NautilusTrader 1.180.0 Beta

NautilusTrader 1.180.0 Beta

Released on 3rd November 2023 (UTC).

Enhancements

• Improved internal latency for live engines by using loop.call_soon_threadsafe(...)
• Improved RedisCacheDatabase client connection error handling with retries
• Added WebSocketClient connection headers, thanks @ruthvik125 and @twitu
• Added support_contingent_orders option for venues (to simulate venues which do not support contingent orders)
• Added StrategyConfig.manage_contingent_orders option (to automatically manage open contingent orders)
• Added FuturesContract.activation_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added OptionsContract.activation_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added CryptoFuture.activation_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added FuturesContract.expiration_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added OptionsContract.expiration_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added CryptoFuture.expiration_utc property which returns a pd.Timestamp tz-aware (UTC)

Breaking Changes

• Renamed FuturesContract.expiry_date to expiration_ns (and associated params) as uint64_t UNIX nanoseconds
• Renamed OptionsContract.expiry_date to expiration_ns (and associated params) as uint64_t UNIX nanoseconds
• Renamed CryptoFuture.expiry_date to expiration_ns (and associated params) as uint64_t UNIX nanoseconds
• Changed FuturesContract Arrow schema
• Changed OptionsContract Arrow schema
• Changed CryptoFuture Arrow schema
• Transformed orders will now retain the original ts_init timestamp
• Removed unimplemented batch_more option for Strategy.modify_order
• Removed InstrumentProvider.venue property (redundant as a provider may have many venues)
• Dropped support for Python 3.9

Fixes

• Fixed ParquetDataCatalog file writing template, thanks @limx0
• Fixed Binance all orders requests which would omit order reports when using a start param
• Fixed managed GTD orders past expiry cancellation on restart (orders were not being canceled)
• Fixed managed GTD orders cancel timer on order cancel (timers were not being canceled)
• Fixed BacktestEngine logging error with immediate stop (caused by certain timestamps being None)
• Fixed BacktestNode exceptions during backtest runs preventing next sequential run, thanks for reporting @cavan-black
• Fixed BinanceSpotPersmission value error by relaxing typing for BinanceSpotSymbolInfo.permissions
• Interactive Brokers adapter various fixes, thanks @rsmb7z

NautilusTrader 1.179.0 Beta

NautilusTrader 1.179.0 Beta

Released on 22nd October 2023 (UTC).

A major feature of this release is the ParquetDataCatalog version 2, which represents months of
collective effort thanks to contributions from Brad @limx0, @twitu, @ghill2 and @davidsblom.

This will be the final release with support for Python 3.9.

Enhancements

• Added ParquetDataCatalog v2 supporting built-in data types OrderBookDelta, QuoteTick, TradeTick and Bar
• Added Strategy specific order and position event handlers
• Added ExecAlgorithm specific order and position event handlers
• Added Cache.is_order_pending_cancel_local(...) (tracks local orders in cancel transition)
• Added BinanceTimeInForce.GTD enum member (futures only)
• Added Binance Futures support for GTD orders
• Added Binance internal bar aggregation inference from aggregated trade ticks or 1-MINUTE bars (depending on lookback window)
• Added BinanceExecClientConfig.use_gtd option (to remap to GTC and locally manage GTD orders)
• Added package version check for nautilus_ibapi, thanks @rsmb7z
• Added RiskEngine min/max instrument notional limit checks
• Added Controller for dynamically controlling actor and strategy instances for a Trader
• Added ReportProvider.generate_fills_report(...) which provides a row per individual fill event, thanks @r3k4mn14r
• Moved indicator registration and data handling down to Actor (now available for Actor)
• Implemented Binance WebSocketClient live subscribe and unsubscribe
• Implemented BinanceCommonDataClient retries for update_instruments
• Decythonized Trader

Breaking Changes

• Renamed BookType.L1_TBBO to BookType.L1_MBP (more accurate definition, as L1 is the top-level price either side)
• Renamed VenueStatusUpdate -> VenueStatus
• Renamed InstrumentStatusUpdate -> InstrumentStatus
• Renamed Actor.subscribe_venue_status_updates(...) to Actor.subscribe_venue_status(...)
• Renamed Actor.subscribe_instrument_status_updates(...) to Actor.subscribe_instrument_status(...)
• Renamed Actor.unsubscribe_venue_status_updates(...) to Actor.unsubscribe_venue_status(...)
• Renamed Actor.unsubscribe_instrument_status_updates(...) to Actor.unsubscribe_instrument_status(...)
• Renamed Actor.on_venue_status_update(...) to Actor.on_venue_status(...)
• Renamed Actor.on_instrument_status_update(...) to Actor.on_instrument_status(...)
• Changed InstrumentStatus fields/schema and constructor
• Moved manage_gtd_expiry from Strategy.submit_order(...) and Strategy.submit_order_list(...) to StrategyConfig (simpler and allows re-activiting any GTD timers on start)

Fixes

• Fixed LimitIfTouchedOrder.create (exec_algorithm_params were not being passed in)
• Fixed OrderEmulator start-up processing of OTO contingent orders (when position from parent is open)
• Fixed SandboxExecutionClientConfig kw_only=True to allow importing without initializing
• Fixed OrderBook pickling (did not include all attributes), thanks @limx0
• Fixed open position snapshots race condition (added open_only flag)
• Fixed Strategy.cancel_order for orders in INITIALIZED state and with an emulation_trigger (was not sending command to OrderEmulator)
• Fixed BinanceWebSocketClient reconnect behavior (reconnect handler was not being called due event loop issue from Rust)
• Fixed Binance instruments missing max notional values, thanks for reporting @AnthonyVince and thanks for fixing @filipmacek
• Fixed Binance Futures fee rates for backtesting
• Fixed Timer missing condition check for non-positive intervals
• Fixed Condition checks involving integers, was previously defaulting to 32-bit and overflowing
• Fixed ReportProvider.generate_order_fills_report(...) which was missing partial fills for orders not in a final FILLED status, thanks @r3k4mn14r

NautilusTrader 1.178.0 Beta

NautilusTrader 1.178.0 Beta

Released on 2nd September 2023 (UTC).

Enhancements

None

Breaking Changes

None

Fixes

• Fixed OrderBookDelta.clear method (where the sequence field was swapped with flags causing an overflow)
• Fixed OrderManager OTO contingency handling on fills
• Fixed OrderManager duplicate order canceled events (race condition when processing contingencies)
• Fixed Cache loading of initialized emulated orders (were not being correctly indexed as emulated)
• Fixed Binance order book subscriptions for deltas at full depth (was not requesting initial snapshot), thanks for reporting @doublier1

NautilusTrader 1.177.0 Beta

NautilusTrader 1.177.0 Beta

Released on 26th August 2023 (UTC).

This release includes a large breaking change to QuoteTick bid and ask price property and
parameter naming. This was done in the interest of maintaining our generally explicit naming
standards, and has caused confusion for some users in the past. Data using 'bid' and 'ask' columns should
still work with the legacy data wranglers, as columns are renamed under the hood to accommodate
this change.

Enhancements

• Added ActorExecutor with Actor API for creating and running threaded tasks in live environments
• Added OrderEmulated event and associated OrderStatus.EMULATED enum variant
• Added OrderReleased event and associated OrderStatus.RELEASED enum variant
• Added BacktestVenueConfig.use_position_ids option (default true to retain current behavior)
• Added Cache.exec_spawn_total_quantity(...) convenience method
• Added Cache.exec_spawn_total_filled_qty(...) convenience method
• Added Cache.exec_spawn_total_leaves_qty(...) convenience method
• Added WebSocketClient.send_text, thanks @twitu
• Implemented string interning for TimeEvent

Breaking Changes

• Renamed QuoteTick.bid to bid_price including all associated parameters (for explicit naming standards)
• Renamed QuoteTick.ask to ask_price including all associated parameters (for explicit naming standards)

Fixes

• Fixed execution algorithm position_id assignment in HEDGING mode
• Fixed OrderMatchingEngine processing of emulated orders
• Fixed OrderEmulator processing of exec algorithm orders
• Fixed ExecutionEngine processing of exec algorithm orders (exec spawn IDs)
• Fixed Cache emulated order indexing (were not being properly discarded from the set when closed)
• Fixed RedisCacheDatabase loading of transformed LIMIT orders
• Fixed a connection issue with the IB client, thanks @dkharrat and @rsmb7z

NautilusTrader 1.176.0 Beta

NautilusTrader 1.176.0 Beta

Released on 31st July 2023 (UTC).

Enhancements

• Implemented string interning with the ustr library, thanks @twitu
• Added SyntheticInstrument capability, including dynamic derivation formulas
• Added Order.commissions() convenience method (also added to state snapshot dictionaries)
• Added Cache position and order state snapshots (configure via CacheConfig)
• Added CacheDatabaseConfig.timestamps_as_iso8601 to persist timestamps as ISO 8601 strings
• Added LiveExecEngineConfig.filter_position_reports to filter position reports from reconciliation
• Added Strategy.cancel_gtd_expiry to cancel managed GTD order expiration
• Added Binance Futures support for modifying LIMIT orders
• Added BinanceExecClientConfig.max_retries option (for retrying order submit and cancel requests)
• Added BinanceExecClientConfig.retry_delay option (the delay between retry attempts)
• Added BinanceExecClientConfig.use_reduce_only option (default true to retain current behavior)
• Added BinanceExecClientConfig.use_position_ids option (default true to retain current behavior)
• Added BinanceExecClientConfig.treat_expired_as_canceled option (default false to retain current behavior)
• Added BacktestVenueConfig.use_reduce_only option (default true to retain current behavior)
• Added MessageBus.is_pending_request(...) method
• Added Level API for core OrderBook (exposes the bid and ask levels for the order book)
• Added Actor.is_pending_request(...) convenience method
• Added Actor.has_pending_requests() convenience method
• Added Actor.pending_requests() convenience method
• Added USDP (Pax Dollar) and TUSD (TrueUSD) stablecoins
• Improved OrderMatchingEngine handling when no fills (an error is now logged)
• Improved Binance live clients logging
• Upgraded Cython to 3.0.0 stable

Breaking Changes

• Moved filter_unclaimed_external_orders from ExecEngineConfig to LiveExecEngineConfig
• All Actor.request_* methods no longer take a request_id, but now return a UUID4 request ID
• Removed BinanceExecClientConfig.warn_gtd_to_gtd (now always an INFO level log)
• Renamed Instrument.native_symbol to raw_symbol (you must manually migrate or flush your cached instruments)
• Renamed Position.cost_currency to settlement_currency (standardize terminology)
• Renamed CacheDatabaseConfig.flush to flush_on_start (for clarity)
• Changed Order.ts_last to represent the UNIX nanoseconds timestamp of the last event (rather than fill)

Fixes

• Fixed Portfolio.net_position calculation to use Decimal rather than float to avoid rounding errors
• Fixed race condition on OrderFactory order identifiers generation
• Fixed dictionary representation of orders for venue_order_id (for three order types)
• Fixed Currency registration with core global map on creation
• Fixed serialization of OrderInitialized.exec_algorithm_params to spec (bytes rather than string)
• Fixed assignment of position IDs for contingency orders (when parent filled)
• Fixed PENDING_CANCEL -> EXPIRED as valid state transition (real world possibility)
• Fixed fill handling of reduce_only orders when partially filled
• Fixed Binance reconciliation which was requesting reports for the same symbol multiple times
• Fixed Binance Futures native symbol parsing (was actually Nautilus symbol values)
• Fixed Binance Futures PositionStatusReport parsing of position side
• Fixed Binance Futures TradeReport assignment of position ID (was hardcoded to hedging mode)
• Fixed Binance execution submitting of order lists
• Fixed Binance commission rates requests for InstrumentProvider
• Fixed Binance TriggerType parsing #1154, thanks for reporting @davidblom603
• Fixed Binance order parsing of invalid orders in execution reports #1157, thanks for reporting @graceyangfan
• Extended BinanceOrderType enum members to include undocumented INSURANCE_FUND, thanks for reporting @Tzumx
• Extended BinanceSpotPermissions enum members #1161, thanks for reporting @davidblom603

NautilusTrader 1.175.0 Beta

NautilusTrader 1.175.0 Beta

Released on 16th June 2023 (UTC).

The Betfair adapter is broken for this release pending integration with the new Rust order book.
We recommend you do not upgrade to this version if you're using the Betfair adapter.

Enhancements

• Integrated Interactive Brokers adapter v2 into platform, thanks @rsmb7z
• Integrated core Rust OrderBook into platform
• Integrated core Rust OrderBookDelta data type
• Added core Rust HttpClient based on hyper, thanks @twitu
• Added core Rust WebSocketClient based on tokio-tungstenite, thanks @twitu
• Added core Rust SocketClient based on tokio TcpStream, thanks @twitu
• Added quote_quantity parameter to determine if order quantity is denominated in quote currency
• Added trigger_instrument_id parameter to trigger emulated orders from alternative instrument prices
• Added use_random_ids to add_venue(...) method, controls whether venue order, position and trade IDs will be random UUID4s (no change to current behaviour)
• Added ExecEngineConfig.filter_unclaimed_external_orders options, if unclaimed order events with an EXTERNAL strategy ID should be filtered/dropped
• Changed BinanceHttpClient to use new core HTTP client
• Defined public API for data, can now import directly from nautilus_trader.model.data (denest namespace)
• Defined public API for events, can now import directly from nautilus_trader.model.events (denest namespace)

Breaking changes

• Upgraded pandas to v2
• Removed OrderBookSnapshot (redundant as can be represented as an initial CLEAR followed by deltas)
• Removed OrderBookData (redundant)
• Renamed Actor.handle_order_book_delta to handle_order_book_deltas (to more clearly reflect the OrderBookDeltas data type)
• Renamed Actor.on_order_book_delta to on_order_book_deltas (to more clearly reflect the OrderBookDeltas data type)
• Renamed inverse_as_quote to use_quote_for_inverse (ambiguous name, only applicable for notional calcs on inverse instruments)
• Changed Data contract (custom data), see docs
• Renamed core LogMessage to LogEvent to more clearly distinguish between the message field and the event struct itself (aligns with vector language)
• Renamed core LogEvent.timestamp_ns to LogEvent.timestamp (affects field name for JSON format)
• Renamed core LogEvent.msg to LogEvent.message (affects field name for JSON format)

Fixes

• Updated BinanceAccountType enum members and associated docs
• Fixed BinanceCommonExecutionClient iteration of OrderList orders
• Fixed heartbeats for BinanceWebSocketClient (new Rust client now responds with pong frames)
• Fixed Binance adapter typing for orderId, fromId, startTime and endTime (all are ints), thanks for reporting @davidsblom
• Fixed Currency equality to be based on the code field (avoiding equality issues over FFI), thanks for reporting @Otlk
• Fixed BinanceInstrumentProvider parsing of initial and maintenance margin values

NautilusTrader 1.174.0 Beta

NautilusTrader 1.174.0 Beta

Released on 19th May 2023 (UTC).

Breaking Changes

• Parquet schemas are now shifting towards catalog v2 (we recommend you don't upgrade if using legacy catalog)
• Moved order book data from model.orderbook.data into the model.data.book namespace

Enhancements

• Improved handling for backtest account blow-up scenarios (balance negative or margin exceeded)
• Added AccountMarginExceeded exception and refined AccountBalanceNegative
• Various improvements to Binance clients error handling and logging
• Improve Binance HTTP error messages

Fixes

• Fixed handling of emulated order contingencies (not based on status of spawned algorithm orders)
• Fixed sending execution algorithm commands from strategy
• Fixed OrderEmulator releasing of already closed orders
• Fixed MatchingEngine processing of reduce only for child contingency orders
• Fixed MatchingEngine position ID assignment for child contingency orders
• Fixed Actor handling of historical data from requests (will now call on_historical_data regardless of state), thanks for reporting @miller-moore
• Fixed pyarrow schema dictionary index keys being too narrow (int8 -> int16), thanks for reporting @rterbush

NautilusTrader 1.173.0 Beta

NautilusTrader 1.173.0 Beta

Released on 5th May 2023 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed BacktestEngine processing of venue(s) message queue based off time event ts_init
• Fixed Position.signed_decimal_qty (incorrect format precision in f-string), thanks for reporting @rsmb7z
• Fixed trailing stop type order updates for reduce_only instruction, thanks for reporting @Otlk
• Fixed updating of active execution algorithm orders (events weren't being cached)
• Fixed condition check for applying pending events (do not apply to orders at INITIALIZED status)

NautilusTrader 1.172.0 Beta

NautilusTrader 1.172.0 Beta

Released on 30th April 2023 (UTC).

Breaking Changes

• Removed legacy Rust parquet data catalog backend (based on arrow2)
• Removed Binance config for clock_sync_interval_secs (redundant/unused and should be handled at system level)
• Removed redundant rate limiting from Rust logger (and associated rate_limit config params)
• Renamed Future instrument to FuturesContract (avoids ambiguity)
• Renamed Option instrument to OptionsContract (avoids ambiguity and naming conflicts in Rust)
• Reinstate hours and minutes time component for default order and position identifiers (easier debugging, less collisions)
• Setting time alerts for in the past or current time will generate an immediate TimeEvent (rather than being invalid)

Enhancements

• Added new DataFusion Rust parquet data catalog backend (yet to be integrated into Python)
• Added external_order_claims config option for StrategyConfig (for claiming external orders per instrument)
• Added Order.signed_decimal_qty()
• Added Cache.orders_for_exec_algorithm(...)
• Added Cache.orders_for_exec_spawn(...)
• Added TWAPExecAlgorithm and TWAPExecAlgorithmConfig to examples
• Build out ExecAlgorithm base class for implementing 'first class' execution algorithms
• Rewired execution for improved flow flexibility between emulated orders, execution algorithms and the RiskEngine
• Improved handling for OrderEmulator updating of contingency orders from execution algorithms
• Define public API for instruments, can now import directly from nautilus_trader.model.instruments (denest namespace)
• Define public API for orders, can now import directly from nautilus_trader.model.orders (denest namespace)
• Define public API for order book, can now import directly from nautilus_trader.model.orderbook (denest namespace)
• Now stripping debug symbols after build (reduced binary sizes)
• Refined build and added additional debug Makefile convenience targets

Fixes

• Fixed processing of contingency orders when in a pending update state
• Fixed calculation of PnL for flipped positions (only book realized PnL against open position)
• Fixed WebSocketClient session disconnect, thanks for reporting @miller-moore
• Added missing BinanceSymbolFilterType.NOTIONAL
• Fixed incorrect Mul trait for Price and Quantity (not being used in Cython/Python layer)

NautilusTrader 1.171.0 Beta

NautilusTrader 1.171.0 Beta

Released on 30th March 2023 (UTC).

Breaking Changes

• Renamed all position net_qty fields and parameters to signed_qty (more accurate naming)
• NautilusKernelConfig removed all log_* config options (replaced by logging with LoggingConfig)
• Trading CurrencyPair instruments with a single-currency CASH account type no longer permitted (unrealistic)
• Changed PositionEvent parquet schemas (renamed net_qty field to signed_qty)

Enhancements

• Added LoggingConfig to consolidate logging configs, offering various file options and per component level filters
• Added BacktestVenueConfig.bar_execution to control whether bar data moves the matching engine markets (reinstated)
• Added optional request_id for actor data requests (aids processing responses), thanks @rsmb7z
• Added Position.signed_decimal_qty()
• Now using above signed quantity for Portfolio net position calculation, and LiveExecutionEngine reconciliation comparisons

Fixes

• Fixed BacktestEngine clock and logger handling (had a redundant extra logger and not swapping live clock in post run)
• Fixed close_position order event publishing and cache persistence for MarketOrder and SubmitOrder, thanks for reporting @rsmb7z