Remove redundant VenueStatus

RELEASES.md

@@ -15,6 +15,7 @@ Released on TBD (UTC).
 - Upgraded `datafusion` crate to 40.0.0
 
 ### Breaking Changes
+- Removed `VenueStatus` and all associated methods and schemas (redundant with `InstrumentStatus`)
 - Changed `OrderBook` FFI API to take data by reference instead of by value
 
 ### Fixes

docs/concepts/data.md

@@ -10,7 +10,6 @@ a trading domain:
 - `TradeTick`: A single trade/match event between counterparties
 - `Bar`: OHLCV bar data, aggregated using a specific *aggregation method*
 - `Instrument`: General base class for a tradable instrument
-- `VenueStatus`: A venue level status event
 - `InstrumentStatus`: An instrument level status event
 - `InstrumentClose`: An instrument closing price
 

docs/concepts/overview.md

@@ -113,7 +113,6 @@ The following market data types can be requested historically, and also subscrib
 - `Instrument`
 - `InstrumentStatus`
 - `InstrumentClose`
-- `VenueStatus`
 
 The following `PriceType` options can be used for bar aggregations:
 

docs/concepts/strategies.md

@@ -98,15 +98,13 @@ from nautilus_trader.model.data import TradeTick
 from nautilus_trader.model.data import OrderBookDeltas
 from nautilus_trader.model.data import InstrumentClose
 from nautilus_trader.model.data import InstrumentStatus
-from nautilus_trader.model.data import VenueStatus
 from nautilus_trader.model.instruments import Instrument
 
 def on_order_book_deltas(self, deltas: OrderBookDeltas) -> None:
 def on_order_book(self, order_book: OrderBook) -> None:
 def on_quote_tick(self, tick: QuoteTick) -> None:
 def on_trade_tick(self, tick: TradeTick) -> None:
 def on_bar(self, bar: Bar) -> None:
-def on_venue_status(self, data: VenueStatus) -> None:
 def on_instrument(self, instrument: Instrument) -> None:
 def on_instrument_status(self, data: InstrumentStatus) -> None:
 def on_instrument_close(self, data: InstrumentClose) -> None:

nautilus_core/data/src/client.rs

@@ -55,7 +55,6 @@ pub trait DataClient {
     fn subscribed_quote_ticks(&self) -> &HashSet<InstrumentId>;
     fn subscribed_trade_ticks(&self) -> &HashSet<InstrumentId>;
     fn subscribed_bars(&self) -> &HashSet<BarType>;
-    fn subscribed_venue_status(&self) -> &HashSet<Venue>;
     fn subscribed_instrument_status(&self) -> &HashSet<InstrumentId>;
     fn subscribed_instrument_close(&self) -> &HashSet<InstrumentId>;
     fn subscribe(&mut self, data_type: DataType) -> anyhow::Result<()>;
@@ -76,7 +75,6 @@ pub trait DataClient {
     fn subscribe_quote_ticks(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn subscribe_trade_ticks(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn subscribe_bars(&mut self, bar_type: BarType) -> anyhow::Result<()>;
-    fn subscribe_venue_status(&mut self, venue: Venue) -> anyhow::Result<()>;
     fn subscribe_instrument_status(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn subscribe_instrument_close(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn unsubscribe(&mut self, data_type: DataType) -> anyhow::Result<()>;
@@ -90,7 +88,6 @@ pub trait DataClient {
     fn unsubscribe_quote_ticks(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn unsubscribe_trade_ticks(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn unsubscribe_bars(&mut self, bar_type: BarType) -> anyhow::Result<()>;
-    fn unsubscribe_venue_status(&mut self, venue: Venue) -> anyhow::Result<()>;
     fn unsubscribe_instrument_status(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn unsubscribe_instrument_close(&mut self, instrument_id: InstrumentId) -> anyhow::Result<()>;
     fn request(&mut self, correlation_id: UUID4, data_type: DataType);
@@ -153,7 +150,6 @@ pub struct DataClientCore {
     subscriptions_quote_tick: HashSet<InstrumentId>,
     subscriptions_trade_tick: HashSet<InstrumentId>,
     subscriptions_bar: HashSet<BarType>,
-    subscriptions_venue_status: HashSet<Venue>,
     subscriptions_instrument_status: HashSet<InstrumentId>,
     subscriptions_instrument_close: HashSet<InstrumentId>,
     subscriptions_instrument: HashSet<InstrumentId>,
@@ -201,11 +197,6 @@ impl DataClientCore {
         &self.subscriptions_bar
     }
 
-    #[must_use]
-    pub const fn subscribed_venue_status(&self) -> &HashSet<Venue> {
-        &self.subscriptions_venue_status
-    }
-
     #[must_use]
     pub const fn subscribed_instrument_status(&self) -> &HashSet<InstrumentId> {
         &self.subscriptions_instrument_status
@@ -319,17 +310,6 @@ impl DataClientCore {
         Ok(())
     }
 
-    pub fn add_subscription_venue_status(&mut self, venue: Venue) -> anyhow::Result<()> {
-        correctness::check_member_not_in_set(
-            &venue,
-            &self.subscriptions_venue_status,
-            "venue",
-            "subscriptions_venue_status",
-        )?;
-        self.subscriptions_venue_status.insert(venue);
-        Ok(())
-    }
-
     pub fn add_subscription_instrument_status(
         &mut self,
         instrument_id: InstrumentId,
@@ -461,17 +441,6 @@ impl DataClientCore {
         Ok(())
     }
 
-    pub fn remove_subscription_venue_status(&mut self, venue: &Venue) -> anyhow::Result<()> {
-        correctness::check_member_in_set(
-            venue,
-            &self.subscriptions_venue_status,
-            "venue",
-            "subscriptions_venue_status",
-        )?;
-        self.subscriptions_venue_status.remove(venue);
-        Ok(())
-    }
-
     pub fn remove_subscription_instrument_status(
         &mut self,
         instrument_id: &InstrumentId,

nautilus_core/data/src/engine.rs

@@ -196,11 +196,6 @@ impl<S: State> DataEngine<S> {
         self.collect_subscriptions(|client| client.subscribed_bars())
     }
 
-    #[must_use]
-    pub fn subscribed_venue_status(&self) -> Vec<Venue> {
-        self.collect_subscriptions(|client| client.subscribed_venue_status())
-    }
-
     #[must_use]
     pub fn subscribed_instrument_status(&self) -> Vec<InstrumentId> {
         self.collect_subscriptions(|client| client.subscribed_instrument_status())

nautilus_trader/adapters/betfair/parsing/streaming.py

@@ -26,7 +26,6 @@
 from betfair_parser.spec.streaming import RunnerStatus
 from betfair_parser.spec.streaming.type_definitions import PV
 
-from nautilus_trader.adapters.betfair.constants import BETFAIR_VENUE
 from nautilus_trader.adapters.betfair.constants import CLOSE_PRICE_LOSER
 from nautilus_trader.adapters.betfair.constants import CLOSE_PRICE_WINNER
 from nautilus_trader.adapters.betfair.constants import MARKET_STATUS_MAPPING
@@ -48,7 +47,6 @@
 from nautilus_trader.model.data import OrderBookDelta
 from nautilus_trader.model.data import OrderBookDeltas
 from nautilus_trader.model.data import TradeTick
-from nautilus_trader.model.data import VenueStatus
 from nautilus_trader.model.enums import AggressorSide
 from nautilus_trader.model.enums import BookAction
 from nautilus_trader.model.enums import InstrumentCloseType
@@ -179,15 +177,6 @@ def market_definition_to_instrument_status(
 ) -> list[InstrumentStatus]:
     updates = []
 
-    if market_definition.in_play:
-        venue_status = VenueStatus(
-            venue=BETFAIR_VENUE,
-            status=MarketStatus.OPEN,
-            ts_event=ts_event,
-            ts_init=ts_init,
-        )
-        updates.append(venue_status)
-
     for runner in market_definition.runners:
         instrument_id = betfair_instrument_id(
             market_id=market_id,

nautilus_trader/backtest/data_client.pyx

@@ -245,12 +245,6 @@ cdef class BacktestMarketDataClient(MarketDataClient):
         self._add_subscription_bars(bar_type)
         # Do nothing else for backtest
 
-    cpdef void subscribe_venue_status(self, Venue venue):
-        Condition.not_none(venue, "venue")
-
-        self._add_subscription_venue_status(venue)
-        # Do nothing else for backtest
-
     cpdef void subscribe_instrument_status(self, InstrumentId instrument_id):
         Condition.not_none(instrument_id, "instrument_id")
 
@@ -309,11 +303,6 @@ cdef class BacktestMarketDataClient(MarketDataClient):
         self._remove_subscription_instrument_status(instrument_id)
         # Do nothing else for backtest
 
-    cpdef void unsubscribe_venue_status(self, Venue venue):
-        Condition.not_none(venue, "venue")
-
-        self._remove_subscription_venue_status(venue)
-
     cpdef void unsubscribe_instrument_close(self, InstrumentId instrument_id):
         Condition.not_none(instrument_id, "instrument_id")
 

nautilus_trader/backtest/engine.pyx

@@ -85,7 +85,6 @@ from nautilus_trader.model.data cimport OrderBookDelta
 from nautilus_trader.model.data cimport OrderBookDeltas
 from nautilus_trader.model.data cimport QuoteTick
 from nautilus_trader.model.data cimport TradeTick
-from nautilus_trader.model.data cimport VenueStatus
 from nautilus_trader.model.identifiers cimport ClientId
 from nautilus_trader.model.identifiers cimport InstrumentId
 from nautilus_trader.model.identifiers cimport TraderId
@@ -1105,9 +1104,6 @@ cdef class BacktestEngine:
                 elif isinstance(data, Bar):
                     venue = self._venues[data.bar_type.instrument_id.venue]
                     venue.process_bar(data)
-                elif isinstance(data, VenueStatus):
-                    venue = self._venues[data.venue]
-                    venue.process_venue_status(data)
                 elif isinstance(data, InstrumentStatus):
                     venue = self._venues[data.instrument_id.venue]
                     venue.process_instrument_status(data)

nautilus_trader/backtest/exchange.pxd

@@ -37,7 +37,6 @@ from nautilus_trader.model.data cimport OrderBookDelta
 from nautilus_trader.model.data cimport OrderBookDeltas
 from nautilus_trader.model.data cimport QuoteTick
 from nautilus_trader.model.data cimport TradeTick
-from nautilus_trader.model.data cimport VenueStatus
 from nautilus_trader.model.identifiers cimport InstrumentId
 from nautilus_trader.model.identifiers cimport Venue
 from nautilus_trader.model.instruments.base cimport Instrument
@@ -138,7 +137,6 @@ cdef class SimulatedExchange:
     cpdef void process_quote_tick(self, QuoteTick tick)
     cpdef void process_trade_tick(self, TradeTick tick)
     cpdef void process_bar(self, Bar bar)
-    cpdef void process_venue_status(self, VenueStatus data)
     cpdef void process_instrument_status(self, InstrumentStatus data)
     cpdef void process(self, uint64_t ts_now)
     cpdef void reset(self)

nautilus_trader/backtest/exchange.pyx

@@ -47,7 +47,6 @@ from nautilus_trader.model.book cimport OrderBook
 from nautilus_trader.model.data cimport InstrumentStatus
 from nautilus_trader.model.data cimport QuoteTick
 from nautilus_trader.model.data cimport TradeTick
-from nautilus_trader.model.data cimport VenueStatus
 from nautilus_trader.model.functions cimport account_type_to_str
 from nautilus_trader.model.functions cimport oms_type_to_str
 from nautilus_trader.model.identifiers cimport InstrumentId
@@ -783,34 +782,14 @@ cdef class SimulatedExchange:
 
         matching_engine.process_bar(bar)
 
-    cpdef void process_venue_status(self, VenueStatus data):
-        """
-        Process the exchange for the given status.
-
-        Parameters
-        ----------
-        data : VenueStatus
-            The status update to process.
-
-        """
-        Condition.not_none(data, "data")
-
-        cdef SimulationModule module
-        for module in self.modules:
-            module.pre_process(data)
-
-        cdef OrderMatchingEngine matching_engine
-        for matching_engine in self._matching_engines.values():
-            matching_engine.process_status(data.status)
-
     cpdef void process_instrument_status(self, InstrumentStatus data):
         """
         Process a specific instrument status.
 
         Parameters
         ----------
-        data : VenueStatus
-            The status update to process.
+        data : InstrumentStatus
+            The instrument status update to process.
 
         """
         Condition.not_none(data, "data")

nautilus_trader/common/actor.pxd

@@ -40,7 +40,6 @@ from nautilus_trader.model.data cimport InstrumentStatus
 from nautilus_trader.model.data cimport OrderBookDeltas
 from nautilus_trader.model.data cimport QuoteTick
 from nautilus_trader.model.data cimport TradeTick
-from nautilus_trader.model.data cimport VenueStatus
 from nautilus_trader.model.identifiers cimport ClientId
 from nautilus_trader.model.identifiers cimport InstrumentId
 from nautilus_trader.model.identifiers cimport Venue
@@ -86,7 +85,6 @@ cdef class Actor(Component):
     cpdef void on_dispose(self)
     cpdef void on_degrade(self)
     cpdef void on_fault(self)
-    cpdef void on_venue_status(self, VenueStatus data)
     cpdef void on_instrument_status(self, InstrumentStatus data)
     cpdef void on_instrument_close(self, InstrumentClose data)
     cpdef void on_instrument(self, Instrument instrument)
@@ -160,7 +158,6 @@ cdef class Actor(Component):
     cpdef void subscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=*)
     cpdef void subscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=*)
     cpdef void subscribe_bars(self, BarType bar_type, ClientId client_id=*, bint await_partial=*)
-    cpdef void subscribe_venue_status(self, Venue venue, ClientId client_id=*)
     cpdef void subscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=*)
     cpdef void subscribe_instrument_close(self, InstrumentId instrument_id, ClientId client_id=*)
     cpdef void unsubscribe_data(self, DataType data_type, ClientId client_id=*)
@@ -171,7 +168,6 @@ cdef class Actor(Component):
     cpdef void unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=*)
     cpdef void unsubscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=*)
     cpdef void unsubscribe_bars(self, BarType bar_type, ClientId client_id=*)
-    cpdef void unsubscribe_venue_status(self, Venue venue, ClientId client_id=*)
     cpdef void unsubscribe_instrument_status(self, InstrumentId instrument_id, ClientId client_id=*)
     cpdef void publish_data(self, DataType data_type, Data data)
     cpdef void publish_signal(self, str name, value, uint64_t ts_event=*)
@@ -248,7 +244,6 @@ cdef class Actor(Component):
     cpdef void handle_bar(self, Bar bar)
     cpdef void handle_bars(self, list bars)
     cpdef void handle_data(self, Data data)
-    cpdef void handle_venue_status(self, VenueStatus data)
     cpdef void handle_instrument_status(self, InstrumentStatus data)
     cpdef void handle_instrument_close(self, InstrumentClose data)
     cpdef void handle_historical_data(self, data)