quantpylib.hft.replay_exchange

quantpylib.hft.replay_exchange.ReplayExchange

Owns authoritative market, execution, and account state for one venue.

Public QBN events mutate this object at exchange time. Requests from ReplayWrapper requests arrive after simulated TX latency and are subject to matching engine rules against ReplayOrderBook. Private updates are emitted to wrapper callbacks; the wrapper owns their RX latency.

Parameters:

Name	Type	Description	Default
venue	str	Gateway alias represented by this exchange.	required
clock	ReplayClock	Clock domain for exchange-time authority.	required
impact_policy	object	Public/private depth attribution policy for L2 to L3 queue projection in the matching engine orderbook.	None
queue_policy	object	L2 add and cancellation policy for queue positions in the L2 to L3 queue projection.	None
maker_fee_bps	Decimal or float	Maker fee in bps.	0
taker_fee_bps	Decimal or float	Taker fee in bps.	0
fee_ccy	str	Fee currency on fills, defaults to USDC.	'USDC'

Attributes:

Name	Type	Description
books	dict[str, ReplayOrderBook]	Matching books by ticker.
orders	dict[str, dict]	Complete venue order history by order ID.
fills	dict[str, dict]	Fill history by fill ID.
positions	dict[str, dict]	Current non-zero positions by ticker.

__init__(venue, clock, impact_policy=None, queue_policy=None, maker_fee_bps=0, taker_fee_bps=0, fee_ccy='USDC')

Initialize empty venue state and private-update subscriber lists.

api_cancel_open_orders(ticker=None)

Cancel every live order, optionally restricted to one ticker.

Parameters:

Name	Type	Description	Default
ticker	str	Ticker filter.	None

Returns:

Type	Description
	list[dict or None]: Cancellation results in venue insertion order.

api_cancel_order(specs)

Cancel one live order by exchange or client order ID.

Parameters:

Name	Type	Description	Default
specs	dict	Normalized cancellation specifications containing oid or cloid.	required

Returns:

Type	Description
	dict or None: Current order state, or None when no order
	matches the supplied identity.

api_fill_updates_subscribe(handler)

Register a callback for venue fill updates.

Parameters:

Name	Type	Description	Default
handler	callable	Callback accepting one normalized fill dict.	required

api_fills_get(start_ns=None, end_ns=None)

Return fills in an exchange-time half-open interval.

Parameters:

Name	Type	Description	Default
start_ns	int	Inclusive exchange-time lower bound.	None
end_ns	int	Exclusive exchange-time upper bound.	None

Returns:

Type	Description
	list[dict]: Copied normalized fills in insertion order.

api_order_query(oid=None, cloid=None)

Query complete order history by exchange or client order ID.

Parameters:

Name	Type	Description	Default
oid	str	Exchange order ID, preferred when supplied.	None
cloid	str	Client order ID fallback.	None

Returns:

Type	Description
	dict or None: Copied order state when found.

api_order_updates_subscribe(handler)

Register a callback for venue order-state updates.

Parameters:

Name	Type	Description	Default
handler	callable	Callback accepting one normalized order dict.	required

api_orders_get()

Return copied authoritative states for all currently open orders.

Returns:

Type	Description
	dict[str, dict]: Open orders keyed by exchange order ID.

api_position_updates_subscribe(handler)

Register a callback for venue position updates.

Parameters:

Name	Type	Description	Default
handler	callable	Callback accepting one normalized position mutation dict.	required

api_positions_get()

Return copied current non-zero positions keyed by ticker.

Returns:

Type	Description
	dict[str, dict]: Normalized position snapshots.

api_submit_order(specs)

Submit one normalized limit order to venue truth.

A new exchange order ID is assigned before post-only validation. ALO orders that would cross are rejected; accepted orders are inserted into the matching book and may fill immediately.

Parameters:

Name	Type	Description	Default
specs	dict	Normalized order specifications.	required

Returns:

Name	Type	Description
dict		Current authoritative order state after matching.

dispatch_market(replay_event)

Apply one QBN event to authoritative venue state.

L2 events reconcile public liquidity. BBA and trade events may match owned resting orders; matching updates account state and emits private updates that can be subscribed to.

Parameters:

Name	Type	Description	Default
replay_event	ReplayEvent	Exchange-route public event.	required