Release 1.168.0

See release notes.

.github/workflows/build.yml

@@ -110,12 +110,16 @@ jobs:
       # Run tests (Linux)
       - name: Run tests (Linux)
         if: runner.os == 'Linux'
-        run: make pytest
+        run: |
+          make pytest
+          make test-examples
 
       # Run tests (macOS)
       - name: Run tests (macOS)
         if: runner.os == 'macOS'
-        run: make pytest
+        run: |
+          make pytest
+          make test-examples
 
       # Run tests (Windows) without parallel build (avoids linker errors)
       - name: Run tests (Windows)

.pre-commit-config.yaml

@@ -56,7 +56,7 @@ repos:
         types: [python]
 
   - repo: https://github.com/pycqa/isort
-    rev: 5.11.4
+    rev: 5.12.0
     hooks:
       - id: isort
         types_or: [python, cython]

Makefile

@@ -71,3 +71,6 @@ pytest:
 
 pytest-coverage:
 	bash scripts/test-coverage.sh
+
+test-examples:
+	bash scripts/test-examples.sh

README.md

@@ -112,7 +112,7 @@ eliminating many classes of bugs at compile-time.
 The project increasingly utilizes Rust for core performance-critical components. Python language binding is handled through
 Cython, with static libraries linked at compile-time before the wheel binaries are packaged, so a user
 does not need to have Rust installed to run NautilusTrader. In the future as more Rust code is introduced,
-[PyO3](https://pyo3.rs/v0.15.1/) will be leveraged for easier Python bindings.
+[PyO3](https://pyo3.rs/latest/) will be leveraged for easier Python bindings.
 
 ## Architecture (data flow)
 

RELEASES.md

@@ -1,13 +1,33 @@
+# NautilusTrader 1.168.0 Beta
+
+Released on 29th January 2023 (UTC).
+
+### Breaking Changes
+- Removed `Cache.clear_cache()` (redundant with the `.reset()` method)
+
+### Enhancements
+- Added `Cache` `.add(...)` and `.get(...)` for general 'user/custom' objects (as bytes)
+- Added `CacheDatabase` `.add(...)` and `.load()` for general cache objects (as bytes)
+- Added `RedisCacheDatabase` `.add(...) `and `.load()` for general Redis persisted bytes objects (as bytes)
+- Added `Cache.actor_ids()`
+- Added `Actor` cached state saving and loading functionality
+- Improved logging for called action handlers when not overridden
+
+### Fixes
+- Fixed configuration of loading and saving actor and strategy state
+
+---
+
 # NautilusTrader 1.167.0 Beta
 
 Released on 28th January 2023 (UTC).
 
 ### Breaking Changes
-- Rename `OrderBookData.update_id` to `sequence`
-- Rename `BookOrder.id` to `order_id`
+- Renamed `OrderBookData.update_id` to `sequence`
+- Renamed `BookOrder.id` to `order_id`
 
 ### Enhancements
-- Introduce Rust pyo3 based `ParquetReader` and `ParquetWriter`, thanks @twitu
+- Introduced Rust pyo3 based `ParquetReader` and `ParquetWriter`, thanks @twitu
 - Added `msgbus.is_subscribed` (to check if topic and handler already subscribed)
 - Simplified message type model and introduce CQRS-ish live messaging architecture
 

examples/backtest/fx_ema_cross_audusd_bars_from_ticks.py

@@ -23,6 +23,7 @@
 from nautilus_trader.backtest.data.wranglers import QuoteTickDataWrangler
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
+from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
 from nautilus_trader.examples.strategies.ema_cross import EMACross
 from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
@@ -46,7 +47,8 @@
     # the data is coming from packaged test data.
     provider = TestDataProvider()
     interest_rate_data = provider.read_csv("short-term-interest.csv")
-    fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
+    config = FXRolloverInterestConfig(interest_rate_data)
+    fx_rollover_interest = FXRolloverInterestModule(config=config)
 
     # Add a trading venue (multiple venues possible)
     SIM = Venue("SIM")

examples/backtest/fx_ema_cross_audusd_ticks.py

@@ -24,6 +24,7 @@
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
 from nautilus_trader.backtest.models import FillModel
+from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
 from nautilus_trader.examples.strategies.ema_cross import EMACross
 from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
@@ -56,7 +57,8 @@
     # the data is coming from packaged test data.
     provider = TestDataProvider()
     interest_rate_data = provider.read_csv("short-term-interest.csv")
-    fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
+    config = FXRolloverInterestConfig(interest_rate_data)
+    fx_rollover_interest = FXRolloverInterestModule(config=config)
 
     # Add a trading venue (multiple venues possible)
     SIM = Venue("SIM")

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_external.py

@@ -24,6 +24,7 @@
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
 from nautilus_trader.backtest.models import FillModel
+from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
 from nautilus_trader.config.common import RiskEngineConfig
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracket
@@ -53,7 +54,8 @@
     # the data is coming from packaged test data.
     provider = TestDataProvider()
     interest_rate_data = provider.read_csv("short-term-interest.csv")
-    fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
+    config = FXRolloverInterestConfig(interest_rate_data)
+    fx_rollover_interest = FXRolloverInterestModule(config=config)
 
     # Create a fill model (optional)
     fill_model = FillModel(

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_internal.py

@@ -24,6 +24,7 @@
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
 from nautilus_trader.backtest.models import FillModel
+from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
 from nautilus_trader.config.common import RiskEngineConfig
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracket
@@ -52,7 +53,8 @@
     # the data is coming from packaged test data.
     provider = TestDataProvider()
     interest_rate_data = provider.read_csv("short-term-interest.csv")
-    fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
+    config = FXRolloverInterestConfig(interest_rate_data)
+    fx_rollover_interest = FXRolloverInterestModule(config=config)
 
     # Create a fill model (optional)
     fill_model = FillModel(

examples/backtest/fx_market_maker_gbpusd_bars.py

@@ -25,6 +25,7 @@
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
 from nautilus_trader.backtest.models import FillModel
+from nautilus_trader.backtest.modules import FXRolloverInterestConfig
 from nautilus_trader.backtest.modules import FXRolloverInterestModule
 from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMaker
 from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMakerConfig
@@ -48,7 +49,8 @@
     # the data is coming from packaged test data.
     provider = TestDataProvider()
     interest_rate_data = provider.read_csv("short-term-interest.csv")
-    fx_rollover_interest = FXRolloverInterestModule(rate_data=interest_rate_data)
+    config = FXRolloverInterestConfig(interest_rate_data)
+    fx_rollover_interest = FXRolloverInterestModule(config=config)
 
     # Create a fill model (optional)
     fill_model = FillModel(

nautilus_core/model/Cargo.toml

@@ -11,17 +11,15 @@ name = "nautilus_model"
 crate-type = ["rlib", "staticlib"]
 
 [dependencies]
+derive_builder = "0.12.0"
 nautilus_core = { path = "../core" }
 pyo3.workspace = true
 rust-fsm.workspace = true
 strum.workspace = true
 thiserror.workspace = true
 
 [features]
-extension-module = [
-    "pyo3/extension-module",
-    "nautilus_core/extension-module",
-]
+extension-module = ["pyo3/extension-module", "nautilus_core/extension-module"]
 default = []
 
 [dev-dependencies]