1.104.0

Author: cjdsellers

examples/backtest/fx_market_maker_gbpusd_bars.py

@@ -14,6 +14,7 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
+from datetime import datetime
 from decimal import Decimal
 import os
 import pathlib

nautilus_trader/adapters/ccxt/data.pxd

@@ -14,15 +14,15 @@
 # -------------------------------------------------------------------------------------------------
 
 from nautilus_trader.adapters.ccxt.providers cimport CCXTInstrumentProvider
-from nautilus_trader.live.data_client cimport LiveDataClient
+from nautilus_trader.live.data_client cimport LiveMarketDataClient
 from nautilus_trader.model.bar cimport Bar
 from nautilus_trader.model.bar cimport BarSpecification
 from nautilus_trader.model.bar cimport BarType
 from nautilus_trader.model.identifiers cimport Symbol
 from nautilus_trader.model.tick cimport TradeTick
 
 
-cdef class CCXTDataClient(LiveDataClient):
+cdef class CCXTDataClient(LiveMarketDataClient):
     cdef object _client
     cdef CCXTInstrumentProvider _instrument_provider
 

nautilus_trader/adapters/ccxt/data.pyx

@@ -28,7 +28,7 @@ from nautilus_trader.core.correctness cimport Condition
 from nautilus_trader.core.datetime cimport from_unix_time_ms
 from nautilus_trader.core.datetime cimport to_unix_time_ms
 from nautilus_trader.core.uuid cimport UUID
-from nautilus_trader.live.data_client cimport LiveDataClient
+from nautilus_trader.live.data_client cimport LiveMarketDataClient
 from nautilus_trader.live.data_engine cimport LiveDataEngine
 from nautilus_trader.model.bar cimport Bar
 from nautilus_trader.model.bar cimport BarSpecification
@@ -40,7 +40,6 @@ from nautilus_trader.model.c_enums.price_type cimport PriceType
 from nautilus_trader.model.c_enums.price_type cimport PriceTypeParser
 from nautilus_trader.model.identifiers cimport Symbol
 from nautilus_trader.model.identifiers cimport TradeMatchId
-from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instrument cimport Instrument
 from nautilus_trader.model.objects cimport Price
 from nautilus_trader.model.objects cimport Quantity
@@ -52,7 +51,7 @@ from nautilus_trader.model.tick cimport TradeTick
 cdef int _SECONDS_IN_HOUR = 60 * 60
 
 
-cdef class CCXTDataClient(LiveDataClient):
+cdef class CCXTDataClient(LiveMarketDataClient):
     """
     Provides a data client for the unified CCXT Pro API.
     """
@@ -85,7 +84,7 @@ cdef class CCXTDataClient(LiveDataClient):
 
         """
         super().__init__(
-            Venue(client.name.upper()),
+            client.name.upper(),
             engine,
             clock,
             logger,

nautilus_trader/adapters/oanda/data.pxd

@@ -19,7 +19,7 @@ import threading
 
 from nautilus_trader.adapters.oanda.providers cimport OandaInstrumentProvider
 from nautilus_trader.core.uuid cimport UUID
-from nautilus_trader.live.data_client cimport LiveDataClient
+from nautilus_trader.live.data_client cimport LiveMarketDataClient
 from nautilus_trader.model.bar cimport Bar
 from nautilus_trader.model.bar cimport BarType
 from nautilus_trader.model.c_enums.price_type cimport PriceType
@@ -29,7 +29,7 @@ from nautilus_trader.model.tick cimport QuoteTick
 from nautilus_trader.model.tick cimport TradeTick
 
 
-cdef class OandaDataClient(LiveDataClient):
+cdef class OandaDataClient(LiveMarketDataClient):
     cdef object _client
     cdef str _account_id
     cdef set _subscribed_instruments

nautilus_trader/adapters/oanda/data.pyx

@@ -32,7 +32,7 @@ from nautilus_trader.core.constants cimport *  # str constants only
 from nautilus_trader.core.correctness cimport Condition
 from nautilus_trader.core.datetime cimport format_iso8601
 from nautilus_trader.core.uuid cimport UUID
-from nautilus_trader.live.data_client cimport LiveDataClient
+from nautilus_trader.live.data_client cimport LiveMarketDataClient
 from nautilus_trader.live.data_engine cimport LiveDataEngine
 from nautilus_trader.model.bar cimport Bar
 from nautilus_trader.model.bar cimport BarData
@@ -42,7 +42,6 @@ from nautilus_trader.model.c_enums.bar_aggregation cimport BarAggregationParser
 from nautilus_trader.model.c_enums.price_type cimport PriceType
 from nautilus_trader.model.c_enums.price_type cimport PriceTypeParser
 from nautilus_trader.model.identifiers cimport Symbol
-from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instrument cimport Instrument
 from nautilus_trader.model.objects cimport Price
 from nautilus_trader.model.objects cimport Quantity
@@ -52,7 +51,7 @@ from nautilus_trader.model.tick cimport QuoteTick
 cdef int _SECONDS_IN_HOUR = 60 * 60
 
 
-cdef class OandaDataClient(LiveDataClient):
+cdef class OandaDataClient(LiveMarketDataClient):
     """
     Provides a data client for the `Oanda` brokerage.
     """
@@ -83,7 +82,7 @@ cdef class OandaDataClient(LiveDataClient):
 
         """
         super().__init__(
-            Venue("OANDA"),
+            "OANDA",
             engine,
             clock,
             logger,

nautilus_trader/backtest/data_client.pxd

@@ -13,9 +13,9 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
-from nautilus_trader.data.client cimport DataClient
+from nautilus_trader.data.client cimport MarketDataClient
 
 
-cdef class BacktestDataClient(DataClient):
+cdef class BacktestMarketDataClient(MarketDataClient):
     cdef dict _instruments
     cdef bint _is_connected

nautilus_trader/backtest/data_client.pyx

@@ -23,23 +23,22 @@ from nautilus_trader.common.clock cimport Clock
 from nautilus_trader.common.logging cimport Logger
 from nautilus_trader.core.correctness cimport Condition
 from nautilus_trader.core.uuid cimport UUID
-from nautilus_trader.data.client cimport DataClient
+from nautilus_trader.data.client cimport MarketDataClient
 from nautilus_trader.data.engine cimport DataEngine
 from nautilus_trader.model.bar cimport BarType
 from nautilus_trader.model.identifiers cimport Symbol
-from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instrument cimport Instrument
 
 
-cdef class BacktestDataClient(DataClient):
+cdef class BacktestMarketDataClient(MarketDataClient):
     """
     Provides an implementation of `DataClient` for backtesting.
     """
 
     def __init__(
         self,
         list instruments not None,
-        Venue venue not None,
+        str name not None,
         DataEngine engine not None,
         Clock clock not None,
         Logger logger not None,
@@ -60,15 +59,21 @@ cdef class BacktestDataClient(DataClient):
 
         """
         super().__init__(
-            venue,
+            name,
             engine,
             clock,
             logger,
         )
 
         self._instruments = {}
         for instrument in instruments:
-            Condition.equal(instrument.symbol.venue, self.venue, "instrument.symbol.venue", "self.venue")
+            # Check the instrument is for the correct client
+            Condition.equal(
+                instrument.symbol.venue.value,
+                self.name,
+                "instrument.symbol.venue.value",
+                "self.name",
+            )
             self._instruments[instrument.symbol] = instrument
 
         self.is_connected = False

nautilus_trader/backtest/engine.pyx

@@ -18,7 +18,7 @@ import pytz
 from cpython.datetime cimport datetime
 
 from nautilus_trader.analysis.performance cimport PerformanceAnalyzer
-from nautilus_trader.backtest.data_client cimport BacktestDataClient
+from nautilus_trader.backtest.data_client cimport BacktestMarketDataClient
 from nautilus_trader.backtest.data_container cimport BacktestDataContainer
 from nautilus_trader.backtest.data_producer cimport BacktestDataProducer
 from nautilus_trader.backtest.data_producer cimport CachedProducer
@@ -238,9 +238,9 @@ cdef class BacktestEngine:
                 if instrument.symbol.venue == venue:
                     instruments.append(instrument)
 
-            data_client = BacktestDataClient(
+            data_client = BacktestMarketDataClient(
                 instruments=instruments,
-                venue=venue,
+                name=venue.value,
                 engine=self._data_engine,
                 clock=self._test_clock,
                 logger=self._test_logger,

nautilus_trader/data/base.pxd

@@ -27,6 +27,20 @@ from nautilus_trader.model.tick cimport QuoteTick
 from nautilus_trader.model.tick cimport TradeTick
 
 
+cdef class Data:
+    cdef readonly DataType data_type
+    """The data type for the data.\n\n:returns: `DataType`"""
+    cdef readonly object data
+    """The data.\n\n:returns: `object`"""
+
+
+cdef class DataType:
+    cdef readonly type type
+    """The type of the data.\n\n:returns: `type`"""
+    cdef readonly dict metadata
+    """The data types metadata.\n\n:returns: `dict[str, object]`"""
+
+
 cdef class DataCacheFacade:
 
 # -- QUERIES ---------------------------------------------------------------------------------------  # noqa

nautilus_trader/data/base.pyx

@@ -25,6 +25,66 @@ from nautilus_trader.model.tick cimport QuoteTick
 from nautilus_trader.model.tick cimport TradeTick
 
 
+cdef class Data:
+    """
+    Represents wrapped data which includes data type information.
+    """
+
+    def __init__(self, DataType data_type not None, data not None):
+        """
+        Initialize a new instance of the `Data` class.
+
+        Parameters
+        ----------
+        data_type : DataType
+            The data type.
+        data : object
+            The data object to wrap.
+
+        """
+        self.data_type = data_type
+        self.data = data
+
+
+cdef class DataType:
+    """
+    Represents a data type including its metadata.
+    """
+
+    def __init__(self, type data_type not None, dict metadata=None):
+        """
+        Initialize a new instance of the `DataType` class.
+
+        Parameters
+        ----------
+        data_type : type
+            The PyObject type of the data.
+        metadata : dict
+            The data types metadata.
+
+        """
+        if metadata is None:
+            metadata = {}
+
+        self.type = data_type
+        self.metadata = metadata
+
+    def __eq__(self, DataType other) -> bool:
+        return self.type == other.type and self.metadata == other.metadata
+
+    def __ne__(self, DataType other) -> bool:
+        return self.type != other.type or self.metadata != other.metadata
+
+    def __hash__(self) -> int:
+        return hash((self.type, self.metadata))
+
+    def __str__(self) -> str:
+        return f"<{self.type.__name__}> {self.metadata}"
+
+    def __repr__(self) -> str:
+        return f"{type(self).__name__}(type={self.type.__name__}, metadata={self.metadata})"
+
+
 cdef class DataCacheFacade:
     """
     Provides a read-only facade for a `DataCache`.

nautilus_trader/data/client.pxd

@@ -19,11 +19,11 @@ from nautilus_trader.common.clock cimport Clock
 from nautilus_trader.common.logging cimport LoggerAdapter
 from nautilus_trader.common.uuid cimport UUIDFactory
 from nautilus_trader.core.uuid cimport UUID
+from nautilus_trader.data.base cimport DataType
 from nautilus_trader.data.engine cimport DataEngine
 from nautilus_trader.model.bar cimport Bar
 from nautilus_trader.model.bar cimport BarType
 from nautilus_trader.model.identifiers cimport Symbol
-from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instrument cimport Instrument
 from nautilus_trader.model.order_book cimport OrderBook
 from nautilus_trader.model.tick cimport QuoteTick
@@ -37,18 +37,35 @@ cdef class DataClient:
     cdef DataEngine _engine
     cdef dict _config
 
-    cdef readonly Venue venue
+    cdef readonly str name
     """The clients venue.\n\n:returns: `Venue`"""
     cdef readonly bint is_connected
     """If the client is connected.\n\n:returns: `bool`"""
 
-    cpdef list unavailable_methods(self)
-
     cpdef void connect(self) except *
     cpdef void disconnect(self) except *
     cpdef void reset(self) except *
     cpdef void dispose(self) except *
 
+# -- SUBSCRIPTIONS ---------------------------------------------------------------------------------
+
+    cpdef void subscribe(self, DataType data_type) except *
+    cpdef void unsubscribe(self, DataType data_type) except *
+
+# -- REQUEST HANDLERS ------------------------------------------------------------------------------
+
+    cpdef void request(self, DataType data_type, UUID correlation_id) except *
+
+# -- DATA HANDLERS ---------------------------------------------------------------------------------
+
+    cdef void _handle_data(self, DataType data_type, data) except *
+    cdef void _handle_data_response(self, DataType data_type, data, UUID correlation_id) except *
+
+
+cdef class MarketDataClient(DataClient):
+
+    cpdef list unavailable_methods(self)
+
 # -- SUBSCRIPTIONS ---------------------------------------------------------------------------------
 
     cpdef void subscribe_instrument(self, Symbol symbol) except *