Release 1.160.0

See release notes.

.docker/jupyterlab.dockerfile

@@ -1,6 +1,6 @@
 ARG GIT_TAG
 FROM ghcr.io/nautechsystems/nautilus_trader:$GIT_TAG
-COPY --from=ghcr.io/nautechsystems/nautilus_data:main /catalog /catalog
+COPY --from=ghcr.io/nautechsystems/nautilus_data:main /opt/pysetup/catalog /catalog
 RUN pip install jupyterlab
 ENV NAUTILUS_PATH="/"
 CMD ["python", "-m", "jupyterlab", "--port=8888", "--no-browser", "--ip=0.0.0.0", "--allow-root", "-NotebookApp.token=''", "--NotebookApp.password=''", "examples/notebooks"]

.gitignore

@@ -39,7 +39,7 @@ venv*/
 
 .DS_Store
 !tests/integration_tests/adapters/betfair/responses/*.log
-tests/test_kit/data/catalog/
+tests/test_data/catalog/
 PERF.JSON
 *dask-worker-space*
 output.json

.pre-commit-config.yaml

@@ -33,14 +33,27 @@ repos:
         args: ["-L", "ot,zar,warmup"]
 
   ##############################################################################
-  #  Python/Cython checks
+  #  Python/Cython formatting and linting
   ##############################################################################
+  - repo: https://github.com/asottile/pyupgrade
+    rev: v3.2.2
+    hooks:
+      - id: pyupgrade
+        name: pyupgrade (ensure latest syntax)
+        args: ["--py39-plus"]
+
   - repo: https://github.com/hadialqattan/pycln
     rev: v2.1.2
     hooks:
       - id: pycln
-        name: pycln (Python unused imports)
-        exclude: "nautilus_trader/live/node.py|nautilus_trader/adapters/betfair/execution.py"
+        name: pycln (remove unused imports)
+
+  - repo: https://github.com/asottile/add-trailing-comma
+    rev: v2.3.0
+    hooks:
+      - id: add-trailing-comma
+        name: add-trailing-comma
+        types: [python]
 
   - repo: https://github.com/pycqa/isort
     rev: 5.10.1
@@ -59,18 +72,18 @@ repos:
         args: ["--config", "pyproject.toml"]
         exclude: "docs/_pygments/monokai.py"
 
-#  - repo: https://github.com/pre-commit/mirrors-mypy
-#    rev: v0.982
-#    hooks:
-#      - id: mypy
-#        types_or: [python, pyi]
-#        entry: "poetry"
-#        args: ["run", "mypy", "--config", "pyproject.toml"]
-#        require_serial: true
-#        exclude: "^nautilus_core/"
+  # - repo: https://github.com/pre-commit/mirrors-mypy
+  #   rev: v0.991
+  #   hooks:
+  #     - id: mypy
+  #       types_or: [python, pyi]
+  #       entry: "poetry"
+  #       args: ["run", "mypy", "--config", "pyproject.toml"]
+  #       require_serial: true
+  #       exclude: "^nautilus_core/"
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v0.990
+    rev: v0.991
     hooks:
       - id: mypy
         args: [
@@ -145,6 +158,7 @@ repos:
     hooks:
       - id: pydocstyle
         files: ^nautilus_trader/
+        exclude: "nautilus_trader/test_kit"
         args:
         - "--ignore=D100,D102,D103,D104,D107,D105,D200,D203,D205,D212,D400,D413,D415"
         additional_dependencies:

README.md

@@ -216,7 +216,7 @@ A `Makefile` is provided to automate most installation and build tasks. It provi
 
 Indicators and strategies can be developed in both Python and Cython (although if performance and latency sensitivity are import we recommend Cython).
 The below are some examples of this:
-- [indicator](/examples/indicators/ema_py.py) example written in Python
+- [indicator](/examples/indicators/ema_python.py) example written in Python
 - [indicator](/nautilus_trader/indicators/) examples written in Cython
 - [strategy](/nautilus_trader/examples/strategies/) examples written in both Python and Cython
 - [backtest](/examples/backtest/) examples using a `BacktestEngine` directly

RELEASES.md

@@ -1,29 +1,55 @@
+# NautilusTrader 1.160.0 Beta
+
+Released on 28th November 2022 (UTC).
+
+### Breaking Changes
+- Removed time portion from generated IDs (affects `ClientOrderId` and `PositionOrderId`)
+- Renamed `orderbook.data.Order` to `orderbook.data.BookOrder` (reduce conflicts/confusion)
+- Renamed `Instrument.get_cost_currency(...)` to `Instrument.get_settlement_currency(...)` (more accurate terminology)
+
+### Enhancements
+- Added emulated contingency orders capability to `OrderEmulator`
+- Moved `test_kit` module to main package to support downstream project/package testing
+
+### Fixes
+- Fixed position event sequencing: now generates `PositionOpened` when reopening a closed position
+- Fixed `LIMIT` order fill characteristics when immediately marketable as a taker
+- Fixed `LIMIT` order fill characteristics when passively filled as a maker as quotes move through
+- Fixed canceling OTO contingent orders when still in-flight
+- Fixed `RiskEngine` notional check when selling cash assets (spot currency pairs)
+- Fixed flush on closed file bug for persistence stream writers
+
+---
+
 # NautilusTrader 1.159.0 Beta
 
-Released on 18th November (UTC).
+Released on 18th November 2022 (UTC).
 
 ### Breaking Changes
 - Removed FTX integration
-- Renamed `SubmitOrderList.list` -> `SubmitOrderList.order_list`
+- Renamed `SubmitOrderList.list` to `SubmitOrderList.order_list`
 - Slight adjustment to bar aggregation (will not use the last close as the open)
 
 ### Enhancements
 - Implemented `TRAILING_STOP_MARKET` orders for Binance Futures (beta)
-- Added `OUO` One-Updates-Other `ContigencyType` with matching engine implementation
+- Added `OUO` One-Updates-Other `ContingencyType` with matching engine implementation
+- Added bar price fallback for exchange rate calculations, thanks @ghill2
 
 ### Fixes
-- Fixed deallocation of Rust backing struct on Python exceptions causing segfaults
+- Fixed dealloc of Rust backing struct on Python exceptions causing segfaults
 - Fixed bar aggregation start times for bar specs outside typical intervals (60-SECOND rather than 1-MINUTE etc) 
 - Fixed backtest engine main loop ordering of time events with identically timestamped data
 - Fixed `ModifyOrder` message `str` and `repr` when no quantity
 - Fixed OCO contingency orders which were actually implemented as OUO for backtests
 - Fixed various bugs for Interactive Brokers integration, thanks @limx0 and @rsmb7z
+- Fixed pyarrow version parsing, thanks @ghill2
+- Fixed returning venue from InstrumentId, thanks @rsmb7z
 
 ---
 
 # NautilusTrader 1.158.0 Beta
 
-Released on 3rd November (UTC).
+Released on 3rd November 2022 (UTC).
 
 ### Breaking Changes
 - Added `LiveExecEngineConfig.reconcilation` boolean flag to control if reconciliation is active
@@ -48,7 +74,7 @@ Released on 3rd November (UTC).
 
 # NautilusTrader 1.157.0 Beta
 
-Released on 24th October (UTC).
+Released on 24th October 2022 (UTC).
 
 ### Breaking Changes
 - None
@@ -73,7 +99,7 @@ This will be the final release with support for Python 3.8.
 - Added `OrderSide.NONE` enum variant
 - Added `PositionSide.NONE` enum variant
 - Changed order of `TriggerType` enum variants
-- Renamed `AggressorSide.UNKNOWN` -> `AggressorSide.NONE` (for consistency with other enums)
+- Renamed `AggressorSide.UNKNOWN` to `AggressorSide.NONE` (for consistency with other enums)
 - Renamed `Order.type` to `Order.order_type` (reduces ambiguity and aligns with Rust struct field)
 - Renamed `OrderInitialized.type` to `OrderInitialized.order_type` reduces ambiguity)
 - Renamed `Bar.type` to `Bar.bar_type` (reduces ambiguity and aligns with Rust struct field)
@@ -554,7 +580,7 @@ safety this type is now utilized for the `TradeTick.trade_id`.
 - Renamed `execution_id` to `trade_id`
 - Renamed `Order.trade_id` to `Order.last_trade_id` (for clarity)
 - Renamed other variations and references of 'execution ID' to 'trade ID'
-- Renamed `contigency` to `contingency_type`
+- Renamed `contingency` to `contingency_type`
 
 ### Enhancements
 - Introduced the `TradeId` type to enforce `trade_id` typing

build.py

@@ -169,7 +169,7 @@ def _build_distribution(extensions: list[Extension]) -> Distribution:
                 gdb_debug=PROFILE_MODE,
             ),
             zip_safe=False,
-        )
+        ),
     )
     return distribution
 

docs/conf.py

@@ -112,8 +112,8 @@
     "version_dropdown": True,
     "version_json": "_static/version.json",
     "version_info": {
-        "1.159.0 (develop)": "https://docs.nautilustrader.io",
-        "1.158.0 (latest)": "https://docs.nautilustrader.io/latest",
+        "1.160.0 (develop)": "https://docs.nautilustrader.io",
+        "1.159.0 (latest)": "https://docs.nautilustrader.io/latest",
     },
     "table_classes": ["plain"],
 }

docs/integrations/binance.md

@@ -44,10 +44,6 @@ trading, it's necessary to explicitly clarify the difference between `BTCUSDT` a
 pair, and the `BTCUSDT` perpetual futures contract (this symbol is used for _both_ natively by Binance). Therefore, NautilusTrader appends `-PERP` to all native perpetual symbols.
 E.g. for Binance Futures, the said instruments symbol is `BTCUSDT-PERP` within the Nautilus system boundary.
 
-```{note}
-This convention of appending `-PERP` to perpetual futures is also adopted by [FTX](ftx.md).
-```
-
 ## Order types
 |                        | Spot                            | Margin                          | Futures           |
 |------------------------|---------------------------------|---------------------------------|-------------------|

docs/integrations/index.md

@@ -56,7 +56,6 @@ this means there is some normalization and standardization needed.
    
    betfair.md
    binance.md
-   ftx.md
    ib.md
 
 ```

docs/user_guide/adapters.md

@@ -66,7 +66,7 @@ InstrumentProviderConfig(load_all=True)
 - Only those instruments explicitly specified in the configuration are loaded on start:
 
 ```python
-InstrumentProviderConfig(load_ids=["BTCUSDT-PERP.FTX", "ETHUSDT-PERP.FTX"])
+InstrumentProviderConfig(load_ids=["BTCUSDT-PERP.BINANCE", "ETHUSDT-PERP.BINANCE"])
 ```
 
 ## Data Clients

docs/user_guide/instruments.md

@@ -12,7 +12,7 @@ currently a number of subclasses representing a range of _asset classes_ and _as
 
 ## Symbology
 All instruments should have a unique `InstrumentId`, which is made up of both the native symbol, and venue ID, separated by a period.
-For example, on the FTX crypto exchange, the Ethereum Perpetual Futures Contract has the instrument ID `ETH-PERP.FTX`.
+For example, on the Binance Futures crypto exchange, the Ethereum Perpetual Futures Contract has the instrument ID `ETHUSDT-PERP.BINANCE`.
 
 All native symbols _should_ be unique for a venue (this is not always the case e.g. Binance share native symbols between spot and futures markets), 
 and the `{symbol.venue}` combination _must_ be unique for a Nautilus system.
@@ -61,7 +61,7 @@ get instruments in exactly the same way through the central cache:
 ```python
 from nautilus_trader.model.identifiers import InstrumentId
 
-instrument_id = InstrumentId.from_str("ETH/USD.FTX")
+instrument_id = InstrumentId.from_str("ETHUSDT-PERP.BINANCE")
 instrument = self.cache.instrument(instrument_id)
 ```
 
@@ -74,8 +74,8 @@ Or subscribe to all instrument changes for an entire venue:
 ```python
 from nautilus_trader.model.identifiers import Venue
 
-ftx = Venue("FTX")
-self.subscribe_instruments(ftx)
+binance = Venue("BINANCE")
+self.subscribe_instruments(binance)
 ```
 
 When an update to the instrument(s) is received by the `DataEngine`, the object(s) will

docs/user_guide/orders.md

@@ -146,12 +146,12 @@ order: MarketOrder = self.order_factory.market(
 A _Limit_ order is placed on the limit order book at a specific price, and will only
 execute at that price (or better).
 
-In the following example we create a _Limit_ order on the FTX Crypto exchange to SELL 20 ETH-PERP Perpetual Futures
-contracts at a limit price of 5000 USD, as a market maker.
+In the following example we create a _Limit_ order on the Binance Futures Crypto exchange to SELL 20 ETHUSDT-PERP Perpetual Futures
+contracts at a limit price of 5000 USDT, as a market maker.
 
 ```python
 order: LimitOrder = self.order_factory.limit(
-        instrument_id=InstrumentId.from_str("ETH-PERP.FTX"),
+        instrument_id=InstrumentId.from_str("ETHUSDT-PERP.BINANCE"),
         order_side=OrderSide.SELL,
         quantity=Quantity.from_int(20),
         price=Price.from_str("5000.00"),

docs/user_guide/strategies.md

@@ -72,8 +72,8 @@ class MyStrategy(Strategy):
 # trading strategy to initialize.
 
 config = MyStrategyConfig(
-    instrument_id="ETH-PERP.FTX",
-    bar_type="ETH-PERP.FTX-1000-TICK[LAST]-INTERNAL",
+    instrument_id="ETHUSDT-PERP.BINANCE",
+    bar_type="ETHUSDT-PERP.BINANCE-1000-TICK[LAST]-INTERNAL",
     trade_size=Decimal(1),
     order_id_tag="001",
 )

examples/backtest/betfair_backtest_orderbook_imbalance.py

@@ -53,10 +53,14 @@
     # Add instruments
     instruments = [
         BetfairTestStubs.betting_instrument(
-            market_id="1.180737206", selection_id="19248890", handicap="0.0"
+            market_id="1.180737206",
+            selection_id="19248890",
+            handicap="0.0",
         ),
         BetfairTestStubs.betting_instrument(
-            market_id="1.180737206", selection_id="38848248", handicap="0.0"
+            market_id="1.180737206",
+            selection_id="38848248",
+            handicap="0.0",
         ),
     ]
     engine.add_instrument(instruments[0])
@@ -79,7 +83,7 @@
                 instrument_id=instrument.id.value,
                 max_trade_size=10,
                 order_id_tag=instrument.selection_id,
-            )
+            ),
         )
         for instrument in instruments
     ]

examples/live/betfair.py

@@ -95,7 +95,7 @@ async def main(market_id: str):
                 instrument_id=instrument.id.value,
                 max_trade_size=10,
                 order_id_tag=instrument.selection_id,
-            )
+            ),
         )
         for instrument in instruments
     ]

examples/live/betfair_sandbox.py

@@ -81,7 +81,7 @@ async def main(market_id: str):
                 instrument_id=instrument.id.value,
                 max_trade_size=10,
                 order_id_tag=instrument.selection_id,
-            )
+            ),
         )
         for instrument in instruments
     ]

examples/live/binance_futures_testnet_ema_cross_bracket.py

@@ -84,6 +84,7 @@
     bar_type="ETHUSDT-PERP.BINANCE-1-MINUTE-LAST-EXTERNAL",
     fast_ema_period=10,
     slow_ema_period=20,
+    bracket_distance_atr=1.0,
     trade_size=Decimal("0.010"),
     order_id_tag="001",
     emulation_trigger="BID_ASK",