Release 1.169.0

See release notes.

Author: cjdsellers

.pre-commit-config.yaml

@@ -32,6 +32,39 @@ repos:
         types_or: [python, cython, rst, markdown]
         args: ["-L", "ot,zar,warmup"]
 
+  ##############################################################################
+  #  Rust formatting and linting
+  ##############################################################################
+  - repo: local
+    hooks:
+      - id: fmt
+        name: cargo fmt
+        description: Format files with cargo fmt.
+        entry: cargo fmt
+        language: system
+        types: [rust]
+        args: ["--manifest-path", "nautilus_core/Cargo.toml", "--all"]
+        files: \.rs$
+        pass_filenames: false
+      - id: cargo-clippy
+        name: cargo clippy
+        description: Run the Clippy linter on the package.
+        entry: cargo clippy
+        language: system
+        types: [rust]
+        args: ["--manifest-path", "nautilus_core/Cargo.toml", "--", "-D", "warnings"]
+        files: \.rs$
+        pass_filenames: false
+      - id: cargo-check
+        name: cargo check
+        description: Check the package for errors.
+        entry: cargo check
+        language: system
+        types: [rust]
+        args: ["--manifest-path", "nautilus_core/Cargo.toml"]
+        files: \.rs$
+        pass_filenames: false
+
   ##############################################################################
   #  Python/Cython formatting and linting
   ##############################################################################
@@ -64,7 +97,7 @@ repos:
         args: ["--settings-file", "pyproject.toml", "."]
 
   - repo: https://github.com/psf/black
-    rev: 22.12.0
+    rev: 23.1.0
     hooks:
       - id: black
         types_or: [python, pyi]
@@ -73,7 +106,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v0.991
+    rev: v1.0.0
     hooks:
       - id: mypy
         args: [
@@ -107,7 +140,7 @@ repos:
         files: ^nautilus_trader/
         exclude: "nautilus_trader/test_kit"
         args:
-        - "--ignore=D100,D102,D103,D104,D107,D105,D200,D203,D205,D212,D400,D413,D415"
+        - "--ignore=D100,D102,D103,D104,D107,D105,D200,D203,D205,D212,D400,D413,D415,D416"
         additional_dependencies:
           - toml
 
@@ -129,3 +162,4 @@ repos:
 # D400: First line should end with a period (not always a first line)
 # D413: Missing blank line after last section ('Parameters')
 # D415: First line should end with a period, question mark, or exclamation point (not always a first line)
+# D416: Section name should end with a colon ('Warnings:', not 'Warnings') (incorrect?)

Makefile

@@ -28,7 +28,6 @@ format:
 	(cd nautilus_core && cargo fmt)
 
 pre-commit: format
-	(cd nautilus_core && cargo fmt --all -- --check && cargo check -q && cargo clippy --all-targets --all-features -- -D warnings)
 	pre-commit run --all-files
 
 update:

README.md

@@ -15,9 +15,9 @@
 
 | Platform          | Rust      | Python |
 |:------------------|:----------|:-------|
-| Linux (x86\_64)   | `1.66.1+` | `3.9+` |
-| macOS (x86\_64)   | `1.66.1+` | `3.9+` |
-| Windows (x86\_64) | `1.66.1+` | `3.9+` |
+| Linux (x86\_64)   | `1.67.1+` | `3.9+` |
+| macOS (x86\_64)   | `1.67.1+` | `3.9+` |
+| Windows (x86\_64) | `1.67.1+` | `3.9+` |
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io
@@ -97,7 +97,7 @@ optional C-inspired syntax.
 
 The project heavily utilizes Cython to provide static type safety and increased performance
 for Python through [C extension modules](https://docs.python.org/3/extending/extending.html). The vast majority of the production code is actually
-written in Cython, however the libraries can be accessed from both pure Python and Cython.
+written in Cython, however the libraries can be accessed from both Python and Cython.
 
 ## What is Rust?
 
@@ -112,7 +112,7 @@ eliminating many classes of bugs at compile-time.
 The project increasingly utilizes Rust for core performance-critical components. Python language binding is handled through
 Cython, with static libraries linked at compile-time before the wheel binaries are packaged, so a user
 does not need to have Rust installed to run NautilusTrader. In the future as more Rust code is introduced,
-[PyO3](https://pyo3.rs/latest/) will be leveraged for easier Python bindings.
+[PyO3](https://pyo3.rs/latest) will be leveraged for easier Python bindings.
 
 ## Architecture (data flow)
 
@@ -276,7 +276,7 @@ class EMACross(Strategy):
     Cancels all orders and closes all positions on stop.
     """
 
-    def __init__(self, config: EMACrossConfig):
+    def __init__(self, config: EMACrossConfig) -> None:
         super().__init__(config)
 
         # Configuration
@@ -290,7 +290,7 @@ class EMACross(Strategy):
 
         self.instrument: Optional[Instrument] = None  # Initialized in on_start
 
-    def on_start(self):
+    def on_start(self) -> None:
         """Actions to be performed on strategy start."""
         # Get instrument
         self.instrument = self.cache.instrument(self.instrument_id)
@@ -305,7 +305,7 @@ class EMACross(Strategy):
         # Subscribe to live data
         self.subscribe_bars(self.bar_type)
 
-    def on_bar(self, bar: Bar):
+    def on_bar(self, bar: Bar) -> None:
         """Actions to be performed when the strategy receives a bar."""
         # BUY LOGIC
         if self.fast_ema.value >= self.slow_ema.value:
@@ -322,7 +322,7 @@ class EMACross(Strategy):
                 self.close_all_positions(self.instrument_id)
                 self.sell()
 
-    def buy(self):
+    def buy(self) -> None:
         """Users simple buy method (example)."""
         order: MarketOrder = self.order_factory.market(
             instrument_id=self.instrument_id,
@@ -332,7 +332,7 @@ class EMACross(Strategy):
 
         self.submit_order(order)
 
-    def sell(self):
+    def sell(self) -> None:
         """Users simple sell method (example)."""
         order: MarketOrder = self.order_factory.market(
             instrument_id=self.instrument_id,
@@ -342,7 +342,7 @@ class EMACross(Strategy):
 
         self.submit_order(order)
 
-    def on_stop(self):
+    def on_stop(self) -> None:
         """Actions to be performed when the strategy is stopped."""
         # Cleanup orders and positions
         self.cancel_all_orders(self.instrument_id)
@@ -351,7 +351,7 @@ class EMACross(Strategy):
         # Unsubscribe from data
         self.unsubscribe_bars(self.bar_type)
 
-    def on_reset(self):
+    def on_reset(self) -> None:
         """Actions to be performed when the strategy is reset."""
         # Reset indicators here
         self.fast_ema.reset()

RELEASES.md

@@ -1,3 +1,35 @@
+# 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).

build.py

@@ -234,14 +234,9 @@ def _get_clang_version() -> str:
         return output
     except subprocess.CalledProcessError as e:
         raise RuntimeError(
+            "You are installing from source which requires the Clang compiler to be installed.\n"
             f"Error running clang: {e.stderr.decode()}",
         ) from e
-    except FileNotFoundError as e:
-        if "clang" in e.strerror:
-            raise RuntimeError(
-                "You are installing from source which requires the Clang compiler to be installed.",
-            ) from e
-        raise
 
 
 def _get_rustc_version() -> str:
@@ -256,15 +251,10 @@ def _get_rustc_version() -> str:
         return output
     except subprocess.CalledProcessError as e:
         raise RuntimeError(
+            "You are installing from source which requires the Rust compiler to "
+            "be installed.\nFind more information at https://www.rust-lang.org/tools/install\n"
             f"Error running rustc: {e.stderr.decode()}",
         ) from e
-    except FileNotFoundError as e:
-        if "rustc" in e.strerror:
-            raise RuntimeError(
-                "You are installing from source which requires the Rust compiler to "
-                "be installed. Find more information at https://www.rust-lang.org/tools/install",
-            ) from e
-        raise
 
 
 def build(pyo3_only=False) -> None:

docs/getting_started/installation.md

@@ -30,7 +30,7 @@ For MacBook Pro M1/M2, make sure your Python installed using pyenv is configured
 
     PYTHON_CONFIGURE_OPTS="--enable-shared" pyenv install <python_version>
 
-See https://pyo3.rs/v0.17.3/getting_started#virtualenvs.
+See https://pyo3.rs/latest/getting_started#virtualenvs.
 
 It's possible to install from source using `pip` if you first install the build dependencies
 as specified in the `pyproject.toml`. However, we highly recommend installing using [poetry](https://python-poetry.org/) as below.

docs/getting_started/quick_start.md

@@ -65,6 +65,7 @@ registering indicators to receive certain data types, however in this example we
 
 ```python
 from typing import Optional
+from nautilus_trader.core.message import Event
 from nautilus_trader.trading.strategy import Strategy, StrategyConfig
 from nautilus_trader.indicators.macd import MovingAverageConvergenceDivergence
 from nautilus_trader.model.data.tick import QuoteTick
@@ -85,7 +86,7 @@ class MACDConfig(StrategyConfig):
 
 
 class MACDStrategy(Strategy):
-    def __init__(self, config: MACDConfig):
+    def __init__(self, config: MACDConfig) -> None:
         super().__init__(config=config)
         # Our "trading signal"
         self.macd = MovingAverageConvergenceDivergence(
@@ -99,13 +100,13 @@ class MACDStrategy(Strategy):
         # Convenience
         self.position: Optional[Position] = None
 
-    def on_start(self):
+    def on_start(self) -> None:
         self.subscribe_quote_ticks(instrument_id=self.instrument_id)
 
-    def on_stop(self):
+    def on_stop(self) -> None:
         self.unsubscribe_quote_ticks(instrument_id=self.instrument_id)
 
-    def on_quote_tick(self, tick: QuoteTick):
+    def on_quote_tick(self, tick: QuoteTick) -> None:
         # Update our MACD
         self.macd.handle_quote_tick(tick)
         if self.macd.value:
@@ -115,11 +116,11 @@ class MACDStrategy(Strategy):
         if self.position:
             assert self.position.quantity <= 1000
 
-    def on_event(self, event):
+    def on_event(self, event: Event) -> None:
         if isinstance(event, PositionEvent):
             self.position = self.cache.position(event.position_id)
 
-    def check_for_entry(self):
+    def check_for_entry(self) -> None:
         if self.cache.positions():
             # If we have a position, do not enter again
             return
@@ -136,7 +137,7 @@ class MACDStrategy(Strategy):
             )
             self.submit_order(order)
 
-    def check_for_exit(self):
+    def check_for_exit(self) -> None:
         if not self.cache.positions():
             # If we don't have a position, return early
             return
@@ -154,7 +155,7 @@ class MACDStrategy(Strategy):
             )
             self.submit_order(order)
 
-    def on_dispose(self):
+    def on_dispose(self) -> None:
         pass  # Do nothing else
 ```
 

docs/index.md

@@ -73,7 +73,7 @@ optional additional C-inspired syntax.
 
 The project heavily utilizes Cython to provide static type safety and increased performance
 for Python through [C extension modules](https://docs.python.org/3/extending/extending.html). The vast majority of the production code is actually
-written in Cython, however the libraries can be accessed from both pure Python and Cython.
+written in Cython, however the libraries can be accessed from both Python and Cython.
 
 ## What is Rust?
 
@@ -88,7 +88,7 @@ eliminating many classes of bugs at compile-time.
 The project increasingly utilizes Rust for core performance-critical components. Python language binding is handled through
 Cython, with static libraries linked at compile-time before the wheel binaries are packaged, so a user
 does not need to have Rust installed to run NautilusTrader. In the future as more Rust code is introduced,
-[PyO3](https://pyo3.rs/v0.15.1/) will be leveraged for easier Python bindings.
+[PyO3](https://pyo3.rs/latest) will be leveraged for easier Python bindings.
 
 ## Architecture Quality Attributes