1.107.0

See release notes

.github/workflows/test-tag-publish.yml

@@ -130,6 +130,7 @@ jobs:
           release_name: ${{ env.RELEASE_NAME }}
           draft: false
           prerelease: false
+          body_path: RELEASE.md
 
 
   publish_sdist:

RELEASE.md

@@ -0,0 +1,42 @@
+# NautilusTrader 1.107.0 Beta Release Notes
+
+The main thrust of this release is to refine some subtleties relating to order
+matching and amendment behaviour for improved realism. This involved a fairly substantial refactoring
+of `SimulatedExchange` to manage its complexity, and support extending the order types.
+
+The `post_only` flag for LIMIT orders now results in the expected behaviour regarding
+when a marketable limit order will become a liquidity `TAKER` during order placement
+and amendment.
+
+Test coverage was moderately increased.
+
+### Breaking Changes
+None
+
+### Enhancements
+- Refactored `SimulatedExchange` order matching and amendment logic.
+- Add `risk` sub-package to group risk components.
+
+### Fixes
+- `StopLimitOrder` triggering behaviour.
+- All flake8 warnings.
+
+# NautilusTrader 1.106.0 Beta Release Notes
+
+The main thrust of this release is to introduce the Interactive Brokers
+integration, and begin adding platform capabilities to support this effort.
+
+### Breaking Changes
+- `from_serializable_string` methods changed to `from_serializable_str`.
+
+### Enhancements
+- Scaffold Interactive Brokers integration in `adapters/ib`.
+- Add the `Future` instrument type.
+- Add the `StopLimitOrder` order type.
+- Add the `Data` and `DataType` types to support custom data handling.
+- Add the `Security` identifier types initial implementation to support extending the platforms capabilities.
+
+### Fixes
+- `BracketOrder` correctness.
+- CCXT precision parsing bug.
+- Some log formatting.

docs/source/api_reference/risk.rst

@@ -0,0 +1,14 @@
+Risk
+====
+
+.. automodule:: nautilus_trader.risk
+
+
+Sizing
+------
+
+.. automodule:: nautilus_trader.risk.sizing
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource

docs/source/api_reference/trading.rst

@@ -40,15 +40,6 @@ Portfolio
    :members:
    :member-order: bysource
 
-Sizing
-------
-
-.. automodule:: nautilus_trader.trading.sizing
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-
 Strategy
 --------
 

docs/source/index.rst

@@ -120,6 +120,7 @@ Index
     api_reference/live
     api_reference/model
     api_reference/redis
+    api_reference/risk
     api_reference/serialization
     api_reference/trading
 

examples/strategies/ema_cross_cython.pyx

@@ -15,8 +15,8 @@
 
 from decimal import Decimal
 
-from nautilus_trader.data.base cimport Data
 from nautilus_trader.core.message cimport Event
+from nautilus_trader.data.base cimport Data
 from nautilus_trader.indicators.average.ema cimport ExponentialMovingAverage
 from nautilus_trader.model.bar cimport Bar
 from nautilus_trader.model.bar cimport BarSpecification

nautilus_trader/backtest/exchange.pxd

@@ -137,6 +137,10 @@ cdef class SimulatedExchange:
     cdef inline void _process_limit_order(self, LimitOrder order, Price bid, Price ask) except *
     cdef inline void _process_stop_market_order(self, StopMarketOrder order, Price bid, Price ask) except *
     cdef inline void _process_stop_limit_order(self, StopLimitOrder order, Price bid, Price ask) except *
+    cdef inline void _amend_limit_order(self, LimitOrder order, Quantity qty, Price price, Price bid, Price ask) except *
+    cdef inline void _amend_stop_market_order(self, StopMarketOrder order, Quantity qty, Price price, Price bid, Price ask) except *
+    cdef inline void _amend_stop_limit_order(self, StopLimitOrder order, Quantity qty, Price price, Price bid, Price ask) except *
+    cdef inline void _generate_order_amended(self, PassiveOrder order, Quantity qty, Price price) except *
 
 # -- ORDER MATCHING ENGINE -------------------------------------------------------------------------
 
@@ -148,8 +152,12 @@ cdef class SimulatedExchange:
     cdef inline bint _is_limit_matched(self, OrderSide side, Price order_price, Price bid, Price ask) except *
     cdef inline bint _is_stop_marketable(self, OrderSide side, Price order_price, Price bid, Price ask) except *
     cdef inline bint _is_stop_triggered(self, OrderSide side, Price order_price, Price bid, Price ask) except *
-    cdef inline Price _market_fill_price(self, Symbol symbol, OrderSide side, Price bid, Price ask)
-    cdef inline Price _stop_fill_price(self, Symbol symbol, OrderSide side, Price stop)
+    cdef inline Price _fill_price_maker(self, OrderSide side, Price bid, Price ask)
+    cdef inline Price _fill_price_taker(self, Symbol symbol, OrderSide side, Price bid, Price ask)
+    cdef inline Price _fill_price_stop(self, Symbol symbol, OrderSide side, Price stop)
+
+# --------------------------------------------------------------------------------------------------
+
     cdef inline void _fill_order(self, Order order, Price fill_price, LiquiditySide liquidity_side) except *
     cdef inline void _clean_up_child_orders(self, ClientOrderId cl_ord_id) except *
     cdef inline void _check_oco_order(self, ClientOrderId cl_ord_id) except *