Release 1.174.0

See release notes.

Author: cjdsellers

.codecov.yml

@@ -8,7 +8,7 @@ coverage:
   status:
     project:
       default:
-        target: "90"
+        target: "89"
     patch:
       default:
         target: "50"

.docker/nautilus_trader.dockerfile

@@ -16,7 +16,7 @@ WORKDIR $PYSETUP_PATH
 FROM base as builder
 
 # Install build deps
-RUN apt-get update && apt-get install -y curl clang
+RUN apt-get update && apt-get install -y curl clang pkg-config libssl-dev
 
 # Install Rust stable
 RUN curl https://sh.rustup.rs -sSf | bash -s -- -y

.pre-commit-config.yaml

@@ -66,14 +66,6 @@ repos:
         name: add-trailing-comma
         types: [python]
 
-  - repo: https://github.com/pycqa/isort
-    rev: 5.12.0
-    hooks:
-      - id: isort
-        types_or: [python, cython]
-        entry: "isort"
-        args: ["--settings-file", "pyproject.toml"]
-
   - repo: https://github.com/psf/black
     rev: 23.3.0
     hooks:
@@ -84,13 +76,22 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/charliermarsh/ruff-pre-commit
-    rev: v0.0.264
+    rev: v0.0.269
     hooks:
       - id: ruff
         args: ["--fix"]
 
+  - repo: https://github.com/pycqa/isort
+    rev: 5.12.0
+    hooks:
+      - id: isort
+        name: isort (cython)
+        types_or: [cython]
+        entry: "isort"
+        args: ["--settings-file", "pyproject.toml"]
+
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.2.0
+    rev: v1.3.0
     hooks:
       - id: mypy
         args: [

Makefile

@@ -16,7 +16,7 @@ install-debug:
 	BUILD_MODE=debug poetry install --with dev,test --all-extras
 
 install-just-deps:
-	poetry install --with dev,test --all-extras --no-root
+	poetry install --with dev,test --all-extras --no-root --sync
 
 install-just-deps-all:
 	poetry install --with dev,test,docs --all-extras --no-root
@@ -47,7 +47,7 @@ update:
 	poetry update
 
 clippy:
-	(cd nautilus_core && cargo clippy --all-targets --all-features -- -D warnings -W clippy::pedantic -W clippy::nursery -W clippy::unwrap_used -W clippy::expect_used)
+	(cd nautilus_core && cargo clippy --fix --all-targets --all-features -- -D warnings -W clippy::pedantic -W clippy::nursery -W clippy::unwrap_used -W clippy::expect_used)
 
 cargo-build:
 	(cd nautilus_core && cargo build --release --all-features)

RELEASES.md

@@ -1,3 +1,28 @@
+# NautilusTrader 1.174.0 Beta
+
+Released on 19th May 2023 (UTC).
+
+### Breaking Changes
+- Parquet schemas are now shifting towards catalog v2 (we recommend you don't upgrade if using legacy catalog)
+- Moved order book data from `model.orderbook.data` into the `model.data.book` namespace
+
+### Enhancements
+- Improved handling for backtest account blow-up scenarios (balance negative or margin exceeded)
+- Added `AccountMarginExceeded` exception and refined `AccountBalanceNegative`
+- Various improvements to `Binance` clients error handling and logging
+- Improve Binance HTTP error messages
+
+### Fixes
+- Fixed handling of emulated order contingencies (not based on status of spawned algorithm orders)
+- Fixed sending execution algorithm commands from strategy
+- Fixed `OrderEmulator` releasing of already closed orders
+- Fixed `MatchingEngine` processing of reduce only for child contingency orders
+- Fixed `MatchingEngine` position ID assignment for child contingency 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
+
+---
+
 # NautilusTrader 1.173.0 Beta
 
 Released on 5th May 2023 (UTC).

build.py

@@ -26,11 +26,11 @@
 # If ANNOTATION mode is enabled, generate an annotated HTML version of the input source files
 ANNOTATION_MODE = bool(os.getenv("ANNOTATION_MODE", ""))
 # If PARALLEL build is enabled, uses all CPUs for compile stage of build
-PARALLEL_BUILD = True if os.getenv("PARALLEL_BUILD", "true") == "true" else False
+PARALLEL_BUILD = os.getenv("PARALLEL_BUILD", "true") == "true"
 # If COPY_TO_SOURCE is enabled, copy built *.so files back into the source tree
-COPY_TO_SOURCE = True if os.getenv("COPY_TO_SOURCE", "true") == "true" else False
+COPY_TO_SOURCE = os.getenv("COPY_TO_SOURCE", "true") == "true"
 # If PyO3 only then don't build C extensions to reduce compilation time
-PYO3_ONLY = False if os.getenv("PYO3_ONLY", "") == "" else True
+PYO3_ONLY = os.getenv("PYO3_ONLY", "") != ""
 
 if PROFILE_MODE:
     # For subsequent debugging, the C source needs to be in the same tree as
@@ -189,17 +189,17 @@ def _build_distribution(extensions: list[Extension]) -> Distribution:
     print(f"nthreads={nthreads}")
 
     distribution = Distribution(
-        dict(
-            name="nautilus_trader",
-            ext_modules=cythonize(
+        {
+            "name": "nautilus_trader",
+            "ext_modules": cythonize(
                 module_list=extensions,
                 compiler_directives=CYTHON_COMPILER_DIRECTIVES,
                 nthreads=nthreads,
                 build_dir=BUILD_DIR,
                 gdb_debug=PROFILE_MODE,
             ),
-            zip_safe=False,
-        ),
+            "zip_safe": False,
+        },
     )
     return distribution
 
@@ -280,7 +280,7 @@ def _strip_unneeded_symbols() -> None:
             else:
                 raise RuntimeError(f"Cannot strip symbols for platform {platform.system()}")
             subprocess.run(
-                strip_cmd,  # noqa
+                strip_cmd,
                 check=True,
                 shell=True,  # noqa
                 capture_output=True,

docs/api_reference/model/data.md

@@ -12,6 +12,14 @@
    :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.bet
    :show-inheritance:

docs/api_reference/model/orderbook.md

@@ -12,14 +12,6 @@
    :member-order: bysource
 ```
 
-```{eval-rst}
-.. automodule:: nautilus_trader.model.orderbook.data
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
 ```{eval-rst}
 .. automodule:: nautilus_trader.model.orderbook.ladder
    :show-inheritance:

examples/backtest/betfair_backtest_orderbook_imbalance.py

@@ -69,7 +69,7 @@
     engine.add_instrument(instruments[1])
 
     # Add data
-    raw = [msg for msg in BetfairDataProvider.market_updates()]
+    raw = list(BetfairDataProvider.market_updates())
     parser = BetfairParser()
     updates = [upd for update in raw for upd in parser.parse(update)]
     engine.add_data(updates, client_id=ClientId("BETFAIR"))
@@ -88,7 +88,7 @@
     engine.add_strategies(strategies)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run()

examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py

@@ -49,7 +49,7 @@
         oms_type=OmsType.NETTING,
         account_type=AccountType.CASH,  # Spot CASH account (not for perpetuals or futures)
         base_currency=None,  # Multi-currency account
-        starting_balances=[Money(1_000_000, USDT), Money(10, ETH)],
+        starting_balances=[Money(1_000_000.0, USDT), Money(10.0, ETH)],
     )
 
     # Add instruments
@@ -82,7 +82,7 @@
     engine.add_exec_algorithm(exec_algorithm)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run()

examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py

@@ -78,7 +78,7 @@
     engine.add_strategy(strategy=strategy)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run()

examples/backtest/fx_ema_cross_audusd_bars_from_ticks.py

@@ -84,7 +84,7 @@
     engine.add_strategy(strategy=strategy)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run()

examples/backtest/fx_ema_cross_audusd_ticks.py

@@ -96,7 +96,7 @@
     engine.add_strategy(strategy=strategy)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run()

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_external.py

@@ -118,7 +118,7 @@
     engine.add_strategy(strategy=strategy)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run()

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_internal.py

@@ -105,7 +105,7 @@
     engine.add_strategy(strategy=strategy)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run()

examples/backtest/fx_market_maker_gbpusd_bars.py

@@ -100,7 +100,7 @@
     engine.add_strategy(strategy=strategy)
 
     time.sleep(0.1)
-    input("Press Enter to continue...")  # noqa (always Python 3)
+    input("Press Enter to continue...")
 
     # Run the engine (from start to end of data)
     engine.run(end=datetime(2012, 2, 10))

examples/live/betfair_sandbox.py

@@ -101,8 +101,8 @@ async def main(market_id: str):
     node.run()
     # try:
     #     node.start()
-    # except Exception as ex:
-    #     print(ex)
+    # except Exception as e:
+    #     print(e)
     #     print(traceback.format_exc())
     # finally:
     #     node.dispose()