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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 contingency orders
  • Fixed MatchingEngine position ID assignment for child contingency 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' executon algorithms
  • Rewired execution for improved flow flexibility between emulated orders, execution algorithms and the RiskEngine
  • Improved handling for OrderEmulator updating of contingency orders from execution algorithms
  • Define public API for instruments, can now import directly from nautilus_trader.model.instruments (denest namespace)
  • Define public API for orders, can now import directly from nautilus_trader.model.orders (denest namespace)
  • Define public API for order book, can now import directly from nautilus_trader.model.orderbook (denest namespace)
  • Now stripping debug symbols after build (reduced binary sizes)
  • Refined build and added additional debug Makefile convenience targets

Fixes

  • Fixed processing of contingency 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 behaviour
  • 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 contingency 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 contingency 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.reconcilation 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 behaviour, thanks @limx0 for identifying
  • Fixed FTX CryptoFuture instrument parsing, thanks @limx0
  • Fixed missing imports in data catalog example notebook, thanks @gaugau3000
  • Fixed order update behaviour, 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 behaviour and logging
  • Improved TradingNode disposal flow
  • Implemented core monotonic clock
  • Implemented logging in Rust
  • Added CommodityChannelIndex indicator thanks @graceyangfan

Fixes

None

NautilusTrader 1.146.0 Beta

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 behaviour 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 contingency 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 behaviour 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 behaviour
  • 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 behaviour 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 behaviour 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 behaviour
  • 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