1.110.0

See release notes.

Author: cjdsellers

README.md

@@ -26,7 +26,7 @@ using the Python ecosystem - within a highly performant and robust Python native
 
 The platform aims to be universal, with any REST/FIX/WebSocket API able to be integrated via modular
 adapters. Thus the platform can handle high-frequency trading operations for any asset classes
-including FX, Equities, Futures, Options, CFDs and Crypto - across multiple venues simultaneously.
+including FX, Equities, Futures, Options, CFDs, Crypto and Betting - across multiple venues simultaneously.
 
 ## Features
 
@@ -52,9 +52,9 @@ The value of NautilusTrader here is that this re-implementation step is circumve
 platform was designed from the ground up to hold its own in terms of performance and quality.
 
 Python has simply caught up in performance (via Cython offering C-level speed) and general tooling,
-making it a suitable language for implementing a large system such as this. The benefit being
-that a Python native environment can be offered, suitable for professional quantitative traders and
-hedge funds.
+making it a suitable language for building a large system such as this. The benefit being that a
+Python native environment can be offered, suitable for professional quantitative traders and hedge
+funds.
 
 ## Why Python?
 
@@ -95,6 +95,32 @@ The documentation for the latest version of the package is available at _readthe
 
 ![Architecture](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/architecture.png?raw=true "")
 
+## Integrations
+
+| 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-in_progress-orange) |
+| [![binance](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/binance-logo.png?raw=true)](https://www.binance.com/) | ccxt-binance | ![status](https://img.shields.io/badge/Integration-testing-yellow) |
+| [![bitmex](https://github.com/nautechsystems/nautilus_trader/blob/develop/docs/artwork/bitmex-logo.png?raw=true)](https://www.bitmex.com/) | ccxt-bitmex | ![status](https://img.shields.io/badge/Integration-testing-yellow) |
+
+An integration adapter for CCXT Pro is currently under active development.
+The adapter requires the `ccxtpro` package, which in turn requires a license.
+
+See https://ccxt.pro for more information.
+
+Currently there are **beta** versions of integrations for **Binance** and **BitMEX** available
+for early testing. These include advanced order options such as `post_only`, `hidden`
+`reduce_only`, and all the `TimeInForce` options. These integrations will be incrementally
+ added to.
+
+The other exchanges will be available through CCXTs unified API with a more
+limited feature set. The intent here is to specify other data clients for
+arbitrage or market making strategies. Execution clients will be possible if a
+user only requires simple vanilla MARKET and LIMIT orders for trading on those
+exchanges.
+
 ## Installation
 
 The `master` branch will always reflect the code of the latest release version.
@@ -225,24 +251,6 @@ More will be added in due course including `MarketIfTouched`, `LimitIfTouched`
 and icebergs. Users are invited to open discussion issues to request specific
 order types or features.
 
-## Integrations
-
-An integration adapter for CCXT Pro is currently under active development.
-The adapter requires the `ccxtpro` package, which in turn requires a license.
-
-See https://ccxt.pro for more information.
-
-Currently there are **beta** versions of integrations for **Binance** and **BitMEX** available
-for early testing. These include advanced order options such as `post_only`, `hidden`
-`reduce_only`, and all the `TimeInForce` options. These integrations will be incrementally
- added to.
-
-The other exchanges will be available through CCXTs unified API with a more
-limited feature set. The intent here is to specify other data clients for
-arbitrage or market making strategies. Execution clients will be possible if a
-user only requires simple vanilla MARKET and LIMIT orders for trading on those
-exchanges.
-
 ## Development
 
 For development we recommend using the PyCharm _Professional_ edition IDE, as it interprets Cython

RELEASES.md

@@ -1,22 +1,50 @@
+# 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 `Security`, and fix some bugs.
+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
-- `Security` now takes first class value object `Symbol`.
-- `Security` `asset_class` and `asset_type` no longer optional.
+- `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 `security` vs `symbol` naming.
-- `Security` equality and hashing.
+- CCXT data and execution clients regarding `instrument_id` vs `symbol` naming.
+- `InstrumentId` equality and hashing.
 - Various docstrings.
 
 ---
@@ -40,7 +68,7 @@ symbol string, a primary `Venue`, `AssetClass` and `AssetType` properties.
 - `to_serializable_string` changed to `to_serializable_str`.
 
 ## Enhancements
-- Reports now include full security name.
+- Reports now include full instrument_id name.
 - Add `AssetType.WARRANT`.
 
 ## Fixes
@@ -107,7 +135,7 @@ integration, and begin adding platform capabilities to support this effort.
 - Add the `Future` instrument type.
 - Add the `StopLimitOrder` order type.
 - Add the `Data` and `DataType` types to support custom data handling.
-- Add the `Security` identifier types initial implementation to support extending the platforms capabilities.
+- Add the `InstrumentId` identifier types initial implementation to support extending the platforms capabilities.
 
 ## Fixes
 - `BracketOrder` correctness.

docs/artwork/binance-logo.png

@@ -4,37 +4,37 @@ Binance Integration
 .. automodule:: nautilus_trader.adapters.binance
 
 
-Factory
--------
+Data
+----
 
-.. automodule:: nautilus_trader.adapters.binance.factory
+.. automodule:: nautilus_trader.adapters.ccxt.data
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Providers
+Execution
 ---------
 
-.. automodule:: nautilus_trader.adapters.ccxt.providers
+.. automodule:: nautilus_trader.adapters.binance.execution
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Data
-----
+Factory
+-------
 
-.. automodule:: nautilus_trader.adapters.ccxt.data
+.. automodule:: nautilus_trader.adapters.binance.factory
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Execution
+Providers
 ---------
 
-.. automodule:: nautilus_trader.adapters.binance.execution
+.. automodule:: nautilus_trader.adapters.ccxt.providers
    :show-inheritance:
    :inherited-members:
    :members:

docs/artwork/bitmex-logo.png

@@ -4,37 +4,37 @@ Bitmex Integration
 .. automodule:: nautilus_trader.adapters.bitmex
 
 
-Factory
--------
+Data
+----
 
-.. automodule:: nautilus_trader.adapters.bitmex.factory
+.. automodule:: nautilus_trader.adapters.ccxt.data
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Providers
+Execution
 ---------
 
-.. automodule:: nautilus_trader.adapters.ccxt.providers
+.. automodule:: nautilus_trader.adapters.bitmex.execution
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Data
-----
+Factory
+-------
 
-.. automodule:: nautilus_trader.adapters.ccxt.data
+.. automodule:: nautilus_trader.adapters.bitmex.factory
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Execution
+Providers
 ---------
 
-.. automodule:: nautilus_trader.adapters.bitmex.execution
+.. automodule:: nautilus_trader.adapters.ccxt.providers
    :show-inheritance:
    :inherited-members:
    :members:

docs/artwork/ccxtpro-logo.png

@@ -4,37 +4,37 @@ CCXT Pro Integration
 .. automodule:: nautilus_trader.adapters.ccxt
 
 
-Factory
--------
+Data
+----
 
-.. automodule:: nautilus_trader.adapters.ccxt.factory
+.. automodule:: nautilus_trader.adapters.ccxt.data
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Providers
+Execution
 ---------
 
-.. automodule:: nautilus_trader.adapters.ccxt.providers
+.. automodule:: nautilus_trader.adapters.ccxt.execution
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Data
-----
+Factory
+-------
 
-.. automodule:: nautilus_trader.adapters.ccxt.data
+.. automodule:: nautilus_trader.adapters.ccxt.factory
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Execution
+Providers
 ---------
 
-.. automodule:: nautilus_trader.adapters.ccxt.execution
+.. automodule:: nautilus_trader.adapters.ccxt.providers
    :show-inheritance:
    :inherited-members:
    :members:

docs/artwork/ib-logo.png

@@ -0,0 +1,32 @@
+Interactive Brokers Integration
+===============================
+
+.. automodule:: nautilus_trader.adapters.ib
+
+
+Data
+----
+
+.. automodule:: nautilus_trader.adapters.ib.data
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Execution
+---------
+
+.. automodule:: nautilus_trader.adapters.ib.execution
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Providers
+---------
+
+.. automodule:: nautilus_trader.adapters.ib.providers
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource

docs/artwork/oanda-logo.png

@@ -4,28 +4,37 @@ Oanda Integration
 .. automodule:: nautilus_trader.adapters.oanda
 
 
-Factory
--------
+Data
+----
 
-.. automodule:: nautilus_trader.adapters.oanda.factory
+.. automodule:: nautilus_trader.adapters.oanda.data
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Providers
+Execution
 ---------
 
-.. automodule:: nautilus_trader.adapters.oanda.providers
+.. automodule:: nautilus_trader.adapters.oanda.execution
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
-Data
-----
+Factory
+-------
 
-.. automodule:: nautilus_trader.adapters.oanda.data
+.. automodule:: nautilus_trader.adapters.oanda.factory
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Providers
+---------
+
+.. automodule:: nautilus_trader.adapters.oanda.providers
    :show-inheritance:
    :inherited-members:
    :members:

docs/source/adapter_reference/binance.rst

@@ -40,6 +40,15 @@ Currency
    :members:
    :member-order: bysource
 
+Data
+----
+
+.. automodule:: nautilus_trader.model.data
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Enums
 -----