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@github-actions github-actions released this 02 Aug 22:04
v1.197.0
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NautilusTrader 1.197.0 Beta

Released on 2nd August 2024 (UTC).

Enhancements

  • Added Databento Status schema support for loading and live trading
  • Added options on futures support for Interactive Brokers (#1795), thanks @rsmb7z
  • Added documentation for option greeks custom data example (#1788), thanks @faysou
  • Added MarketStatusAction enum (support Databento status schema)
  • Added ignore_quote_tick_size_updates config option for Interactive Brokers (#1799), thanks @sunlei
  • Implemented MessageBus v2 in Rust (#1786), thanks @twitu
  • Implemented DataEngine v2 in Rust (#1785), thanks @twitu
  • Implemented FillModel in Rust (#1801), thanks @filipmacek
  • Implemented FixedFeeModel in Rust (#1802), thanks @filipmacek
  • Implemented MakerTakerFeeModel in Rust (#1803), thanks @filipmacek
  • Implemented Postgres native enum mappings in Rust (#1797, #1806), thanks @filipmacek
  • Refactored order submission error handling for Interactive Brokers (#1783), thanks @rsmb7z
  • Improved live reconciliation robustness (will now generate inferred orders necessary to align external position state)
  • Improved tests for Interactive Brokers (#1776), thanks @mylesgamez
  • Upgraded tokio crate to v1.39.2
  • Upgraded datafusion crate to v40.0.0

Breaking Changes

  • Removed VenueStatus and all associated methods and schemas (redundant with InstrumentStatus)
  • Renamed QuoteTick.extract_volume(...) to .extract_size(...) (more accurate terminology)
  • Changed InstrumentStatus params (support Databento status schema)
  • Changed InstrumentStatus arrow schema
  • Changed OrderBook FFI API to take data by reference instead of by value

Fixes

  • Fixed rounding errors in accounting calculations for large values (using decimal.Decimal internally)
  • Fixed multi-currency account commission handling with multiple PnL currencies (#1805), thanks for reporting @dpmabo
  • Fixed DataEngine unsubscribing from order book deltas (#1814), thanks @davidsblom
  • Fixed LiveExecutionEngine handling of adapter client execution report causing None mass status (#1789), thanks for reporting @faysou
  • Fixed InteractiveBrokersExecutionClient handling of instruments not found when generating execution reports (#1789), thanks for reporting @faysou
  • Fixed Bybit parsing of trade and quote ticks for websocket messages (#1794), thanks @davidsblom

Contributors

davidsblom, faysou, and 6 other contributors
Assets 15
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