Release 1.181.0

See release notes.

Author: cjdsellers

.docker/nautilus_trader.dockerfile

@@ -4,7 +4,7 @@ ENV PYTHONUNBUFFERED=1 \
     PIP_NO_CACHE_DIR=off \
     PIP_DISABLE_PIP_VERSION_CHECK=on \
     PIP_DEFAULT_TIMEOUT=100 \
-    POETRY_VERSION=1.6.1 \
+    POETRY_VERSION=1.7.1 \
     POETRY_HOME="/opt/poetry" \
     POETRY_VIRTUALENVS_CREATE=false \
     POETRY_NO_INTERACTION=1 \

.github/workflows/build-wheels.yml

@@ -1,7 +1,6 @@
 name: build-wheels
 
-# Build Linux wheels on successful completion of the `coverage` workflow on the `develop` branch
-# Temporarily build wheels on every push to `develop` branch
+# Build wheels on every push to `develop` branch
 
 on:
   push:
@@ -15,7 +14,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest]
-        python-version: ["3.11"]
+        python-version: ["3.11", "3.12"]
     name: build - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}
 
@@ -31,12 +30,22 @@ jobs:
           echo "RUST_VERSION=$version" >> $GITHUB_ENV
         working-directory: ${{ github.workspace }}
 
-      - name: Set up Rust tool-chain (stable)
+      - name: Set up Rust tool-chain (Linux, Windows) stable
+        if: (runner.os == 'Linux') || (runner.os == 'Windows')
         uses: actions-rust-lang/[email protected]
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy
 
+      # Work around as actions-rust-lang does not seem to work on macOS yet
+      - name: Set up Rust tool-chain (macOS) stable
+        if: runner.os == 'macOS'
+        uses: actions-rs/toolchain@v1
+        with:
+          toolchain: ${{ env.RUST_VERSION }}
+          override: true
+          components: rustfmt, clippy
+
       - name: Set up Python environment
         uses: actions/setup-python@v4
         with:

.github/workflows/build.yml

@@ -15,7 +15,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.10", "3.11"]
+        python-version: ["3.10", "3.11", "3.12"]
     defaults:
       run:
         shell: bash

.github/workflows/release.yml

@@ -18,7 +18,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.10", "3.11"]
+        python-version: ["3.10", "3.11", "3.12"]
     defaults:
       run:
         shell: bash
@@ -244,8 +244,8 @@ jobs:
       fail-fast: false
       matrix:
         arch: [x64]
-        os: [ubuntu-20.04, ubuntu-latest, windows-latest]
-        python-version: ["3.10", "3.11"]
+        os: [ubuntu-20.04, ubuntu-latest, macos-latest, windows-latest]
+        python-version: ["3.10", "3.11", "3.12"]
     defaults:
       run:
         shell: bash

.gitignore

@@ -13,6 +13,8 @@
 *.xml
 *.key
 *.key_secret
+*.sqlite
+*.env
 
 .benchmarks*
 .coverage*
@@ -57,3 +59,4 @@ tests/test_data/catalog/
 bench_data/
 
 !tests/integration_tests/adapters/betfair/responses/*.log
+**/test_db.sqlite

.pre-commit-config.yaml

@@ -73,7 +73,7 @@ repos:
         types: [python]
 
   - repo: https://github.com/psf/black
-    rev: 23.10.1
+    rev: 23.11.0
     hooks:
       - id: black
         types_or: [python, pyi]
@@ -82,7 +82,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.1.3
+    rev: v0.1.6
     hooks:
       - id: ruff
         args: ["--fix"]
@@ -111,7 +111,7 @@ repos:
         ]
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.6.1
+    rev: v1.7.1
     hooks:
       - id: mypy
         args: [

Makefile

@@ -48,9 +48,6 @@ format:
 pre-commit:
 	pre-commit run --all-files
 
-.PHONY: pre-flight
-pre-flight: format pre-commit cargo-test build-debug pytest
-
 .PHONY: ruff
 ruff:
 	ruff check . --fix
@@ -132,3 +129,12 @@ pytest-coverage:
 .PHONY: test-examples
 test-examples:
 	bash scripts/test-examples.sh
+
+.PHONY: init-db
+init-db:
+	(cd nautilus_core && cargo run --bin init-db)
+
+.PHONY: drop-db
+drop-db:
+	(cd nautilus_core && cargo run --bin drop-db)
+

README.md

@@ -14,10 +14,10 @@
 
 | Platform           | Rust    | Python |
 | :----------------- | :------ | :----- |
-| `Linux (x86_64)`   | 1.73.0+ | 3.10+  |
-| `macOS (x86_64)`   | 1.73.0+ | 3.10+  |
-| `macOS (arm64)`    | 1.73.0+ | 3.10+  |
-| `Windows (x86_64)` | 1.73.0+ | 3.10+  |
+| `Linux (x86_64)`   | 1.74.0+ | 3.10+  |
+| `macOS (x86_64)`   | 1.74.0+ | 3.10+  |
+| `macOS (arm64)`    | 1.74.0+ | 3.10+  |
+| `Windows (x86_64)` | 1.74.0+ | 3.10+  |
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io
@@ -136,7 +136,7 @@ This project makes the [Soundness Pledge](https://raphlinus.github.io/rust/2020/
 ## Integrations
 
 NautilusTrader is designed in a modular way to work with 'adapters' which provide
-connectivity to data publishers and/or trading venues - converting their raw API
+connectivity to data providers and/or trading venues - converting their raw API
 into a unified interface. The following integrations are currently supported:
 
 | Name                                                      | ID          | Type                    | Status                                                  | Docs                                                              |

RELEASES.md

@@ -1,3 +1,41 @@
+# NautilusTrader 1.181.0 Beta
+
+Released on 2nd December (UTC).
+
+This release adds support for Python 3.12.
+
+### Enhancements
+- Rewrote Interactive Brokers integration documentation, many thanks @benjaminsingleton
+- Added Interactive Brokers adapter support for crypto instruments with cash quantity, thanks @benjaminsingleton
+- Added `HistoricInteractiveBrokerClient`, thanks @benjaminsingleton and @limx0
+- Added `DataEngineConfig.time_bars_interval_type` (determines the type of interval used for time aggregation `left-open` or `right-open`)
+- Added `LoggingConfig.log_colors` to optionally use ANSI codes to produce colored logs (default true to retain current behavior)
+- Added `QuoteTickDataWrangler.process_bar_data` options for `offset_interval_ms` and `timestamp_is_close`
+- Added identifier generators in Rust, thanks @filipmacek
+- Added `OrderFactory` in Rust, thanks @filipmacek
+- Added `WilderMovingAverage` in Rust, thanks @ayush-sb
+- Added `HullMovingAverage` in Rust, thanks @ayush-sb
+- Added all common identifier generators in Rust, thanks @filipmacek
+- Added generic SQL database support with `sqlx` in Rust, thanks @filipmacek
+
+### Breaking Changes
+- Consolidated all `data` submodules into one `data` module (reduce binary wheel size)
+- Moved `OrderBook` from `model.orderbook.book` to `model.book` (subpackage only had this single module)
+- Moved `Currency` from `model.currency` to `model.objects` (consolidating modules to reduce binary wheel size)
+- Moved `MessageBus` from `common.msgbus` to `common.component` (consolidating modules to reduce binary wheel size)
+- Moved `MsgSpecSerializer` from `serialization.msgpack.serializer` to `serialization.serializer`
+- Moved `CacheConfig` `snapshot_orders`, `snapshot_positions`, `snapshot_positions_interval` to `NautilusKernelConfig` (logical applicability)
+- Renamed `MsgPackSerializer` to `MsgSpecSeralizer` (now handles both JSON and MsgPack formats)
+
+### Fixes
+- Fixed missing `trader_id` in `Position` dictionary representation, thanks @filipmacek
+- Fixed conversion of fixed precision integers to floats (should be dividing to avoid rounding errors), thanks for reporting @filipmacek
+- Fixed daily timestamp parsing for Interactive Brokers, thanks @benjaminsingleton
+- Fixed live reconciliation trade processing for partially filled then canceled orders
+- Fixed `RiskEngine` cumulative notional risk check for `CurrencyPair` SELL orders on multi-currency cash accounts
+
+---
+
 # NautilusTrader 1.180.0 Beta
 
 Released on 3rd November 2023 (UTC).
@@ -7,7 +45,7 @@ Released on 3rd November 2023 (UTC).
 - Improved `RedisCacheDatabase` client connection error handling with retries
 - Added `WebSocketClient` connection headers, thanks @ruthvik125 and @twitu
 - Added `support_contingent_orders` option for venues (to simulate venues which do not support contingent orders)
-- Added `StrategyConfig.manage_contingent_orders` option (to automatically manage **open** contingenct orders)
+- Added `StrategyConfig.manage_contingent_orders` option (to automatically manage **open** contingent orders)
 - Added `FuturesContract.activation_utc` property which returns a `pd.Timestamp` tz-aware (UTC)
 - Added `OptionsContract.activation_utc` property which returns a `pd.Timestamp` tz-aware (UTC)
 - Added `CryptoFuture.activation_utc` property which returns a `pd.Timestamp` tz-aware (UTC)
@@ -19,9 +57,9 @@ Released on 3rd November 2023 (UTC).
 - Renamed `FuturesContract.expiry_date` to `expiration_ns` (and associated params) as `uint64_t` UNIX nanoseconds
 - Renamed `OptionsContract.expiry_date` to `expiration_ns` (and associated params) as `uint64_t` UNIX nanoseconds
 - Renamed `CryptoFuture.expiry_date` to `expiration_ns` (and associated params) as `uint64_t` UNIX nanoseconds
-- Changed `FuturesContract` arrow schema
-- Changed `OptionsContract` arrow schema
-- Changed `CryptoFuture` arrow schema
+- Changed `FuturesContract` Arrow schema
+- Changed `OptionsContract` Arrow schema
+- Changed `CryptoFuture` Arrow schema
 - Transformed orders will now retain the original `ts_init` timestamp
 - Removed unimplemented `batch_more` option for `Strategy.modify_order`
 - Removed `InstrumentProvider.venue` property (redundant as a provider may have many venues)
@@ -275,7 +313,7 @@ Released on 19th May 2023 (UTC).
 - Fixed `MatchingEngine` processing of reduce only for child contingent orders
 - Fixed `MatchingEngine` position ID assignment for child contingent 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
+- Fixed `pyarrow` schema dictionary index keys being too narrow (int8 -> int16), thanks for reporting @rterbush
 
 ---
 

build.py

@@ -159,6 +159,10 @@ def _build_extensions() -> list[Extension]:
             "User32.Lib",
             "UserEnv.Lib",
             "WS2_32.Lib",
+            "Crypt32.lib",
+            "secur32.lib",
+            "schannel.lib",
+            "ncrypt.lib",
         ]
 
     print("Creating C extension modules...")
@@ -312,7 +316,8 @@ def build() -> None:
             # Copy the build back into the source tree for development and wheel packaging
             _copy_build_dir_to_project(cmd)
 
-    if platform.system() in ("Linux", "Darwin"):
+    if BUILD_MODE == "release" and platform.system() in ("Linux", "Darwin"):
+        # Only strip symbols for release builds
         _strip_unneeded_symbols()
 
 

docs/api_reference/common.md

@@ -86,10 +86,9 @@
    :member-order: bysource
 ```
 
-## Timer
-
+## Message Bus
 ```{eval-rst}
-.. automodule:: nautilus_trader.common.timer
+.. automodule:: nautilus_trader.common.msgbus
    :show-inheritance:
    :inherited-members:
    :members:

docs/api_reference/index.md

@@ -19,7 +19,6 @@
    infrastructure.md
    live.md
    model/index.md
-   msgbus.md
    persistence.md
    portfolio.md
    risk.md

docs/api_reference/model/book.md

@@ -0,0 +1,5 @@
+# Order Book
+
+```{eval-rst}
+.. automodule:: nautilus_trader.model.book
+```

docs/api_reference/model/currency.md

@@ -3,51 +3,3 @@
 ```{eval-rst}
 .. automodule:: nautilus_trader.model.data
 ```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.model.data.bar
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.model.data.book
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.model.data.status
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.model.data.tick
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.model.data.ticker
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.model.data.base
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```

docs/api_reference/model/data.md

@@ -11,13 +11,12 @@
    :titlesonly:
    :hidden:
    
-   currency.md
+   book.md
    data.md
    events.md
    identifiers.md
    instruments.md
    objects.md
-   orderbook.md
    orders.md
    position.md
    tick_scheme.md