NautilusTrader 1.170.0 Beta

NautilusTrader 1.170.0 Beta

Released on 11th March 2023 (UTC).

Breaking Changes

• Moved backtest.data.providers to test_kit.providers
• Moved backtest.data.wranglers to persistence.wranglers (to be consolidated)
• Moved backtest.data.loaders to persistence.loaders (to be consolidated)
• Renamed from_datetime to start across data request methods and properties
• Renamed to_datetime to end across data request methods and properties
• Removed RiskEngineConfig.deny_modify_pending_update (as now redundant with new pending event sequencing)
• Removed redundant log sink machinery
• Changed parquet catalog schema dictionary integer key widths/types
• Invalidated all pickled data due to Cython 3.0.0b1 upgrade

Enhancements

• Added logging to file at core Rust level
• Added DataCatalogConfig for more cohesive data catalog configuration
• Added DataEngine.register_catalog to support historical data requests
• Added catalog_config field to base NautilusKernelConfig
• Changed to immediately caching orders and order lists in Strategy
• Changed to checking duplicate client_order_id and order_list_id in Strategy
• Changed generating and applying OrderPendingUpdate and OrderPendingCancel in Strategy
• PortfolioAnalyzer PnL statistics now take optional unrealized_pnl
• Backtest performance statistics now include unrealized PnL in total PnL

Fixes

• Fixed Binance Futures trigger type parsing
• Fixed DataEngine bar subscribe and unsubscribe logic, thanks for reporting @rsmb7z
• Fixed Actor handling of bars, thanks @limx0
• Fixed CancelAllOrders command handling for contingent orders not yet in matching core
• Fixed TrailingStopMarketOrder slippage calculation when no trigger_price, thanks for reporting @rsmb7z
• Fixed BinanceSpotInstrumentProvider parsing of quote asset (was using base), thanks for reporting @logogin
• Fixed undocumented Binance time in force 'GTE_GTC', thanks for reporting @graceyangfan
• Fixed Position calculation of last_qty when commission currency was equal to base currency, thanks for reporting @rsmb7z
• Fixed BacktestEngine post backtest run PnL performance statistics for currencies traded per venue, thanks for reporting @rsmb7z

NautilusTrader 1.169.0 Beta

NautilusTrader 1.169.0 Beta

Released on 18th February 2023 (UTC).

Breaking Changes

• NautilusConfig objects now pseudo-immutable from new msgspec 0.13.0
• Renamed OrderFactory.bracket param post_only_entry -> entry_post_only (consistency with other params)
• Renamed OrderFactory.bracket param post_only_tp -> tp_post_only (consistency with other params)
• Renamed build_time_bars_with_no_updates -> time_bars_build_with_no_updates (consistency with new param)
• Renamed OrderFactory.set_order_count() -> set_client_order_id_count() (clarity)
• Renamed TradingNode.start() to TradingNode.run()

Enhancements

• Complete overhaul and improvements to Binance adapter(s), thanks @poshcoe
• Added Binance aggregated trades functionality with use_agg_trade_ticks, thanks @poshcoe
• Added time_bars_timestamp_on_close option for configurable bar timestamping (True by default)
• Added OrderFactory.generate_client_order_id() (calls internal generator)
• Added OrderFactory.generate_order_list_id() (calls internal generator)
• Added OrderFactory.create_list(...) as easier method for creating order lists
• Added __len__ implementation for OrderList (returns length of orders)
• Implemented optimized logger using Rust MPSC channel and separate thread
• Expose and improve MatchingEngine public API for custom functionality
• Exposed TradingNode.run_async() for easier running from async context
• Exposed TradingNode.stop_async() for easier stopping from async context

Fixes

• Fixed registration of SimulationModule (and refine Actor base registration)
• Fixed loading of previously emulated and transformed orders (handles transforming OrderInitialized event)
• Fixed handling of MARKET_TO_LIMIT orders in matching and risk engines, thanks for reporting @martinsaip

NautilusTrader 1.168.0 Beta

NautilusTrader 1.168.0 Beta

Released on 29th January 2023 (UTC).

Breaking Changes

• Removed Cache.clear_cache() (redundant with the .reset() method)

Enhancements

• Added Cache .add(...) and .get(...) for general 'user/custom' objects (as bytes)
• Added CacheDatabase .add(...) and .load() for general cache objects (as bytes)
• Added RedisCacheDatabase .add(...) and .load() for general Redis persisted bytes objects (as bytes)
• Added Cache.actor_ids()
• Added Actor cached state saving and loading functionality
• Improved logging for called action handlers when not overridden

Fixes

• Fixed configuration of loading and saving actor and strategy state

NautilusTrader 1.167.0 Beta

NautilusTrader 1.167.0 Beta

Released on 28th January 2023 (UTC).

Breaking Changes

• Renamed OrderBookData.update_id to sequence
• Renamed BookOrder.id to order_id

Enhancements

• Introduced Rust pyo3 based ParquetReader and ParquetWriter, thanks @twitu
• Added msgbus.is_subscribed (to check if topic and handler already subscribed)
• Simplified message type model and introduce CQRS-ish live messaging architecture

Fixes

• Fixed Binance data clients order book startup buffer handling
• Fixed NautilusKernel redundant initialization of event loop for backtesting, thanks @limx0
• Fixed BacktestNode disposal sequence
• Fixed quick start docs and notebook

NautilusTrader 1.166.0 Beta

NautilusTrader 1.166.0 Beta

Released on 17th January 2023 (UTC).

Breaking Changes

• Position.unrealized_pnl now None until any realized PnL is generated (to reduce ambiguity)

Enhancements

• Added instrument status update subscription handlers, thanks @limx0
• Improvements to InteractiveBrokers DataClient, thanks @rsmb7z
• Improvements to async task handling for live clients
• Various improvements to Betfair adapter, thanks @limx0

Fixes

• Fixed netted Position realized_pnl and realized_return fields, which were incorrectly cumulative
• Fixed netted Position flip logic (now correctly 'resets' position)
• Various fixes for Betfair adapter, thanks @limx0
• InteractiveBrokers integration docs fixes

NautilusTrader 1.165.0 Beta

NautilusTrader 1.165.0 Beta

Released on 14th January 2023 (UTC).

A number of enum variant names have been changed in favour of explicitness,
and also to avoid C naming collisions.

Breaking Changes

• Renamed AggressorSide.NONE to NO_AGGRESSOR
• Renamed AggressorSide.BUY to BUYER
• Renamed AggressorSide.SELL to SELLER
• Renamed AssetClass.CRYPTO to CRYPTOCURRENCY
• Renamed LiquiditySide.NONE to NO_LIQUIDITY_SIDE
• Renamed OMSType to OmsType
• Renamed OmsType.NONE to UNSPECIFIED
• Renamed OrderSide.NONE to NO_ORDER_SIDE
• Renamed PositionSide.NONE to NO_POSITION_SIDE
• Renamed TrailingOffsetType.NONE to NO_TRAILING_OFFSET
• Removed TrailingOffsetType.DEFAULT
• Renamed TriggerType.NONE to NO_TRIGGER
• Renamed TriggerType.LAST to LAST_TRADE
• Renamed TriggerType.MARK to MARK_PRICE
• Renamed TriggerType.INDEX to INDEX_PRICE
• Renamed ComponentState.INITIALIZED to READY
• Renamed OrderFactory.bracket(post_only) to post_only_entry
• Moved manage_gtd_expiry to Strategy.submit_order(...) and Strategy.submit_order_list(...)

Enhancements

• Added BarSpecification.timedelta property, thanks @rsmb7z
• Added DataEngineConfig.build_time_bars_with_no_updates option
• Added OrderFactory.bracket(post_only_tp) param
• Added OrderListIdGenerator and integrate with OrderFactory
• Added Cache.add_order_list(...)
• Added Cache.order_list(...)
• Added Cache.order_lists(...)
• Added Cache.order_list_exists(...)
• Added Cache.order_list_ids(...)
• Improved generation of OrderListId from factory to ensure uniqueness
• Added auction matches for backtests, thanks @limx0
• Added .timedelta property to BarSpecification, thanks @rsmb7z
• Numerous improvements to the Betfair adapter, thanks @limx0
• Improvements to Interactive Brokers data subscriptions, thanks @rsmb7z
• Added DataEngineConfig.validate_data_sequence (False by default and currently only for Bar data), thanks @rsmb7z

Fixes

• Added TRD_GRP_* enum variants for Binance spot permissions
• Fixed PARTIALLY_FILLED -> EXPIRED order state transition, thanks @bb01100100

NautilusTrader 1.164.0 Beta

NautilusTrader 1.164.0 Beta

Released on 23rd December 2022 (UTC).

Breaking Changes

None

Enhancements

• Added managed GTD order expiry (experimental feature, config may change)
• Added Rust ParquetReader and ParquetWriter (for QuoteTick and TradeTick only)

Fixes

• Fixed MARKET_IF_TOUCHED orders for OrderFactory.bracket(..)
• Fixed OrderEmulator trigger event handling for live trading
• Fixed OrderEmulator transformation to market orders which had a GTD time in force
• Fixed serialization of OrderUpdated events
• Fixed typing and edge cases for new msgspec, thanks @limx0
• Fixed data wrangler processing with missing data, thanks @rsmb7z

NautilusTrader 1.163.0 Beta

NautilusTrader 1.163.0 Beta

Released on 17th December 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed MARKET_IF_TOUCHED and LIMIT_IF_TOUCHED trigger and modify behavior
• Fixed MatchingEngine updates of stop order types
• Fixed combinations of passive or immediate trigger vs passive or immediate fill behavior
• Fixed memory leaks from passing string pointers from Rust, thanks @twitu

NautilusTrader 1.162.0 Beta

NautilusTrader 1.162.0 Beta

Released on 12th December 2022 (UTC).

Breaking Changes

• OrderFactory bracket order methods consolidated to .bracket(...)

Enhancements

• Extended OrderFactory to provide more bracket order types
• Simplified GitHub CI and removed nox dependency

Fixes

• Fixed OrderBook sorting for bid side, thanks @gaugau3000
• Fixed MARKET_TO_LIMIT order initial fill behaviour
• Fixed BollingerBands indicator mid-band calculations, thanks zhp (Discord)

NautilusTrader 1.161.0 Beta

NautilusTrader 1.161.0 Beta

Released on 10th December 2022 (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

• Added support for Python 3.11
• 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 behavior to fill at market on immediate trigger
• Fixed STOP_LIMIT order behavior to fill at market on immediate trigger and marketable
• Fixed STOP_LIMIT order behavior to fill at market on processed trigger and marketable
• Fixed LIMIT_IF_TOUCHED order behavior 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