Release 1.163.0

See release notes.

.pre-commit-config.yaml

@@ -49,14 +49,14 @@ repos:
         name: pycln (remove unused imports)
 
   - repo: https://github.com/asottile/add-trailing-comma
-    rev: v2.3.0
+    rev: v2.4.0
     hooks:
       - id: add-trailing-comma
         name: add-trailing-comma
         types: [python]
 
   - repo: https://github.com/pycqa/isort
-    rev: 5.10.1
+    rev: v5.11.3
     hooks:
       - id: isort
         types_or: [python, cython]

Makefile

@@ -11,13 +11,10 @@ EXTRAS?="betfair docker ib redis"
 .PHONY: pytest pytest-coverage
 
 install:
-	poetry install --extras ${EXTRAS}
-
-install-dev:
-	poetry install --with dev,test,docs --extras ${EXTRAS}
+	poetry install --with dev,test --extras ${EXTRAS}
 
 install-just-deps:
-	poetry install --with dev,test,docs --extras ${EXTRAS} --no-root
+	poetry install --with dev,test --extras ${EXTRAS} --no-root
 
 build: nautilus_trader
 	poetry run python build.py

README.md

@@ -13,11 +13,11 @@
 | `master`  | ![version](https://img.shields.io/endpoint?url=https%3A%2F%2Fraw.githubusercontent.com%2Fnautechsystems%2Fnautilus_trader%2Fmaster%2Fversion.json) | [![build](https://github.com/nautechsystems/nautilus_trader/actions/workflows/build.yml/badge.svg?branch=master)](https://github.com/nautechsystems/nautilus_trader/actions/workflows/build.yml) |
 | `develop` | ![version](https://img.shields.io/endpoint?url=https%3A%2F%2Fraw.githubusercontent.com%2Fnautechsystems%2Fnautilus_trader%2Fdevelop%2Fversion.json) | [![build](https://github.com/nautechsystems/nautilus_trader/actions/workflows/build.yml/badge.svg?branch=develop)](https://github.com/nautechsystems/nautilus_trader/actions/workflows/build.yml) |
 
-| Platform         | Rust      | Python |
-|:-----------------|:----------|:-------|
-| Linux (x86_64)   | `1.65.0+` | `3.9+` |
-| macOS (x86_64)   | `1.65.0+` | `3.9+` |
-| Windows (x86_64) | `1.65.0+` | `3.9+` |
+| Platform          | Rust      | Python |
+|:------------------|:----------|:-------|
+| Linux (x86\_64)   | `1.66.0+` | `3.9+` |
+| macOS (x86\_64)   | `1.66.0+` | `3.9+` |
+| Windows (x86\_64) | `1.66.0+` | `3.9+` |
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io
@@ -205,15 +205,15 @@ point we will follow a formal process for releases, with deprecation periods for
 
 ## Makefile
 
-A `Makefile` is provided to automate most installation and build tasks. It provides the following targets:
-- `make install` -- Installs the package using poetry
-- `make install-dev` -- Installs the package using poetry (including all dev and test dependencies)
+A `Makefile` is provided to automate most installation and build tasks for development. It provides the following targets:
+- `make install` -- Installs the main, dev and test dependencies then installs the package using poetry
+- `make install-just-deps` -- Installs just the main, dev and test dependencies (does not install package)
 - `make build` -- Runs the Cython build script
 - `make clean` -- Cleans all non-source artifacts from the repository
 - `make docs` -- Builds the documentation HTML using Sphinx
 - `make pre-commit` -- Runs the pre-commit checks over all files
-- `make pytest` -- Ensures all test dependencies are installed and runs all tests with pytest (except performance)
-- `make pytest-coverage` -- Same as `make pytest` and additionally runs test coverage and produces a report
+- `make pytest` -- Ensures all test dependencies are installed and runs all tests with `pytest` (except performance tests)
+- `make pytest-coverage` -- Same as `make pytest` and additionally runs with test coverage and produces a report
 
 ## Examples
 

RELEASES.md

@@ -1,3 +1,21 @@
+# NautilusTrader 1.163.0 Beta
+
+Released on 17th December 2022 (UTC).
+
+### Breaking Changes
+None
+
+### Enhancements
+None
+
+### Fixes
+- Fixed `MARKET_IF_TOUCHED` and `LIMIT_IF_TOUCHED` trigger and modify behavior
+- Fixed `MatchingEngine` updates of stop order types
+- Fixed combinations of passive or immediate trigger vs passive or immediate fill behavior
+- Fixed memory leaks from passing string pointers from Rust, thanks @twitu
+
+---
+
 # NautilusTrader 1.162.0 Beta
 
 Released on 12th December 2022 (UTC).

docs/conf.py

@@ -112,8 +112,8 @@
     "version_dropdown": True,
     "version_json": "_static/version.json",
     "version_info": {
-        "1.162.0 (develop)": "https://docs.nautilustrader.io",
-        "1.161.0 (latest)": "https://docs.nautilustrader.io/latest",
+        "1.163.0 (develop)": "https://docs.nautilustrader.io",
+        "1.162.0 (latest)": "https://docs.nautilustrader.io",
     },
     "table_classes": ["plain"],
 }

examples/notebooks/backtest_example.ipynb

@@ -80,8 +80,8 @@
     "        config=EMACrossConfig(\n",
     "            instrument_id=instrument.id.value,\n",
     "            bar_type=\"EUR/USD.SIM-15-MINUTE-BID-INTERNAL\",\n",
-    "            fast_ema=10,\n",
-    "            slow_ema=20,\n",
+    "            fast_ema_period=10,\n",
+    "            slow_ema_period=20,\n",
     "            trade_size=Decimal(100_000),\n",
     "        ),\n",
     "    ),\n",

nautilus_core/common/src/timer.rs

@@ -143,7 +143,7 @@ impl TestTimer {
             interval_ns,
             start_time_ns,
             stop_time_ns,
-            next_time_ns: start_time_ns + interval_ns as u64,
+            next_time_ns: start_time_ns + interval_ns,
             is_expired: false,
         }
     }
@@ -198,7 +198,7 @@ impl Iterator for TestTimer {
                 }
             }
 
-            self.next_time_ns += self.interval_ns as u64;
+            self.next_time_ns += self.interval_ns;
 
             Some(item)
         }

nautilus_core/core/src/cvec.rs

@@ -33,11 +33,10 @@ pub struct CVec {
 }
 
 impl CVec {
-    pub fn default() -> Self {
+    pub fn empty() -> Self {
         CVec {
-            // explicitly type cast the pointer to some type
-            // to satisfy the compiler. Since the pointer is
-            // null it works for any type.
+            // Explicitly type cast the pointer to some type to satisfy the
+            // compiler. Since the pointer is null it works for any type.
             ptr: null() as *const bool as *mut c_void,
             len: 0,
             cap: 0,
@@ -53,7 +52,7 @@ impl CVec {
 impl<T> From<Vec<T>> for CVec {
     fn from(data: Vec<T>) -> Self {
         if data.is_empty() {
-            CVec::default()
+            CVec::empty()
         } else {
             let len = data.len();
             let cap = data.capacity();
@@ -79,7 +78,7 @@ pub extern "C" fn cvec_drop(cvec: CVec) {
 
 #[no_mangle]
 pub extern "C" fn cvec_new() -> CVec {
-    CVec::default()
+    CVec::empty()
 }
 
 #[cfg(test)]

nautilus_core/model/src/orderbook/ladder.rs

@@ -71,8 +71,8 @@ impl Ladder {
     pub fn new(side: OrderSide) -> Self {
         Ladder {
             side,
-            levels: Box::new(BTreeMap::new()),
-            cache: Box::new(HashMap::new()),
+            levels: Box::<BTreeMap<BookPrice, Level>>::default(),
+            cache: Box::<HashMap<u64, BookPrice>>::default(),
         }
     }
 

nautilus_core/model/src/orderbook/level.rs

@@ -29,14 +29,14 @@ impl Level {
     pub fn new(price: BookPrice) -> Self {
         Level {
             price,
-            orders: Box::new(Vec::new()),
+            orders: Box::<Vec<Order>>::default(),
         }
     }
 
     pub fn from_order(order: Order) -> Self {
         let mut level = Level {
             price: order.to_book_price(),
-            orders: Box::new(vec![]),
+            orders: Box::<Vec<Order>>::default(),
         };
         level.add(order);
         level

nautilus_core/persistence/src/parquet/mod.rs

@@ -447,14 +447,14 @@ pub unsafe extern "C" fn parquet_reader_next_chunk(
             let chunk = reader.next();
             // Leak reader value back otherwise it will be dropped after this function
             Box::into_raw(reader);
-            chunk.map_or_else(CVec::default, |data| data.into())
+            chunk.map_or_else(CVec::empty, |data| data.into())
         }
         ParquetType::TradeTick => {
             let mut reader = Box::from_raw(reader as *mut ParquetReader<TradeTick>);
             let chunk = reader.next();
             // Leak reader value back otherwise it will be dropped after this function
             Box::into_raw(reader);
-            chunk.map_or_else(CVec::default, |data| data.into())
+            chunk.map_or_else(CVec::empty, |data| data.into())
         }
     }
 }

nautilus_core/persistence/tests/test_parquet_reader.rs

@@ -37,7 +37,7 @@ fn test_parquet_reader() {
     });
 
     let mut total = 0;
-    let mut chunk = CVec::default();
+    let mut chunk = CVec::empty();
     unsafe {
         loop {
             chunk = parquet_reader_next_chunk(reader, ParquetType::QuoteTick);

nautilus_trader/backtest/matching_engine.pxd

@@ -13,6 +13,7 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
+from libc.stdint cimport int64_t
 from libc.stdint cimport uint64_t
 
 from nautilus_trader.backtest.models cimport FillModel
@@ -47,8 +48,12 @@ from nautilus_trader.model.orderbook.book cimport OrderBook
 from nautilus_trader.model.orderbook.data cimport OrderBookData
 from nautilus_trader.model.orders.base cimport Order
 from nautilus_trader.model.orders.limit cimport LimitOrder
+from nautilus_trader.model.orders.limit_if_touched cimport LimitIfTouchedOrder
 from nautilus_trader.model.orders.market cimport MarketOrder
+from nautilus_trader.model.orders.market_if_touched cimport MarketIfTouchedOrder
 from nautilus_trader.model.orders.market_to_limit cimport MarketToLimitOrder
+from nautilus_trader.model.orders.stop_limit cimport StopLimitOrder
+from nautilus_trader.model.orders.stop_market cimport StopMarketOrder
 from nautilus_trader.model.orders.trailing_stop_limit cimport TrailingStopLimitOrder
 from nautilus_trader.model.orders.trailing_stop_market cimport TrailingStopMarketOrder
 from nautilus_trader.model.position cimport Position
@@ -80,6 +85,10 @@ cdef class OrderMatchingEngine:
     """The message bus for the matching engine.\n\n:returns: `MessageBus`"""
 
     cdef MatchingCore _core
+    cdef bint _has_targets
+    cdef int64_t _target_bid
+    cdef int64_t _target_ask
+    cdef int64_t _target_last
     cdef Bar _last_bid_bar
     cdef Bar _last_ask_bar
 
@@ -118,27 +127,30 @@ cdef class OrderMatchingEngine:
     cdef void _process_market_order(self, MarketOrder order) except *
     cdef void _process_market_to_limit_order(self, MarketToLimitOrder order) except *
     cdef void _process_limit_order(self, LimitOrder order) except *
-    cdef void _process_stop_market_order(self, Order order) except *
-    cdef void _process_stop_limit_order(self, Order order) except *
+    cdef void _process_stop_market_order(self, StopMarketOrder order) except *
+    cdef void _process_stop_limit_order(self, StopLimitOrder order) except *
+    cdef void _process_market_if_touched_order(self, MarketIfTouchedOrder order) except *
+    cdef void _process_limit_if_touched_order(self, LimitIfTouchedOrder order) except *
     cdef void _process_trailing_stop_market_order(self, TrailingStopMarketOrder order) except *
     cdef void _process_trailing_stop_limit_order(self, TrailingStopLimitOrder order) except *
     cdef void _update_limit_order(self, Order order, Quantity qty, Price price) except *
-    cdef void _update_stop_market_order(self, Order order, Quantity qty, Price trigger_price) except *
-    cdef void _update_stop_limit_order(self, Order order, Quantity qty, Price price, Price trigger_price) except *
+    cdef void _update_stop_market_order(self, StopMarketOrder order, Quantity qty, Price trigger_price) except *
+    cdef void _update_stop_limit_order(self, StopLimitOrder order, Quantity qty, Price price, Price trigger_price) except *
+    cdef void _update_market_if_touched_order(self, MarketIfTouchedOrder order, Quantity qty, Price trigger_price) except *
+    cdef void _update_limit_if_touched_order(self, LimitIfTouchedOrder order, Quantity qty, Price price, Price trigger_price) except *
     cdef void _update_trailing_stop_order(self, Order order) except *
 
 # -- ORDER PROCESSING -----------------------------------------------------------------------------
 
     cpdef void iterate(self, uint64_t timestamp_ns) except *
-    cpdef list _determine_limit_price_and_volume(self, Order order, LiquiditySide liquidity_side)
+    cpdef list _determine_limit_price_and_volume(self, Order order)
     cpdef list _determine_market_price_and_volume(self, Order order)
-    cpdef void _fill_market_order(self, Order order, LiquiditySide liquidity_side) except *
-    cpdef void _fill_limit_order(self, Order order, LiquiditySide liquidity_side) except *
+    cpdef void _fill_market_order(self, Order order) except *
+    cpdef void _fill_limit_order(self, Order order) except *
 
     cpdef void _apply_fills(
         self,
         Order order,
-        LiquiditySide liquidity_side,
         list fills,
         PositionId venue_position_id,
         Position position,
@@ -150,7 +162,6 @@ cdef class OrderMatchingEngine:
         Position position,
         Quantity last_qty,
         Price last_px,
-        LiquiditySide liquidity_side,
     ) except *
 
 # -- IDENTIFIER GENERATORS ------------------------------------------------------------------------