Order Cache Order

[ccitzen]

Calling self.cache.orders() returns a list of orders. Below is an example. How is this list of orders... ordered? It doesn't appear to be by timestamp, as you might imagine.

If the ordering here is not being used elsewhere in Nautilus, my suggestion would be order the output by timestamp. I want to get the last trade for a specific tag, so that I can get the side and quantity, so that I can close the relative value trade precisely without impacting other ongoing trades on the same instrument. I can record the ClientOrderId on order submission, so this issue is generally avoidable. But wanted to discuss here how this cache is ordered, because it could be generally useful to be able to grab the Xth order.

MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5444, venue_order_id=BINANCE-109-095, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(SELL 17 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5140, venue_order_id=BINANCE-109-056, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5097, venue_order_id=BINANCE-109-049, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5306, venue_order_id=BINANCE-109-079, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-1373, venue_order_id=BINANCE-109-012, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-1721, venue_order_id=BINANCE-109-013, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5163, venue_order_id=BINANCE-109-061, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-2502, venue_order_id=BINANCE-109-018, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-4006, venue_order_id=BINANCE-109-034, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5326, venue_order_id=BINANCE-109-083, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5101, venue_order_id=BINANCE-109-051, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(SELL 15 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5399, venue_order_id=BINANCE-109-090, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-3139, venue_order_id=BINANCE-109-030, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(SELL 16 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5493, venue_order_id=BINANCE-109-098, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-4322, venue_order_id=BINANCE-109-036, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-4374, venue_order_id=BINANCE-109-039, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 16 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5562, venue_order_id=BINANCE-109-110, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(SELL 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-2887, venue_order_id=BINANCE-109-025, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-2853, venue_order_id=BINANCE-109-024, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(SELL 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220212-001-000-2840, venue_order_id=BINANCE-109-023, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL), MarketOrder(BUY 20 OXTUSDT.BINANCE MARKET GTC, status=FILLED, client_order_id=O-20220213-001-000-5496, venue_order_id=BINANCE-109-099, tags=OXTUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL+STXUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL)]

[cjdsellers]

So for the cache we generally store in dictionaries (IDs as keys e.g. client_order_id for the orders). However, for efficient operations across many filter params we use sets, which results in a random order when returned as a list.

If we were to call sort internally in the cache there would be a performance hit. Whilst it might seem intuitive on first pass to return based on some kind of insertion order, or ts_init. There are actually many potential ways one could sort, and so seems better to leave this open to individual user preference (especially considering the performance hit). It's fairly trivial for a user to call something like sorted(orders, key=lambda o: o.ts_init).

I will add some detail to the cache docs to explain the random order of returned lists where applicable.