Add Actor.unsubscribe_order_book_depth

Author: cjdsellers

RELEASES.md

@@ -5,6 +5,7 @@ Released on TBD (UTC).
 ### Enhancements
 - Added processing of `OrderBookDepth10` for `BacktestEngine` and `OrderMatchingEngine` (#2542), thanks @limx0
 - Added `Actor.subscribe_order_book_depth(...)` subscription method (#2555), thanks @limx0
+- Added `Actor.unsubscribe_order_book_depth(...)` subscription method
 - Added `Actor.on_order_book_depth(...)` handler method (#2555), thanks @limx0
 - Added WebSocket batch order operations for Bybit (#2521), thanks @sunlei
 - Added `UnixNanos::max()` convenience method for the maximum valid value

nautilus_trader/common/actor.pxd

@@ -187,6 +187,7 @@ cdef class Actor(Component):
     cpdef void unsubscribe_instruments(self, Venue venue, ClientId client_id=*, dict[str, object] params=*)
     cpdef void unsubscribe_instrument(self, InstrumentId instrument_id, ClientId client_id=*, dict[str, object] params=*)
     cpdef void unsubscribe_order_book_deltas(self, InstrumentId instrument_id, ClientId client_id=*, dict[str, object] params=*)
+    cpdef void unsubscribe_order_book_depth(self, InstrumentId instrument_id, ClientId client_id=*, dict[str, object] params=*)
     cpdef void unsubscribe_order_book_at_interval(self, InstrumentId instrument_id, int interval_ms=*, ClientId client_id=*, dict[str, object] params=*)
     cpdef void unsubscribe_quote_ticks(self, InstrumentId instrument_id, ClientId client_id=*, dict[str, object] params=*)
     cpdef void unsubscribe_trade_ticks(self, InstrumentId instrument_id, ClientId client_id=*, dict[str, object] params=*)

nautilus_trader/common/actor.pyx

@@ -1987,6 +1987,48 @@ cdef class Actor(Component):
 
         self._send_data_cmd(command)
 
+    cpdef void unsubscribe_order_book_depth(
+        self,
+        InstrumentId instrument_id,
+        ClientId client_id = None,
+        dict[str, object] params = None,
+    ):
+        """
+        Unsubscribe the order book depth stream for the given instrument ID.
+
+        Parameters
+        ----------
+        instrument_id : InstrumentId
+            The order book instrument to subscribe to.
+        client_id : ClientId, optional
+            The specific client ID for the command.
+            If ``None`` then will be inferred from the venue in the instrument ID.
+        params : dict[str, Any], optional
+            Additional parameters potentially used by a specific client.
+
+        """
+        Condition.not_none(instrument_id, "instrument_id")
+        Condition.is_true(self.trader_id is not None, "The actor has not been registered")
+
+        self._msgbus.unsubscribe(
+            topic=f"data.book.depth"
+                  f".{instrument_id.venue}"
+                  f".{instrument_id.symbol.topic()}",
+            handler=self.handle_order_book_depth,
+        )
+
+        cdef UnsubscribeOrderBook command = UnsubscribeOrderBook(
+            instrument_id=instrument_id,
+            only_deltas=True,
+            client_id=client_id,
+            venue=instrument_id.venue,
+            command_id=UUID4(),
+            ts_init=self._clock.timestamp_ns(),
+            params=params,
+        )
+
+        self._send_data_cmd(command)
+
     cpdef void unsubscribe_order_book_at_interval(
         self,
         InstrumentId instrument_id,
@@ -3295,7 +3337,7 @@ cdef class Actor(Component):
         """
         Handle the given order book depth
 
-        Passes to `on_order_book` if state is ``RUNNING``.
+        Passes to `on_order_book_depth` if state is ``RUNNING``.
 
         Parameters
         ----------
@@ -3307,7 +3349,7 @@ cdef class Actor(Component):
         System method (not intended to be called by user code).
 
         """
-        Condition.not_none(depth, "order_book")
+        Condition.not_none(depth, "depth")
 
         if self._fsm.state == ComponentState.RUNNING:
             try:

tests/unit_tests/common/test_actor.py

@@ -1589,7 +1589,7 @@ def test_unsubscribe_custom_data_with_client_id(self) -> None:
         assert self.data_engine.command_count == 2
         assert len(actor.msgbus.subscriptions()) == 4  # Portfolio subscriptions only
 
-    def test_subscribe_order_book_at_interval(self) -> None:
+    def test_subscribe_order_book_deltas(self) -> None:
         # Arrange
         actor = MockActor()
         actor.register_base(
@@ -1600,12 +1600,12 @@ def test_subscribe_order_book_at_interval(self) -> None:
         )
 
         # Act
-        actor.subscribe_order_book_at_interval(AUDUSD_SIM.id, book_type=BookType.L2_MBP)
+        actor.subscribe_order_book_deltas(AUDUSD_SIM.id, book_type=BookType.L2_MBP)
 
         # Assert
         assert self.data_engine.command_count == 1
 
-    def test_unsubscribe_order_book_at_interval(self) -> None:
+    def test_unsubscribe_order_book_deltas(self) -> None:
         # Arrange
         actor = MockActor()
         actor.register_base(
@@ -1615,15 +1615,15 @@ def test_unsubscribe_order_book_at_interval(self) -> None:
             clock=self.clock,
         )
 
-        actor.subscribe_order_book_at_interval(AUDUSD_SIM.id, book_type=BookType.L2_MBP)
+        actor.subscribe_order_book_deltas(AUDUSD_SIM.id)
 
         # Act
-        actor.unsubscribe_order_book_at_interval(AUDUSD_SIM.id)
+        actor.unsubscribe_order_book_deltas(AUDUSD_SIM.id)
 
         # Assert
         assert self.data_engine.command_count == 2
 
-    def test_subscribe_order_book_data(self) -> None:
+    def test_subscribe_order_book_depth10(self) -> None:
         # Arrange
         actor = MockActor()
         actor.register_base(
@@ -1634,12 +1634,12 @@ def test_subscribe_order_book_data(self) -> None:
         )
 
         # Act
-        actor.subscribe_order_book_deltas(AUDUSD_SIM.id, book_type=BookType.L2_MBP)
+        actor.subscribe_order_book_depth(AUDUSD_SIM.id, book_type=BookType.L2_MBP, depth=10)
 
         # Assert
         assert self.data_engine.command_count == 1
 
-    def test_unsubscribe_order_book_deltas(self) -> None:
+    def test_unsubscribe_order_book_depth10(self) -> None:
         # Arrange
         actor = MockActor()
         actor.register_base(
@@ -1649,10 +1649,44 @@ def test_unsubscribe_order_book_deltas(self) -> None:
             clock=self.clock,
         )
 
-        actor.unsubscribe_order_book_deltas(AUDUSD_SIM.id)
+        actor.subscribe_order_book_depth(AUDUSD_SIM.id, book_type=BookType.L2_MBP, depth=10)
 
         # Act
-        actor.unsubscribe_order_book_deltas(AUDUSD_SIM.id)
+        actor.unsubscribe_order_book_depth(AUDUSD_SIM.id)
+
+        # Assert
+        assert self.data_engine.command_count == 2
+
+    def test_subscribe_order_book_at_interval(self) -> None:
+        # Arrange
+        actor = MockActor()
+        actor.register_base(
+            portfolio=self.portfolio,
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+        )
+
+        # Act
+        actor.subscribe_order_book_at_interval(AUDUSD_SIM.id, book_type=BookType.L2_MBP)
+
+        # Assert
+        assert self.data_engine.command_count == 1
+
+    def test_unsubscribe_order_book_at_interval(self) -> None:
+        # Arrange
+        actor = MockActor()
+        actor.register_base(
+            portfolio=self.portfolio,
+            msgbus=self.msgbus,
+            cache=self.cache,
+            clock=self.clock,
+        )
+
+        actor.subscribe_order_book_at_interval(AUDUSD_SIM.id, book_type=BookType.L2_MBP)
+
+        # Act
+        actor.unsubscribe_order_book_at_interval(AUDUSD_SIM.id)
 
         # Assert
         assert self.data_engine.command_count == 2