contango.trading.execution.engine.events.types

contango.trading.execution.engine.events.types

AcceptedFillEvent

Bases: NamedTuple

A single filled trade event (an order that has been processed) that has been accepted.

Attributes:

Name	Type	Description
timestamp	time_unix_ms	When the trade was filled (unix ms).
market_event	MarketDataEvent	The market event in which the trade was filled at.
order_event	OrderEvent	The underlying order that was filled.
fill_price	USD	The price that the order was filled at (per unit).
total_cost	USD	The total cost (including slippage & commission) for the entire trade.

MarketDataEvent

Bases: NamedTuple

Immutable event snapshot of OHLCV data for a single bar.

Attributes:

Name	Type	Description
timestamp	time_unix_ms	Time unix (ms) of the bar.
symbol	str	Ticker symbol.
open	USD	Opening price in USD.
high	USD	Highest price in USD.
low	USD	Lowest price in USD.
close	USD	Closing price in USD.
volume	units	Number of units traded.

OrderEvent

Bases: NamedTuple

A single trade event emitted by a strategy.

Attributes:

Name	Type	Description
timestamp	time_unix_ms	The time (unix ms) which the order event was created.
quantity	units	Number of units (i.e. shares) to trade (signed for buys versus sells).
reason	str | None	Optional description on why the trade was made.

PortfolioSnapshotEvent

Bases: NamedTuple

A single event snapshot of an account portfolio.

Attributes:

Name	Type	Description
timestamp	time_unix_ms	The timestamp in which the portfolio snapshot was made (unix ms).
cash	USD	The cash available for trading in the account.
position	units	The current amount of units held in the account.
equity	USD | None	The total equity (cash + units) in the account, or None if it cannot be derived (e.g. initial snapshot).

RejectedFillEvent

Bases: NamedTuple

A single filled trade event (an order that has been processed) that has been rejected.

Attributes:

Name	Type	Description
timestamp	time_unix_ms	When the rejected trade was attempted to be filled (unix ms).
market_event	MarketDataEvent	The market event in which the rejected trade was made at.
order_event	OrderEvent	The underlying order that was rejected.
reason	str | None	The reasoning for the rejection.

StoplossOrderEvent

Bases: NamedTuple

A single trade event with a stop loss emitted by a strategy.

Attributes:

Name	Type	Description
timestamp	time_unix_ms	The time (unix ms) which the order event was created.
quantity	units	Number of units (i.e. shares) to trade (signed for buys versus sells).
stop_price	USD
reason	str | None	Optional description on why the trade was made.