algo_engine.monitor

Market data monitors provide real-time extensions for synthetic order books and bar aggregation.

Monitors

algo_engine.monitor.Monitor

alias of MarketDataMonitor

class algo_engine.monitor.SyntheticOrderBookMonitor(**kwargs)

Bases: MarketDataMonitor

__init__(self, str name: str, monitor_id: Any = None)

on_order_data(order_data: OrderData)

to_json(fmt='str', **kwargs) → str | dict

classmethod from_json(json_message: str | bytes | bytearray | dict) → Self

clear(self) → None

SyntheticOrderBookMonitor.value -> dict[str, float] | float

class algo_engine.monitor.MinuteBarMonitor(interval: float = 60.0, **kwargs)

Bases: MarketDataMonitor

__init__(self, str name: str, monitor_id: Any = None)

to_json(fmt='str', **kwargs) → str | dict

classmethod from_json(json_message: str | bytes | bytearray | dict) → Self

from_shm(name: str = None) → None

clear(self) → None

MinuteBarMonitor.value -> dict[str, float] | float

Data Structures

class algo_engine.monitor.PyOrderBook(side: TransactionSide, data: dict[float, Entry] = None)

__init__(side: TransactionSide, data: dict[float, Entry] = None)