Release 1.161.0

See release notes.
nautechsystems · Dec 9, 2022 · ad0f3f0 · ad0f3f0
2 parents 9a90b77 + 1884cd6
commit ad0f3f0
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diff --git a/.docker/nautilus_trader.dockerfile b/.docker/nautilus_trader.dockerfile
@@ -1,10 +1,10 @@
-FROM python:3.10-slim as base
+FROM python:3.11-slim as base
 ENV PYTHONUNBUFFERED=1 \
     PYTHONDONTWRITEBYTECODE=1 \
     PIP_NO_CACHE_DIR=off \
     PIP_DISABLE_PIP_VERSION_CHECK=on \
     PIP_DEFAULT_TIMEOUT=100 \
-    POETRY_VERSION=1.2.0 \
+    POETRY_VERSION=1.2.2 \
     POETRY_HOME="/opt/poetry" \
     POETRY_VIRTUALENVS_CREATE=false \
     POETRY_NO_INTERACTION=1 \
@@ -26,20 +26,20 @@ RUN curl -sSL https://install.python-poetry.org | python3 -
 
 # Install package requirements (split step and with --no-root to enable caching)
 COPY poetry.lock pyproject.toml build.py ./
-RUN poetry install --no-root --no-dev
+RUN poetry install --no-root --only main
 
 # Build nautilus_trader
 COPY nautilus_core ./nautilus_core
 RUN (cd nautilus_core && cargo build --release)
 
 COPY nautilus_trader ./nautilus_trader
 COPY README.md ./
-RUN poetry install --only=main
+RUN poetry install --only main
 RUN poetry build -f wheel
 RUN python -m pip install ./dist/*whl --force
-RUN find /usr/local/lib/python3.10/site-packages -name "*.pyc" -exec rm -f {} \;
+RUN find /usr/local/lib/python3.11/site-packages -name "*.pyc" -exec rm -f {} \;
 
 # Final application image
 FROM base as application
-COPY --from=builder /usr/local/lib/python3.10/site-packages /usr/local/lib/python3.10/site-packages
+COPY --from=builder /usr/local/lib/python3.11/site-packages /usr/local/lib/python3.11/site-packages
 COPY examples ./examples
diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
@@ -13,7 +13,7 @@ jobs:
       matrix:
         arch: [x64, ARM64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.9", "3.10"]
+        python-version: ["3.9", "3.10", "3.11"]
     name: build - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}
     env:

diff --git a/.github/workflows/build_pr.yml b/.github/workflows/build_pr.yml
@@ -13,7 +13,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.9", "3.10"]
+        python-version: ["3.9", "3.10", "3.11"]
     name: build - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}
     env:

diff --git a/.github/workflows/codeql-analysis.yml b/.github/workflows/codeql-analysis.yml
@@ -2,7 +2,7 @@ name: codeql-analysis
 
 on:
   pull_request:
-    branches: [ master ]
+    branches: [master]
   schedule:
     - cron: '42 13 * * 4'
 
@@ -14,8 +14,8 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        language: [ 'python' ]
-        # CodeQL supports [ 'cpp', 'csharp', 'go', 'java', 'javascript', 'python' ]
+        language: ['python']
+        # CodeQL supports ['cpp', 'csharp', 'go', 'java', 'javascript', 'python']
         # Learn more...
         # https://docs.github.com/en/github/finding-security-vulnerabilities-and-errors-in-your-code/configuring-code-scanning#overriding-automatic-language-detection
 

diff --git a/.github/workflows/docker.yml b/.github/workflows/docker.yml
@@ -4,7 +4,7 @@ name: docker
 
 on:
   push:
-    branches: [ master, develop ]
+    branches: [master, develop]
 
 jobs:
   build-docker-images:

diff --git a/.github/workflows/docs.yml b/.github/workflows/docs.yml
@@ -27,15 +27,15 @@ jobs:
       - name: Set up Python environment
         uses: actions/setup-python@v4
         with:
-          python-version: "3.10"
+          python-version: "3.11"
 
       # Install build dependencies
       - name: Install build dependencies
-        run: python -m pip install --upgrade pip setuptools wheel poetry nox pre-commit
+        run: python -m pip install --upgrade pip setuptools poetry
 
       # Build project
       - name: Build project
-        run: poetry install
+        run: poetry install --with docs
 
       - name: Get branch name
         id: branch-name

diff --git a/.github/workflows/release.yml b/.github/workflows/release.yml
@@ -18,7 +18,7 @@ jobs:
       matrix:
         arch: [x64, ARM64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.9", "3.10"]
+        python-version: ["3.9", "3.10", "3.11"]
     name: test-pip-install - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}
 
@@ -52,7 +52,7 @@ jobs:
 
   tag-release:
     needs: [test-pip-install]
-    name: tag-release - Python 3.10 (ubuntu-latest)
+    name: tag-release - Python 3.11 (ubuntu-latest)
     runs-on: ubuntu-latest
     outputs:
       upload_url: ${{ steps.create-release.outputs.upload_url }}
@@ -77,7 +77,7 @@ jobs:
       - name: Set up Python environment
         uses: actions/setup-python@v4
         with:
-          python-version: "3.10"
+          python-version: "3.11"
 
       # Install build dependencies
       - name: Install build dependencies
@@ -130,7 +130,7 @@ jobs:
 
   publish-sdist:
     needs: [tag-release]
-    name: publish-sdist - Python 3.10 (ubuntu-latest)
+    name: publish-sdist - Python 3.11 (ubuntu-latest)
     runs-on: ubuntu-latest
     env:
       COPY_TO_SOURCE: false # Do not copy built *.so files back into source tree
@@ -153,7 +153,7 @@ jobs:
       - name: Set up Python environment
         uses: actions/setup-python@v4
         with:
-          python-version: "3.10"
+          python-version: "3.11"
 
       # Install build dependencies
       - name: Install build dependencies
@@ -211,9 +211,9 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        arch: [x64] # Temporarily pause ARM64 in build matrix
+        arch: [x64, ARM64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.9", "3.10"]
+        python-version: ["3.9", "3.10", "3.11"]
     name: publish-wheels - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}
     env:

diff --git a/.gitignore b/.gitignore
@@ -20,6 +20,7 @@
 .env/
 .git/
 .idea/
+.ipynb_checkpoints
 .mypy_cache/
 .nox/
 .profile/
@@ -38,14 +39,16 @@ logs/
 venv*/
 
 .DS_Store
-!tests/integration_tests/adapters/betfair/responses/*.log
-tests/test_data/catalog/
 PERF.JSON
-*dask-worker-space*
 output.json
-.ipynb_checkpoints
+*dask-worker-space*
+
+docs/**/*.ipynb
 examples/backtest/notebooks/catalog
 nautilus_trader/**/.gitignore
-docs/**/*.ipynb
+nautilus_trader/test_kit/mocks/.nautilus/
+tests/test_data/catalog/
+
 !nautilus_core/lib/**/*
 !nautilus_trader/core/includes/**
+!tests/integration_tests/adapters/betfair/responses/*.log
diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml
@@ -3,7 +3,7 @@ repos:
   #  General checks
   ##############################################################################
   - repo: https://github.com/pre-commit/pre-commit-hooks
-    rev: v4.3.0
+    rev: v4.4.0
     hooks:
       - id: forbid-new-submodules
       - id: fix-encoding-pragma
@@ -36,7 +36,7 @@ repos:
   #  Python/Cython formatting and linting
   ##############################################################################
   - repo: https://github.com/asottile/pyupgrade
-    rev: v3.2.2
+    rev: v3.3.1
     hooks:
       - id: pyupgrade
         name: pyupgrade (ensure latest syntax)
@@ -100,58 +100,21 @@ repos:
             types-toml,
         ]
 
+  - repo: https://github.com/john-hen/Flake8-pyproject
+    rev: 1.2.2
+    hooks:
+      - id: Flake8-pyproject
+        name: flake8-pyproject
+
   - repo: https://github.com/pycqa/flake8
-    rev: 5.0.4
+    rev: 6.0.0
     hooks:
       - id: flake8
-        name: flake8 (Python)
-        additional_dependencies:
-          - bandit  # Pin due issue https://github.com/PyCQA/bandit/issues/841
-          - flake8-2020
-#          - flake8-bandit
-          - flake8-bugbear
-          - flake8-coding
-#          - flake8-comprehensions
-          - flake8-debugger
-          - flake8-deprecated==1.3
-#          - flake8-docstrings
-          - flake8-pep3101
-          - flake8-string-format
-#          - flake8-rst-docstrings
-          - flake8-typing-imports
-#          - pep8-naming
-        types: [python]
-        args: [
-            --max-complexity=10,
-            --max-line-length=150,
-            --statistics,
-            --ignore=C101 E203 E252 E402 D100 D101 D102 S101 S403 S404 W503,
-            --min-python-version=3.8.0
-        ]
-      - id: flake8
-        name: flake8 (Cython)
+        name: flake8
+        types_or: [python, cython]
+        entry: "flake8p"
         additional_dependencies:
-          - bandit  # Pin due issue https://github.com/PyCQA/bandit/issues/841
-          - flake8-2020
-#          - flake8-bandit
-          - flake8-bugbear
-          - flake8-coding
-          - flake8-comprehensions
-          - flake8-debugger
-          - flake8-deprecated==1.3
-          - flake8-docstrings
-          - flake8-pep3101
-          - flake8-string-format
-          - flake8-rst-docstrings
-          - flake8-typing-imports
-          - pep8-naming
-        types: [cython]
-        args: [
-            --max-complexity=10,
-            --max-line-length=150,
-            --statistics,
-            --ignore=C101 D100 E225 E226 E227 E252 E402 E999 W503,
-        ]
+          - Flake8-pyproject
 
   - repo: https://github.com/pycqa/pydocstyle
     rev: 6.1.1
@@ -169,24 +132,8 @@ repos:
     hooks:
       - id: nbstripout
 
-# flake8 ignore justifications
-# ----------------------------
-# C101: Coding magic comment not found
-# D100: Missing docstring in public module (picks up entire test suite)
-# D101: Missing docstring in public class (picks up entire test suite)
-# D102: Missing docstring in public method (picks up entire test suite)
-# E203: whitespace before ':' (conflicts with Black)
-# E225: missing whitespace around operator (picks up cython casting)
-# E226: missing whitespace around arithmetic operator (picks up C pointers)
-# E227: missing whitespace around bitwise or shift operator (picks up C pointers)
-# E252: spaces around default argument assignment (incorrect syntax)
-# E402: module level import not at top of file (workaround to assist imports in examples)
-# E999: SyntaxError: invalid syntax (cimport seen as invalid syntax)
-# S101: Use of assert detected (use of assert normal for pytest)
-# S403: Consider possible security implications associated with pickle module (pickle ok!)
-
-# pydocstyle ignore justifications
-# --------------------------------
+# pydocstyle ignore reasons
+# -------------------------
 # D100: Missing docstring in public module  **fix**
 # D102: Missing docstring in public method  **fix**
 # D103: Missing docstring in public function  **fix**

diff --git a/Makefile b/Makefile
@@ -3,7 +3,7 @@ REGISTRY?=ghcr.io/
 IMAGE?=${REGISTRY}${PROJECT}
 GIT_TAG:=$(shell git rev-parse --abbrev-ref HEAD)
 IMAGE_FULL?=${IMAGE}:${GIT_TAG}
-EXTRAS?="docker ib redis"
+EXTRAS?="betfair docker ib redis"
 .PHONY: install build clean docs format pre-commit
 .PHONY: cargo-update cargo-test cargo-test-arm64
 .PHONY: update docker-build docker-build-force docker-push

diff --git a/README.md b/README.md
@@ -185,7 +185,7 @@ as specified in the `pyproject.toml`. However, we highly recommend installing us
 
        git clone https://github.com/nautechsystems/nautilus_trader
        cd nautilus_trader
-       poetry install --only main --extras "ib redis"
+       poetry install --only main --extras "docker ib redis"
 
 Refer to the [Installation Guide](https://docs.nautilustrader.io/getting_started/installation.html) for other options and further details.
 
@@ -208,7 +208,7 @@ point we will follow a formal process for releases, with deprecation periods for
 A `Makefile` is provided to automate most installation and build tasks. It provides the following targets:
 - `make install` -- Installs the package using poetry
 - `make build` -- Runs the Cython build script
-- `make clean` -- Cleans all none source artifacts from the repository
+- `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
 

diff --git a/RELEASES.md b/RELEASES.md
@@ -1,3 +1,30 @@
+# NautilusTrader 1.161.0 Beta
+
+Released on TBD (UTC).
+
+### Breaking Changes
+- Renamed `OrderFactory.bracket_market` to `OrderFactory.bracket_market_entry`
+- Renamed `OrderFactory.bracket_limit` to `OrderFactory.bracket_limit_entry`
+- Renamed `OrderFactory` bracket order `price` and `trigger_price` parameters
+
+### Enhancements
+- Consolidated config objects to `msgspec` providing better performance and correctness
+- Added `OrderFactory.bracket_stop_limit_entry_stop_limit_tp(...)`
+- Numerous improvements to the Interactive Brokers adapter, thanks @limx0 and @rsmb7z
+- Removed dependency on `pydantic`
+
+### Fixes
+- Fixed `STOP_MARKET` order behaviour to fill at market on immediate trigger
+- Fixed `STOP_LIMIT` order behaviour to fill at market on immediate trigger and marketable
+- Fixed `STOP_LIMIT` order behaviour to fill at market on processed trigger and marketable
+- Fixed `LIMIT_IF_TOUCHED` order behaviour to fill at market on immediate trigger and marketable
+- Fixed Binance start and stop time units for bar (kline) requests, thanks @Tzumx
+- `RiskEngineConfig.bypass` set to `True` will now correctly bypass throttlers, thanks @DownBadCapital
+- Fixed updating of emulated orders
+- Numerous fixes to the Interactive Brokers adapter, thanks @limx0 and @rsmb7z
+
+---
+
 # NautilusTrader 1.160.0 Beta
 
 Released on 28th November 2022 (UTC).
-Original file line number
+Diff line change
@@ Expand Up / @@ -4,7 +4,7 @@ name: docker @@
     on:
       push:
-        branches: [ master, develop ]
+        branches: [master, develop]
     jobs:
       build-docker-images:
@@ Expand Down @@