TradeTick

TradeTick represents one executed trade or match event from a venue. It carries the traded price, size, aggressor side, and venue trade identifier.

Fields

Field	Rust type	Python type	Required/default	Notes
instrument_id	InstrumentId	InstrumentId	Required	Instrument for the trade.
price	Price	Price	Required	Executed price.
size	Quantity	Quantity	Required	Executed quantity.
aggressor_side	AggressorSide	AggressorSide	Required	Buyer, seller, or no aggressor.
trade_id	TradeId	TradeId	Required	Venue‑assigned match ID.
ts_event	UnixNanos	int	Required	Event timestamp in nanoseconds.
ts_init	UnixNanos	int	Required	Initialization timestamp in nanoseconds.

Behavior

• size must be positive.
• Information‑driven bars require TradeTick data because they use aggressor_side.
• Trade bars use LAST price type.
• trade_id should be stable for the venue event when the venue provides one.

Example

use nautilus_core::UnixNanos;
use nautilus_model::{
    data::TradeTick,
    enums::AggressorSide,
    identifiers::{InstrumentId, TradeId},
    types::{Price, Quantity},
};

let trade = TradeTick::new(
    InstrumentId::from("BTCUSDT.BINANCE"),
    Price::from("65000.10"),
    Quantity::from("0.25"),
    AggressorSide::Buyer,
    TradeId::from("123456789"),
    UnixNanos::from(1_000_000_000),
    UnixNanos::from(1_000_000_100),
);

from nautilus_trader.model import InstrumentId
from nautilus_trader.model import Price
from nautilus_trader.model import Quantity
from nautilus_trader.model import TradeId
from nautilus_trader.model import TradeTick
from nautilus_trader.model.enums import AggressorSide

trade = TradeTick(
    instrument_id=InstrumentId.from_str("BTCUSDT.BINANCE"),
    price=Price.from_str("65000.10"),
    size=Quantity.from_str("0.25"),
    aggressor_side=AggressorSide.BUYER,
    trade_id=TradeId("123456789"),
    ts_event=1_000_000_000,
    ts_init=1_000_000_100,
)

Related guides

• Bar covers trade‑to‑bar aggregation.
• Information‑driven bars explains aggressor‑side use.
• Python API reference lists Python members.