1.109.0

See release notes.

Author: cjdsellers

CONTRIBUTING.md

@@ -40,4 +40,4 @@ To contribute, the following steps should be followed;
 - Keep PR's small and focused.
 - Reference the related GitHub issue(s) in the PR comment.
 
-Thank you for your interest in _NautilusTrader_!
+Thank you for your interest in NautilusTrader!

RELEASES.md

@@ -1,3 +1,26 @@
+# 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.
+
+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.
+- `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.
+- Various docstrings.
+
+---
+
 # NautilusTrader 1.108.0 Beta - Release Notes
 
 This release executes a major refactoring of `Symbol` and how securities are

examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py

@@ -36,8 +36,9 @@
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import OMSType
 from nautilus_trader.model.enums import PriceType
+from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
-from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import Symbol
 from nautilus_trader.model.objects import Money
 from tests.test_kit.providers import TestDataProvider
 
@@ -48,8 +49,15 @@
     print("Loading instruments...")
     instruments = CCXTInstrumentProvider(client=ccxt.binance(), load_all=True)
 
-    BINANCE = Venue("BINANCE")
-    ETHUSDT_BINANCE = instruments.get(Security("ETH/USDT", BINANCE, AssetClass.CRYPTO, AssetType.SPOT))
+    BINANCE = Exchange("BINANCE")
+    security = Security(
+        symbol=Symbol("ETH/USDT"),
+        venue=BINANCE,
+        asset_class=AssetClass.CRYPTO,
+        asset_type=AssetType.SPOT,
+    )
+
+    ETHUSDT_BINANCE = instruments.get(security)
 
     # Setup data container
     data = BacktestDataContainer()

examples/live/binance_ema_cross.py

@@ -29,6 +29,7 @@
 from nautilus_trader.model.enums import PriceType
 from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
+from nautilus_trader.model.identifiers import Symbol
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
 # file. Here it is hardcoded into the example for clarity.
@@ -80,8 +81,16 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security = Security(
+    symbol=Symbol("ETH/USDT"),
+    venue=Exchange("BINANCE"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SPOT,
+)
+
 strategy = EMACross(
-    security=Security("ETH/USDT", Exchange("BINANCE"), AssetClass.CRYPTO, AssetType.SPOT),
+    security=security,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     fast_ema_period=10,
     slow_ema_period=20,

examples/live/binance_market_maker.py

@@ -27,8 +27,9 @@
 from nautilus_trader.model.enums import AssetType
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import PriceType
+from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
-from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import Symbol
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
 # file. Here it is hardcoded into the example for clarity.
@@ -80,8 +81,16 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security = Security(
+    symbol=Symbol("ETH/USDT"),
+    venue=Exchange("BINANCE"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SPOT,
+)
+
 strategy = VolatilityMarketMaker(
-    security=Security("ETH/USDT", Venue("BINANCE"), AssetClass.CRYPTO, AssetType.SPOT),
+    security=security,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     trade_size=Decimal("0.05"),
     atr_period=20,

examples/live/bitmex_ema_cross.py

@@ -27,8 +27,9 @@
 from nautilus_trader.model.enums import AssetType
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import PriceType
+from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
-from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import Symbol
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
 # file. Here it is hardcoded into the example for clarity.
@@ -80,8 +81,16 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security = Security(
+    symbol=Symbol("BTC/USD"),
+    venue=Exchange("BITMEX"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SWAP,
+)
+
 strategy = EMACross(
-    security=Security("BTC/USD", Venue("BITMEX"), AssetClass.CRYPTO, AssetType.SWAP),
+    security=security,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     fast_ema_period=10,
     slow_ema_period=20,

examples/live/bitmex_ema_cross_stop_entry_with_trail.py

@@ -27,8 +27,9 @@
 from nautilus_trader.model.enums import AssetType
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import PriceType
+from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
-from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import Symbol
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
 # file. Here it is hardcoded into the example for clarity.
@@ -79,8 +80,16 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security = Security(
+    symbol=Symbol("BTC/USD"),
+    venue=Exchange("BITMEX"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SWAP,
+)
+
 strategy = EMACrossStopEntryTrail(
-    security=Security("BTC/USD", Venue("BITMEX"), AssetClass.CRYPTO, AssetType.SWAP),
+    security=security,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     trade_size=Decimal("100"),
     fast_ema_period=10,

examples/live/bitmex_market_maker.py

@@ -27,8 +27,9 @@
 from nautilus_trader.model.enums import AssetType
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import PriceType
+from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
-from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import Symbol
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
 # file. Here it is hardcoded into the example for clarity.
@@ -80,8 +81,16 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security = Security(
+    symbol=Symbol("BTC/USD"),
+    venue=Exchange("BITMEX"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SWAP,
+)
+
 strategy = VolatilityMarketMaker(
-    security=Security("BTC/USD", Venue("BITMEX"), AssetClass.CRYPTO, AssetType.SWAP),
+    security=security,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     trade_size=Decimal("100"),
     atr_period=20,

examples/live/bitmex_testnet_market_maker.py

@@ -27,8 +27,9 @@
 from nautilus_trader.model.enums import AssetType
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import PriceType
+from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
-from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import Symbol
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
 # file. Here it is hardcoded into the example for clarity.
@@ -80,8 +81,16 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security = Security(
+    symbol=Symbol("BTC/USD"),
+    venue=Exchange("BITMEX"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SWAP,
+)
+
 strategy = VolatilityMarketMaker(
-    security=Security("BTC/USD", Venue("BITMEX"), AssetClass.CRYPTO, AssetType.SWAP),
+    security=security,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     trade_size=Decimal("10"),
     atr_period=20,

examples/live/multi_venue_ema_cross_stop_entry_with_trail.py

@@ -28,8 +28,9 @@
 from nautilus_trader.model.enums import AssetType
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import PriceType
+from nautilus_trader.model.identifiers import Exchange
 from nautilus_trader.model.identifiers import Security
-from nautilus_trader.model.identifiers import Venue
+from nautilus_trader.model.identifiers import Symbol
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
 # file. Here it is hardcoded into the example for clarity.
@@ -87,17 +88,34 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security1 = Security(
+    symbol=Symbol("ETH/USDT"),
+    venue=Exchange("BINANCE"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SPOT,
+)
+
 strategy1 = EMACross(
-    security=Security("ETH/USDT", Venue("BINANCE"), AssetClass.CRYPTO, AssetType.SPOT),
+    security=security1,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     trade_size=Decimal("0.02"),
     fast_ema_period=10,
     slow_ema_period=20,
     order_id_tag="003",
 )
 
+# ------------------------------------------------------------------------------
+
+security2 = Security(
+    symbol=Symbol("BTC/USD"),
+    venue=Exchange("BITMEX"),
+    asset_class=AssetClass.CRYPTO,
+    asset_type=AssetType.SWAP,
+)
+
 strategy2 = EMACrossStopEntryTrail(
-    security=Security("BTC/USD", Venue("BITMEX"), AssetClass.CRYPTO, AssetType.SWAP),
+    security=security2,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.LAST),
     trade_size=Decimal("100"),
     fast_ema_period=10,
@@ -107,6 +125,7 @@
     order_id_tag="004",
 )
 
+# ------------------------------------------------------------------------------
 # Instantiate the node passing a list of strategies and configuration
 node = TradingNode(strategies=[strategy1, strategy2], config=config)
 

examples/live/oanda_ema_cross.py

@@ -28,6 +28,7 @@
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import PriceType
 from nautilus_trader.model.identifiers import Security
+from nautilus_trader.model.identifiers import Symbol
 from nautilus_trader.model.identifiers import Venue
 
 # The configuration dictionary can come from anywhere such as a JSON or YAML
@@ -78,26 +79,52 @@
 # Instantiate your strategies to pass into the trading node. You could add
 # custom options into the configuration file or even use another configuration
 # file.
+
+security1 = Security(
+    symbol=Symbol("AUD/USD"),
+    venue=Venue("OANDA"),
+    asset_class=AssetClass.FX,
+    asset_type=AssetType.SPOT,
+)
+
 strategy1 = EMACross(
-    security=Security("AUD/USD", Venue("OANDA"), AssetClass.FX, AssetType.SPOT),
+    security=security1,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
     fast_ema_period=10,
     slow_ema_period=20,
     trade_size=Decimal(10000),
     order_id_tag="001",
 )
 
+# ------------------------------------------------------------------------------
+
+security2 = Security(
+    symbol=Symbol("EUR/USD"),
+    venue=Venue("OANDA"),
+    asset_class=AssetClass.FX,
+    asset_type=AssetType.SPOT,
+)
+
 strategy2 = EMACross(
-    security=Security("EUR/USD", Venue("OANDA"), AssetClass.FX, AssetType.SPOT),
+    security=security2,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
     fast_ema_period=10,
     slow_ema_period=20,
     trade_size=Decimal(10000),
     order_id_tag="002",
 )
 
+# ------------------------------------------------------------------------------
+
+security3 = Security(
+    symbol=Symbol("GBP/USD"),
+    venue=Venue("OANDA"),
+    asset_class=AssetClass.FX,
+    asset_type=AssetType.SPOT,
+)
+
 strategy3 = EMACross(
-    security=Security("GBP/USD", Venue("OANDA"), AssetClass.FX, AssetType.SPOT),
+    security=security3,
     bar_spec=BarSpecification(1, BarAggregation.MINUTE, PriceType.MID),
     fast_ema_period=10,
     slow_ema_period=20,

examples/strategies/blank.py

@@ -34,7 +34,7 @@ def __init__(self, security: Security):
         Parameters
         ----------
         security : Security
-            The security for the strategy.
+            The security identifier for the strategy.
 
         """
         # The order_id_tag should be unique at the 'trader level', here we are

nautilus_trader/adapters/binance/execution.pyx

@@ -115,7 +115,7 @@ cdef class BinanceExecutionClient(CCXTExecutionClient):
         try:
             # Submit order and await response
             await self._client.create_order(
-                symbol=order.security.symbol,
+                symbol=order.security.symbol.value,
                 type=order_type,
                 side=OrderSideParser.to_str(order.side),
                 amount=str(order.quantity),

nautilus_trader/adapters/bitmex/execution.pyx

@@ -119,7 +119,7 @@ cdef class BitmexExecutionClient(CCXTExecutionClient):
         try:
             # Submit order and await response
             await self._client.create_order(
-                symbol=order.security.symbol,
+                symbol=order.security.symbol.value,
                 type=order_type,
                 side=OrderSideParser.to_str(order.side).capitalize(),
                 amount=str(order.quantity),