InstrumentClose

InstrumentClose represents a closing price event for an instrument at a venue. It is used for end-of-session closes and contract-expiry close events.

Fields

Field	Rust type	Python type	Required/default	Notes
instrument_id	InstrumentId	InstrumentId	Required	Instrument being closed.
close_price	Price	Price	Required	Closing or settlement price.
close_type	InstrumentCloseType	InstrumentCloseType	Required	END_OF_SESSION or CONTRACT_EXPIRED.
ts_event	UnixNanos	int	Required	Event timestamp in nanoseconds.
ts_init	UnixNanos	int	Required	Initialization timestamp in nanoseconds.

Behavior

• End-of-session closes provide session-level close prices.
• Contract-expiry closes mark expiration events for dated contracts.
• The close price is reference data; it does not imply a trade occurred at that price.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::InstrumentClose,
    enums::InstrumentCloseType,
    identifiers::InstrumentId,
    types::Price,
};

let close = InstrumentClose::new(
    InstrumentId::from("ESM4.XCME"),
    Price::from("5325.25"),
    InstrumentCloseType::EndOfSession,
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

from nautilus_trader.model import InstrumentClose
from nautilus_trader.model import InstrumentCloseType
from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Price

close = InstrumentClose(
    instrument_id=InstrumentId.from_str("ESM4.XCME"),
    close_price=Price.from_str("5325.25"),
    close_type=InstrumentCloseType.END_OF_SESSION,
    ts_event=1_000_000_000,
    ts_init=1_000_000_100,
)

Related guides

• InstrumentStatus covers instrument status events.
• Instruments covers instrument definitions.
• Python API Reference lists Python members.