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Fix composite bars subscription #2337

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Merged
merged 1 commit into from
Feb 19, 2025
Merged

Fix composite bars subscription #2337

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49 changes: 27 additions & 22 deletions examples/backtest/databento_test_request_bars.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -120,21 +120,19 @@ def on_start(self):
end_historical_bars = utc_now - pd.Timedelta(minutes=self.config.historical_end_delay)
self.user_log(f"on_start: {start_historical_bars=}, {end_historical_bars=}")

# external_bar_type = BarType.from_str(f"{self.config.symbol_id}-1-MINUTE-LAST-EXTERNAL")
# self.subscribe_bars(external_bar_type)

bar_type_1 = BarType.from_str(
self.external_bar_type = BarType.from_str(f"{self.config.symbol_id}-1-MINUTE-LAST-EXTERNAL")
self.bar_type_1 = BarType.from_str(
f"{self.config.symbol_id}-2-MINUTE-LAST-INTERNAL@1-MINUTE-EXTERNAL",
)
bar_type_2 = BarType.from_str(
self.bar_type_2 = BarType.from_str(
f"{self.config.symbol_id}-4-MINUTE-LAST-INTERNAL@2-MINUTE-INTERNAL",
)
bar_type_3 = BarType.from_str(
self.bar_type_3 = BarType.from_str(
f"{self.config.symbol_id}-5-MINUTE-LAST-INTERNAL@1-MINUTE-EXTERNAL",
)

self.request_aggregated_bars(
[bar_type_1, bar_type_2, bar_type_3],
[self.bar_type_1, self.bar_type_2, self.bar_type_3],
start=start_historical_bars,
end=end_historical_bars,
update_subscriptions=True,
Expand All @@ -143,15 +141,16 @@ def on_start(self):

self.user_log("request_aggregated_bars done")

self.subscribe_bars(bar_type_1)
self.subscribe_bars(bar_type_2)
self.subscribe_bars(bar_type_3)
self.subscribe_bars(self.external_bar_type)
self.subscribe_bars(self.bar_type_1)
self.subscribe_bars(self.bar_type_2)
self.subscribe_bars(self.bar_type_3)

self.user_log("subscribe_bars done")

#### for testing indicators with bars
# self.register_indicator_for_bars(external_bar_type, self.external_sma)
# self.register_indicator_for_bars(composite_bar_type, self.composite_sma)
# self.register_indicator_for_bars(self.external_bar_type, self.external_sma)
# self.register_indicator_for_bars(self.bar_type_1, self.composite_sma)

######### for testing quotes
# utc_now = self._clock.utc_now()
Expand All @@ -162,19 +161,19 @@ def on_start(self):
# )
# self.user_log(f"on_start: {start_historical_bars=}, {end_historical_bars=}")

# bar_type_1 = BarType.from_str(f"{self.config.symbol_id}-1-MINUTE-BID-INTERNAL")
# bar_type_2 = BarType.from_str(f"{self.config.symbol_id}-2-MINUTE-BID-INTERNAL@1-MINUTE-INTERNAL")
# self.bar_type_1 = BarType.from_str(f"{self.config.symbol_id}-1-MINUTE-BID-INTERNAL")
# self.bar_type_2 = BarType.from_str(f"{self.config.symbol_id}-2-MINUTE-BID-INTERNAL@1-MINUTE-INTERNAL")

# self.request_aggregated_bars(
# [bar_type_1, bar_type_2],
# [self.bar_type_1, self.bar_type_2],
# start=start_historical_bars,
# end=end_historical_bars,
# update_subscriptions=True,
# include_external_data=False,
# )

# self.subscribe_bars(bar_type_1)
# self.subscribe_bars(bar_type_2)
# self.subscribe_bars(self.bar_type_1)
# self.subscribe_bars(self.bar_type_2)

######### for testing trades
# utc_now = self._clock.utc_now()
Expand All @@ -185,19 +184,19 @@ def on_start(self):
# )
# self.user_log(f"on_start: {start_historical_bars=}, {end_historical_bars=}")

# bar_type_1 = BarType.from_str(f"{self.config.symbol_id}-1-MINUTE-LAST-INTERNAL")
# bar_type_2 = BarType.from_str(f"{self.config.symbol_id}-2-MINUTE-LAST-INTERNAL@1-MINUTE-INTERNAL")
# self.bar_type_1 = BarType.from_str(f"{self.config.symbol_id}-1-MINUTE-LAST-INTERNAL")
# self.bar_type_2 = BarType.from_str(f"{self.config.symbol_id}-2-MINUTE-LAST-INTERNAL@1-MINUTE-INTERNAL")

# self.request_aggregated_bars(
# [bar_type_1, bar_type_2],
# [self.bar_type_1, self.bar_type_2],
# start=start_historical_bars,
# end=end_historical_bars,
# update_subscriptions=True,
# include_external_data=False,
# )

# self.subscribe_bars(bar_type_1)
# self.subscribe_bars(bar_type_2)
# self.subscribe_bars(self.bar_type_1)
# self.subscribe_bars(self.bar_type_2)

def on_historical_data(self, data):
if type(data) is Bar:
Expand All @@ -219,6 +218,12 @@ def on_bar(self, bar):
def user_log(self, msg):
self.log.warning(str(msg), color=LogColor.GREEN)

def on_stop(self):
# self.subscribe_bars(self.external_bar_type)
self.unsubscribe_bars(self.bar_type_1)
self.unsubscribe_bars(self.bar_type_2)
# self.subscribe_bars(self.bar_type_3)


# %% [markdown]
# ## backtest node
Expand Down
63 changes: 55 additions & 8 deletions nautilus_trader/data/engine.pyx
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -767,7 +767,6 @@ cdef class DataEngine(Component):
self._log.error("Cannot subscribe for synthetic instrument `OrderBook` data")
return


cdef:
uint64_t interval_ns
uint64_t timestamp_ns
Expand Down Expand Up @@ -2063,7 +2062,16 @@ cdef class DataEngine(Component):
topic=f"data.bars.{composite_bar_type}",
handler=aggregator.handle_bar,
)
self._handle_subscribe_bars(client, command)
bars_subscription = SubscribeBars(
command.id,
composite_bar_type,
command.await_partial,
command.client_id,
command.venue,
command.ts_init,
command.params
)
self._handle_subscribe_bars(client, bars_subscription)
elif command.bar_type.spec.price_type == PriceType.LAST:
self._msgbus.subscribe(
topic=f"data.trades"
Expand All @@ -2072,7 +2080,15 @@ cdef class DataEngine(Component):
handler=aggregator.handle_trade_tick,
priority=5,
)
self._handle_subscribe_trade_ticks(client, SubscribeTradeTicks(command.id, command.bar_type.instrument_id, command.client_id, command.venue, command.ts_init, command.params))
trade_ticks_subscription = SubscribeTradeTicks(
command.id,
command.bar_type.instrument_id,
command.client_id,
command.venue,
command.ts_init,
command.params
)
self._handle_subscribe_trade_ticks(client, trade_ticks_subscription)
else:
self._msgbus.subscribe(
topic=f"data.quotes"
Expand All @@ -2081,7 +2097,15 @@ cdef class DataEngine(Component):
handler=aggregator.handle_quote_tick,
priority=5,
)
self._handle_subscribe_quote_ticks(client, SubscribeQuoteTicks(command.id, command.bar_type.instrument_id, command.client_id, command.venue, command.ts_init, command.params))
quote_ticks_subscription = SubscribeQuoteTicks(
command.id,
command.bar_type.instrument_id,
command.client_id,
command.venue,
command.ts_init,
command.params
)
self._handle_subscribe_quote_ticks(client, quote_ticks_subscription)

aggregator.is_running = True

Expand All @@ -2105,24 +2129,47 @@ cdef class DataEngine(Component):
topic=f"data.bars.{composite_bar_type}",
handler=aggregator.handle_bar,
)
command.bar_type = composite_bar_type
self._handle_unsubscribe_bars(client, command)
bars_unsubscription = UnsubscribeBars(
command.id,
composite_bar_type,
command.client_id,
command.venue,
command.ts_init,
command.params
)
self._handle_unsubscribe_bars(client, bars_unsubscription)
elif command.bar_type.spec.price_type == PriceType.LAST:
self._msgbus.unsubscribe(
topic=f"data.trades"
f".{command.bar_type.instrument_id.venue}"
f".{command.bar_type.instrument_id.symbol}",
handler=aggregator.handle_trade_tick,
)
self._handle_unsubscribe_trade_ticks(client, UnsubscribeTradeTicks(command.id, command.bar_type.instrument_id, command.client_id, command.venue, command.ts_init, command.params))
trade_ticks_unsubscription =UnsubscribeTradeTicks(
command.id,
command.bar_type.instrument_id,
command.client_id,
command.venue,
command.ts_init,
command.params
)
self._handle_unsubscribe_trade_ticks(client, trade_ticks_unsubscription)
else:
self._msgbus.unsubscribe(
topic=f"data.quotes"
f".{command.bar_type.instrument_id.venue}"
f".{command.bar_type.instrument_id.symbol}",
handler=aggregator.handle_quote_tick,
)
self._handle_unsubscribe_quote_ticks(client, UnsubscribeQuoteTicks(command.id, command.bar_type.instrument_id, command.client_id, command.venue, command.ts_init, command.params))
quote_ticks_unsubscription =UnsubscribeQuoteTicks(
command.id,
command.bar_type.instrument_id,
command.client_id,
command.venue,
command.ts_init,
command.params
)
self._handle_unsubscribe_quote_ticks(client, quote_ticks_unsubscription)

# Remove from aggregators
del self._bar_aggregators[command.bar_type.standard()]
Expand Down
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