NautilusTrader 1.200.0 Beta

NautilusTrader 1.200.0 Beta

Released on 7th September 2024 (UTC).

Enhancements

• Added dYdX integration (#1861, #1868, #1873, #1874, #1875, #1877, #1879, #1880, #1882, #1886, #1887, #1890, #1891, #1896, #1901, #1903, #1907, #1910, #1911, #1913, #1915), thanks @davidsblom
• Added composite bar types, bars aggregated from other bar types (#1859, #1885, #1888, #1894, #1905), thanks @faysou
• Added OrderBookDeltas.batch for batching groups of deltas based on record flags (batch until F_LAST)
• Added OrderBookDeltas batching support for ParquetDataCatalog (use data_cls of OrderBookDeltas to batch with the same flags method as live adapters)
• Added RetryManagerPool to abstract common retry functionality for all adapters
• Added InstrumentClose functionality for OrderMatchingEngine, thanks @limx0
• Added BacktestRunConfig.dispose_on_completion config setting to control post-run disposal behavior for each internal backtest engine (True by default to retain current behavior)
• Added recv_window_ms config setting for BinanceExecClientConfig
• Added sl_time_in_force and tp_time_in_force parameters to OrderFactory.bracket(...) method
• Added custom client_order_id parameters to OrderFactory methods
• Added support for Binance RSA and Ed25519 API key types (#1908), thanks @NextThread
• Added multiplier parameter for CryptoPerpetual (default 1)
• Implemented BybitExecutionClient retry logic for submit_order, modify_order, cancel_order and cancel_all_orders
• Improved error modeling and handling in Rust (#1866), thanks @twitu
• Improved HttpClient error handling and added HttpClientError exception for Python (#1872), thanks @twitu
• Improved WebSocketClient error handling and added WebSocketClientError exception for Python (#1876), thanks @twitu
• Improved WebSocketClient.send_text efficiency (now accepts UTF-8 encoded bytes, rather than a Python string)
• Improved @customdataclass decorator with date field and refined __repr__ (#1900, #1906, #1909), thanks @faysou
• Improved standardization of OrderBookDeltas parsing and records flags for crypto venues
• Refactored RedisMessageBusDatabase to tokio tasks
• Refactored RedisCacheDatabase to tokio tasks
• Upgraded tokio crate to v1.40.0

Breaking Changes

• Renamed heartbeat_interval to heartbeat_interval_secs (more explicitly indicates time units)
• Moved heartbeat_interval_secs config setting to MessageBusConfig (the message bus handles external stream processing)
• Changed WebSocketClient.send_text(...) to take data as bytes rather than str
• Changed CryptoPerpetual Arrow schema to include multiplier field
• Changed CryptoFuture Arrow schema to include multiplier field

Fixes

• Fixed OrderBook memory deallocation in Python finalizer (memory was not being freed on object destruction), thanks for reporting @zeyuhuan
• Fixed Order tags serialization (was not concatenating to a single string), thanks for reporting @DevRoss
• Fixed types_filter serialization in MessageBusConfig during kernel setup
• Fixed InstrumentProvider handling of load_ids_on_start when elements are already InstrumentIds
• Fixed InstrumentProviderConfig hashing for filters field

NautilusTrader 1.199.0 Beta

NautilusTrader 1.199.0 Beta

Released on 19th August 2024 (UTC).

Enhancements

• Added LiveExecEngineConfig.generate_missing_orders reconciliation config option to align internal and external position states
• Added LogLevel::TRACE (only available in Rust for debug/development builds)
• Added Actor.subscribe_signal(...) method and Data.is_signal(...) class method (#1853), thanks @faysou
• Added Binance Futures support for HEDGE mode (#1846), thanks @DevRoss
• Overhauled and refined error modeling and handling in Rust (#1849, #1858), thanks @twitu
• Improved BinanceExecutionClient position report requests (can now filter by instrument and includes reporting for flat positions)
• Improved BybitExecutionClient position report requests (can now filter by instrument and includes reporting for flat positions)
• Improved LiveExecutionEngine reconciliation robustness and recovery when internal positions do not match external positions
• Improved @customdataclass decorator constructor to allow more positional arguments (#1850), thanks @faysou
• Improved @customdataclass documentation (#1854), thanks @faysou
• Upgraded datafusion crate to v41.0.0
• Upgraded tokio crate to v1.39.3
• Upgraded uvloop to v0.20.0 (upgrades libuv to v1.48.0)

Breaking Changes

• Changed VolumeWeightedAveragePrice calculation formula to use each bars "typical" price (#1842), thanks @evgenii-prusov
• Changed OptionsContract constructor parameter ordering and Arrow schema (consistently group option kind and strike price)
• Renamed snapshot_positions_interval to snapshot_positions_interval_secs (more explicitly indicates time units)
• Moved snapshot_orders config setting to ExecEngineConfig (can now be used for all environment contexts)
• Moved snapshot_positions config setting to ExecEngineConfig (can now be used for all environment contexts)
• Moved snapshot_positions_interval_secs config setting to ExecEngineConfig (can now be used for all environment contexts)

Fixes

• Fixed Position exception type on duplicate fill (should be KeyError to align with the same error for Order)
• Fixed Bybit position report parsing when position is flat (BybitPositionSide now correctly handles the empty string)

NautilusTrader 1.198.0 Beta

NautilusTrader 1.198.0 Beta

Released on 9th August 2024 (UTC).

Enhancements

• Added @customdata decorator to reduce need for boiler plate implementing custom data types (#1828), thanks @faysou
• Added timeout for HTTP client in Rust (#1835), thanks @davidsblom
• Added catalog conversion function of streamed data to backtest data (#1834), thanks @faysou
• Upgraded Cython to v3.0.11

Breaking Changes

None

Fixes

• Fixed creation of instrumend_id folder when writing PyO3 bars in catalog (#1832), thanks @faysou
• Fixed StreamingFeatherWriter handling of include_types option (#1833), thanks @faysou
• Fixed BybitExecutionClient position reports error handling and logging
• Fixed BybitExecutionClient order report handling to correctly process external orders

NautilusTrader 1.197.0 Beta

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

NautilusTrader 1.196.0 Beta

NautilusTrader 1.196.0 Beta

Released on 5th July 2024 (UTC).

Enhancements

• Added request_order_book_snapshot method (#1745), thanks @graceyangfan
• Added order book data validation for BacktestNode when a venue book_type is L2_MBP or L3_MBO
• Added Bybit demo account support (set is_demo to True in configs)
• Added Bybit stop order types (STOP_MARKET, STOP_LIMIT, MARKET_IF_TOUCHED, LIMIT_IF_TOUCHED, TRAILING_STOP_MARKET)
• Added Binance venue option for adapter configurations (#1738), thanks @DevRoss
• Added Betfair amend order quantity support (#1687 and #1751), thanks @imemo88 and @limx0
• Added Postgres tests serial test group for nextest runner (#1753), thanks @filipmacek
• Added Postgres account persistence capability (#1768), thanks @filipmacek
• Refactored AccountAny pattern in Rust (#1755), thanks @filipmacek
• Changed DatabentoLiveClient to use new snapshot on subscribe feature
• Changed identifier generator time tag component to include seconds (affects new ClientOrderId, OrderId and PositionId generation)
• Changed <Arc<Mutex<bool>> to AtomicBool in Rust network crate, thanks @NextThread and @twitu
• Ported KlingerVolumeOscillator indicator to Rust (#1724), thanks @Pushkarm029
• Ported DirectionalMovement indicator to Rust (#1725), thanks @Pushkarm029
• Ported ArcherMovingAveragesTrends indicator to Rust (#1726), thanks @Pushkarm029
• Ported Swings indicator to Rust (#1731), thanks @Pushkarm029
• Ported BollingerBands indicator to Rust (#1734), thanks @Pushkarm029
• Ported VolatilityRatio indicator to Rust (#1735), thanks @Pushkarm029
• Ported Stochastics indicator to Rust (#1736), thanks @Pushkarm029
• Ported Pressure indicator to Rust (#1739), thanks @Pushkarm029
• Ported PsychologicalLine indicator to Rust (#1740), thanks @Pushkarm029
• Ported CommodityChannelIndex indicator to Rust (#1742), thanks @Pushkarm029
• Ported LinearRegression indicator to Rust (#1743), thanks @Pushkarm029
• Ported DonchianChannel indicator to Rust (#1744), thanks @Pushkarm029
• Ported KeltnerChannel indicator to Rust (#1746), thanks @Pushkarm029
• Ported RelativeVolatilityIndex indicator to Rust (#1748), thanks @Pushkarm029
• Ported RateOfChange indicator to Rust (#1750), thanks @Pushkarm029
• Ported MovingAverageConvergenceDivergence indicator to Rust (#1752), thanks @Pushkarm029
• Ported OnBalanceVolume indicator to Rust (#1756), thanks @Pushkarm029
• Ported SpreadAnalyzer indicator to Rust (#1762), thanks @Pushkarm029
• Ported KeltnerPosition indicator to Rust (#1763), thanks @Pushkarm029
• Ported FuzzyCandlesticks indicator to Rust (#1766), thanks @Pushkarm029

Breaking Changes

• Renamed Actor.subscribe_order_book_snapshots and unsubscribe_order_book_snapshots to subscribe_order_book_at_interval and unsubscribe_order_book_at_interval respectively (this clarifies the method behavior where the handler then receives OrderBook at a regular interval, distinct from a collection of deltas representing a snapshot)

Fixes

• Fixed LIMIT order fill behavior for L2_MBP and L3_MBO book types (was not honoring limit price as maker), thanks for reporting @dpmabo
• Fixed CashAccount PnL calculations when opening a position with multiple fills, thanks @Otlk
• Fixed msgspec encoding and decoding of Environment enum for NautilusKernelConfig
• Fixed OrderMatchingEngine processing by book type for quotes and deltas (#1754), thanks @davidsblom
• Fixed DatabentoDataLoader.from_dbn_file for OrderBookDeltas when as_legacy_cython=False
• Fixed DatabentoDataLoader OHLCV bar schema loading (incorrectly accounting for display factor0), thanks for reporting @faysou
• Fixed DatabentoDataLoader multiplier and round lot size decoding, thanks for reporting @faysou
• Fixed Binance order report generation active_symbols type miss matching (#1729), thanks @DevRoss
• Fixed Binance trade data websocket schemas (Binance no longer publish b buyer and a seller order IDs)
• Fixed BinanceFuturesInstrumentProvider parsing of min notional, thanks for the report @AnthonyVince
• Fixed BinanceSpotInstrumentProvider parsing of min and max notional
• Fixed Bybit order book deltas subscriptions for INVERSE product type
• Fixed Cache documentation for get (was the same as add), thanks for reporting @faysou

NautilusTrader 1.195.0 Beta

NautilusTrader 1.195.0 Beta

Released on 17th June 2024 (UTC).

Enhancements

• Added Bybit base coin for fee rate parsing (#1696), thanks @filipmacek
• Added IndexInstrument with support for Interactive Brokers (#1703), thanks @rsmb7z
• Refactored Interactive Brokers client and gateway configuration (#1692), thanks @rsmb7z
• Improved InteractiveBrokersInstrumentProvider contract loading (#1699), thanks @rsmb7z
• Improved InteractiveBrokersInstrumentProvider option chain loading (#1704), thanks @rsmb7z
• Improved Instrument.make_qty error clarity when a positive value is rounded to zero
• Updated installation from source docs for Clang dependency (#1690), thanks @Troubladore
• Updated DockerizedIBGatewayConfig docs (#1691), thanks @Troubladore

Breaking Changes

None

Fixes

• Fixed DataFusion streaming backend mem usage (now constant mem usage) (#1693), thanks @twitu
• Fixed OrderBookDeltaDataWrangler snapshot parsing (was not prepending a CLEAR action), thanks for reporting @VeraLyu
• Fixed Instrument.make_price and make_qty when increments have a lower precision (was not rounding to the minimum increment)
• Fixed EMACrossTrailingStop example strategy trailing stop logic (could submit multiple trailing stops on partial fills)
• Fixed Binance TRAILING_STOP_MARKET orders (callback rounding was incorrect, was also not handling updates)
• Fixed Interactive Brokers multiple gateway clients (incorrect port handling in factory) (#1702), thanks @dodofarm
• Fixed time alerts Python example in docs (#1713), thanks @davidsblom

NautilusTrader 1.194.0 Beta

NautilusTrader 1.194.0 Beta

Released on 31st May 2024 (UTC).

Enhancements

• Added DataEngine order book deltas buffering to F_LAST flag (#1673), thanks @davidsblom
• Added DataEngineConfig.buffer_deltas config option for the above (#1670), thanks @davidsblom
• Improved Bybit order book deltas parsing to set F_LAST flag (#1670), thanks @davidsblom
• Improved Bybit handling for top-of-book quotes and order book deltas (#1672), thanks @davidsblom
• Improved Interactive Brokers integration test mocks (#1669), thanks @rsmb7z
• Improved error message when no tick scheme initialized for an instrument, thanks for reporting @VeraLyu
• Improved SandboxExecutionClient instrument handling (instruments just need to be added to cache)
• Ported VolumeWeightedAveragePrice indicator to Rust (#1665), thanks @Pushkarm029
• Ported VerticalHorizontalFilter indicator to Rust (#1666), thanks @Pushkarm029

Breaking Changes

None

Fixes

• Fixed SimulatedExchange processing of commands in real-time for sandbox mode
• Fixed DataEngine unsubscribe handling (edge case would attempt to unsubscribe from the client multiple times)
• Fixed Bybit order book deltas parsing (was appending bid side twice) (#1668), thanks @davidsblom
• Fixed Binance instruments price and size precision parsing (was incorrectly stripping trailing zeros)
• Fixed BinanceBar streaming feather writing (was not setting up writer)
• Fixed backtest high-level tutorial documentation errors, thanks for reporting @Leonz5288

NautilusTrader 1.193.0 Beta

NautilusTrader 1.193.0 Beta

Released on 24th May 2024 (UTC).

Enhancements

• Added Interactive Brokers support for Market-on-Close (MOC) and Limit-on-Close (LOC) order types (#1663), thanks @rsmb7z
• Added Bybit sandbox example (#1659), thanks @davidsblom
• Added Binance sandbox example

Breaking Changes

• Overhauled SandboxExecutionClientConfig to more closely match BacktestVenueConfig (many changes and additions)

Fixes

• Fixed DataFusion backend data ordering by ts_init when streaming (#1656), thanks @twitu
• Fixed Interactive Brokers tick level historical data downloading (#1653), thanks @DracheShiki

NautilusTrader 1.192.0 Beta

NautilusTrader 1.192.0 Beta

Released on 18th May 2024 (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
• Added SandboxExecutionClientConfig.bar_execution option (#1646), thanks @davidsblom
• Improved venue order ID generation and assignment (it was previously possible for the OrderMatchingEngine to generate multiple IDs for the same order)
• Improved LiveTimer robustness and flexibility by not requiring positive intervals or stop times in the future (will immediately produce a time event), thanks for reporting @davidsblom

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
• Changed OrderMatchingEngine to no longer process internally aggregated bars for execution (no tests failed, but still classifying as a behavior change), thanks for reporting @davidsblom

Fixes

• Fixed CashAccount PnL and balance calculations (was adjusting filled quantity based on open position quantity - causing a desync and incorrect balance values)
• Fixed from_str for Price, Quantity and Money when input string contains underscores in Rust, thanks for reporting @filipmacek
• Fixed Money string parsing where the value from str(money) can now be passed to Money.from_str
• Fixed TimeEvent equality (now based on the event id rather than the event name)
• 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 venue order ID generation and application in sandbox mode (was previously generating additional venue order IDs), thanks for reporting @rsmb7z and @davidsblom
• Fixed multiple fills causing overfills in sandbox mode (OrderMatchingEngine now caching filled quantity to prevent this) (#1642), thanks @davidsblom
• Fixed leaves_qty exception message underflow (now correctly displays the projected negative leaves quantity)
• Fixed Interactive Brokers contract details parsing (#1615), thanks @rsmb7z
• Fixed Interactive Brokers portfolio registration (#1616), thanks @rsmb7z
• Fixed Interactive Brokers IBOrder attributes assignment (#1634), thanks @rsmb7z
• Fixed IBKR reconnection after gateway/TWS disconnection (#1622), thanks @benjaminsingleton
• Fixed Binance Futures account balance calculation (was over stating free balance with margin collateral, which could result in a negative locked balance)
• Fixed Betfair stream reconnection and avoid multiple reconnect attempts (#1644), thanks @imemo88

NautilusTrader 1.191.0 Beta

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