Release 1.171.0

See release notes.

Author: cjdsellers

.dockerignore

@@ -2,6 +2,9 @@
 # Covers JetBrains IDEs: IntelliJ, RubyMine, PhpStorm, AppCode, PyCharm, CLion, Android Studio, WebStorm and Rider
 # Reference: https://intellij-support.jetbrains.com/hc/en-us/articles/206544839
 
+.git/
+**/.pack
+
 # User-specific stuff
 .idea/**/workspace.xml
 .idea/**/tasks.xml
@@ -200,4 +203,4 @@ cython_debug/
 
 # Nautilus
 docs/
-tests/
+tests/

.github/workflows/build.yml

@@ -15,7 +15,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.9", "3.10", "3.11"]
+        python-version: ["3.9", "3.10"]
     name: build - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}
     env:

.gitignore

@@ -21,10 +21,10 @@
 .idea/
 .ipynb_checkpoints
 .mypy_cache/
-.nox/
 .profile/
 .pytest_cache/
 .python-version
+.ruff_cache/
 .vscode/
 
 __pycache__

.pre-commit-config.yaml

@@ -25,7 +25,7 @@ repos:
       - id: check-yaml
 
   - repo: https://github.com/codespell-project/codespell
-    rev: v2.2.2
+    rev: v2.2.4
     hooks:
       - id: codespell
         description: Checks for common misspellings.
@@ -84,7 +84,7 @@ repos:
         args: ["--settings-file", "pyproject.toml", "."]
 
   - repo: https://github.com/psf/black
-    rev: 23.1.0
+    rev: 23.3.0
     hooks:
       - id: black
         types_or: [python, pyi]
@@ -93,7 +93,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.0.1
+    rev: v1.1.1
     hooks:
       - id: mypy
         args: [
@@ -111,7 +111,7 @@ repos:
         ]
 
   - repo: https://github.com/charliermarsh/ruff-pre-commit
-    rev: v0.0.254
+    rev: v0.0.260
     hooks:
       - id: ruff
 

README.md

@@ -15,9 +15,9 @@
 
 | Platform          | Rust      | Python |
 |:------------------|:----------|:-------|
-| Linux (x86\_64)   | `1.68.0+` | `3.9+` |
-| macOS (x86\_64)   | `1.68.0+` | `3.9+` |
-| Windows (x86\_64) | `1.68.0+` | `3.9+` |
+| Linux (x86\_64)   | `1.68.2+` | `3.9+` |
+| macOS (x86\_64)   | `1.68.2+` | `3.9+` |
+| Windows (x86\_64) | `1.68.2+` | `3.9+` |
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io

RELEASES.md

@@ -1,3 +1,26 @@
+# NautilusTrader 1.171.0 Beta
+
+Released on 30th March 2023 (UTC).
+
+### Breaking Changes
+- Renamed all position `net_qty` fields and parameters to `signed_qty` (more accurate naming)
+- `NautilusKernelConfig` removed all `log_*` config options (replaced by `logging` with `LoggingConfig`)
+- Trading `CurrencyPair` instruments with a _single-currency_ `CASH` account type no longer permitted (unrealistic)
+- Changed `PositionEvent` parquet schemas (renamed `net_qty` field to `signed_qty`)
+
+### Enhancements
+- Added `LoggingConfig` to consolidate logging configs, offering various file options and per component level filters
+- Added `BacktestVenueConfig.bar_execution` to control whether bar data moves the matching engine markets (reinstated)
+- Added optional `request_id` for actor data requests (aids processing responses), thanks @rsmb7z
+- Added `Position.signed_decimal_qty()`
+- Now using above signed quantity for `Portfolio` net position calculation, and `LiveExecutionEngine` reconciliation comparisons
+
+### Fixes
+- Fixed `BacktestEngine` clock and logger handling (had a redundant extra logger and not swapping live clock in post run)
+- Fixed `close_position` order event publishing and cache persistence for `MarketOrder` and `SubmitOrder`, thanks for reporting @rsmb7z
+
+---
+
 # NautilusTrader 1.170.0 Beta
 
 Released on 11th March 2023 (UTC).

build.py

@@ -48,15 +48,14 @@
     os.environ["CC"] = "clang"
     os.environ["LDSHARED"] = "clang -shared"
 
-TARGET_DIR = os.path.join(os.getcwd(), "nautilus_core", "target", BUILD_MODE)
+TARGET_DIR = Path.cwd() / "nautilus_core" / "target" / BUILD_MODE
 
 if platform.system() == "Windows":
+    # Linker error 1181
     # https://docs.microsoft.com/en-US/cpp/error-messages/tool-errors/linker-tools-error-lnk1181?view=msvc-170&viewFallbackFrom=vs-2019
-    os.environ["LIBPATH"] = os.environ.get("LIBPATH", "") + f":{TARGET_DIR}"
     RUST_LIB_PFX = ""
     RUST_STATIC_LIB_EXT = "lib"
     RUST_DYLIB_EXT = "dll"
-    TARGET_DIR = TARGET_DIR.replace(BUILD_MODE, "x86_64-pc-windows-msvc/" + BUILD_MODE)
 elif platform.system() == "Darwin":
     RUST_LIB_PFX = "lib"
     RUST_STATIC_LIB_EXT = "a"
@@ -68,27 +67,24 @@
 
 # Directories with headers to include
 RUST_INCLUDES = ["nautilus_trader/core/includes"]
-RUST_LIBS = [
-    f"{TARGET_DIR}/{RUST_LIB_PFX}nautilus_common.{RUST_STATIC_LIB_EXT}",
-    f"{TARGET_DIR}/{RUST_LIB_PFX}nautilus_core.{RUST_STATIC_LIB_EXT}",
-    f"{TARGET_DIR}/{RUST_LIB_PFX}nautilus_model.{RUST_STATIC_LIB_EXT}",
-    f"{TARGET_DIR}/{RUST_LIB_PFX}nautilus_persistence.{RUST_STATIC_LIB_EXT}",
+RUST_LIB_PATHS: list[Path] = [
+    TARGET_DIR / f"{RUST_LIB_PFX}nautilus_common.{RUST_STATIC_LIB_EXT}",
+    TARGET_DIR / f"{RUST_LIB_PFX}nautilus_core.{RUST_STATIC_LIB_EXT}",
+    TARGET_DIR / f"{RUST_LIB_PFX}nautilus_model.{RUST_STATIC_LIB_EXT}",
+    TARGET_DIR / f"{RUST_LIB_PFX}nautilus_persistence.{RUST_STATIC_LIB_EXT}",
 ]
+RUST_LIBS: list[str] = [str(path) for path in RUST_LIB_PATHS]
 
 
 def _build_rust_libs() -> None:
     try:
         # Build the Rust libraries using Cargo
-        build_options = ""
+        build_options = " --release" if BUILD_MODE == "release" else ""
         extra_flags = ""
-        if platform.system() == "Windows":
-            extra_flags = " --target x86_64-pc-windows-msvc"
-
-        build_options += " --release" if BUILD_MODE == "release" else ""
         print("Compiling Rust libraries...")
         build_cmd = f"(cd nautilus_core && cargo build{build_options}{extra_flags} --all-features)"
         print(build_cmd)
-        os.system(build_cmd)  # noqa
+        os.system(build_cmd)
     except subprocess.CalledProcessError as e:
         raise RuntimeError(
             f"Error running cargo: {e.stderr.decode()}",
@@ -159,7 +155,7 @@ def _build_extensions() -> list[Extension]:
         Extension(
             name=str(pyx.relative_to(".")).replace(os.path.sep, ".")[:-4],
             sources=[str(pyx)],
-            include_dirs=[np.get_include()] + RUST_INCLUDES,
+            include_dirs=[np.get_include(), *RUST_INCLUDES],
             define_macros=define_macros,
             language="c",
             extra_link_args=extra_link_args,
@@ -194,24 +190,24 @@ def _build_distribution(extensions: list[Extension]) -> Distribution:
 def _copy_build_dir_to_project(cmd: build_ext) -> None:
     # Copy built extensions back to the project tree
     for output in cmd.get_outputs():
-        relative_extension = os.path.relpath(output, cmd.build_lib)
-        if not os.path.exists(output):
+        relative_extension = Path(output).relative_to(cmd.build_lib)
+        if not Path(output).exists():
             continue
 
         # Copy the file and set permissions
         shutil.copyfile(output, relative_extension)
-        mode = os.stat(relative_extension).st_mode
+        mode = relative_extension.stat().st_mode
         mode |= (mode & 0o444) >> 2
-        os.chmod(relative_extension, mode)
+        relative_extension.chmod(mode)
 
     print("Copied all compiled dynamic library files into source")
 
 
 def _copy_rust_dylibs_to_project() -> None:
     # https://pyo3.rs/latest/building_and_distribution#manual-builds
     ext_suffix = sysconfig.get_config_var("EXT_SUFFIX")
-    src = f"{TARGET_DIR}/{RUST_LIB_PFX}nautilus_pyo3.{RUST_DYLIB_EXT}"
-    dst = f"nautilus_trader/core/nautilus_pyo3{ext_suffix}"
+    src = Path(TARGET_DIR) / f"{RUST_LIB_PFX}nautilus_pyo3.{RUST_DYLIB_EXT}"
+    dst = Path("nautilus_trader/core") / f"nautilus_pyo3{ext_suffix}"
     shutil.copyfile(src=src, dst=dst)
 
     print(f"Copied {src} to {dst}")
@@ -259,7 +255,7 @@ def _get_rustc_version() -> str:
 
 
 def build() -> None:
-    """Construct the extensions and distribution."""  # noqa
+    """Construct the extensions and distribution."""
     _build_rust_libs()
     _copy_rust_dylibs_to_project()
 

docs/api_reference/adapters/betfair.md

@@ -8,6 +8,16 @@
    :member-order: bysource
 ```
 
+## Config
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.betfair.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
 ## Data
 
 ```{eval-rst}
@@ -48,10 +58,10 @@
    :member-order: bysource
 ```
 
-## Parsing
+## Historic
 
 ```{eval-rst}
-.. automodule:: nautilus_trader.adapters.betfair.parsing
+.. automodule:: nautilus_trader.adapters.betfair.historic
    :show-inheritance:
    :inherited-members:
    :members:
@@ -78,12 +88,3 @@
    :member-order: bysource
 ```
 
-## Utility
-
-```{eval-rst}
-.. automodule:: nautilus_trader.adapters.betfair.util
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```

docs/api_reference/backtest.md

@@ -12,30 +12,6 @@
    :member-order: bysource
 ```
 
-```{eval-rst}
-.. automodule:: nautilus_trader.backtest.data.loaders
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.backtest.data.providers
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.backtest.data.wranglers
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
 ```{eval-rst}
 .. automodule:: nautilus_trader.backtest.data_client
    :show-inheritance:

docs/api_reference/persistence.md

@@ -5,7 +5,23 @@
 ```
 
 ```{eval-rst}
-.. automodule:: nautilus_trader.persistence.external.core
+.. automodule:: nautilus_trader.persistence.catalog.base
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+```{eval-rst}
+.. automodule:: nautilus_trader.persistence.catalog.parquet
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+```{eval-rst}
+.. automodule:: nautilus_trader.persistence.wranglers
    :show-inheritance:
    :inherited-members:
    :members:
@@ -21,23 +37,23 @@
 ```
 
 ```{eval-rst}
-.. automodule:: nautilus_trader.persistence.batching
+.. automodule:: nautilus_trader.persistence.streaming.batching
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 ```
 
 ```{eval-rst}
-.. automodule:: nautilus_trader.persistence.catalog
+.. automodule:: nautilus_trader.persistence.streaming.engine
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 ```
 
 ```{eval-rst}
-.. automodule:: nautilus_trader.persistence.streaming
+.. automodule:: nautilus_trader.persistence.streaming.writer
    :show-inheritance:
    :inherited-members:
    :members:

docs/user_guide/adapters.md docs/concepts/adapters.md

@@ -1,4 +1,32 @@
-# Core Concepts
+# Concepts
+
+```{eval-rst}
+.. toctree::
+   :maxdepth: 1
+   :glob:
+   :titlesonly:
+   :hidden:
+   
+   architecture.md
+   strategies.md
+   instruments.md
+   adapters.md
+   orders.md
+   logging.md
+   advanced/index.md
+```
+
+Welcome to NautilusTrader!
+
+It's important to note that the [API Reference](../api_reference/index.md) documentation should be 
+considered the source of truth for the platform. If there are any discrepancies between concepts described here
+and the API Reference, then the API Reference should be considered the correct information. We are 
+working to ensure that concepts stay up-to-date with the API Reference and will be introducing 
+doc tests in the near future to help with this.
+
+```{note}
+The terms "NautilusTrader", "Nautilus" and "platform" are used interchageably throughout the documentation.
+```
 
 There are three main use cases for this software package:
 
@@ -106,3 +134,4 @@ The following order types are available (when possible on an exchange);
 - `LIMIT_IF_TOUCHED`
 - `TRAILING_STOP_MARKET`
 - `TRAILING_STOP_LIMIT`
+