Release 1.144.0

See release notes.

Author: cjdsellers

.docker/nautilus_trader.dockerfile

@@ -9,14 +9,17 @@ ENV PYTHONUNBUFFERED=1 \
     POETRY_VIRTUALENVS_CREATE=false \
     POETRY_NO_INTERACTION=1 \
     PYSETUP_PATH="/opt/pysetup"
-ENV PATH="$POETRY_HOME/bin:$PATH"
+ENV PATH="/root/.cargo/bin:$POETRY_HOME/bin:$PATH"
 WORKDIR $PYSETUP_PATH
 
 FROM base as builder
 
 # Install build deps
 RUN apt-get update && apt-get install -y gcc curl
 
+# Install Rust stable
+RUN curl https://sh.rustup.rs -sSf | bash -s -- -y
+
 # Install poetry
 RUN curl -sSL https://install.python-poetry.org | python3 -
 
@@ -25,6 +28,7 @@ COPY poetry.lock pyproject.toml build.py ./
 RUN poetry install --no-root --no-dev
 
 # Build nautilus_trader
+COPY nautilus_core ./nautilus_core
 COPY nautilus_trader ./nautilus_trader
 COPY README.md ./
 RUN poetry install --no-dev

.github/workflows/build.yml

@@ -22,6 +22,13 @@ jobs:
       - name: Checkout repository
         uses: actions/checkout@v2
 
+      # Rust setup
+      - name: Set up Rust environment
+        uses: hecrj/setup-rust-action@v1
+        with:
+          rust-version: stable
+          components: clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v2
@@ -73,6 +80,11 @@ jobs:
           sudo apt-get install redis-server
           redis-server --daemonize yes
 
+      - name: Install Memurai (Windows)
+        if: runner.os == 'Windows'
+        run: |
+          choco install memurai-developer.install
+
       # Run tests (Linux)
       - name: Run tests (Linux)
         if: runner.os == 'Linux'

.github/workflows/docker.yml

@@ -15,6 +15,13 @@ jobs:
       - name: Checkout repository
         uses: actions/checkout@v2
 
+      # Rust setup
+      - name: Set up Rust environment
+        uses: hecrj/setup-rust-action@v1
+        with:
+          rust-version: stable
+          components: clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v2

.github/workflows/docs.yml

@@ -13,6 +13,13 @@ jobs:
       - name: Checkout repository
         uses: actions/checkout@v2
 
+      # Rust setup
+      - name: Set up Rust environment
+        uses: hecrj/setup-rust-action@v1
+        with:
+          rust-version: stable
+          components: clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v2

.github/workflows/release.yml

@@ -25,6 +25,13 @@ jobs:
       - name: Checkout repository
         uses: actions/checkout@v2
 
+      # Rust setup
+      - name: Set up Rust environment
+        uses: hecrj/setup-rust-action@v1
+        with:
+          rust-version: stable
+          components: clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v2
@@ -38,7 +45,7 @@ jobs:
 
       # Test pip installation
       - name: Test pip installation
-        run: pip install .[distributed,docs]
+        run: pip install .
 
   tag-release:
     needs: [ test-pip-install ]
@@ -53,6 +60,13 @@ jobs:
         with:
           fetch-depth: 2
 
+      # Rust setup
+      - name: Set up Rust environment
+        uses: hecrj/setup-rust-action@v1
+        with:
+          rust-version: stable
+          components: clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v2
@@ -116,13 +130,19 @@ jobs:
     name: publish-sdist - Python 3.10 (ubuntu-latest)
     runs-on: ubuntu-latest
     env:
-      # Skip build copy to avoid *.so files being copied into the source
       SKIP_BUILD_COPY: true
 
     steps:
       - name: Checkout repository
         uses: actions/checkout@v2
 
+      # Rust setup
+      - name: Set up Rust environment
+        uses: hecrj/setup-rust-action@v1
+        with:
+          rust-version: stable
+          components: clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v2
@@ -192,11 +212,20 @@ jobs:
         python-version: [ "3.8", "3.9", "3.10" ]
     name: publish-wheels - Python ${{ matrix.python-version }} (${{ matrix.os }})
     runs-on: ${{ matrix.os }}
+    env:
+      CARGO_MODE: release
 
     steps:
       - name: Checkout repository
         uses: actions/checkout@v2
 
+      # Rust setup
+      - name: Set up Rust environment
+        uses: hecrj/setup-rust-action@v1
+        with:
+          rust-version: stable
+          components: clippy
+
       # Python setup
       - name: Set up Python environment
         uses: actions/setup-python@v2

.gitignore

@@ -47,3 +47,4 @@ examples/backtest/notebooks/catalog
 nautilus_trader/**/.gitignore
 docs/**/*.ipynb
 !nautilus_trader/core/pytime.h
+!nautilus_core/lib/**/*

.pre-commit-config.yaml

@@ -1,13 +1,15 @@
 repos:
-
+  ##############################################################################
+  #  General checks
+  ##############################################################################
   - repo: https://github.com/pre-commit/pre-commit-hooks
     rev: v4.2.0
     hooks:
       - id: forbid-new-submodules
       - id: fix-encoding-pragma
         args: [--remove]
       - id: end-of-file-fixer
-        types_or: [python, cython]
+        types_or: [python, cython, rust]
       - id: trailing-whitespace
         types_or: [python, cython]
       - id: debug-statements
@@ -30,8 +32,22 @@ repos:
         types_or: [python, cython, rst, markdown]
         exclude: "nautilus_trader/adapters/betfair/parsing.py|nautilus_trader/adapters/betfair/execution.py|tests/integration_tests/adapters/betfair/test_kit.py|nautilus_trader/adapters/binance/futures/schemas/user.py"
 
+  ##############################################################################
+  #  Rust checks
+  ##############################################################################
+  - repo: https://github.com/doublify/pre-commit-rust
+    rev: v1.0
+    hooks:
+      - id: cargo-check
+        args: ["--manifest-path", "nautilus_core/Cargo.toml"]
+      - id: clippy
+        args: ["--manifest-path", "nautilus_core/Cargo.toml"]
+
+  ##############################################################################
+  #  Python/Cython checks
+  ##############################################################################
   - repo: https://github.com/hadialqattan/pycln
-    rev: v1.3.1
+    rev: v1.3.2
     hooks:
       - id: pycln
         name: pycln (Python unused imports)
@@ -61,9 +77,10 @@ repos:
             --lines-after-imports=2,
             --use-parentheses,
         ]
+        exclude: "nautilus_trader/core/rust"
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v0.942
+    rev: v0.950
     hooks:
       - id: mypy
         args: [
@@ -105,7 +122,7 @@ repos:
             --max-complexity=10,
             --max-line-length=150,
             --statistics,
-            --ignore=C101 E203 E252 E402 D100 D101 D102 S101 S403 W503,
+            --ignore=C101 E203 E252 E402 D100 D101 D102 S101 S403 S404 W503,
             --min-python-version=3.8.0
         ]
       - id: flake8

Makefile

@@ -20,6 +20,7 @@ clean:
 	rm -rf cython_debug
 	rm -rf dist
 	rm -rf docs/build
+	find . -name target -type d -exec rm -rf {} +
 	find . -name .benchmarks -type d -exec rm -rf {} +
 	find . -name '*.dll' -exec rm {} +
 	find . -name '*.prof' -exec rm {} +
@@ -34,9 +35,16 @@ clean:
 docs:
 	poetry run sphinx-build docs docs/build/html -b html
 
-pre-commit:
+format:
+	(cd nautilus_core && cargo fmt)
+
+pre-commit: format
 	pre-commit run --all-files
 
+update:
+	(cd nautilus_core && cargo update)
+	poetry update
+
 docker-build: clean
 	docker pull ${IMAGE_FULL} || docker pull ${IMAGE}:develop ||  true
 	docker build -f .docker/nautilus_trader.dockerfile --platform linux/x86_64 -t ${IMAGE_FULL} .

README.md

@@ -48,8 +48,8 @@ including FX, Equities, Futures, Options, CFDs, Crypto and Betting - across mult
 
 ## Features
 
-- **Fast:** C-level speed through Cython. Asynchronous networking with [uvloop](https://github.com/MagicStack/uvloop)
-- **Reliable:** Type safety through Cython. Redis backed performant state persistence
+- **Fast:** C-level speed through Rust and Cython. Asynchronous networking with [uvloop](https://github.com/MagicStack/uvloop)
+- **Reliable:** Type safety through Rust and Cython. Redis backed performant state persistence
 - **Flexible:** OS independent, runs on Linux, macOS, Windows. Deploy using Docker
 - **Integrated:** Modular adapters mean any REST, WebSocket, or FIX API can be integrated
 - **Advanced:** Time in force `IOC`, `FOK`, `GTD`, `AT_THE_OPEN`, `AT_THE_CLOSE`, advanced order types and conditional triggers. Execution instructions `post-only`, `reduce-only`, and icebergs. Contingency order lists including `OCO`, `OTO`
@@ -167,7 +167,7 @@ as specified in the `pyproject.toml`. However, we highly recommend installing us
 1. Install [rustup](https://rustup.rs/) (the Rust toolchain installer):
    - Linux and macOS:
        ```
-       curl --proto '=https' --tlsv1.2 -sSf https://sh.rustup.rs | sh
+       curl https://sh.rustup.rs -sSf | sh
        ```
    - Windows:
        - Download and install [`rustup-init.exe`](https://win.rustup.rs/x86_64)
@@ -373,7 +373,7 @@ Contributors are also required to sign a standard Contributor License Agreement
 ---
 
 Copyright (C) 2015-2022 Nautech Systems Pty Ltd. All rights reserved.
-https://nautechsystems.io
+https://nautilustrader.io
 
 ![nautechsystems](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/_images/ns-logo.png?raw=true "nautechsystems")
 <img src="https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/_images/ferris.png" width="128">

RELEASES.md

@@ -1,3 +1,32 @@
+# 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).
@@ -12,7 +41,6 @@ None
 - Fixed segfault for `CashAccount.calculate_balance_locked` with no base currency
 - Various FeatherWriter fixes
 
-
 ---
 
 # NautilusTrader 1.142.0 Beta