Update gh-pages to output generated at 194d10f

nightly/_sources/integrations/binance.md.txt

@@ -223,6 +223,37 @@ instrument_provider=InstrumentProviderConfig(
 )
 ```
 
+## Order books
+
+```{note}
+The Nautilus team is currently working on this section.
+```
+
+Order books can be maintained at full or partial depths depending on the
+subscription options. WebSocket stream throttling is different between
+Spot and Futures exchanges, Nautilus will automatically use the highest streaming
+rate possible:
+
+- Spot 100ms
+- Futures 0ms (unthrottled)
+
+There is a limitation of one order book per instrument per trader instance.
+As stream subscriptions may vary, the latest order book data (deltas or snapshots)
+subscription will be used by the Binance data client.
+
+Order book snapshot rebuilds will be triggered:
+- On initial subscription of the order book data
+- On data websocket reconnects
+
+The sequence of events is as follows:
+- Deltas will start buffered
+- Snapshot is requested and awaited
+- Snapshot response is parsed to `OrderBookDeltas`
+- Snapshot deltas are sent to the `DataEngine`
+- Buffered deltas are iterated, dropping those where the sequence number is not greater than the last delta in the snapshot
+- Deltas will stop buffering
+- Remaining deltas are sent to the `DataEngine`
+
 ## Binance specific data
 
 It's possible to subscribe to Binance specific data streams as they become available to the

nightly/_sources/integrations/databento.md.txt

@@ -117,7 +117,7 @@ Nautilus data includes at *least* two timestamps (required by the `Data` contrac
 - `ts_init` - The UNIX timestamp (nanoseconds) when the data object was initialized
 
 When decoding and normalizing Databento to Nautilus we generally assign the Databento `ts_recv` value to the Nautilus
-`ts_event` field, as this timestamp is much more reliable and consistent, and is guaranteed to be monotonically increasing per symbol.
+`ts_event` field, as this timestamp is much more reliable and consistent, and is guaranteed to be monotonically increasing per instrument.
 
 See the following Databento docs for further information:
 - [Databento standards and conventions - timestamps](https://docs.databento.com/knowledge-base/new-users/standards-conventions/timestamps)
@@ -165,11 +165,11 @@ object, which occurs during the replay startup sequence.
 
 This schema represents the top-of-book only. Like with MBO messages, some
 messages carry trade information, and so when decoding MBP-1 messages Nautilus 
-will produce a `QuoteTick` and optionally a `TradeTick`.
+will produce a `QuoteTick` and also a `TradeTick` if the message is a trade.
 
 ### OHLCV (bar aggregates)
 
-The Databento bar aggregation schemas are timestamped at the **open** of the bar interval.
+The Databento bar aggregation messages are timestamped at the **open** of the bar interval.
 The Nautilus decoder will normalize the `ts_event` timestamps to the **close** of the bar
 (original `ts_event` + bar interval).
 
@@ -201,7 +201,7 @@ There are two `DatabentoLiveClient`s per Databento dataset:
 ```{note}
 There is currently a limitation that all MBO (order book deltas) subscriptions for a dataset have to be made at
 node startup, to then be able to replay data from the beginning of the session. If subsequent subscriptions
-arrive after start, then they will be ignored and an error logged.
+arrive after start, then an error will be logged (and the subscription ignored).
 
 There is no such limitation for any of the other Databento schemas.
 ```
@@ -224,7 +224,8 @@ config = TradingNodeConfig(
     data_clients={
         DATABENTO: {
             "api_key": None,  # 'DATABENTO_API_KEY' env var
-            "http_gateway": None,  # Override for the default HTTP gateway
+            "http_gateway": None,  # Override for the default HTTP historical gateway
+            "live_gateway": None,  # Override for the default raw TCP real-time gateway
             "instrument_provider": InstrumentProviderConfig(load_all=True),
             "instrument_ids": None,  # Nautilus instrument IDs to load on start
             "parent_symbols": None,  # Databento parent symbols to load on start
@@ -254,7 +255,7 @@ node.build()
 
 - `api_key` - The Databento API secret key. If ``None`` then will source the `DATABENTO_API_KEY` environment variable
 - `http_gateway` - The historical HTTP client gateway override (useful for testing and typically not needed by most users)
-- `live_gateway` - The live client gateway override (useful for testing and typically not needed by most users)
+- `live_gateway` - The raw TCP real-time client gateway override (useful for testing and typically not needed by most users)
 - `parent_symbols` - The Databento parent symbols to subscribe to instrument definitions for on start. This is a map of Databento dataset keys -> to a sequence of the parent symbols, e.g. {'GLBX.MDP3', ['ES.FUT', 'ES.OPT']} (for all E-mini S&P 500 futures and options products)
 - `instrument_ids` - The instrument IDs to request instrument definitions for on start
 - `timeout_initial_load` - The timeout (seconds) to wait for instruments to load (concurrently per dataset).

nightly/api_reference/adapters/interactive_brokers.html

@@ -12080,7 +12080,7 @@ <h2 id="module-nautilus_trader.adapters.interactive_brokers.config">
               at
              </span>
              <span class="pre">
-              0x7f17867029d0&gt;
+              0x7f66af21d850&gt;
              </span>
              <span class="pre">
               =

nightly/integrations/binance.html

@@ -780,6 +780,11 @@
               </li>
              </ul>
             </li>
+            <li class="md-nav__item">
+             <a class="md-nav__link" href="#order-books">
+              Order books
+             </a>
+            </li>
             <li class="md-nav__item">
              <a class="md-nav__link" href="#binance-specific-data">
               Binance specific data
@@ -1808,6 +1813,115 @@ <h3 id="parser-warnings">
           </div>
          </section>
         </section>
+        <section id="order-books">
+         <h2 id="order-books">
+          Order books
+          <a class="headerlink" href="#order-books" title="Permalink to this heading">
+           ¶
+          </a>
+         </h2>
+         <div class="admonition note">
+          <p class="admonition-title">
+           Note
+          </p>
+          <p>
+           The Nautilus team is currently working on this section.
+          </p>
+         </div>
+         <p>
+          Order books can be maintained at full or partial depths depending on the
+subscription options. WebSocket stream throttling is different between
+Spot and Futures exchanges, Nautilus will automatically use the highest streaming
+rate possible:
+         </p>
+         <ul class="simple">
+          <li>
+           <p>
+            Spot 100ms
+           </p>
+          </li>
+          <li>
+           <p>
+            Futures 0ms (unthrottled)
+           </p>
+          </li>
+         </ul>
+         <p>
+          There is a limitation of one order book per instrument per trader instance.
+As stream subscriptions may vary, the latest order book data (deltas or snapshots)
+subscription will be used by the Binance data client.
+         </p>
+         <p>
+          Order book snapshot rebuilds will be triggered:
+         </p>
+         <ul class="simple">
+          <li>
+           <p>
+            On initial subscription of the order book data
+           </p>
+          </li>
+          <li>
+           <p>
+            On data websocket reconnects
+           </p>
+          </li>
+         </ul>
+         <p>
+          The sequence of events is as follows:
+         </p>
+         <ul class="simple">
+          <li>
+           <p>
+            Deltas will start buffered
+           </p>
+          </li>
+          <li>
+           <p>
+            Snapshot is requested and awaited
+           </p>
+          </li>
+          <li>
+           <p>
+            Snapshot response is parsed to
+            <code class="docutils literal notranslate">
+             <span class="pre">
+              OrderBookDeltas
+             </span>
+            </code>
+           </p>
+          </li>
+          <li>
+           <p>
+            Snapshot deltas are sent to the
+            <code class="docutils literal notranslate">
+             <span class="pre">
+              DataEngine
+             </span>
+            </code>
+           </p>
+          </li>
+          <li>
+           <p>
+            Buffered deltas are iterated, dropping those where the sequence number is not greater than the last delta in the snapshot
+           </p>
+          </li>
+          <li>
+           <p>
+            Deltas will stop buffering
+           </p>
+          </li>
+          <li>
+           <p>
+            Remaining deltas are sent to the
+            <code class="docutils literal notranslate">
+             <span class="pre">
+              DataEngine
+             </span>
+            </code>
+           </p>
+          </li>
+         </ul>
+        </section>
         <section id="binance-specific-data">
          <h2 id="binance-specific-data">
           Binance specific data

nightly/integrations/databento.html

@@ -1532,7 +1532,7 @@ <h2 id="timestamps">
             ts_event
            </span>
           </code>
-          field, as this timestamp is much more reliable and consistent, and is guaranteed to be monotonically increasing per symbol.
+          field, as this timestamp is much more reliable and consistent, and is guaranteed to be monotonically increasing per instrument.
          </p>
          <p>
           See the following Databento docs for further information:
@@ -1812,13 +1812,13 @@ <h3 id="mbp-1-market-by-price-top-of-book">
              QuoteTick
             </span>
            </code>
-           and optionally a
+           and also a
            <code class="docutils literal notranslate">
             <span class="pre">
              TradeTick
             </span>
            </code>
-           .
+           if the message is a trade.
           </p>
          </section>
          <section id="ohlcv-bar-aggregates">
@@ -1829,7 +1829,7 @@ <h3 id="ohlcv-bar-aggregates">
            </a>
           </h3>
           <p>
-           The Databento bar aggregation schemas are timestamped at the
+           The Databento bar aggregation messages are timestamped at the
            <strong>
             open
            </strong>
@@ -1947,7 +1947,7 @@ <h2 id="real-time-client-architecture">
           <p>
            There is currently a limitation that all MBO (order book deltas) subscriptions for a dataset have to be made at
 node startup, to then be able to replay data from the beginning of the session. If subsequent subscriptions
-arrive after start, then they will be ignored and an error logged.
+arrive after start, then an error will be logged (and the subscription ignored).
           </p>
           <p>
            There is no such limitation for any of the other Databento schemas.
@@ -2010,7 +2010,8 @@ <h2 id="configuration">
     <span class="n">data_clients</span><span class="o">=</span><span class="p">{</span>
         <span class="n">DATABENTO</span><span class="p">:</span> <span class="p">{</span>
             <span class="s2">"api_key"</span><span class="p">:</span> <span class="kc">None</span><span class="p">,</span>  <span class="c1"># 'DATABENTO_API_KEY' env var</span>
-            <span class="s2">"http_gateway"</span><span class="p">:</span> <span class="kc">None</span><span class="p">,</span>  <span class="c1"># Override for the default HTTP gateway</span>
+            <span class="s2">"http_gateway"</span><span class="p">:</span> <span class="kc">None</span><span class="p">,</span>  <span class="c1"># Override for the default HTTP historical gateway</span>
+            <span class="s2">"live_gateway"</span><span class="p">:</span> <span class="kc">None</span><span class="p">,</span>  <span class="c1"># Override for the default raw TCP real-time gateway</span>
             <span class="s2">"instrument_provider"</span><span class="p">:</span> <span class="n">InstrumentProviderConfig</span><span class="p">(</span><span class="n">load_all</span><span class="o">=</span><span class="kc">True</span><span class="p">),</span>
             <span class="s2">"instrument_ids"</span><span class="p">:</span> <span class="kc">None</span><span class="p">,</span>  <span class="c1"># Nautilus instrument IDs to load on start</span>
             <span class="s2">"parent_symbols"</span><span class="p">:</span> <span class="kc">None</span><span class="p">,</span>  <span class="c1"># Databento parent symbols to load on start</span>
@@ -2093,7 +2094,7 @@ <h3 id="configuration-parameters">
                live_gateway
               </span>
              </code>
-             - The live client gateway override (useful for testing and typically not needed by most users)
+             - The raw TCP real-time client gateway override (useful for testing and typically not needed by most users)
             </p>
            </li>
            <li>