NautilusTrader 1.192.0 Beta

Released on TBD (UTC).

Enhancements

Added Nautilus CLI (see docs) (#1602), many thanks @filipmacek
Added Cfd and Commodity instruments with Interactive Brokers support (#1604), thanks @DracheShiki
Added OrderMatchingEngine futures and options contract activation and expiration simulation
Added Sandbox example with Interactive Brokers (#1618), thanks @rsmb7z
Added ParquetDataCatalog S3 support (#1620), thanks benjaminsingleton
Added Bar.from_raw_arrays_to_list (#1623), thanks rsmb7z

Breaking Changes

Removed allow_cash_positions config (simplify to the most common use case, spot trading should track positions)
Changed tags param and return type from str to list[str] (more naturally expresses multiple tags)
Changed Order.to_dict() commission and linked_order_id fields to lists of strings rather than comma separated strings

Fixes

Fixed Money string parsing where the value from str(money) can now be passed to Money.from_str
Fixed ParquetDataCatalog bar queries by instrument_id which were no longer returning data (the intent is to use bar_type, however using instrument_id now returns all matching bars)
Fixed Interactive Brokers contract details parsing (#1615), thanks @rsmb7z
Fixed Interactive Brokers portfolio registration (#1616), thanks @rsmb7z
Fixed IBKR reconnection after gateway/TWS disconnection (#1622), thanks @benjaminsingleton
Fixed from_str for Price, Quantity and Money when input string contains underscores in Rust, thanks for reporting @filipmacek
Fixed Binance Futures account balance calculation (was over stating free balance with margin collateral, which could result in a negative locked balance)

NautilusTrader 1.191.0 Beta

Released on 20th April 2024 (UTC).

Enhancements

Implemented FeeModel including FixedFeeModel and MakerTakerFeeModel (#1584), thanks @rsmb7z
Implemented TradeTickDataWrangler.process_bar_data (#1585), thanks @rsmb7z
Implemented multiple timeframe bar execution (will use lowest timeframe per instrument)
Optimized LiveTimer efficiency and accuracy with tokio timer under the hood
Optimized QuoteTickDataWrangler and TradeTickDataWrangler (#1590), thanks @rsmb7z
Standardized adapter client logging (handle more logging from client base classes)
Simplified and consolidated Rust OrderBook design
Improved CacheDatabaseAdapter graceful close and thread join
Improved MessageBus graceful close and thread join
Improved modify_order error logging when order values remain unchanged
Added RecordFlag enum for Rust and Python
Interactive Brokers further improvements and fixes, thanks @rsmb7z
Ported Bias indicator to Rust, thanks @Pushkarm029

Breaking Changes

Reordered OrderBookDelta params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
Reordered OrderBook params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
Added flags parameter to OrderBook.add
Added flags parameter to OrderBook.update
Added flags parameter to OrderBook.delete
Changed Arrow schema for all instruments: added info binary field
Changed Arrow schema for CryptoFuture: added is_inverse boolean field
Renamed both OrderBookMbo and OrderBookMbp to OrderBook (consolidated)
Renamed Indicator.handle_book_mbo and Indicator.handle_book_mbp to handle_book (consolidated)
Renamed register_serializable_object to register_serializable_type (also renames first param from obj to cls)

Fixes

Fixed MessageBus pattern resolving (fixes a performance regression where topics published with no subscribers would always re-resolve)
Fixed BacktestNode streaming data management (was not clearing between chunks), thanks for the report @dpmabo
Fixed RiskEngine cumulative notional calculations for margin accounts (was incorrectly using base currency when selling)
Fixed selling Equity instruments with CASH account and NETTING OMS incorrectly rejecting (should be able to reduce position)
Fixed Databento bars decoding (was incorrectly applying display factor)
Fixed Binance bar (kline) to use close_time for ts_event was opentime (#1591), thanks for reporting @OnlyC
Fixed AccountMarginExceeded error condition (margin must actually be exceeded now, and can be zero)
Fixed ParquetDataCatalog path globbing which was including all paths with substrings of specified instrument IDs

NautilusTrader 1.190.0 Beta

Released on 22nd March 2024 (UTC).

Enhancements

Added Databento adapter continuous, parent and instrument_id symbology support (will infer from symbols)
Added DatabaseConfig.timeout config option for timeout seconds to wait for a new connection
Added CSV tick and bar data loader params, thanks @rterbush
Implemented LogGuard to ensure global logger is flushed on termination, thanks @ayush-sb and @twitu
Improved Interactive Brokers client connectivity resilience and component lifecycle, thanks @benjaminsingleton
Improved Binance execution client ping listen key error handling and logging
Improved Redis cache adapter and message bus error handling and logging
Improved Redis port parsing (DatabaseConfig.port can now be either a string or integer)
Ported ChandeMomentumOscillator indicator to Rust, thanks @Pushkarm029
Ported VIDYA indicator to Rust, thanks @Pushkarm029
Refactored InteractiveBrokersEWrapper, thanks @rsmb7z
Redact Redis passwords in strings and logs
Upgraded redis crate to 0.25.2 which bumps up TLS dependencies, and turned on tls-rustls-webpki-roots feature flag

Breaking Changes

None

Fixes

Fixed JSON format for log file output (was missing timestamp and trader\_id)
Fixed DatabaseConfig port JSON parsing for Redis (was always defaulting to 6379)
Fixed ChandeMomentumOscillator indicator divide by zero error (both Rust and Cython versions)

NautilusTrader 1.189.0 Beta

Released on 15th March 2024 (UTC).

Enhancements

Implemented Binance order book snapshot rebuilds on websocket reconnect (see integration guide)
Added additional validations for OrderMatchingEngine (will now raise a RuntimeError when a price or size precision for OrderFilled does not match the instruments precisions)
Added LoggingConfig.use_pyo3 config option for pyo3 based logging initialization (worse performance but allows visibility into logs originating from Rust)
Added exchange field to FuturesContract, FuturesSpread, OptionsContract and OptionsSpread (optional)

Breaking Changes

Changed Arrow schema adding exchange field for FuturesContract, FuturesSpread, OptionsContract and OptionsSpread

Fixes

Fixed MessageBus handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)
Fixed MessageBus handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a RuntimeError)
Fixed Throttler handling of sending messages after messages have been dropped, thanks @davidsblom
Fixed OrderBookDelta.to_pyo3_list using zero precision from clear delta
Fixed DataTransformer.pyo3_order_book_deltas_to_record_batch_bytes using zero precision from clear delta
Fixed OrderBookMbo and OrderBookMbp integrity check when crossed book
Fixed OrderBookMbp error when attempting to add to a L1_MBP book type (now raises RuntimeError rather than panicking)
Fixed Interactive Brokers connection error logging (#1524), thanks @benjaminsingleton
Fixed SimulationModuleConfig location and missing re-export from config subpackage
Fixed logging StdoutWriter from also writing error logs (writers were duplicating error logs)
Fixed BinanceWebSocketClient to new specification which requires responding to pings with a pong containing the pings payload
Fixed Binance Futures AccountBalance calculations based on wallet and available balance
Fixed ExecAlgorithm circular import issue for installed wheels (importing from execution.algorithm was a circular import)

NautilusTrader 1.188.0 Beta

Released on 25th February 2024 (UTC).

Enhancements

Added FuturesSpread instrument type
Added OptionsSpread instrument type
Added InstrumentClass.FUTURE_SPREAD
Added InstrumentClass.OPTION_SPREAD
Added managed parameter to subscribe_order_book_deltas, default true to retain current behavior (if false then the data engine will not automatically manage a book)
Added managed parameter to subscribe_order_book_snapshots, default true to retain current behavior (if false then the data engine will not automatically manage a book)
Added additional validations for OrderMatchingEngine (will now reject orders with incorrect price or quantity precisions)
Removed interval_ms 20 millisecond limitation for subscribe_order_book_snapshots (i.e. just needs to be positive), although we recommend you consider subscribing to deltas below 100 milliseconds
Ported LiveClock and LiveTimer implementations to Rust
Implemented OrderBookDeltas pickling
Implemented AverageTrueRange in Rust, thanks @rsmb7z

Breaking Changes

Changed TradeId value maximum length to 36 characters (will raise a ValueError if value exceeds the maximum)

Fixes

Fixed TradeId memory leak due assigning unique values to the Ustr global string cache (which are never freed for the lifetime of the program)
Fixed TradeTick size precision for pyo3 conversion (size precision was incorrectly price precision)
Fixed RiskEngine cash value check when selling (would previously divide quantity by price which is too much), thanks for reporting@AnthonyVince
Fixed FOK time in force behavior (allows fills beyond the top level, will cancel if cannot fill full size)
Fixed IOC time in force behavior (allows fills beyond the top level, will cancel any remaining after all fills are applied)
Fixed LiveClock timer behavior for small intervals causing next time to be less than now (timer then would not run)
Fixed log level filtering for log_level_file (bug introduced in v1.187.0), thanks @twitu
Fixed logging print_config config option (was not being passed through to the logging system)
Fixed logging timestamps for backtesting (static clock was not being incrementally set to individual TimeEvent timestamps)
Fixed account balance updates (fills from zero quantity NETTING positions will generate account balance updates)
Fixed MessageBus publishable types collection type (needed to be tuple not set)
Fixed Controller registration of components to ensure all active clocks are iterated correctly during backtests
Fixed Equity short selling for CASH accounts (will now reject)
Fixed ActorFactory.create JSON encoding (was missing the encoding hook)
Fixed ImportableConfig.create JSON encoding (was missing the encoding hook)
Fixed ImportableStrategyConfig.create JSON encoding (was missing the encoding hook)
Fixed ExecAlgorithmFactory.create JSON encoding (was missing the encoding hook)
Fixed ControllerConfig base class and docstring
Fixed Interactive Brokers historical bar data bug, thanks @benjaminsingleton
Fixed persistence freeze_dict function to handle fs_storage_options, thanks @dimitar-petrov

NautilusTrader 1.187.0 Beta

Released on 9th February 2024 (UTC).

Enhancements

Refined logging system module and writers in Rust, thanks @ayush-sb and @twitu
Improved Interactive Brokers adapter symbology and parsing with a strict_symbology option, thanks @rsmb7z and @fhill2

Breaking Changes

Reorganized configuration objects (separated into a config module per subpackage, with re-exports from nautilus_trader.config)

Fixes

Fixed BacktestEngine and Trader disposal (now properly releasing resources), thanks for reporting @davidsblom
Fixed circular import issues from configuration objects, thanks for reporting @cuberone
Fixed unnecessary creation of log files when file logging off

NautilusTrader 1.186.0 Beta

Released on 2nd February 2024 (UTC).

Enhancements

None

Breaking Changes

None

Fixes

Fixed Interactive Brokers get account positions bug (#1475), thanks @benjaminsingleton
Fixed TimeBarAggregator handling of interval types on build
Fixed BinanceSpotExecutionClient non-existent method name, thanks @sunlei
Fixed unused psutil import, thanks @sunlei

NautilusTrader 1.185.0 Beta

Released on 26th January 2024 (UTC).

Enhancements

Add warning log when bypass_logging is set true for a LIVE context
Improved register_serializable object to also add type to internal _EXTERNAL_PUBLIHSABLE_TYPES
Improved Interactive Brokers expiration contract parsing, thanks @fhill2

Breaking Changes

Changed StreamingConfig.include_types type from tuple[str] to list[type] (better alignment with other type filters)
Consolidated clock module into component module (reduce binary wheel size)
Consolidated logging module into component module (reduce binary wheel size)

Fixes

Fixed Arrow serialization of OrderUpdated (trigger_price type was incorrect), thanks @benjaminsingleton
Fixed StreamingConfig.include_types behavior (was not being honored for instrument writers), thanks for reporting @doublier1
Fixed ImportableStrategyConfig type assignment in StrategyFactory (#1470), thanks @rsmb7z

NautilusTrader 1.184.0 Beta

Released on 22nd January 2024 (UTC).

Enhancements

Added LogLevel.OFF (matches the Rust tracing log levels)
Added init_logging function with sensible defaults to initialize the Rust implemented logging system
Updated Binance Futures enum members for BinanceFuturesContractType and BinanceFuturesPositionUpdateReason
Improved log header using the sysinfo crate (adds swap space metrics and a PID identifier)
Removed Python dependency on psutil

Breaking Changes

Removed clock parameter from Logger (no dependency on Clock anymore)
Renamed LoggerAdapter to Logger (and removed old Logger class)
Renamed Logger component_name parameter to name (matches Python built-in logging API)
Renamed OptionKind kind parameter and property to option_kind (better clarity)
Renamed OptionsContract Arrow schema field kind to option_kind
Changed level_file log level to OFF (file logging is off by default)

Fixes

Fixed memory leak for catalog queries (#1430), thanks @twitu
Fixed DataEngine order book snapshot timer names (could not parse instrument IDs with hyphens), thanks for reporting @x-zho14 and @dimitar-petrov
Fixed LoggingConfig parsing of WARNING log level (was not being recognized), thanks for reporting @davidsblom
Fixed Binance Futures QuoteTick parsing to capture event time for ts_event, thanks for reporting @x-zho14

NautilusTrader 1.183.0 Beta

Released on 12th January 2024 (UTC).

Enhancements

Added NautilusConfig.json_primitives to convert object to Python dictionary with JSON primitive values
Added InstrumentClass.BOND
Added MessageBusConfig use_trader_prefix and use_trader_id options (provides more control over stream names)
Added CacheConfig.drop_instruments_on_reset (default true to retain current behavior)
Implemented core logging interface via the log crate, thanks @twitu
Implemented global atomic clock in Rust (improves performance and ensures properly monotonic timestamps in real-time), thanks @twitu
Improved Interactive Brokers adapter raising docker RuntimeError only when needed (not when using TWS), thanks @rsmb7z
Upgraded core HTTP client to latest hyper and reqwest, thanks @ayush-sb
Optimized Arrow encoding (resulting in ~100x faster writes for the Parquet data catalog)

Breaking Changes

Changed ParquetDataCatalog custom data prefix from geneticdata_ to custom_ (you will need to rename any catalog subdirs)
Changed ComponentStateChanged Arrow schema for config from string to binary
Changed OrderInitialized Arrow schema for options from string to binary
Changed OrderBookDeltas dictionary representation of deltas field from JSON bytes to a list of dict (standardize with all other data types)
Changed external message publishing stream name keys to be trader-{trader_id}-{instance_id}-streams (with options allows many traders to publish to the same streams)
Renamed all version 2 data wrangler classes with a V2 suffix for clarity
Renamed GenericData to CustomData (more accurately reflects the nature of the type)
Renamed DataClient.subscribed_generic_data to .subscribed_custom_data
Renamed MessageBusConfig.stream to .streams_prefix (more accurate)
Renamed ParquetDataCatalog.generic_data to .custom_data
Renamed TradeReport to FillReport (more conventional terminology, and more clearly separates market data from user execution reports)
Renamed asset_type to instrument_class across the codebase (more conventional terminology)
Renamed AssetType enum to InstrumentClass (more conventional terminology)
Renamed AssetClass.BOND to AssetClass.DEBT (more conventional terminology)
Removed AssetClass.METAL (not strictly an asset class, more a futures category)
Removed AssetClass.ENERGY (not strictly an asset class, more a futures category)
Removed multiplier param from Equity constructor (not applicable)
Removed size_precision, size_increment, and multiplier fields from Equity dictionary representation (not applicable)
Removed TracingConfig (now redundant with new logging implementation)
Removed Ticker data type and associated methods (not a type which can be practically normalized and so becomes adapter specific generic data)
Moved AssetClass.SPORTS_BETTING to InstrumentClass.SPORTS_BETTING

Fixes

Fixed logger thread leak, thanks @twitu
Fixed handling of configuration objects to work with StreamingFeatherWriter
Fixed BinanceSpotInstrumentProvider fee loading key error for partial instruments load, thanks for reporting @doublier1
Fixed Binance API key configuration parsing for testnet (was falling through to non-testnet env vars)
Fixed TWAP execution algorithm scheduled size handling when first order should be for the entire size, thanks for reporting @pcgm-team
Added BinanceErrorCode.SERVER_BUSY (-1008), also added to the retry error codes
Added BinanceOrderStatus.EXPIRED_IN_MATCH which is when an order was canceled by the exchange due self-trade prevention (STP), thanks for reporting @doublier1

NautilusTrader 1.182.0 Beta

Released on 23rd December 2023 (UTC).

Enhancements

Added CacheDatabaseFacade and CacheDatabaseAdapter to abstract backing technology from Python codebase
Added RedisCacheDatabase implemented in Rust with separate MPSC channel thread for insert, update and delete operations
Added TA-Lib integration, thanks @rsmb7z
Added OrderBookDelta and OrderBookDeltas to serializable and publishable types
Moved PortfolioFacade to Actor
Improved Actor and Strategy usability to be more lenient to mistaken calls to clock and logger from the constructor (warnings also added to docs)
Removed redis and hiredis dependencies from Python codebase

Breaking Changes

Changed configuration objects to take stronger types as these are now serializable when registered (rather than primitives)
Changed NautilusKernelConfig.trader_id to type TraderId
Changed BacktestDataConfig.instrument_id to type InstrumentId
Changed ActorConfig.component_id to type ComponentId | None
Changed StrategyConfig.strategy_id to type StrategyId | None
Changed Instrument, OrderFilled and AccountState info field serialization due below fix (you'll need to flush your cache)
Changed CacheConfig to take a DatabaseConfig (better symmetry with MessageBusConfig)
Changed RedisCacheDatabase data structure for currencies from hashset to simpler key-value (you'll need to clear cache or delete all curreny keys)
Changed Actor state loading to now use the standard Serializer
Renamed register_json_encoding to register_config_encoding
Renamed register_json_decoding to register_config_decoding
Removed CacheDatabaseConfig (due above config change)
Removed infrastructure subpackage (now redundant with new Rust implementation)

Fixes

Fixed json encoding for CacheDatabaseAdapter from info field serialization fix below
Fixed Instrument, OrderFilled and AccountState info field serialization to retain JSON serializable dicts (rather than double encoding and losing information)
Fixed Binance Futures good_till_date value when time_in_force not GTD, such as when strategy is managing the GTD (was incorrectly passing through UNIX milliseconds)
Fixed Executor handling of queued task IDs (was not discarding from queued tasks on completion)
Fixed DataEngine handling of order book snapshots with very small intervals (now handles as short as 20 milliseconds)
Fixed BacktestEngine.clear_actors(), BacktestEngine.clear_strategies() and BacktestEngine.clear_exec_algorithms(), thanks for reporting @davidsblom
Fixed BacktestEngine OrderEmulator reset, thanks @davidsblom
Fixed Throttler.reset and reset of RiskEngine throttlers, thanks @davidsblom

NautilusTrader 1.181.0 Beta

Released on 2nd December (UTC).

This release adds support for Python 3.12.

Enhancements

Rewrote Interactive Brokers integration documentation, many thanks @benjaminsingleton
Added Interactive Brokers adapter support for crypto instruments with cash quantity, thanks @benjaminsingleton
Added HistoricInteractiveBrokerClient, thanks @benjaminsingleton and @limx0
Added DataEngineConfig.time_bars_interval_type (determines the type of interval used for time aggregation left-open or right-open)
Added LoggingConfig.log_colors to optionally use ANSI codes to produce colored logs (default true to retain current behavior)
Added QuoteTickDataWrangler.process_bar_data options for offset_interval_ms and timestamp_is_close
Added identifier generators in Rust, thanks @filipmacek
Added OrderFactory in Rust, thanks @filipmacek
Added WilderMovingAverage in Rust, thanks @ayush-sb
Added HullMovingAverage in Rust, thanks @ayush-sb
Added all common identifier generators in Rust, thanks @filipmacek
Added generic SQL database support with sqlx in Rust, thanks @filipmacek

Breaking Changes

Consolidated all data submodules into one data module (reduce binary wheel size)
Moved OrderBook from model.orderbook.book to model.book (subpackage only had this single module)
Moved Currency from model.currency to model.objects (consolidating modules to reduce binary wheel size)
Moved MessageBus from common.msgbus to common.component (consolidating modules to reduce binary wheel size)
Moved MsgSpecSerializer from serialization.msgpack.serializer to serialization.serializer
Moved CacheConfig snapshot_orders, snapshot_positions, snapshot_positions_interval to NautilusKernelConfig (logical applicability)
Renamed MsgPackSerializer to MsgSpecSeralizer (now handles both JSON and MsgPack formats)

Fixes

Fixed missing trader_id in Position dictionary representation, thanks @filipmacek
Fixed conversion of fixed precision integers to floats (should be dividing to avoid rounding errors), thanks for reporting @filipmacek
Fixed daily timestamp parsing for Interactive Brokers, thanks @benjaminsingleton
Fixed live reconciliation trade processing for partially filled then canceled orders
Fixed RiskEngine cumulative notional risk check for CurrencyPair SELL orders on multi-currency cash accounts

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

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

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

Released on 26th August 2023 (UTC).

This release includes a large breaking change to quote tick 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

Released on 31st July 2023 (UTC).

Enhancements

Implemented string interning with the ustr crate, 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 contingent 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

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 behavior)
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

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 contingent orders
Fixed MatchingEngine position ID assignment for child contingent 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

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

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 contingent orders from execution algorithms
Defined public API for instruments, can now import directly from nautilus_trader.model.instruments (denest namespace)
Defined public API for orders, can now import directly from nautilus_trader.model.orders (denest namespace)
Defined public API for order book, can now import directly from nautilus_trader.model.orderbook (denest namespace)
Now stripping debug symbols after build (reduced binary wheel size)
Refined build and added additional debug Makefile convenience targets

Fixes

Fixed processing of contingent 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

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

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

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

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

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

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

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

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

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

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 behavior
Fixed BollingerBands indicator mid-band calculations, thanks zhp (Discord)

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

NautilusTrader 1.160.0 Beta

Released on 28th November 2022 (UTC).

Breaking Changes

Removed time portion from generated IDs (affects ClientOrderId and PositionOrderId)
Renamed orderbook.data.Order to orderbook.data.BookOrder (reduce conflicts/confusion)
Renamed Instrument.get_cost_currency(...) to Instrument.get_settlement_currency(...) (more accurate terminology)

Enhancements

Added emulated contingent orders capability to OrderEmulator
Moved test_kit module to main package to support downstream project/package testing

Fixes

Fixed position event sequencing: now generates PositionOpened when reopening a closed position
Fixed LIMIT order fill characteristics when immediately marketable as a taker
Fixed LIMIT order fill characteristics when passively filled as a maker as quotes move through
Fixed canceling OTO contingent orders when still in-flight
Fixed RiskEngine notional check when selling cash assets (spot currency pairs)
Fixed flush on closed file bug for persistence stream writers

NautilusTrader 1.159.0 Beta

Released on 18th November 2022 (UTC).

Breaking Changes

Removed FTX integration
Renamed SubmitOrderList.list to SubmitOrderList.order_list
Slight adjustment to bar aggregation (will not use the last close as the open)

Enhancements

Implemented TRAILING_STOP_MARKET orders for Binance Futures (beta)
Added OUO One-Updates-Other ContingencyType with matching engine implementation
Added bar price fallback for exchange rate calculations, thanks @ghill2

Fixes

Fixed dealloc of Rust backing struct on Python exceptions causing segfaults
Fixed bar aggregation start times for bar specs outside typical intervals (60-SECOND rather than 1-MINUTE etc)
Fixed backtest engine main loop ordering of time events with identically timestamped data
Fixed ModifyOrder message str and repr when no quantity
Fixed OCO contingent orders which were actually implemented as OUO for backtests
Fixed various bugs for Interactive Brokers integration, thanks @limx0 and @rsmb7z
Fixed pyarrow version parsing, thanks @ghill2
Fixed returning venue from InstrumentId, thanks @rsmb7z

NautilusTrader 1.158.0 Beta

Released on 3rd November 2022 (UTC).

Breaking Changes

Added LiveExecEngineConfig.reconciliation boolean flag to control if reconciliation is active
Removed LiveExecEngineConfig.reconciliation_auto (unclear naming and concept)
All Redis keys have changed to a lowercase convention (either migrate or flush your Redis)
Removed BidAskMinMax indicator (to reduce total package size)
Removed HilbertPeriod indicator (to reduce total package size)
Removed HilbertSignalNoiseRatio indicator (to reduce total package size)
Removed HilbertTransform indicator (to reduce total package size)

Enhancements

Improved accuracy of clocks for backtests (all clocks will now match generated TimeEvents)
Improved risk engine checks for reduce_only orders
Added Actor.request_instruments(...) method
Added Order.would_reduce_only(...) method
Extended instrument(s) Req/Res handling for DataClient and `Actor

Fixes

Fixed memory management for Rust backing structs (now being properly freed)

NautilusTrader 1.157.0 Beta

Released on 24th October 2022 (UTC).

Breaking Changes

None

Enhancements

Added experimental local order emulation for all order types (except MARKET and MARKET_TO_LIMIT) see docs
Added min_latency, max_latency and avg_latency to HttpClient base class

Fixes

Fixed Binance Spot display_qty for iceberg orders, thanks @JackMa
Fixed Binance HTTP client error logging

NautilusTrader 1.156.0 Beta

Released on 19th October 2022 (UTC).

This will be the final release with support for Python 3.8.

Breaking Changes

Added OrderSide.NONE enum variant
Added PositionSide.NO_POSITION_SIDE enum variant
Changed order of TriggerType enum variants
Renamed AggressorSide.UNKNOWN to AggressorSide.NONE (for consistency with other enums)
Renamed Order.type to Order.order_type (reduces ambiguity and aligns with Rust struct field)
Renamed OrderInitialized.type to OrderInitialized.order_type reduces ambiguity)
Renamed Bar.type to Bar.bar_type (reduces ambiguity and aligns with Rust struct field)
Removed redundant check_position_exists flag
Removed hyperopt as considered unmaintained and there are better options
Existing pickled data for QuoteTick is now invalid (change to schema for correctness)
Existing catalog data for OrderInitialized is now invalid (change to schema for emulation)

Enhancements

Added configurable automated in-flight order status checks
Added order side filter to numerous cache order methods
Added position side filter to numerous cache position methods
Added optional order_side to cancel_all_orders strategy method
Added optional position_side to close_all_positions strategy method
Added support for Binance Spot second bars
Added RelativeVolatilityIndex indicator, thanks @graceyangfan
Extracted OrderMatchingEngine from SimulatedExchange with refinements
Extracted MatchingCore from OrderMatchingEngine
Improved HTTP error handling and client logging (messages now contain reason)

Fixes

Fixed price and size precision validation for QuoteTick from raw values
Fixed IB adapter data parsing for decimal precision
Fixed HTTP error handling and releasing of response coroutines, thanks @JackMa
Fixed Position calculations and account for when any base currency == commission currency, thanks @JackMa

NautilusTrader 1.155.0 Beta

Released on September 15th 2022 (UTC).

This is an early release to address some parsing bugs in the FTX adapter.

Breaking Changes

None

Enhancements

None

Fixes

Fixed parsing bug for FTX futures
Fixed parsing bug for FTX Bar

NautilusTrader 1.154.0 Beta

Released on September 14th 2022 (UTC).

Breaking Changes

Changed ExecEngineConfig allow_cash_positions default to True (more typical use case)
Removed check param from Bar (always checked for simplicity)

Enhancements

Added MARKET_TO_LIMIT order implementation for SimulatedExchange
Make strategy order_id_tag truly optional and auto incrementing
Added PsychologicalLine indicator, thanks @graceyangfan
Added initial Rust parquet integration, thanks @twitu and @ghill2
Added validation for setting leverages on CASH accounts
De-cythonized live data and execution client base classes for usability

Fixes

Fixed limit order IOC and FOK behavior, thanks @limx0 for identifying
Fixed FTX CryptoFuture instrument parsing, thanks @limx0
Fixed missing imports in data catalog example notebook, thanks @gaugau3000
Fixed order update behavior, affected orders:
- LIMIT_IF_TOUCHED
- MARKET_IF_TOUCHED
- MARKET_TO_LIMIT
- STOP_LIMIT

NautilusTrader 1.153.0 Beta

Released on September 6th 2022 (UTC).

Breaking Changes

None

Enhancements

Added trigger orders for FTX adapter
Improved BinanceBar to handle enormous quote volumes
Improved robustness of instrument parsing for Binance and FTX adapters
Improved robustness of WebSocket message handling for Binance and FTX adapters
Added override_usd option for FTX adapter
Added log_warnings config option for Binance and FTX instrument providers
Added TRD_GRP_005 enum variant for Binance spot permissions

Fixes

Fixed bar aggregator partial bar handling
Fixed CurrencyType variants in Rust
Fixed missing encoding in Catalog parsing method, thanks @limx0 and @aviatorBeijing

NautilusTrader 1.152.0 Beta

Released on September 1st 2022 (UTC).

Breaking Changes

Renamed offset_type to trailing_offset_type
Renamed is_frozen_account to frozen_account
Removed bar_execution from config API (implicitly turned on with bars currently)

Enhancements

Added TRAILING_STOP_MARKET order implementation for SimulatedExchange
Added TRAILING_STOP_LIMIT order implementation for SimulatedExchange
Added all simulated exchange options to BacktestVenueConfig

Fixes

Fixed creation and caching of order book on subscribing to deltas, thanks @limx0
Fixed use of LoopTimer in live clock for trading node, thanks @sidnvy
Fixed order cancels for IB adapter, thanks @limx0

NautilusTrader 1.151.0 Beta

Released on August 22nd 2022 (UTC).

Breaking Changes

None

Enhancements

Added on_historical_data method with wiring for functionality
Added 'unthrottled' 0ms order book updates for Binance Futures
Improved robustness of WebSocketClient base during reconnects

Fixes

Fixed sdist includes for Rust Cargo files
Fixed LatencyModel integer overflows, thanks @limx0
Fixed parsing of Binance Futures FUNDING_FEE updates
Fixed asyncio.tasks.gather for Python 3.10+

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 to 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
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

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

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

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

Released on 4th June 2022 (UTC).

Breaking Changes

None

Enhancements

Improved error handling for invalid state triggers
Improved component state transition behavior 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

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

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

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

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

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

NautilusTrader 1.141.0 Beta

Released on 4th April 2022 (UTC).

Breaking Changes

Renamed BacktestNode.run_sync() to BacktestNode.run()
Renamed flatten_position() to close_position()
Renamed flatten_all_positions() to close_all_positions()
Renamed Order.flatten_side() to Order.closing_side()
Renamed TradingNodeConfig check_residuals_delay to timeout_post_stop
The SimulatedExchange will now 'receive' market data prior to the DataEngine (note that this did not affect any test)
Tightened requirement for DataType types to be subclasses of Data
CacheDatabaseConfig.type now defaults to in-memory
NAUTILUS_CATALOG env var changed to NAUTILUS_PATH
DataCatalog root path now located under $OLD_PATH/catalog/ from the Nautilus path
hiredis and redis are now optional extras as 'redis'
hyperopt is now an optional extra as 'hyperopt'

Enhancements

Unify NautilusKernel across backtest and live systems
Improved configuration by grouping into config subpackage
Improved configuration objects and flows
Numerous improvements to the Binance Spot/Margin and Futures integration
Added Docker image builds and GH packages
Added BinanceFuturesMarkPriceUpdate type and data stream
Added generic subscribe and unsubscribe to template
Added Binance Futures COIN_M testnet
The clarity of various error messages was improved

Fixes

Fixed multiple instruments in DataCatalog (#554), (#560) by @limx0
Fixed timestamp ordering streaming from DataCatalog (#561) by @limx0
Fixed CSVReader (#563) by @limx0
Fixed slow subscribers to the Binance WebSocket streams
Fixed configuration of base_currency for backtests
Fixed importable strategy configs (previously not returning correct class)
Fixed fully_qualified_name() format

NautilusTrader 1.140.0 Beta

Release Notes

Released on 13th March 2022 (UTC).

This is a patch release which fixes a moderate severity security vulnerability in pillow < 9.0.1:

If the path to the temporary directory on Linux or macOS contained a space, 
this would break removal of the temporary image file after im.show() (and related actions), 
and potentially remove an unrelated file. This been present since PIL.

This release upgrades to pillow 9.0.1.

Note the minor version was incremented in error.

NautilusTrader 1.139.0 Beta

Release Notes

Released on 11th March 2022 (UTC).

Breaking Changes

Renamed CurrencySpot to CurrencyPair
Renamed PerformanceAnalyzer to PortfolioAnalyzer
Renamed BacktestDataConfig.data_cls_path to data_cls
Renamed BinanceTicker to BinanceSpotTicker
Renamed BinanceSpotExecutionClient to BinanceExecutionClient

Enhancements

Added initial (beta) Binance Futures adapter implementation
Added initial (beta) Interactive Brokers adapter implementation
Added custom portfolio statistics
Added CryptoFuture instrument
Added OrderType.MARKET_TO_LIMIT
Added OrderType.MARKET_IF_TOUCHED
Added OrderType.LIMIT_IF_TOUCHED
Added MarketToLimitOrder order type
Added MarketIfTouchedOrder order type
Added LimitIfTouchedOrder order type
Added Order.has_price property (convenience)
Added Order.has_trigger_price property (convenience)
Added msg param to LoggerAdapter.exception()
Added WebSocket log_send and log_recv config options
Added WebSocket auto_ping_interval (seconds) config option
Replaced msgpack with msgspec (faster drop in replacement https://github.com/jcrist/msgspec)
Improved exception messages by providing helpful context
Improved BacktestDataConfig API: now takes either a type of Data or a fully qualified path string

Fixes

Fixed FTX execution WebSocket 'ping strategy'
Fixed non-deterministic config dask tokenization

NautilusTrader 1.138.0 Beta

Release Notes

Released on 15th February 2022 (UTC).

This release contains numerous method, parameter and property name changes

For consistency and standardization with other protocols, the ExecutionId type has been renamed to TradeId as they express the same concept with a more standardized terminology. In the interests of enforcing correctness and safety this type is now utilized for the TradeTick.trade_id.

Breaking Changes

Renamed working orders to open orders including all associated methods and params
Renamed completed orders to closed orders including all associated methods and params
Removed active order concept (often confused with open)
Renamed trigger to trigger_price
Renamed StopMarketOrder.price to StopMarketOrder.trigger_price
Renamed all params related to a StopMarketOrders price to trigger_price
Renamed ExecutionId to TradeId
Renamed execution_id to trade_id
Renamed Order.trade_id to Order.last_trade_id (for clarity)
Renamed other variations and references of 'execution ID' to 'trade ID'
Renamed contingency to contingency_type

Enhancements

Introduced the TradeId type to enforce trade_id typing
Improve handling of unleveraged cash asset positions including Crypto and Fiat spot currency instruments
Added ExecEngineConfig option allow_cash_positions (False by default)
Added TrailingOffsetType enum
Added TrailingStopMarketOrder
Added TrailingStopLimitOrder
Added trailing order factory methods
Added trigger_type param to stop orders
Added TriggerType enum
Large refactoring of order base and impl classes
Overhaul of execution reports
Overhaul of execution state reconciliation

Fixes

Fixed WebSocket base reconnect handling

NautilusTrader 1.137.1 Beta

Release Notes

Released on 15th January 2022 (UTC).

This is a patch release which fixes moderate to high severity security vulnerabilities in pillow < 9.0.0:

PIL.ImageMath.eval allows evaluation of arbitrary expressions, such as ones that use the Python exec method
path_getbbox in path.c has a buffer over-read during initialization of ImagePath.Path
path_getbbox in path.c improperly initializes ImagePath.Path

This release upgrades to pillow 9.0.0.

NautilusTrader 1.137.0 Beta

Release Notes

Released on 12th January 2022 (UTC).

Breaking Changes

Removed redundant currency param from AccountBalance
Renamed local_symbol to native_symbol
Removed the VenueType enum and venue_type param in favour of a routing bool flag
Removed account_id param from execution client factories and constructors
Changed venue generated IDs (order, execution, position) which now begin with the venue ID

Enhancements

Added FTX integration for testing
Added FTX US configuration option
Added Binance US configuration option
Added MarginBalance object to assist with margin account functionality

Fixes

Fixed parsing of BarType with symbols including hyphens -
Fixed BinanceSpotTicker __repr__ (was missing whitespace after a comma)
Fixed DataEngine requests for historical TradeTick
Fixed DataEngine _handle_data_response typing of data to object

NautilusTrader 1.136.0 Beta

Release Notes

Released on 29th December 2021.

Breaking Changes

Changed subscribe_data(...) method (client_id now optional)
Changed unsubscribe_data(...) method (client_id now optional)
Changed publish_data(...) method (added data_type)
Renamed MessageBus.subscriptions method param to pattern
Renamed MessageBus.has_subscribers method param to pattern
Removed subscribe_strategy_data(...) method
Removed unsubscribe_strategy_data(...) method
Removed publish_strategy_data(...) method
Renamed CryptoSwap to CryptoPerpetual

Enhancements

Can now modify or cancel in-flight orders live and backtest
Updated CancelOrder to allow None venue_order_id
Updated ModifyOrder to allow None venue_order_id
Updated OrderPendingUpdate to allow None venue_order_id
Updated OrderPendingCancel to allow None venue_order_id
Updated OrderCancelRejected to allow None venue_order_id
Updated OrderModifyRejected to allow None venue_order_id
Added DataType.topic string for improved message bus handling

Fixes

Implemented comparisons for DataType, BarSpecification and BarType
Fixed QuoteTickDataWrangler.process_bar_data with random_seed

NautilusTrader 1.135.0 Beta

Release Notes

Released on 13th December 2021.

Breaking Changes

Renamed match_id to trade_id

Enhancements

Added bars method to DataCatalog
Improved parsing of Binance historical bars data
Added CancelAllOrders command
Added bulk cancel capability to Binance integration
Added bulk cancel capability to Betfair integration

Fixes

Fixed handling of cpu_freq call in logging for ARM architecture
Fixed market order fill edge case for bar data
Fixed handling of GenericData in backtests

NautilusTrader 1.134.0 Beta

Release Notes

Released on 22nd November 2021.

Breaking Changes

Changed hidden order option to display_qty to support iceberg orders
Renamed Trader.component_ids() to Trader.actor_ids()
Renamed Trader.component_states() to Trader.actor_states()
Renamed Trader.add_component() to Trader.add_actor()
Renamed Trader.add_components() to Trader.add_actors()
Renamed Trader.clear_components() to Trader.clear_actors()

Enhancements

Added initial implementation of Binance SPOT integration (beta stage testing)
Added support for display quantity/iceberg orders

Fixes

Fixed Actor clock time advancement in backtest engine

NautilusTrader 1.133.0 Beta

Release Notes

Released on 8th November 2021.

Breaking Changes

None

Enhancements

Added LatencyModel for simulated exchange
Added last_update_id to order books
Added update_id to order book data
Added depth param when subscribing to order book deltas
Added Clock.timestamp_ms()
Added TestDataProvider and consolidate test data
Added orjson default serializer for arrow
Reorganized example strategies and launch scripts

Fixes

Fixed logic for partial fills in backtests
Various Betfair integration fixes
Various BacktestNode fixes

NautilusTrader 1.132.0 Beta

Release Notes

Released on 24th October 2021.

Breaking Changes

Actor constructor now takes ActorConfig

Enhancements

Added ActorConfig
Added ImportableActorConfig
Added ActorFactory
Added actors to BacktestRunConfig
Improved network base classes
Refine InstrumentProvider

Fixes

Fixed persistence config for BacktestNode
Various Betfair integration fixes

NautilusTrader 1.131.0 Beta

Release Notes

Released on 10th October 2021.

Breaking Changes

Renamed nanos_to_unix_dt to unix_nanos_to_dt (more accurate name)
Changed Clock.set_time_alert(...) method signature
Changed Clock.set_timer(...) method signature
Removed pd.Timestamp from TimeEvent

Enhancements

OrderList submission and OTO, OCO contingencies now operational
Added Cache.orders_for_position(...) method
Added Cache.position_for_order(...) method
Added SimulatedExchange.get_working_bid_orders(...) method
Added SimulatedExchange.get_working_ask_orders(...) method
Added optional run_config_id for backtest runs
Added BacktestResult object
Added Clock.set_time_alert_ns(...) method
Added Clock.set_timer_ns(...) method
Added fill_limit_at_price simulated exchange option
Added fill_stop_at_price simulated exchange option
Improve timer and time event efficiency

Fixes

Fixed OrderUpdated leaves quantity calculation
Fixed contingency order logic at the exchange
Fixed indexing of orders for a position in the cache
Fixed flip logic for zero sized positions (not a flip)

NautilusTrader 1.130.0 Beta

Release Notes

Released on 26th September 2021.

Breaking Changes

BacktestEngine.run method signature change
Renamed BookLevel to BookType
Renamed FillModel params

Enhancements

Added streaming backtest machinery.
Added quantstats (removed empyrical)
Added BacktestEngine.run_streaming()
Added BacktestEngine.end_streaming()
Added Portfolio.balances_locked(venue)
Improved DataCatalog functionality
Improved logging for BacktestEngine
Improved parquet serialization and machinery

Fixes

Fixed SimulatedExchange message processing
Fixed BacktestEngine event ordering in main loop
Fixed locked balance calculation for CASH accounts
Fixed fill dynamics for reduce-only orders
Fixed PositionId handling for HEDGING OMS exchanges
Fixed parquet Instrument serialization
Fixed CASH account PnL calculations with base currency

NautilusTrader 1.129.0 Beta

Release Notes

Released on 12th September 2021.

Breaking Changes

Removed CCXT adapter (#428)
Backtest configuration changes
Renamed UpdateOrder to ModifyOrder (terminology standardization)
Renamed DeltaType to BookAction (terminology standardization)

Enhancements

Added BacktestNode
Added BookIntegrityError with improved integrity checks for order books
Added order custom user tags
Added Actor.register_warning_event (also applicable to TradingStrategy)
Added Actor.deregister_warning_event (also applicable to TradingStrategy)
Added ContingencyType enum (for contingent orders in an OrderList)
All order types can now be reduce_only (#437)
Refined backtest configuration options
Improved efficiency of UUID4 using the Rust fastuuid Python bindings

Fixes

Fixed Redis loss of precision for int64_t nanosecond timestamps (#363)
Fixed behavior of reduce_only orders for both submission and filling (#437)
Fixed PnL calculation for CASH accounts when commission negative (#436)

NautilusTrader 1.128.0 Beta - Release Notes

Released on 30th August 2021.

This release continues the focus on the core system, with upgrades and cleanups to the component base class. The concept of an active order has been introduced, which is an order whose state can change (is not a completed order).

Breaking Changes

All configuration due pydantic upgrade
Throttling config now takes string e.g. "100/00:00:01" which is 100 / second
Renamed DataProducerFacade to DataProducer
Renamed fill.side to fill.order_side (clarity and standardization)
Renamed fill.type to fill.order_type (clarity and standardization)

Enhancements

Added serializable configuration classes leveraging pydantic
Improved adding bar data to BacktestEngine
Added BacktestEngine.add_bar_objects()
Added BacktestEngine.add_bars_as_ticks()
Added order active concept, with order.is_active and cache methods
Added ComponentStateChanged event
Added Component.degrade() and Component.fault() command methods
Added Component.on_degrade() and Component.on_fault() handler methods
Added ComponentState.PRE_INITIALIZED
Added ComponentState.DEGRADING
Added ComponentState.DEGRADED
Added ComponentState.FAULTING
Added ComponentState.FAULTED
Added ComponentTrigger.INITIALIZE
Added ComponentTrigger.DEGRADE
Added ComponentTrigger.DEGRADED
Added ComponentTrigger.FAULT
Added ComponentTrigger.FAULTED
Wired up Ticker data type

Fixes

DataEngine.subscribed_bars() now reports internally aggregated bars also.

NautilusTrader 1.127.0 Beta

Release Notes

Released on 17th August 2021.

This release has again focused on core areas of the platform, including a significant overhaul of accounting and portfolio components. The wiring between the DataEngine and DataClient(s) has also received attention, and should now exhibit correct subscription mechanics.

The Betfair adapter has been completely re-written, providing various fixes and enhancements, increased performance, and full async support.

There has also been some further renaming to continue to align the platform as closely as possible with established terminology in the domain.

Breaking Changes

Moved margin calculation methods from Instrument to Account
Removed redundant Portfolio.register_account
Renamed OrderState to OrderStatus
Renamed Order.state to Order.status
Renamed msgbus.message_bus to msgbus.bus

Enhancements

Betfair adapter re-write
Extracted accounting subpackage
Extracted portfolio subpackage
Subclassed Account with CashAccount and MarginAccount
Added AccountsManager
Added AccountFactory
Moved registration of custom account classes to AccountFactory
Moved registration of calculated account to AccountFactory
Added registration of OMS type per trading strategy
Added ExecutionClient.create_account for custom account classes
Separate PortfolioFacade from Portfolio

Fixes

Data subscription handling in DataEngine
Cash accounts no longer generate spurious margins
Fix TimeBarAggregator._stored_close_ns property name

NautilusTrader 1.126.1 Beta

Release Notes

Released on 3rd August 2021.

This is a patch release which fixes a bug involving NotImplementedError exception handling when subscribing to order book deltas when not supported by a client. This bug affected CCXT order book subscriptions.

Breaking Changes

None

Enhancements

None

Fixes

Fix DataEngine order book subscription handling

NautilusTrader 1.126.0 Beta

Release Notes

Released on 2nd August 2021.

This release sees the completion of the initial implementation of the MessageBus, with data now being handled by Pub/Sub patterns, along with the additions of point-to-point and Req/Rep messaging functionality.

An Actor base class has been abstracted from TradingStrategy which allows custom components to be added to a Trader which aren't necessarily trading strategies, opening up further possibilities for extending NautilusTrader with custom functionality.

For the sake of simplicity and to favour more idiomatic Python, the null object pattern is no longer utilized for handling identifiers. This has removed a layer of 'logical indirection' in certain parts of the codebase, and allows for simpler code.

An order is now considered 'in-flight' if it is actively pending a state transition i.e. in the SUBMITTED,PENDING_UPDATE or PENDING_CANCEL states.

It is now a well established convention that all integer based timestamps are expressed in UNIX nanoseconds, therefore the _ns postfix has now been dropped. For clarity - time periods/intervals/objects where the units may not be obvious have retained the _ns postfix.

The opportunity was identified to unify the parameter naming for the concept of object instantiation by renaming timestamp_ns and ts_recv_ns to ts_init. Along the same lines, the timestamps for both event and data occurrence have been standardized to ts_event.

It is acknowledged that the frequent name changes and modifications to core concepts may be frustrating, however whilst still in a beta phase - we're taking the opportunity to lay a solid foundation for this project to continue to growth in the years ahead.

Breaking Changes

Renamed timestamp_ns to ts_init
Renamed ts_recv_ns to ts_event
Renamed various event timestamp parameters to ts_event
Removed null object methods on identifiers

Enhancements

Added Actor component base class
Added MessageBus.register()
Added MessageBus.send()
Added MessageBus.request()
Added MessageBus.response()
Added Trader.add_component()
Added Trader.add_components()
Added Trader.add_log_sink()

Fixes

Various Betfair adapter patches and fixes
ExecutionEngine position flip logic in certain edge cases

NautilusTrader 1.125.0 Beta

Release Notes

Released on 18th July 2021.

This release introduces a major re-architecture of the internal messaging system. A common message bus has been implemented which now handles all events via a Pub/Sub messaging pattern. The next release will see all data being handled by the message bus, see the related issue for further details on this enhancement.

Another notable feature is the introduction of the order 'in-flight' concept, which is a submitted order which has not yet been acknowledged by the trading venue. Several properties on Order, and methods on Cache, now exist to support this.

The Throttler has been refactored and optimized further. There has also been extensive reorganization of the model sub-package, standardization of identifiers on events, along with numerous 'under the hood' cleanups and two bug fixes.

Breaking Changes

Renamed MessageType enum to MessageCategory
Renamed fill.order_side to fill.side
Renamed fill.order_type to fill.type
All Event serialization due to domain refactorings

Enhancements

Added MessageBus class
Added TraderId to Order and Position
Added OrderType to OrderFilled
Added unrealized PnL to position events
Added order in-flight concept to Order and Cache
Improved efficiency of Throttler
Standardized events str and repr
Standardized commands str and repr
Standardized identifiers on events and objects
Improved Account str and repr
Using orjson over json for efficiency
Removed redundant BypassCacheDatabase
Introduced mypy to the codebase

Fixes

Fixed backtest log timestamping
Fixed backtest duplicate initial account event

NautilusTrader 1.124.0 Beta

Release Notes

Released on 6th July 2021.

This release sees the expansion of pre-trade risk check options (see RiskEngine class documentation). There has also been extensive 'under the hood' code cleanup and consolidation.

Breaking Changes

Renamed Position.opened_timestamp_ns to ts_opened_ns
Renamed Position.closed_timestamp_ns to ts_closed_ns
Renamed Position.open_duration_ns to duration_ns
Renamed Loggers bypass_logging to bypass
Refactored PositionEvent types

Enhancements

Add pre-trade risk checks to RiskEngine iteration 2
Improve Throttler functionality and performance
Removed redundant OrderInvalid state and associated code
Improve analysis reports

Fixes

PnL calculations for CASH account types
Various event serializations

NautilusTrader 1.123.0 Beta

Release Notes

Released on 20th June 2021.

A major feature of this release is a complete re-design of serialization for the platform, along with initial support for the Parquet format. The MessagePack serialization functionality has been refined and retained.

In the interests of explicitness there is now a convention that timestamps are named either timestamp_ns, or prepended with ts. Timestamps which are represented with an int64 are always in nanosecond resolution, and appended with _ns accordingly.

Initial scaffolding for new backtest data tooling has been added.

Breaking Changes

Renamed OrderState.PENDING_REPLACE to OrderState.PENDING_UPDATE
Renamed timestamp_origin_ns to ts_event_ns
Renamed timestamp_ns for data to ts_recv_ns
Renamed updated_ns to ts_updated_ns
Renamed submitted_ns to ts_submitted_ns
Renamed rejected_ns to ts_rejected_ns
Renamed accepted_ns to ts_accepted_ns
Renamed pending_ns to ts_pending_ns
Renamed canceled_ns to ts_canceled_ns
Renamed triggered_ns to ts_triggered_ns
Renamed expired_ns to ts_expired_ns
Renamed execution_ns to ts_filled_ns
Renamed OrderBookLevel to BookLevel
Renamed Order.volume to Order.size

Enhancements

Adapter dependencies are now optional extras at installation
Added arrow/parquet serialization
Added object to_dict() and from_dict() methods
Added Order.is_pending_update
Added Order.is_pending_cancel
Added run_analysis config option for BacktestEngine
Removed TradeMatchId in favour of bare string
Removed redundant conversion to pd.Timestamp when checking timestamps
Removed redundant data to_serializable_str methods
Removed redundant data from_serializable_str methods
Removed redundant __ne__ implementations
Removed redundant MsgPackSerializer cruft
Removed redundant ObjectCache and IdentifierCache
Removed redundant string constants

Fixes

Fixed millis to nanos in CCXTExecutionClient
Added missing trigger to UpdateOrder handling
Removed all import *

NautilusTrader 1.122.0 Beta

Release Notes

Released on 6th June 2021.

This release includes numerous breaking changes with a view to enhancing the core functionality and API of the platform. The data and execution caches have been unified for simplicity. There have also been large changes to the accounting functionality, with 'hooks' added in preparation for accurate calculation and handling of margins.

Breaking Changes

Renamed Account.balance() to Account.balance_total()
ConsolidatedTradingStrategy.data into TradingStrategy.cache
Consolidated TradingStrategy.execution into TradingStrategy.cache
Moved redis subpackage into infrastructure
Moved some accounting methods back to Instrument
Removed Instrument.market_value()
Renamed Portfolio.market_values() to Portfolio.net_exposures()
Renamed Portfolio.market_value() to Portfolio.net_exposure()
Renamed InMemoryExecutionDatabase to BypassCacheDatabase
Renamed Position.relative_qty to Position.net_qty
Renamed default_currency to base_currency
Removed cost_currency property from Instrument

Enhancements

ExecutionClient now has the option of calculating account state
Unified data and execution caches into single Cache
Improved configuration options and naming
Simplified Portfolio component registration
Simplified wiring of Cache into components
Added repr to execution messages
Added AccountType enum
Added cost_currency to Position
Added get_cost_currency() to Instrument
Added get_base_currency() to Instrument

Fixes

Fixed Order.is_working for PENDING_CANCEL and PENDING_REPLACE states
Fixed loss of precision for nanosecond timestamps in Redis
Fixed state reconciliation when uninstantiated client

NautilusTrader 1.121.0 Beta

Release Notes

Released on 30th May 2021.

In this release there has been a major change to the use of inlines for method signatures. From the Cython docs: "Note that class-level cdef functions are handled via a virtual function table so the compiler won’t be able to inline them in almost all cases.". https://cython.readthedocs.io/en/latest/src/userguide/pyrex_differences.html?highlight=inline.

It has been found that adding inline to method signatures makes no difference to the performance of the system - and so they have been removed to reduce 'noise' and simplify the codebase. Note that the use of inline for module level functions will be passed to the C compiler with the expected result of inlining the function.

Breaking Changes

BacktestEngine.add_venue added venue_type to method params
ExecutionClient added venue_type to constructor params
TraderId instantiation
StrategyId instantiation
Instrument serialization

Enhancements

Portfolio pending calculations if data not immediately available
Added instruments subpackage with expanded class definitions
Added timestamp_origin_ns timestamp when originally occurred
Added AccountState.is_reported flagging if reported by exchange or calculated
Simplified TraderId and StrategyId identifiers
Improved ExecutionEngine order routing
Improved ExecutionEngine client registration
Added order routing configuration
Added VenueType enum and parser
Improved param typing for identifier generators
Improved log formatting of Money and Quantity thousands commas

Fixes

CCXT TICK_SIZE precision mode - size precisions (BitMEX, FTX)
State reconciliation (various bugs)

NautilusTrader 1.120.0 Beta

Release Notes

This release focuses on simplifications and enhancements of existing machinery

Breaking Changes

Position now requires an Instrument param
is_inverse removed from OrderFilled
ClientId removed from TradingCommand and subclasses
AccountId removed from TradingCommand and subclasses
TradingCommand serialization

Enhancements

Added Instrument methods to ExecutionCache
Added Venue filter to cache queries
Moved order validations into RiskEngine
Refactored RiskEngine
Removed routing type information from identifiers

Fixes

None

NautilusTrader 1.119.0 Beta

Release Notes

This release applies another major refactoring to the value object API for BaseDecimal and its subclasses Price and Quantity. Previously a precision was not explicitly required when passing in a decimal.Decimal type which sometimes resulted in unexpected behavior when a user passed in a decimal with a very large precision (when wrapping a float with decimal.Decimal).

Convenience methods have been added to Price and Quantity where precision is implicitly zero for ints, or implied in the number of digits after the '.' point for strings. Convenience methods have also been added to Instrument to assist the UX.

The serialization of Money has been improved with the inclusion of the currency code in the string delimited by whitespace. This avoids an additional field for the currency code.

RiskEngine has been rewired ahead of ExecutionEngine which clarifies areas of responsibility and cleans up the registration sequence and allows a more natural flow of command and event messages.

Breaking Changes

Serializations involving Money
Changed usage of Price and Quantity
Renamed BypassExecutionDatabase to BypassCacheDatabase

Enhancements

Rewired RiskEngine and ExecutionEngine sequence
Added Instrument database operations
Added MsgPackInstrumentSerializer
Added Price.from_str()
Added Price.from_int()
Added Quantity.zero()
Added Quantity.from_str()
Added Quantity.from_int()
Added Instrument.make_price()
Added Instrument.make_qty()
Improved serialization of Money

Fixes

Handling of precision for decimal.Decimal values passed to value objects

NautilusTrader 1.118.0 Beta

Release Notes

This release simplifies the backtesting workflow by removing the need for the intermediate BacktestDataContainer. There has also been some simplifications for OrderFill events, as well as additional order states and events.

Breaking Changes

Standardized all 'cancelled' references to 'canceled'.
SimulatedExchange no longer generates OrderAccepted for MarketOrder
Removed redundant BacktestDataContainer
Removed redundant OrderFilled.cum_qty
Removed redundant OrderFilled.leaves_qty
BacktestEngine constructor simplified
BacktestMarketDataClient no longer needs instruments
Rename PortfolioAnalyzer.get_realized_pnls to .realized_pnls

Enhancements

Re-engineered BacktestEngine to take data directly
Added OrderState.PENDING_CANCEL
Added OrderState.PENDING_REPLACE
Added OrderPendingUpdate event
Added OrderPendingCancel event
Added OrderFilled.is_buy property (with corresponding is_buy_c() fast method)
Added OrderFilled.is_sell property (with corresponding is_sell_c() fast method)
Added Position.is_opposite_side(OrderSide side) convenience method
Modified the Order FSM and event handling for the above
Consolidated event generation into ExecutionClient base class
Refactored SimulatedExchange for greater clarity

Fixes

ExecutionCache positions open queries
Exchange accounting for exchange OmsType.NETTING
Position flipping logic for exchange OmsType.NETTING
Multi-currency account terminology
Windows wheel packaging
Windows path errors

NautilusTrader 1.117.0 Beta

Release Notes

The major thrust of this release is added support for order book data in backtests. The SimulatedExchange now maintains order books of each instrument and will accurately simulate market impact with L2/L3 data. For quote and trade tick data a L1 order book is used as a proxy. A future release will include improved fill modelling assumptions and customizations.

Breaking Changes

OrderBook.create now takes Instrument and BookLevel

Enhancements

SimulatedExchange now maintains order books internally
LiveLogger now exhibits better blocking behavior and logging

Fixes

Various patches to the Betfair adapter
Documentation builds

NautilusTrader 1.116.1 Beta

Release Notes

Announcing official Windows 64-bit support.

Several bugs have been identified and fixed.

Breaking Changes

None

Enhancements

Performance test refactoring
Remove redundant performance harness
Add Queue.peek() to high-performance queue
GitHub action refactoring, CI for Windows
Builds for 32-bit platforms

Fixes

OrderBook.create for BookLevel.L3 now returns correct book
Betfair handling of trade IDs

NautilusTrader 1.116.0 Beta

Release Notes

This release includes substantial breaking changes.

Further fundamental changes to the core API have been made.

Breaking Changes

Introduce ClientId for data and execution client identification
Standardize client IDs to upper case
Rename OrderBookOperation to OrderBookDelta
Rename OrderBookOperations to OrderBookDeltas
Rename OrderBookOperationType to OrderBookDeltaType

Enhancements

None

Fixes

None

NautilusTrader 1.115.0 Beta

Release Notes

This release includes substantial breaking changes.

Due to recent feedback and much further thought - a major renaming has been carried out involving order identifiers. The Order is the only domain object in the model which is identified with more than one ID. Due to this, more explicitness helps to ensure correct logic. Previously the OrderId was implicitly assumed to be the one assigned by the trading venue. This has been clarified by renaming the identifier to VenueOrderId. Following this, it no longer made sense to refer to it through Order.id, and so this was changed to its full name Order.venue_order_id. This naturally resulted in ClientOrderId(s) being renamed in properties and variables from cl_ord_id to client_order_id.

Breaking Changes

Rename OrderId to VenueOrderId
Rename Order.id to Order.venue_order_id
Rename Order.cl_ord_id to Order.client_order_id
Rename AssetClass.STOCK to AssetClass.EQUITY
Remove redundant flag generate_position_ids (handled by OmsType)

Enhancements

Introduce integration for Betfair.
Add AssetClass.METAL and AssetClass.ENERGY
Add VenueStatusEvent, InstrumentStatusEvent and InstrumentClosePrice
Usage of np.ndarray to improve function and indicator performance

Fixes

LiveLogger log message when blocking.

NautilusTrader 1.114.0 Beta

Release Notes

This release includes substantial breaking changes.

Further standardization of naming conventions along with internal refinements and fixes.

Breaking Changes

Rename AmendOrder to UpdateOrder
Rename OrderAmended to OrderUpdated
Rename amend and amended related methods to update and updated
Rename OrderCancelReject to OrderCancelRejected (standardize tense)

Enhancements

Improve efficiency of data wrangling
Simplify Logger and general system logging
Add stdout and stderr log streams with configuration
Add OrderBookData base class

Fixes

Backtest handling of GenericData and OrderBook related data
Backtest DataClient creation logic prevented client registering

NautilusTrader 1.113.0 Beta

Release Notes

This release includes substantial breaking changes.

Further standardization of naming conventions along with internal refinements and fixes.

Breaking Changes

Rename AmendOrder to UpdateOrder
Rename OrderAmended to OrderUpdated
Rename amend and amended related methods to update and updated
Rename OrderCancelReject to OrderCancelRejected (standardize tense)

Enhancements

Introduce OrderUpdateRejected, event separated for clarity
Refined LiveLogger: Now runs on event loop with high-performance Queue
Improved flexibility of when strategies are added to a BacktestEngine
Improved checks for VenueOrderId equality when applying order events

Fixes

Removed UNDEFINED enum values. Do not allow invalid values to be represented in the system (prefer throwing exceptions)

NautilusTrader 1.112.0 Beta

Release Notes

This release includes substantial breaking changes.

The platforms internal timestamping has been standardized to nanoseconds. This decision was made to increase the accuracy of backtests to nanosecond precision, improve data handling including order book and custom data for backtesting, and to future-proof the platform to a more professional standard. The top-level user API still takes datetime and timedelta objects for usability.

There has also been some standardization of naming conventions to align more closely with established financial market terminology with reference to the FIX5.0 SP2 specification, and CME MDP 3.0.

Breaking Changes

Move BarType into Bar as a property
Change signature of Bar handling methods due to above
Remove Instrument.leverage (incorrect place for concept)
Change ExecutionClient.venue as a Venue to ExecutionClient.name as a str
Change serialization of timestamp datatype to int64
Extensive changes to serialization constant names
Rename OrderFilled.filled_qty to OrderFilled.last_qty
Rename OrderFilled.filled_price to OrderFilled.last_px
Rename avg_price to avg_px in methods and properties
Rename avg_open to avg_px_open in methods and properties
Rename avg_close to avg_px_close in methods and properties
Rename Position.relative_quantity to Position.relative_qty
Rename Position.peak_quantity to Position.peak_qty

Enhancements

Standardize nanosecond timestamps
Add time unit conversion functions as found in nautilus_trader.core.datetime
Add optional broker property to Venue to assist with routing
Enhance state reconciliation from both LiveExecutionEngine and LiveExecutionClient
Add internal messages to aid state reconciliation

Fixes

DataCache incorrectly caching bars

NautilusTrader 1.111.0 Beta

Release Notes

This release adds further enhancements to the platform.

Breaking Changes

None

Enhancements

RiskEngine built out including configuration options hook and LiveRiskEngine implementation
Add generic Throttler
Add details dict to instrument_id related requests to cover IB futures contracts
Add missing Fiat currencies
Add additional Crypto currencies
Add ISO 4217 codes
Add currency names

Fixes

Queue put coroutines in live engines when blocking at maxlen was not creating a task on the event loop.

NautilusTrader 1.110.0 Beta

Release Notes

This release applies one more major change to the identifier API. Security has been renamed to InstrumentId for greater clarity that the object is an identifier, and to group the concept of an instrument with its identifier.

Data objects in the framework have been further abstracted to prepare for the handling of custom data in backtests.

A RiskEngine base class has also been scaffolded.

Breaking Changes

Security renamed to InstrumentId
Instrument.security renamed to Instrument.id
Data becomes an abstract base class with timestamp and unix_timestamp properties
Data and DataType moved to model.data
on_data methods now take GenericData

Enhancements

Add GenericData
Add Future instrument

Fixes

None

NautilusTrader 1.109.0 Beta

Release Notes

The main thrust of this release is to refine and further bed down the changes to the identifier model via InstrumentId, and fix some bugs.

Errors in the CCXT clients caused by the last release have been addressed.

Breaking Changes

InstrumentId now takes first class value object Symbol
InstrumentId asset_class and asset_type no longer optional
SimulatedExchange.venue changed to SimulatedExchange.id

Enhancements

Ensure TestTimer advances monotonically increase
Add AssetClass.BETTING

Fixes

CCXT data and execution clients regarding instrument_id vs symbol naming
InstrumentId equality and hashing
Various docstrings

NautilusTrader 1.108.0 Beta

Release Notes

This release executes a major refactoring of Symbol and how securities are generally identified within the platform. This will allow a smoother integration with Interactive Brokers and other exchanges, brokerages and trading counterparties.

Previously the Symbol identifier also included a venue which confused the concept. The replacement Security identifier more clearly expresses the domain with a symbol string, a primary Venue, AssetClass and AssetType properties.

Breaking Changes

All previous serializations
Security replaces Symbol with expanded properties
AssetClass.EQUITY changed to AssetClass.STOCK
from_serializable_string changed to from_serializable_str
to_serializable_string changed to to_serializable_str

Enhancements

Reports now include full instrument_id name
Add AssetType.WARRANT

Fixes

StopLimitOrder serialization

NautilusTrader 1.107.1 Beta - Release Notes

This is a patch release which applies various fixes and refactorings.

The behavior of the StopLimitOrder continued to be fixed and refined. SimulatedExchange was refactored further to reduce complexity.

Breaking Changes

None

Enhancements

None

Fixes

TRIGGERED states in order FSM
StopLimitOrder triggering behavior
OrderFactory.stop_limit missing post_only and hidden
Order and StopLimitOrder __repr__ string (duplicate id)

NautilusTrader 1.107.0 Beta

Release Notes

The main thrust of this release is to refine some subtleties relating to order matching and amendment behavior for improved realism. This involved a fairly substantial refactoring of SimulatedExchange to manage its complexity, and support extending the order types.

The post_only flag for LIMIT orders now results in the expected behavior regarding when a marketable limit order will become a liquidity TAKER during order placement and amendment.

Test coverage was moderately increased.

Breaking Changes

None

Enhancements

Refactored SimulatedExchange order matching and amendment logic
Add risk subpackage to group risk components

Fixes

StopLimitOrder triggering behavior
All flake8 warnings

NautilusTrader 1.106.0 Beta

Release Notes

The main thrust of this release is to introduce the Interactive Brokers integration, and begin adding platform capabilities to support this effort.

Breaking Changes

from_serializable_string methods changed to from_serializable_str

Enhancements

Scaffold Interactive Brokers integration in adapters/ib
Add the Future instrument type
Add the StopLimitOrder order type
Add the Data and DataType types to support custom data handling
Add the InstrumentId identifier types initial implementation to support extending the platforms capabilities

Fixes

BracketOrder correctness
CCXT precision parsing bug
Some log formatting

Files

RELEASES.md

Latest commit

History

RELEASES.md

File metadata and controls

NautilusTrader 1.192.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.191.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.190.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.189.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.188.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.187.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.186.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.185.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.184.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.183.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.182.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.181.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.180.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.179.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.178.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.177.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.176.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.175.0 Beta

Enhancements

Breaking Changes

Fixes

NautilusTrader 1.174.0 Beta

Breaking Changes