Release 1.170.0

See release notes.

.github/workflows/release.yml

@@ -27,12 +27,21 @@ jobs:
         uses: actions/checkout@v3
 
       # Rust setup (ensures latest stable)
-      - name: Set up Rust tool-chain
+      - name: Set up Rust tool-chain (Liux/Windows)
+        if: runner.os != 'macOS'
         uses: actions-rust-lang/setup-rust-toolchain@v1
         with:
           toolchain: stable
           components: rustfmt, clippy
 
+      - name: Set up Rust tool-chain (macOS)
+        if: runner.os == 'macOS'
+        uses: actions-rs/toolchain@v1
+        with:
+          toolchain: stable
+          override: true
+          components: rustfmt, clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v4
@@ -78,18 +87,9 @@ jobs:
         run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.3.2
 
       # Setup Poetry caching
-      - name: Set output (Linux)
-        if: runner.os == 'Linux'
-        run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV
-
-      - name: Set output (macOS)
-        if: runner.os == 'macOS'
+      - name: Set output
         run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Set output (Windows)
-        if: runner.os == 'Windows'
-        run: echo "dir=$(poetry config cache-dir)" | Out-File -FilePath $env:GITHUB_ENV -Append >> $GITHUB_ENV
-
       - name: Poetry cache
         id: cached-poetry
         uses: actions/cache@v3
@@ -159,18 +159,9 @@ jobs:
         run: python -m pip install --upgrade pip setuptools wheel pre-commit poetry==1.3.2
 
       # Setup Poetry caching
-      - name: Set output (Linux)
-        if: runner.os == 'Linux'
-        run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV
-
-      - name: Set output (macOS)
-        if: runner.os == 'macOS'
+      - name: Set output
         run: echo "dir=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Set output (Windows)
-        if: runner.os == 'Windows'
-        run: echo "dir=$(poetry config cache-dir)" | Out-File -FilePath $env:GITHUB_ENV -Append >> $GITHUB_ENV
-
       - name: Poetry cache
         id: cached-poetry
         uses: actions/cache@v3
@@ -231,12 +222,21 @@ jobs:
         uses: actions/checkout@v3
 
       # Rust setup (ensures latest stable)
-      - name: Set up Rust tool-chain
+      - name: Set up Rust tool-chain (Liux/Windows)
+        if: runner.os != 'macOS'
         uses: actions-rust-lang/setup-rust-toolchain@v1
         with:
           toolchain: stable
           components: rustfmt, clippy
 
+      - name: Set up Rust tool-chain (macOS)
+        if: runner.os == 'macOS'
+        uses: actions-rs/toolchain@v1
+        with:
+          toolchain: stable
+          override: true
+          components: rustfmt, clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v4

examples/notebooks/backtest_fx_usdjpy.ipynb

@@ -19,7 +19,6 @@
     "from nautilus_trader.backtest.models import FillModel\n",
     "from nautilus_trader.backtest.modules import FXRolloverInterestConfig\n",
     "from nautilus_trader.backtest.modules import FXRolloverInterestModule\n",
-    "from nautilus_trader.test_kit.providers import TestInstrumentProvider\n",
     "from nautilus_trader.config.common import RiskEngineConfig\n",
     "from nautilus_trader.examples.strategies.ema_cross import EMACross\n",
     "from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig\n",
@@ -29,7 +28,8 @@
     "from nautilus_trader.model.identifiers import Venue\n",
     "from nautilus_trader.model.objects import Money\n",
     "from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler\n",
-    "from nautilus_trader.test_kit.providers import TestDataProvider"
+    "from nautilus_trader.test_kit.providers import TestDataProvider\n",
+    "from nautilus_trader.test_kit.providers import TestInstrumentProvider"
    ]
   },
   {

examples/notebooks/external_data_backtest.ipynb

@@ -18,12 +18,12 @@
     "from nautilus_trader.model.data.tick import QuoteTick\n",
     "from nautilus_trader.model.objects import Price, Quantity\n",
     "\n",
-    "from nautilus_trader.test_kit.providers import TestInstrumentProvider\n",
     "from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig\n",
     "from nautilus_trader.config.common import ImportableStrategyConfig\n",
     "from nautilus_trader.persistence.catalog import ParquetDataCatalog\n",
     "from nautilus_trader.persistence.external.core import process_files, write_objects\n",
-    "from nautilus_trader.persistence.external.readers import TextReader"
+    "from nautilus_trader.persistence.external.readers import TextReader\n",
+    "from nautilus_trader.test_kit.providers import TestInstrumentProvider"
    ]
   },
   {

examples/notebooks/quick_start.ipynb

@@ -32,12 +32,12 @@
     "from nautilus_trader.model.data.tick import QuoteTick\n",
     "from nautilus_trader.model.objects import Price, Quantity\n",
     "\n",
-    "from nautilus_trader.test_kit.providers import TestInstrumentProvider\n",
     "from nautilus_trader.backtest.node import BacktestNode, BacktestVenueConfig, BacktestDataConfig, BacktestRunConfig, BacktestEngineConfig\n",
     "from nautilus_trader.config.common import ImportableStrategyConfig\n",
     "from nautilus_trader.persistence.catalog import ParquetDataCatalog\n",
     "from nautilus_trader.persistence.external.core import process_files, write_objects\n",
-    "from nautilus_trader.persistence.external.readers import TextReader"
+    "from nautilus_trader.persistence.external.readers import TextReader\n",
+    "from nautilus_trader.test_kit.providers import TestInstrumentProvider"
    ]
   },
   {

nautilus_trader/adapters/betfair/parsing/requests.py

@@ -240,7 +240,7 @@ async def generate_trades_list(
         self._log.warn(f"Found no existing order for {venue_order_id}")
         return []
     fill = filled["clearedOrders"][0]
-    ts_event = int(pd.Timestamp(fill["lastMatchedDate"]).to_datetime64())
+    ts_event = pd.Timestamp(fill["lastMatchedDate"]).value
     return [
         TradeReport(
             client_order_id=self.venue_order_id_to_client_order_id[venue_order_id],

nautilus_trader/adapters/betfair/parsing/streaming.py

@@ -737,7 +737,7 @@ async def generate_trades_list(
         self._log.warn(f"Found no existing order for {venue_order_id}")
         return []
     fill = filled[0]
-    ts_event = int(pd.Timestamp(fill.lastMatchedDate).to_datetime64())
+    ts_event = pd.Timestamp(fill.lastMatchedDate).value
     return [
         TradeReport(
             account_id=AccountId("BETFAIR"),

nautilus_trader/backtest/engine.pyx

@@ -887,14 +887,14 @@ cdef class BacktestEngine:
             start = unix_nanos_to_dt(start_ns)
         else:
             start = pd.to_datetime(start, utc=True)
-            start_ns = int(start.to_datetime64())
+            start_ns = start.value
         if end is None:
             # Set `end` to end of data
             end_ns = self._data[-1].ts_init
             end = unix_nanos_to_dt(end_ns)
         else:
             end = pd.to_datetime(end, utc=True)
-            end_ns = int(end.to_datetime64())
+            end_ns = end.value
         Condition.true(start_ns < end_ns, "start was >= end")
         Condition.not_empty(self._data, "data")
 

nautilus_trader/model/orders/base.pyx

@@ -90,6 +90,7 @@ cdef dict _ORDER_STATE_TABLE = {
     (OrderStatus.ACCEPTED, OrderStatus.FILLED): OrderStatus.FILLED,
     (OrderStatus.CANCELED, OrderStatus.PARTIALLY_FILLED): OrderStatus.PARTIALLY_FILLED,  # Real world possibility
     (OrderStatus.CANCELED, OrderStatus.FILLED): OrderStatus.FILLED,  # Real world possibility
+    (OrderStatus.PENDING_UPDATE, OrderStatus.REJECTED): OrderStatus.REJECTED,  # Real world possibility
     (OrderStatus.PENDING_UPDATE, OrderStatus.ACCEPTED): OrderStatus.ACCEPTED,
     (OrderStatus.PENDING_UPDATE, OrderStatus.CANCELED): OrderStatus.CANCELED,
     (OrderStatus.PENDING_UPDATE, OrderStatus.EXPIRED): OrderStatus.EXPIRED,
@@ -98,6 +99,7 @@ cdef dict _ORDER_STATE_TABLE = {
     (OrderStatus.PENDING_UPDATE, OrderStatus.PENDING_CANCEL): OrderStatus.PENDING_CANCEL,
     (OrderStatus.PENDING_UPDATE, OrderStatus.PARTIALLY_FILLED): OrderStatus.PARTIALLY_FILLED,
     (OrderStatus.PENDING_UPDATE, OrderStatus.FILLED): OrderStatus.FILLED,
+    (OrderStatus.PENDING_CANCEL, OrderStatus.REJECTED): OrderStatus.REJECTED,  # Real world possibility
     (OrderStatus.PENDING_CANCEL, OrderStatus.PENDING_CANCEL): OrderStatus.PENDING_CANCEL,  # Allow multiple requests
     (OrderStatus.PENDING_CANCEL, OrderStatus.CANCELED): OrderStatus.CANCELED,
     (OrderStatus.PENDING_CANCEL, OrderStatus.ACCEPTED): OrderStatus.ACCEPTED,  # Allows failed cancel requests

nautilus_trader/system/kernel.py

@@ -219,8 +219,10 @@ def __init__(  # noqa (too complex)
                 f"environment {environment} not recognized",  # pragma: no cover (design-time error)
             )
 
+        # Setup the logger with a `LiveClock` initially,
+        # which is later swapped out for a `TestClock` in the `BacktestEngine`.
         self._logger = Logger(
-            clock=self._clock,
+            clock=self._clock if isinstance(self._clock, LiveClock) else LiveClock(),
             trader_id=self._trader_id,
             machine_id=self._machine_id,
             instance_id=self._instance_id,

nautilus_trader/trading/filters.pyx

@@ -479,7 +479,7 @@ cdef class EconomicNewsEventFilter:
 
         cdef int index = 0
         row = events.iloc[index]
-        cdef uint64_t ts_event = int(pd.Timestamp(events.index[index]).to_datetime64())
+        cdef uint64_t ts_event = pd.Timestamp(events.index[index]).value
         return NewsEvent(
             NewsImpact[row["Impact"]],
             row["Name"],
@@ -528,7 +528,7 @@ cdef class EconomicNewsEventFilter:
 
         cdef int index = -1
         row = events.iloc[index]
-        cdef uint64_t ts_event = int(pd.Timestamp(events.index[index]).to_datetime64())
+        cdef uint64_t ts_event = pd.Timestamp(events.index[index]).value
         return NewsEvent(
             NewsImpact[row["Impact"]],
             row["Name"],

tests/unit_tests/persistence/external/test_core.py

@@ -291,10 +291,7 @@ def test_repartition_dataset(self):
                 {
                     "value": np.arange(5),
                     "instrument_id": ["a", "a", "a", "b", "b"],
-                    "ts_init": [
-                        int(ts.to_datetime64())
-                        for ts in pd.date_range(start_date, periods=5, tz="UTC")
-                    ],
+                    "ts_init": [ts.value for ts in pd.date_range(start_date, periods=5, tz="UTC")],
                 },
             )
             write_parquet(