Struct TwapAlgorithm 

pub struct TwapAlgorithm {
    pub core: ExecutionAlgorithmCore,
    /* private fields */
}

Time-Weighted Average Price (TWAP) execution algorithm.

Executes orders by evenly spreading them over a specified time horizon, at regular intervals. The algorithm receives a primary order and spawns smaller child orders that are executed at regular intervals.

Fields

core: ExecutionAlgorithmCore

The algorithm core.

Implementations

impl TwapAlgorithm

pub fn new(config: TwapAlgorithmConfig) -> Self

Creates a new TwapAlgorithm instance.

Trait Implementations

impl DataActor for TwapAlgorithm

fn on_time_event(&mut self, event: &TimeEvent) -> Result<()>

Actions to be performed when receiving a time event.

fn on_stop(&mut self) -> Result<()>

Actions to be performed on stop.

fn on_reset(&mut self) -> Result<()>

Actions to be performed on reset.

fn actor_id(&self) -> ActorId

where Self: DataActorNative,

Returns the actor ID.

fn trader_id(&self) -> Option<TraderId>

where Self: DataActorNative,

Returns the trader ID this actor is registered to.

fn is_registered(&self) -> bool

where Self: DataActorNative,

Returns whether the actor is registered with a trader.

fn config(&self) -> &DataActorConfig

where Self: DataActorNative,

Returns the actor configuration.

fn on_save(&self) -> Result<IndexMap<String, Vec<u8>>, Error>

Actions to be performed when the actor state is saved.

fn on_load(&mut self, state: IndexMap<String, Vec<u8>>) -> Result<(), Error>

Actions to be performed when the actor state is loaded.

fn on_start(&mut self) -> Result<(), Error>

Actions to be performed on start.

fn on_resume(&mut self) -> Result<(), Error>

Actions to be performed on resume.

fn on_dispose(&mut self) -> Result<(), Error>

Actions to be performed on dispose.

fn on_degrade(&mut self) -> Result<(), Error>

Actions to be performed on degrade.

fn on_fault(&mut self) -> Result<(), Error>

Actions to be performed on fault.

fn on_data(&mut self, data: &CustomData) -> Result<(), Error>

Actions to be performed when receiving custom data.

fn on_signal(&mut self, signal: &Signal) -> Result<(), Error>

Actions to be performed when receiving a signal.

fn on_instrument(&mut self, instrument: &InstrumentAny) -> Result<(), Error>

Actions to be performed when receiving an instrument.

fn on_book_deltas(&mut self, deltas: &OrderBookDeltas) -> Result<(), Error>

Actions to be performed when receiving order book deltas.

fn on_book(&mut self, order_book: &OrderBook) -> Result<(), Error>

Actions to be performed when receiving an order book.

fn on_quote(&mut self, quote: &QuoteTick) -> Result<(), Error>

Actions to be performed when receiving a quote.

fn on_trade(&mut self, tick: &TradeTick) -> Result<(), Error>

Actions to be performed when receiving a trade.

fn on_bar(&mut self, bar: &Bar) -> Result<(), Error>

Actions to be performed when receiving a bar.

fn on_mark_price(&mut self, mark_price: &MarkPriceUpdate) -> Result<(), Error>

Actions to be performed when receiving a mark price update.

fn on_index_price( &mut self, index_price: &IndexPriceUpdate, ) -> Result<(), Error>

Actions to be performed when receiving an index price update.

fn on_funding_rate( &mut self, funding_rate: &FundingRateUpdate, ) -> Result<(), Error>

Actions to be performed when receiving a funding rate update.

fn on_option_greeks(&mut self, greeks: &OptionGreeks) -> Result<(), Error>

Actions to be performed when receiving exchange-provided option greeks.

fn on_option_chain(&mut self, slice: &OptionChainSlice) -> Result<(), Error>

Actions to be performed when receiving an option chain slice snapshot.

fn on_instrument_status(&mut self, data: &InstrumentStatus) -> Result<(), Error>

Actions to be performed when receiving an instrument status update.

fn on_instrument_close(&mut self, update: &InstrumentClose) -> Result<(), Error>

Actions to be performed when receiving an instrument close update.

fn on_order_filled(&mut self, event: &OrderFilled) -> Result<(), Error>

Actions to be performed when receiving an order filled event.

fn on_order_canceled(&mut self, event: &OrderCanceled) -> Result<(), Error>

Actions to be performed when receiving an order canceled event.

fn on_block(&mut self, block: &Block) -> Result<(), Error>

Actions to be performed when receiving a block.

fn on_pool(&mut self, pool: &Pool) -> Result<(), Error>

Actions to be performed when receiving a pool.

fn on_pool_swap(&mut self, swap: &PoolSwap) -> Result<(), Error>

Actions to be performed when receiving a pool swap.

fn on_pool_liquidity_update( &mut self, update: &PoolLiquidityUpdate, ) -> Result<(), Error>

Actions to be performed when receiving a pool liquidity update.

fn on_pool_fee_collect(&mut self, collect: &PoolFeeCollect) -> Result<(), Error>

Actions to be performed when receiving a pool fee collect event.

fn on_pool_flash(&mut self, flash: &PoolFlash) -> Result<(), Error>

Actions to be performed when receiving a pool flash event.

fn on_historical_data( &mut self, data: &(dyn Any + 'static), ) -> Result<(), Error>

Actions to be performed when receiving historical data.

fn on_historical_book_deltas( &mut self, deltas: &[OrderBookDelta], ) -> Result<(), Error>

Actions to be performed when receiving historical book deltas.

fn on_historical_book_depth( &mut self, depths: &[OrderBookDepth10], ) -> Result<(), Error>

Actions to be performed when receiving historical book depth.

fn on_historical_quotes(&mut self, quotes: &[QuoteTick]) -> Result<(), Error>

Actions to be performed when receiving historical quotes.

fn on_historical_trades(&mut self, trades: &[TradeTick]) -> Result<(), Error>

Actions to be performed when receiving historical trades.

fn on_historical_bars(&mut self, bars: &[Bar]) -> Result<(), Error>

Actions to be performed when receiving historical bars.

fn on_historical_mark_prices( &mut self, mark_prices: &[MarkPriceUpdate], ) -> Result<(), Error>

Actions to be performed when receiving historical mark prices.

fn on_historical_index_prices( &mut self, index_prices: &[IndexPriceUpdate], ) -> Result<(), Error>

Actions to be performed when receiving historical index prices.

fn on_historical_funding_rates( &mut self, funding_rates: &[FundingRateUpdate], ) -> Result<(), Error>

Actions to be performed when receiving historical funding rates.

fn clock(&self) -> ClockApi<'_>

where Self: DataActorNative,

Returns the user-facing clock API.

fn cache(&self) -> CacheApi<'_>

where Self: DataActorNative,

Returns the user-facing cache API.

fn shutdown_system(&self, reason: Option<String>)

where Self: DataActorNative,

Sends a shutdown command to the system with an optional reason.

fn publish_data(&self, data_type: &DataType, data: &CustomData)

where Self: DataActorNative,

Publishes data on the message bus under the topic derived from data_type.

fn publish_signal(&self, name: &str, value: String, ts_event: UnixNanos)

where Self: DataActorNative,

Publishes a [Signal] constructed from name and value.

fn add_synthetic(&self, synthetic: SyntheticInstrument) -> Result<(), Error>

where Self: DataActorNative,

Adds the synthetic instrument to the cache.

fn update_synthetic(&self, synthetic: SyntheticInstrument) -> Result<(), Error>

where Self: DataActorNative,

Updates the synthetic instrument in the cache, replacing the existing entry.

fn handle_time_event(&mut self, event: &TimeEvent)

Handles a received time event.

fn handle_data(&mut self, data: &CustomData)

Handles a received custom data point.

fn handle_signal(&mut self, signal: &Signal)

Handles a received signal.

fn handle_instrument(&mut self, instrument: &InstrumentAny)

Handles a received instrument.

fn handle_book_deltas(&mut self, deltas: &OrderBookDeltas)

Handles received order book deltas.

fn handle_book(&mut self, book: &OrderBook)

Handles a received order book reference.

fn handle_quote(&mut self, quote: &QuoteTick)

where Self: DataActorNative,

Handles a received quote.

fn handle_trade(&mut self, trade: &TradeTick)

where Self: DataActorNative,

Handles a received trade.

fn handle_bar(&mut self, bar: &Bar)

where Self: DataActorNative,

Handles a receiving bar.

fn handle_mark_price(&mut self, mark_price: &MarkPriceUpdate)

Handles a received mark price update.

fn handle_index_price(&mut self, index_price: &IndexPriceUpdate)

Handles a received index price update.

fn handle_funding_rate(&mut self, funding_rate: &FundingRateUpdate)

Handles a received funding rate update.

fn handle_option_greeks(&mut self, greeks: &OptionGreeks)

Handles a received option greeks update.

fn handle_option_chain(&mut self, slice: &OptionChainSlice)

Handles a received option chain slice snapshot.

fn handle_instrument_status(&mut self, status: &InstrumentStatus)

Handles a received instrument status.

fn handle_instrument_close(&mut self, close: &InstrumentClose)

Handles a received instrument close.

fn handle_order_filled(&mut self, event: &OrderFilled)

where Self: DataActorNative,

Handles a received order filled event.

fn handle_order_canceled(&mut self, event: &OrderCanceled)

where Self: DataActorNative,

Handles a received order canceled event.

fn handle_block(&mut self, block: &Block)

Handles a received block.

fn handle_pool(&mut self, pool: &Pool)

Handles a received pool definition update.

fn handle_pool_swap(&mut self, swap: &PoolSwap)

Handles a received pool swap.

fn handle_pool_liquidity_update(&mut self, update: &PoolLiquidityUpdate)

Handles a received pool liquidity update.

fn handle_pool_fee_collect(&mut self, collect: &PoolFeeCollect)

Handles a received pool fee collect.

fn handle_pool_flash(&mut self, flash: &PoolFlash)

Handles a received pool flash event.

fn handle_historical_data(&mut self, data: &(dyn Any + 'static))

Handles received historical data.

fn handle_data_response(&mut self, resp: &CustomDataResponse)

Handles a data response.

fn handle_instrument_response(&mut self, resp: &InstrumentResponse)

Handles an instrument response.

fn handle_instruments_response(&mut self, resp: &InstrumentsResponse)

Handles an instruments response.

fn handle_book_response(&mut self, resp: &BookResponse)

Handles a book response.

fn handle_book_deltas_response(&mut self, resp: &BookDeltasResponse)

Handles a book deltas response.

fn handle_book_depth_response(&mut self, resp: &BookDepthResponse)

Handles a book depth response.

fn handle_quotes_response(&mut self, resp: &QuotesResponse)

where Self: DataActorNative,

Handles a quotes response.

fn handle_trades_response(&mut self, resp: &TradesResponse)

where Self: DataActorNative,

Handles a trades response.

fn handle_bars_response(&mut self, resp: &BarsResponse)

where Self: DataActorNative,

Handles a bars response.

fn handle_funding_rates_response(&mut self, resp: &FundingRatesResponse)

Handles a funding rates response.

fn subscribe_data( &mut self, data_type: DataType, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming data_type data.

fn subscribe_signal(&mut self, name: &str, priority: Option<u32>)

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to [Signal] data by name.

fn subscribe_quotes( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [QuoteTick] data for the instrument_id.

fn subscribe_instruments( &mut self, venue: Venue, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [InstrumentAny] data for the venue.

fn subscribe_instrument( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [InstrumentAny] data for the instrument_id.

fn subscribe_book_deltas( &mut self, instrument_id: InstrumentId, book_type: BookType, depth: Option<NonZero<usize>>, client_id: Option<ClientId>, managed: bool, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [OrderBookDeltas] data for the instrument_id.

fn subscribe_book_at_interval( &mut self, instrument_id: InstrumentId, book_type: BookType, depth: Option<NonZero<usize>>, interval_ms: NonZero<usize>, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to [OrderBook] snapshots at a specified interval for the instrument_id.

fn subscribe_trades( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [TradeTick] data for the instrument_id.

fn subscribe_bars( &mut self, bar_type: BarType, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [Bar] data for the bar_type.

fn subscribe_mark_prices( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [MarkPriceUpdate] data for the instrument_id.

fn subscribe_index_prices( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [IndexPriceUpdate] data for the instrument_id.

fn subscribe_funding_rates( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [FundingRateUpdate] data for the instrument_id.

fn subscribe_option_greeks( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [OptionGreeks] data for the instrument_id.

fn subscribe_instrument_status( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [InstrumentStatus] data for the instrument_id.

fn subscribe_instrument_close( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [InstrumentClose] data for the instrument_id.

fn subscribe_option_chain( &mut self, series_id: OptionSeriesId, strike_range: StrikeRange, snapshot_interval_ms: Option<u64>, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [OptionChainSlice] snapshots for the option series_id.

fn subscribe_order_fills(&mut self, instrument_id: InstrumentId)

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to [OrderFilled] events for the instrument_id.

fn subscribe_order_cancels(&mut self, instrument_id: InstrumentId)

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to [OrderCanceled] events for the instrument_id.

fn subscribe_blocks( &mut self, chain: Blockchain, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [Block] data for the chain.

fn subscribe_pool( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [Pool] definition updates for the AMM pool at the instrument_id.

fn subscribe_pool_swaps( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [PoolSwap] data for the instrument_id.

fn subscribe_pool_liquidity_updates( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [PoolLiquidityUpdate] data for the instrument_id.

fn subscribe_pool_fee_collects( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [PoolFeeCollect] data for the instrument_id.

fn subscribe_pool_flash_events( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Subscribe to streaming [PoolFlash] events for the given instrument_id.

fn unsubscribe_data( &mut self, data_type: DataType, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming data_type data.

fn unsubscribe_signal(&mut self, name: &str)

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from [Signal] data by name.

fn unsubscribe_instruments( &mut self, venue: Venue, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [InstrumentAny] data for the venue.

fn unsubscribe_instrument( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [InstrumentAny] data for the instrument_id.

fn unsubscribe_book_deltas( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [OrderBookDeltas] data for the instrument_id.

fn unsubscribe_book_at_interval( &mut self, instrument_id: InstrumentId, interval_ms: NonZero<usize>, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from [OrderBook] snapshots at a specified interval for the instrument_id.

fn unsubscribe_quotes( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [QuoteTick] data for the instrument_id.

fn unsubscribe_trades( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [TradeTick] data for the instrument_id.

fn unsubscribe_bars( &mut self, bar_type: BarType, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [Bar] data for the bar_type.

fn unsubscribe_mark_prices( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [MarkPriceUpdate] data for the instrument_id.

fn unsubscribe_index_prices( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [IndexPriceUpdate] data for the instrument_id.

fn unsubscribe_funding_rates( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [FundingRateUpdate] data for the instrument_id.

fn unsubscribe_option_greeks( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [OptionGreeks] data for the instrument_id.

fn unsubscribe_instrument_status( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [InstrumentStatus] data for the instrument_id.

fn unsubscribe_instrument_close( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [InstrumentClose] data for the instrument_id.

fn unsubscribe_option_chain( &mut self, series_id: OptionSeriesId, client_id: Option<ClientId>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [OptionChainSlice] snapshots for the option series_id.

fn unsubscribe_order_fills(&mut self, instrument_id: InstrumentId)

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from [OrderFilled] events for the instrument_id.

fn unsubscribe_order_cancels(&mut self, instrument_id: InstrumentId)

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from [OrderCanceled] events for the instrument_id.

fn unsubscribe_blocks( &mut self, chain: Blockchain, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [Block] data for the chain.

fn unsubscribe_pool( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [Pool] definition updates for the AMM pool at the instrument_id.

fn unsubscribe_pool_swaps( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [PoolSwap] data for the instrument_id.

fn unsubscribe_pool_liquidity_updates( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [PoolLiquidityUpdate] data for the instrument_id.

fn unsubscribe_pool_fee_collects( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [PoolFeeCollect] data for the instrument_id.

fn unsubscribe_pool_flash_events( &mut self, instrument_id: InstrumentId, client_id: Option<ClientId>, params: Option<Params>, )

where Self: DataActorNative + Sized + 'static + Debug,

Unsubscribe from streaming [PoolFlash] events for the given instrument_id.

fn request_data( &mut self, data_type: DataType, client_id: ClientId, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, limit: Option<NonZero<usize>>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical custom data of the given data_type.

fn request_instrument( &mut self, instrument_id: InstrumentId, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [InstrumentResponse] data for the given instrument_id.

fn request_instruments( &mut self, venue: Option<Venue>, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [InstrumentsResponse] definitions for the optional venue.

fn request_book_snapshot( &mut self, instrument_id: InstrumentId, depth: Option<NonZero<usize>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request an [OrderBook] snapshot for the given instrument_id.

fn request_book_deltas( &mut self, instrument_id: InstrumentId, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, limit: Option<NonZero<usize>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [OrderBookDelta] data for the given instrument_id.

fn request_book_depth( &mut self, instrument_id: InstrumentId, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, limit: Option<NonZero<usize>>, depth: Option<NonZero<usize>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [OrderBookDepth10] data for the given instrument_id.

fn request_quotes( &mut self, instrument_id: InstrumentId, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, limit: Option<NonZero<usize>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [QuoteTick] data for the given instrument_id.

fn request_trades( &mut self, instrument_id: InstrumentId, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, limit: Option<NonZero<usize>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [TradeTick] data for the given instrument_id.

fn request_bars( &mut self, bar_type: BarType, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, limit: Option<NonZero<usize>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [Bar] data for the given bar_type.

fn request_funding_rates( &mut self, instrument_id: InstrumentId, start: Option<DateTime<Utc>>, end: Option<DateTime<Utc>>, limit: Option<NonZero<usize>>, client_id: Option<ClientId>, params: Option<Params>, ) -> Result<UUID4, Error>

where Self: DataActorNative + Sized + 'static + Debug,

Request historical [FundingRateUpdate] data for the given instrument_id.

impl DataActorNative for TwapAlgorithm

fn core(&self) -> &DataActorCore

Returns the actor core.

fn core_mut(&mut self) -> &mut DataActorCore

Returns the mutable actor core.

fn clock_mut(&mut self) -> RefMut<'_, dyn Clock + 'static>

Returns the mutable clock borrow for the actor.

fn clock_rc(&self) -> Rc<RefCell<dyn Clock>>

Returns a clone of the reference-counted clock.

fn cache_ref(&self) -> Ref<'_, Cache>

Returns a read-only cache borrow.

fn cache_rc(&self) -> Rc<RefCell<Cache>>

Returns a clone of the reference-counted cache.

impl Debug for TwapAlgorithm

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl ExecutionAlgorithm for TwapAlgorithm

fn on_order(&mut self, order: OrderAny) -> Result<()>

Called when a primary order is received for execution.

fn on_time_event(&mut self, event: &TimeEvent) -> Result<()>

Called when a time event is received.

fn on_stop(&mut self) -> Result<()>

Called when the algorithm is stopped.

fn on_reset(&mut self) -> Result<()>

Called when the algorithm is reset.

fn id(&self) -> ExecAlgorithmId

where Self: ExecutionAlgorithmNative,

Returns the execution algorithm ID.

fn execute(&mut self, command: TradingCommand) -> Result<()>

where Self: ExecutionAlgorithmNative + 'static + Debug + Sized,

Executes a trading command.

fn on_order_list( &mut self, _order_list: OrderList, orders: Vec<OrderAny>, ) -> Result<()>

Called when an order list is received for execution.

fn handle_cancel_order(&mut self, command: CancelOrder) -> Result<()>

where Self: ExecutionAlgorithmNative,

Handles a cancel order command for algorithm-managed orders.

fn generate_order_canceled(&mut self, order: &OrderAny) -> OrderCanceled

where Self: ExecutionAlgorithmNative,

Generates an OrderCanceled event for an order.

fn generate_order_pending_update( &mut self, order: &OrderAny, ) -> OrderPendingUpdate

where Self: ExecutionAlgorithmNative,

Generates an OrderPendingUpdate event for an order.

fn generate_order_pending_cancel( &mut self, order: &OrderAny, ) -> OrderPendingCancel

where Self: ExecutionAlgorithmNative,

Generates an OrderPendingCancel event for an order.

fn spawn_market( &mut self, primary: &mut OrderAny, quantity: Quantity, time_in_force: TimeInForce, reduce_only: bool, tags: Option<Vec<Ustr>>, reduce_primary: bool, ) -> MarketOrder

where Self: ExecutionAlgorithmNative,

Spawns a market order from a primary order.

fn spawn_limit( &mut self, primary: &mut OrderAny, quantity: Quantity, price: Price, time_in_force: TimeInForce, expire_time: Option<UnixNanos>, post_only: bool, reduce_only: bool, display_qty: Option<Quantity>, emulation_trigger: Option<TriggerType>, tags: Option<Vec<Ustr>>, reduce_primary: bool, ) -> LimitOrder

where Self: ExecutionAlgorithmNative,

Spawns a limit order from a primary order.

fn spawn_market_to_limit( &mut self, primary: &mut OrderAny, quantity: Quantity, time_in_force: TimeInForce, expire_time: Option<UnixNanos>, reduce_only: bool, display_qty: Option<Quantity>, emulation_trigger: Option<TriggerType>, tags: Option<Vec<Ustr>>, reduce_primary: bool, ) -> MarketToLimitOrder

where Self: ExecutionAlgorithmNative,

Spawns a market-to-limit order from a primary order.

fn reduce_primary_order(&mut self, primary: &mut OrderAny, spawn_qty: Quantity)

where Self: ExecutionAlgorithmNative,

Reduces the primary order’s quantity by the spawn quantity.

fn restore_primary_order_quantity(&mut self, order: &OrderAny)

where Self: ExecutionAlgorithmNative,

Restores the primary order quantity after a spawned order is denied or rejected.

fn submit_order( &mut self, order: OrderAny, position_id: Option<PositionId>, client_id: Option<ClientId>, ) -> Result<()>

where Self: ExecutionAlgorithmNative,

Submits an order to the execution engine via the risk engine.

fn modify_order( &mut self, order: &mut OrderAny, quantity: Option<Quantity>, price: Option<Price>, trigger_price: Option<Price>, client_id: Option<ClientId>, ) -> Result<()>

where Self: ExecutionAlgorithmNative,

Modifies an order.

fn modify_order_in_place( &mut self, order: &mut OrderAny, quantity: Option<Quantity>, price: Option<Price>, trigger_price: Option<Price>, ) -> Result<()>

where Self: ExecutionAlgorithmNative,

Modifies an INITIALIZED or RELEASED order in place without sending a command.

fn cancel_order( &mut self, order: &mut OrderAny, client_id: Option<ClientId>, ) -> Result<()>

where Self: ExecutionAlgorithmNative,

Cancels an order.

fn subscribe_to_strategy_events(&mut self, strategy_id: StrategyId)

where Self: ExecutionAlgorithmNative + 'static + Debug + Sized,

Subscribes to events from a strategy.

fn unsubscribe_all_strategy_events(&mut self)

where Self: ExecutionAlgorithmNative,

Unsubscribes from all strategy event handlers.

fn handle_order_event(&mut self, event: OrderEventAny)

where Self: ExecutionAlgorithmNative,

Handles an order event, filtering for algorithm-owned orders.

fn handle_position_event(&mut self, event: PositionEvent)

where Self: ExecutionAlgorithmNative,

Handles a position event.

fn on_start(&mut self) -> Result<()>

where Self: ExecutionAlgorithmNative,

Called when the algorithm is started.

fn on_order_initialized(&mut self, event: OrderInitialized)

Called when an order is initialized.

fn on_order_denied(&mut self, event: OrderDenied)

Called when an order is denied.

fn on_order_emulated(&mut self, event: OrderEmulated)

Called when an order is emulated.

fn on_order_released(&mut self, event: OrderReleased)

Called when an order is released from emulation.

fn on_order_submitted(&mut self, event: OrderSubmitted)

Called when an order is submitted.

fn on_order_rejected(&mut self, event: OrderRejected)

Called when an order is rejected.

fn on_order_accepted(&mut self, event: OrderAccepted)

Called when an order is accepted.

fn on_algo_order_canceled(&mut self, event: OrderCanceled)

Called when an order is canceled.

fn on_order_expired(&mut self, event: OrderExpired)

Called when an order expires.

fn on_order_triggered(&mut self, event: OrderTriggered)

Called when an order is triggered.

fn on_order_pending_update(&mut self, event: OrderPendingUpdate)

Called when an order modification is pending.

fn on_order_pending_cancel(&mut self, event: OrderPendingCancel)

Called when an order cancellation is pending.

fn on_order_modify_rejected(&mut self, event: OrderModifyRejected)

Called when an order modification is rejected.

fn on_order_cancel_rejected(&mut self, event: OrderCancelRejected)

Called when an order cancellation is rejected.

fn on_order_updated(&mut self, event: OrderUpdated)

Called when an order is updated.

fn on_algo_order_filled(&mut self, event: OrderFilled)

Called when an order is filled.

fn on_order_event(&mut self, event: OrderEventAny)

Called for any order event (after specific handler).

fn on_position_opened(&mut self, event: PositionOpened)

Called when a position is opened.

fn on_position_changed(&mut self, event: PositionChanged)

Called when a position is changed.

fn on_position_closed(&mut self, event: PositionClosed)

Called when a position is closed.

fn on_position_event(&mut self, event: PositionEvent)

Called for any position event (after specific handler).

impl ExecutionAlgorithmNative for TwapAlgorithm

fn exec_algorithm_core(&self) -> &ExecutionAlgorithmCore

Returns the execution algorithm core.

fn exec_algorithm_core_mut(&mut self) -> &mut ExecutionAlgorithmCore

Returns the mutable execution algorithm core.