameters potentially used by a specific client.
• Raises: ValueError – If any order.status is not INITIALIZED.

WARNING

If a position_id is passed and a position does not yet exist, then any position opened by an order will have this position ID assigned. This may not be what you intended.

to_importable_config(self) → ImportableStrategyConfig

Returns an importable configuration for this strategy.

• Return type: ImportableStrategyConfig

use_uuid_client_order_ids

If UUID4’s should be used for client order ID values.

• Returns: bool

class Trader

Bases: Component

Provides a trader for managing a fleet of actors, execution algorithms and trading strategies.

• Parameters:
  • trader_id (TraderId) – The ID for the trader.
  • instance_id (UUID4) – The instance ID for the trader.
  • msgbus (MessageBus) – The message bus for the trader.
  • cache (Cache) – The cache for the trader.
  • portfolio (Portfolio) – The portfolio for the trader.
  • data_engine (DataEngine) – The data engine for the trader.
  • risk_engine (RiskEngine) – The risk engine for the trader.
  • exec_engine (ExecutionEngine) – The execution engine for the trader.
  • clock (Clock) – The clock for the trader.
  • environment (Environment { BACKTEST, SANDBOX, LIVE }) – The environment context.
  • has_controller (bool , default False) – If the trader has a controller.
  • loop (asyncio.AbstractEventLoop , optional) – The event loop for the trader.
• Raises:
  • ValueError – If portfolio is not equal to the exec_engine portfolio.
  • ValueError