NautilusTrader 1.150.0 Beta

NautilusTrader 1.150.0 Beta

Released on August 15th 2022 (UTC).

Breaking Changes

• BacktestEngine now required venues to be added prior to instruments
• BacktestEngine now requires instruments to be added prior to data
• Renamed Ladder.reverse -> Ladder.is_reversed
• Portfolio performance now displays commissions as a negative

Enhancements

• Added initial backtest config validation for instrument vs venue
• Added initial sandbox execution client, thanks @limx0
• Added leverage options for BacktestVenueConfig, thanks @miller-moore
• Allow Trader to run without strategies loaded
• Integrated core Rust clock and timer
• De-cythonize InstrumentProvider base class

Fixes

• Fixed double counting of commissions for single-currency and multi-currency accounts #657

NautilusTrader 1.149.0 Beta

NautilusTrader 1.149.0 Beta

Released on 27th June 2022 (UTC).

Breaking Changes

• Schema change for Instrument.info for ParquetDataCatalog

Enhancements

• Added DirectionalMovementIndicator indicator, thanks @graceyangfan
• Added KlingerVolumeOscillator indicator, thanks @graceyangfan
• Added clientId and start_gateway for IB config, thanks @niks199

Fixes

• Fixed macOS ARM64 build
• Fixed Binance testnet URL
• Fixed IB contract ID dict, thanks @niks199
• Fixed IB InstrumentProvider #685, thanks @limx0
• Fixed IB orderbook snapshots L1 value assertion #712 , thanks @limx0

NautilusTrader 1.148.0 Beta

NautilusTrader 1.148.0 Beta

Released on 30th June 2022 (UTC).

Breaking Changes

None

Enhancements

• Ported core bar objects to Rust thanks @ghill2
• Improved core unix_nanos_to_iso8601 performance by 30% thanks @ghill2
• Added DataCatalog interface for ParquetDataCatalog thanks @jordanparker6
• Added AroonOscillator indicator thanks @graceyangfan
• Added ArcherMovingAveragesTrends indicator thanks @graceyangfan
• Added DoubleExponentialMovingAverage indicator thanks @graceyangfan
• Added WilderMovingAverage indicator thanks @graceyangfan
• Added ChandeMomentumOscillator indicator thanks @graceyangfan
• Added VerticalHorizontalFilter indicator thanks @graceyangfan
• Added Bias indicator thanks @graceyangfan

Fixes

None

NautilusTrader 1.147.1 Beta

NautilusTrader 1.147.1 Beta

Released on 6th June 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed incorrect backtest log timestamps (was using actual time)
• Fixed formatting of timestamps for nanoseconds zulu as per RFC3339

NautilusTrader 1.147.0 Beta

NautilusTrader 1.147.0 Beta

Released on 4th June 2022 (UTC).

Breaking Changes

None

Enhancements

• Improved error handling for invalid state triggers
• Improved component state transition behaviour and logging
• Improved TradingNode disposal flow
• Implemented core monotonic clock
• Implemented logging in Rust
• Added CommodityChannelIndex indicator thanks @graceyangfan

Fixes

None

NautilusTrader 1.146.0 Beta

NautilusTrader 1.146.0 Beta

Released on 22nd May 2022 (UTC).

Breaking Changes

• AccountId constructor now takes single value string
• Removed redundant UUIDFactory and all associated backing fields and calls
• Removed ClientOrderLinkId (not in use)

Enhancements

• Refinements and improvements to Rust core

Fixes

• Fixed pre-trade notional risk checks incorrectly applied to MARGIN accounts
• Fixed net_qty in PositionStatusReport thanks to @sidnvy
• Fixed LinearRegression indicator thanks to @graceyangfan

NautilusTrader 1.145.0 Beta

NautilusTrader 1.145.0 Beta

Released on 15th May 2022 (UTC).

This is an early release due to the build error in the sdist for 1.144.0.
The error is due to the nautilus_core Rust source not being included in the sdist package.

Breaking Changes

• All raw order constructors now take expire_time_ns int64 rather than a datetime
• All order serializations due to expire_time_ns option handling
• PortfolioAnalyzer moved from Trader to Portfolio

Enhancements

• PortfolioAnalyzer now available to strategies via self.portfolio.analyzer

Fixes

None

NautilusTrader 1.144.0 Beta

NautilusTrader 1.144.0 Beta

Released on 10th May 2022 (UTC).

Breaking Changes

• Removed BacktestEngine.add_ticks() as redundant with .add_data()
• Removed BacktestEngine.add_bars() as redundant with .add_data()
• Removed BacktestEngine.add_generic_data() as redundant with .add_data()
• Removed BacktestEngine.add_order_book_data() as redundant with .add_data()
• Renamed Position.from_order to Position.opening_order_id
• Renamed StreamingPersistence to StreamingFeatherWriter
• Renamed PersistenceConfig to StreamingConfig
• Renamed PersistenceConfig.flush_interval to flush_interval_ms

Enhancements

• Added Actor.publish_signal for generic dynamic signal data
• Added WEEK and MONTH bar aggregation options
• Added Position.closing_order_id property
• Added tags param to Strategy.submit_order
• Added optional check_positon_exists flag to Strategy.submit_order
• Eliminated all use of unsafe Rust and C null-terminated byte strings
• The bypass_logging config option will also now bypass the BacktestEngine logger

Fixes

• Fixed behaviour of IOC and FOK time in force instructions
• Fixed Binance bar resolution parsing

NautilusTrader 1.143.0 Beta

NautilusTrader 1.143.0 Beta

Released on 21st April 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed segfault for CashAccount.calculate_balance_locked with no base currency
• Various FeatherWriter fixes

NautilusTrader 1.142.0 Beta

NautilusTrader 1.142.0 Beta

Released on 17th April 2022 (UTC).

Breaking Changes

• BacktestNode now requires configs at initialization
• Removed run_configs param from BacktestNode.run() method
• Removed return_engine flag
• Renamed TradingStrategy to Strategy
• Renamed TradingStrategyConfig to StrategyConfig
• Changes to configuration object import paths
• Removed redundant realized_points concept from Position

Enhancements

• Added BacktestNode.get_engines() method
• Added BacktestNode.get_engine(run_config_id) method
• Added Actor.request_instrument() method (also applies to Strategy)
• Added Cache.snapshot_position() method
• All configuration objects can now be imported directly from nautilus_trader.config
• Execution engine now takes snapshots of closed netted positions
• Performance statistics now based on total positions and snapshots
• Added Binance Spot/Margin external order handling
• Added support for millisecond bar aggregation
• Added configurable debug mode for engines (with extra debug logging)
• Improved annualized portfolio statistics with configurable period

Fixes

None