Release 1.125.0

See release notes.

Author: cjdsellers

.github/workflows/performance.yml

@@ -3,8 +3,6 @@ name: performance
 on:
   push:
     branches: [ develop ]
-  pull_request:
-    branches: [ develop ]
 
 jobs:
   performance:
@@ -49,18 +47,18 @@ jobs:
 
       # Run performance
       - name: Run performance tests
-        run: nox -s performance_tests --reuse-existing-virtualenvs
+        run: nox -rs performance_tests -- no-parallel
 
-      # TODO: Store benchmark results
-#      - name: Store benchmark result
-#        uses: rhysd/github-action-benchmark@v1
-#        with:
-#          name: Python Benchmark with pytest-benchmark
-#          tool: "pytest"
-#          output-file-path: PERF.JSON
-#          github-token: ${{ secrets.GITHUB_TOKEN }}
-#          auto-push: true
-#          # Show alert with commit comment on detecting possible performance regression
-#          alert-threshold: '200%'
-#          comment-on-alert: true
-#          fail-on-alert: true
+      # Store benchmark results
+      - name: Store benchmark result
+        uses: rhysd/github-action-benchmark@v1
+        with:
+          name: Benchmark with pytest-benchmark
+          tool: "pytest"
+          output-file-path: output.json
+          github-token: ${{ secrets.GHPAGES_ACCESS }}
+          auto-push: true
+          # Show alert with commit comment on detecting possible performance regression
+          alert-threshold: '200%'
+          comment-always: true
+          fail-on-alert: false

.github/workflows/test-tag-publish.yml

@@ -15,8 +15,6 @@ jobs:
         python-version: [ 3.7, 3.8, 3.9 ]
     name: test - Python ${{ matrix.python-version }} (${{ matrix.os }})
     runs-on: ${{ matrix.os }}
-    env:
-      PARALLEL_BUILD: false
 
     steps:
       - uses: actions/checkout@v2
@@ -65,7 +63,7 @@ jobs:
 
       # Run tests
       - name: Run tests
-        run: nox -s tests_with_integration --reuse-existing-virtualenvs
+        run: nox -rs tests_with_integration -- no-parallel
 
 
   tag_release:
@@ -77,8 +75,6 @@ jobs:
         python-version: [ 3.9 ]
     name: test-tag-publish - Python ${{ matrix.python-version }} (${{ matrix.os }})
     runs-on: ${{ matrix.os }}
-    env:
-      PARALLEL_BUILD: false
     outputs:
       upload_url: ${{ steps.create-release.outputs.upload_url }}
 
@@ -155,7 +151,6 @@ jobs:
     name: publish_sdist - Python ${{ matrix.python-version }} (${{ matrix.os }})
     runs-on: ${{ matrix.os }}
     env:
-      PARALLEL_BUILD: false
       SKIP_BUILD_COPY: true
 
     steps:
@@ -230,8 +225,6 @@ jobs:
         python-version: [ 3.7, 3.8, 3.9 ]
     name: publish_wheels - Python ${{ matrix.python-version }} (${{ matrix.os }})
     runs-on: ${{ matrix.os }}
-    env:
-      PARALLEL_BUILD: false
 
     steps:
       - uses: actions/checkout@v2

.github/workflows/test.yml

@@ -17,8 +17,6 @@ jobs:
         python-version: [ 3.7, 3.8, 3.9 ]
     name: test - Python ${{ matrix.python-version }} (${{ matrix.os }})
     runs-on: ${{ matrix.os }}
-    env:
-      PARALLEL_BUILD: false
 
     steps:
       - uses: actions/checkout@v2
@@ -36,7 +34,7 @@ jobs:
       # Test pip installation
       - name: Test pip installation
         if: runner.os != 'Windows'
-        run: pip install .[betfair,ccxt,docs,ib,oanda]
+        run: pip install .[betfair,ccxt,docs,ib]
 
       # Setup Poetry caching
       - name: Get Poetry cache dir
@@ -72,4 +70,4 @@ jobs:
 
       # Run tests
       - name: Run tests
-        run: nox -s tests_with_integration --reuse-existing-virtualenvs
+        run: nox -rs tests_with_integration -- no-parallel

.gitignore

@@ -1,4 +1,3 @@
-*.c
 *.o
 *.so
 *.pyc
@@ -37,4 +36,4 @@ venv*/
 .DS_Store
 !tests/integration_tests/adapters/betfair/responses/*.log
 tests/test_kit/data/catalog/
-PERF.JSON
+output.json

.pre-commit-config.yaml

@@ -1,7 +1,7 @@
 repos:
 
   - repo: https://github.com/PyCQA/isort
-    rev: 5.9.1
+    rev: 5.9.2
     hooks:
       - id: isort
 
@@ -38,6 +38,24 @@ repos:
         - id: codespell
           description: Checks for common misspellings.
           types_or: [python, cython, rst, markdown]
+          exclude: "nautilus_trader/adapters/betfair/parsing.py"
+
+  - repo: https://github.com/pre-commit/mirrors-mypy
+    rev: v0.910
+    hooks:
+      - id: mypy
+        args: [
+            --no-strict-optional,
+            --ignore-missing-imports,
+            --warn-no-return,
+        ]
+        additional_dependencies: [
+            types-frozendict,
+            types-orjson,
+            types-pytz,
+            types-redis,
+            types-toml,
+        ]
 
   - repo: https://gitlab.com/PyCQA/flake8
     rev: 3.9.2
@@ -46,7 +64,6 @@ repos:
         name: flake8 (python)
         additional_dependencies:
           - flake8-bandit
-          - flake8-black
           - flake8-bugbear
           - flake8-coding
 #          - flake8-comprehensions
@@ -63,7 +80,6 @@ repos:
         name: flake8 (cython)
         additional_dependencies:
           - flake8-bandit
-          - flake8-black
           - flake8-bugbear
           - flake8-coding
           - flake8-comprehensions

README.md

@@ -98,7 +98,6 @@ The documentation for the latest version of the package can be found at:
 | Logo | ID | Status |
 |:---:|:---:|:---:|
 | [![interactive-brokers](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/ib-logo.png?raw=true)](https://interactivebrokers.com) | IB | ![status](https://img.shields.io/badge/Integration-in_progress-orange) |
-| [![oanda](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/oanda-logo.png?raw=true)](https://oanda.com/) | OANDA | ![status](https://img.shields.io/badge/Integration-in_progress-orange) |
 | [![ccxtpro](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/ccxtpro-logo.png?raw=true)](https://ccxt.pro/) | CCXT-`exchange_id` | ![status](https://img.shields.io/badge/Integration-testing-yellow) |
 | [![binance](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/binance-logo.png?raw=true)](https://www.binance.com/) | BINANCE | ![status](https://img.shields.io/badge/Integration-planned-gray) |
 | [![bitmex](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/bitmex-logo.png?raw=true)](https://www.bitmex.com/) | BITMEX | ![status](https://img.shields.io/badge/Integration-planned-gray) |
@@ -175,7 +174,6 @@ Also, the following optional dependency 'extras' are separately available for in
 - `ccxt` for the CCXT Pro adapter.
 - `docs` for building the documentation.
 - `ib` for the Interactive Brokers adapter.
-- `oanda` for the OANDA adapter.
 
 For example, to install including the `ccxt` extra using pip:
 
@@ -310,10 +308,6 @@ Involvement from the trading community is a goal for this project. All help is w
 Developers can open issues on GitHub to discuss proposed enhancements/changes, or
 to make bug reports.
 
-Even as some issues are marked with the `help wanted` label - this does not imply
-that help is _only_ wanted on those issues. The label indicates where 'extra attention'
-is needed.
-
 Please make all pull requests to the `develop` branch.
 
 Refer to the [CONTRIBUTING.md](https://github.com/nautechsystems/nautilus_trader/blob/master/CONTRIBUTING.md) for further information.

RELEASES.md

@@ -1,3 +1,46 @@
+# NautilusTrader 1.125.0 Beta - Release Notes
+
+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, please see the related issue for further details on this enhancement.
+
+Another notable feature is the introduction of the order 'inflight' concept, 
+which is an order which has been submitted and not yet acknowledged by the 
+exchange/broker. 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 inflight 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
 
 This release sees the expansion of pre-trade risk check options (see 

build.py

@@ -28,14 +28,6 @@
 # If SKIP_BUILD_COPY is enabled, prevents copying built *.so files back into the source tree
 SKIP_BUILD_COPY = bool(os.getenv("SKIP_BUILD_COPY", ""))
 
-print(
-    f"DEBUG_MODE={DEBUG_MODE}\n"
-    f"PROFILING_MODE={PROFILING_MODE}\n"
-    f"ANNOTATION_MODE={ANNOTATION_MODE}\n"
-    f"PARALLEL_BUILD={PARALLEL_BUILD}\n"
-    f"SKIP_BUILD_COPY={SKIP_BUILD_COPY}"
-)
-
 ##########################
 #  Cython build options  #
 ##########################
@@ -161,6 +153,9 @@ def build(setup_kwargs):
 
 if __name__ == "__main__":
     print("")
+    print("=====================================================================")
+    print("Nautilus Builder")
+    print("=====================================================================")
 
     # Work around a Cython problem in Python 3.8.x on macOS
     # https://github.com/cython/cython/issues/3262
@@ -174,7 +169,6 @@ def build(setup_kwargs):
         except ImportError:
             print("multiprocessing not available")
 
-    print("Starting build...")
     # Note: On macOS (and perhaps other platforms), executable files may be
     # universal files containing multiple architectures. To determine the
     # “64-bitness” of the current interpreter, it is more reliable to query the
@@ -184,5 +178,14 @@ def build(setup_kwargs):
     print(f"Python: {platform.python_version()}")
     print(f"Cython: {cython_compiler_version}")
     print(f"NumPy:  {np.__version__}")
+    print("")
+    print("Starting build...")
+    print(f"DEBUG_MODE={DEBUG_MODE}")
+    print(f"PROFILING_MODE={PROFILING_MODE}")
+    print(f"ANNOTATION_MODE={ANNOTATION_MODE}")
+    print(f"PARALLEL_BUILD={PARALLEL_BUILD}")
+    print(f"SKIP_BUILD_COPY={SKIP_BUILD_COPY}")
+    print("")
 
     build({})
+    print("Build completed\n")

docs/artwork/oanda-logo.png

@@ -3,14 +3,6 @@ Core
 
 .. automodule:: nautilus_trader.core
 
-Cache
------
-
-.. automodule:: nautilus_trader.core.cache
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
 
 Datetime
 --------