Release 1.177.0

See release notes.

Author: cjdsellers

.docker/nautilus_trader.dockerfile

@@ -34,7 +34,7 @@ RUN (cd nautilus_core && cargo build --release)
 
 COPY nautilus_trader ./nautilus_trader
 COPY README.md ./
-RUN poetry install --only main
+RUN poetry install --only main --all-extras
 RUN poetry build -f wheel
 RUN python -m pip install ./dist/*whl --force
 RUN find /usr/local/lib/python3.11/site-packages -name "*.pyc" -exec rm -f {} \;

.github/workflows/release.yml

@@ -190,7 +190,7 @@ jobs:
       fail-fast: false
       matrix:
         arch: [x64]
-        os: [ubuntu-20.04, ubuntu-latest, macos-latest, macos-13, windows-latest]
+        os: [ubuntu-20.04, ubuntu-latest, windows-latest]
         python-version: ["3.9", "3.10", "3.11"]
     name: publish-wheels - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}

.gitignore

@@ -7,6 +7,7 @@
 *.obj
 *.lib
 *.log
+*.patch
 *.prof
 *.rdb
 *.xml
@@ -35,6 +36,7 @@ dist/
 env/
 log/
 logs/
+secrets/
 *temp/
 *target/
 venv*/
@@ -50,5 +52,6 @@ examples/backtest/notebooks/catalog
 nautilus_trader/**/.gitignore
 nautilus_trader/test_kit/mocks/.nautilus/
 tests/test_data/catalog/
+bench_data/
 
 !tests/integration_tests/adapters/betfair/responses/*.log

.pre-commit-config.yaml

@@ -11,7 +11,7 @@ repos:
       - id: end-of-file-fixer
         types_or: [python, cython, rust]
       - id: trailing-whitespace
-        types_or: [python, cython]
+        types_or: [rust, cython, python]
       - id: debug-statements
       - id: detect-private-key
       - id: check-builtin-literals
@@ -60,7 +60,7 @@ repos:
   #  Python/Cython formatting and linting
   ##############################################################################
   - repo: https://github.com/asottile/add-trailing-comma
-    rev: v3.0.0
+    rev: v3.0.1
     hooks:
       - id: add-trailing-comma
         name: add-trailing-comma
@@ -76,7 +76,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.0.280
+    rev: v0.0.285
     hooks:
       - id: ruff
         args: ["--fix"]
@@ -105,7 +105,7 @@ repos:
         ]
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.4.1
+    rev: v1.5.1
     hooks:
       - id: mypy
         args: [

Makefile

@@ -45,9 +45,12 @@ format:
 	(cd nautilus_core && cargo +nightly fmt)
 
 .PHONY: pre-commit
-pre-commit: 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

README.md

@@ -15,10 +15,10 @@
 
 | Platform           | Rust    | Python |
 | :----------------- | :------ | :----- |
-| `Linux (x86_64)`   | 1.71.0+ | 3.9+   |
-| `macOS (x86_64)`   | 1.71.0+ | 3.9+   |
-| `macOS (arm64)`    | 1.71.0+ | 3.9+   |
-| `Windows (x86_64)` | 1.71.0+ | 3.9+   |
+| `Linux (x86_64)`   | 1.71.1+ | 3.9+   |
+| `macOS (x86_64)`   | 1.71.1+ | 3.9+   |
+| `macOS (arm64)`    | 1.71.1+ | 3.9+   |
+| `Windows (x86_64)` | 1.71.1+ | 3.9+   |
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io
@@ -233,6 +233,7 @@ A `Makefile` is provided to automate most installation and build tasks for devel
 - `make clean` -- **CAUTION** Cleans all non-source artifacts from the repository
 - `make docs` -- Builds the documentation HTML using Sphinx
 - `make pre-commit` -- Runs the pre-commit checks over all files
+- `make pre-flight` -- Runs pre-commit, makes a clean debug build and runs all tests (except performance tests)
 - `make ruff` -- Runs ruff over all files using the `pyproject.toml` config
 - `make pytest` -- Runs all tests with `pytest` (except performance tests)
 - `make pytest-coverage` -- Same as `make pytest` and additionally runs with test coverage and produces a report

RELEASES.md

@@ -1,3 +1,39 @@
+# NautilusTrader 1.177.0 Beta
+
+Released on 26th August 2023 (UTC).
+
+This release includes a large breaking change to quote tick bid and ask price property and 
+parameter naming. This was done in the interest of maintaining our generally explicit naming 
+standards, and has caused confusion for some users in the past. Data using 'bid' and 'ask' columns should
+still work with the legacy data wranglers, as columns are renamed under the hood to accommodate
+this change.
+
+### Enhancements
+- Added `ActorExecutor` with `Actor` API for creating and running threaded tasks in live environments
+- Added `OrderEmulated` event and associated `OrderStatus.EMULATED` enum variant
+- Added `OrderReleased` event and associated `OrderStatus.RELEASED` enum variant
+- Added `BacktestVenueConfig.use_position_ids` option (default true to retain current behavior)
+- Added `Cache.exec_spawn_total_quantity(...)` convenience method
+- Added `Cache.exec_spawn_total_filled_qty(...)` convenience method
+- Added `Cache.exec_spawn_total_leaves_qty(...)` convenience method
+- Added `WebSocketClient.send_text`, thanks @twitu
+- Implemented string interning for `TimeEvent`
+
+### Breaking Changes
+- Renamed `QuoteTick.bid` to `bid_price` including all associated parameters (for explicit naming standards)
+- Renamed `QuoteTick.ask` to `ask_price` including all associated parameters (for explicit naming standards)
+
+### Fixes
+- Fixed execution algorithm `position_id` assignment in `HEDGING` mode
+- Fixed `OrderMatchingEngine` processing of emulated orders
+- Fixed `OrderEmulator` processing of exec algorithm orders
+- Fixed `ExecutionEngine` processing of exec algorithm orders (exec spawn IDs)
+- Fixed `Cache` emulated order indexing (were not being properly discarded from the set when closed)
+- Fixed `RedisCacheDatabase` loading of transformed `LIMIT` orders
+- Fixed a connection issue with the IB client, thanks @dkharrat and @rsmb7z
+
+---
+
 # NautilusTrader 1.176.0 Beta
 
 Released on 31st July 2023 (UTC).
@@ -16,7 +52,7 @@ Released on 31st July 2023 (UTC).
 - Added `BinanceExecClientConfig.use_reduce_only` option (default true to retain current behavior)
 - Added `BinanceExecClientConfig.use_position_ids` option (default true to retain current behavior)
 - Added `BinanceExecClientConfig.treat_expired_as_canceled` option (default false to retain current behavior)
-- Added `BacktestVenueConfig.use_reduct_only` option (default true to retain current behaviour)
+- Added `BacktestVenueConfig.use_reduce_only` option (default true to retain current behavior)
 - Added `MessageBus.is_pending_request(...)` method
 - Added `Level` API for core `OrderBook` (exposes the bid and ask levels for the order book)
 - Added `Actor.is_pending_request(...)` convenience method
@@ -53,7 +89,7 @@ Released on 31st July 2023 (UTC).
 - Fixed Binance commission rates requests for `InstrumentProvider`
 - Fixed Binance `TriggerType` parsing #1154, thanks for reporting @davidblom603
 - Fixed Binance order parsing of invalid orders in execution reports #1157, thanks for reporting @graceyangfan
-- Fixed `BinanceOrderType` members to include undocumented `INSURANCE_FUND`, thanks for reporting @Tzumx
+- Extended `BinanceOrderType` enum members to include undocumented `INSURANCE_FUND`, thanks for reporting @Tzumx
 - Extended `BinanceSpotPermissions` enum members #1161, thanks for reporting @davidblom603
 
 ---
@@ -74,7 +110,7 @@ We recommend you do not upgrade to this version if you're using the Betfair adap
 - Added core Rust `SocketClient` based on `tokio` `TcpStream`, thanks @twitu
 - Added `quote_quantity` parameter to determine if order quantity is denominated in quote currency
 - Added `trigger_instrument_id` parameter to trigger emulated orders from alternative instrument prices
-- Added `use_random_ids` to `add_venue(...)` method, controls whether venue order, position and trade IDs will be random UUID4s (no change to current behaviour)
+- Added `use_random_ids` to `add_venue(...)` method, controls whether venue order, position and trade IDs will be random UUID4s (no change to current behavior)
 - Added `ExecEngineConfig.filter_unclaimed_external_orders` options, if unclaimed order events with an `EXTERNAL` strategy ID should be filtered/dropped
 - Changed `BinanceHttpClient` to use new core HTTP client
 - Defined public API for data, can now import directly from `nautilus_trader.model.data` (denest namespace)
@@ -442,7 +478,7 @@ Released on 12th December 2022 (UTC).
 
 ### Fixes
 - Fixed `OrderBook` sorting for bid side, thanks @gaugau3000
-- Fixed `MARKET_TO_LIMIT` order initial fill behaviour
+- Fixed `MARKET_TO_LIMIT` order initial fill behavior
 - Fixed `BollingerBands` indicator mid-band calculations, thanks zhp (Discord)
 
 ---
@@ -640,10 +676,10 @@ Released on September 14th 2022 (UTC).
 - De-cythonized live data and execution client base classes for usability
 
 ### Fixes
-- Fixed limit order `IOC` and `FOK` behaviour, thanks @limx0 for identifying
+- Fixed limit order `IOC` and `FOK` behavior, thanks @limx0 for identifying
 - Fixed FTX `CryptoFuture` instrument parsing, thanks @limx0
 - Fixed missing imports in data catalog example notebook, thanks @gaugau3000
-- Fixed order update behaviour, affected orders:
+- Fixed order update behavior, affected orders:
   - `LIMIT_IF_TOUCHED`
   - `MARKET_IF_TOUCHED`
   - `MARKET_TO_LIMIT`
@@ -808,7 +844,7 @@ None
 
 ### Enhancements
 - Improved error handling for invalid state triggers
-- Improved component state transition behaviour and logging
+- Improved component state transition behavior and logging
 - Improved `TradingNode` disposal flow
 - Implemented core monotonic clock
 - Implemented logging in Rust
@@ -882,7 +918,7 @@ Released on 10th May 2022 (UTC).
 - The `bypass_logging` config option will also now bypass the `BacktestEngine` logger
 
 ### Fixes
-- Fixed behaviour of `IOC` and `FOK` time in force instructions
+- Fixed behavior of `IOC` and `FOK` time in force instructions
 - Fixed Binance bar resolution parsing
 
 ---
@@ -2159,7 +2195,7 @@ symbol string, a primary `Venue`, `AssetClass` and `AssetType` properties.
 
 This is a patch release which applies various fixes and refactorings.
 
-The behaviour of the `StopLimitOrder` continued to be fixed and refined.
+The behavior of the `StopLimitOrder` continued to be fixed and refined.
 `SimulatedExchange` was refactored further to reduce complexity.
 
 ### Breaking Changes
@@ -2170,7 +2206,7 @@ None
 
 ### Fixes
 - `TRIGGERED` states in order FSM
-- `StopLimitOrder` triggering behaviour
+- `StopLimitOrder` triggering behavior
 - `OrderFactory.stop_limit` missing `post_only` and `hidden`
 - `Order` and `StopLimitOrder` `__repr__` string (duplicate id)
 
@@ -2181,10 +2217,10 @@ None
 ## Release Notes
 
 The main thrust of this release is to refine some subtleties relating to order
-matching and amendment behaviour for improved realism. This involved a fairly substantial refactoring
+matching and amendment behavior for improved realism. This involved a fairly substantial refactoring
 of `SimulatedExchange` to manage its complexity, and support extending the order types.
 
-The `post_only` flag for LIMIT orders now results in the expected behaviour regarding
+The `post_only` flag for LIMIT orders now results in the expected behavior regarding
 when a marketable limit order will become a liquidity `TAKER` during order placement
 and amendment.
 
@@ -2198,7 +2234,7 @@ None
 - Add `risk` subpackage to group risk components
 
 ### Fixes
-- `StopLimitOrder` triggering behaviour
+- `StopLimitOrder` triggering behavior
 - All flake8 warnings
 
 ---

docs/api_reference/common.md

@@ -32,6 +32,16 @@
    :member-order: bysource
 ```
 
+## Executor
+
+```{eval-rst}
+.. automodule:: nautilus_trader.common.executor
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
 ```{eval-rst}
 .. automodule:: nautilus_trader.common.factories
    :show-inheritance:

docs/api_reference/execution.md

@@ -38,6 +38,14 @@
    :member-order: bysource
 ```
 
+```{eval-rst}
+.. automodule:: nautilus_trader.execution.manager
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
 ```{eval-rst}
 .. automodule:: nautilus_trader.execution.matching_core
    :show-inheritance:

docs/concepts/execution.md

@@ -278,15 +278,15 @@ cpdef list orders_for_exec_algorithm(
 As well as more specifically querying the orders for a certain execution series/spawn:
 
 ```python
-cpdef list orders_for_exec_spawn(self, ClientOrderId client_order_id):
+cpdef list orders_for_exec_spawn(self, ClientOrderId exec_spawn_id):
     """
     Return all orders for the given execution spawn ID (if found).
 
     Will also include the primary (original) order.
 
     Parameters
     ----------
-    client_order_id : ClientOrderId
+    exec_spawn_id : ClientOrderId
         The execution algorithm spawning primary (original) client order ID.
 
     Returns

docs/concepts/orders.md

@@ -63,10 +63,10 @@ important for market makers, or traders seeking to restrict the order to a liqui
 
 ### Reduce Only
 An order which is set as `reduce_only` will only ever reduce an existing position on an instrument, and
-never open a new position (if already flat). The exact behaviour of this instruction can vary between
-exchanges, however the behaviour as per the Nautilus `SimulatedExchange` is typical of a live exchange.
+never open a new position (if already flat). The exact behavior of this instruction can vary between
+exchanges, however the behavior as per the Nautilus `SimulatedExchange` is typical of a live exchange.
 
-- Order will be cancelled if the associated position is closed (becomes flat)
+- Order will be canceled if the associated position is closed (becomes flat)
 - Order quantity will be reduced as the associated positions size reduces
 
 ### Display Quantity

docs/developer_guide/rust.md

@@ -23,8 +23,8 @@ their own standard libraries.
 
 Great care will be taken with the use of Rusts `unsafe` facility - which just enables a small set of additional language features, thereby changing
 the contract between the interface and caller, shifting some responsibility for guaranteeing correctness
-from the Rust compiler, and onto us. The goal is to realize the advantages of the `unsafe` facility, whilst avoiding _any_ undefined behaviour.
-The definition for what the Rust language designers consider undefined behaviour can be found in the [language reference](https://doc.rust-lang.org/stable/reference/behavior-considered-undefined.html).
+from the Rust compiler, and onto us. The goal is to realize the advantages of the `unsafe` facility, whilst avoiding _any_ undefined behavior.
+The definition for what the Rust language designers consider undefined behavior can be found in the [language reference](https://doc.rust-lang.org/stable/reference/behavior-considered-undefined.html).
 
 ## Safety Policy
 To maintain the high standards of correctness the project strives for, it's necessary to specify a reasonable policy

docs/getting_started/quick_start.md

@@ -14,7 +14,7 @@ deleted when the container is deleted.
 - To get started, install docker:
   - Go to [docker.com](https://docs.docker.com/get-docker/) and follow the instructions 
 - From a terminal, download the latest image
-  - `docker pull ghcr.io/nautechsystems/jupyterlab:develop`
+  - `docker pull ghcr.io/nautechsystems/jupyterlab:develop --platform linux/amd64`
 - Run the docker container, exposing the jupyter port: 
   - `docker run -p 8888:8888 ghcr.io/nautechsystems/jupyterlab:develop`
 - Open your web browser to `localhost:{port}`
@@ -196,7 +196,7 @@ venue = BacktestVenueConfig(
     oms_type="NETTING",
     account_type="MARGIN",
     base_currency="USD",
-    starting_balances=["1_000_000 USD"]
+    starting_balances=["1_000_000 USD"],
 )
 ```
 

docs/guides/backtest_example.md

@@ -74,8 +74,8 @@ def parser(line):
     dt = pd.Timestamp(datetime.datetime.strptime(ts.decode(), "%Y%m%d %H%M%S%f"), tz='UTC')
     yield QuoteTick(
         instrument_id=AUDUSD.id,
-        bid=Price.from_str(bid.decode()),
-        ask=Price.from_str(ask.decode()),
+        bid_price=Price.from_str(bid.decode()),
+        ask_price=Price.from_str(ask.decode()),
         bid_size=Quantity.from_int(100_000),
         ask_size=Quantity.from_int(100_000),
         ts_event=dt_to_unix_nanos(dt),

docs/guides/loading_external_data.md

@@ -66,8 +66,8 @@ def parser(data, instrument_id):
     dt = pd.Timestamp(datetime.datetime.strptime(data['timestamp'].decode(), "%Y%m%d %H%M%S%f"), tz='UTC')
     yield QuoteTick(
         instrument_id=instrument_id,
-        bid=Price.from_str(data['bid'].decode()),
-        ask=Price.from_str(data['ask'].decode()),
+        bid_price=Price.from_str(data["bid_price"].decode()),
+        ask_price=Price.from_str(data["ask_price"].decode()),
         bid_size=Quantity.from_int(100_000),
         ask_size=Quantity.from_int(100_000),
         ts_event=dt_to_unix_nanos(dt),
@@ -158,7 +158,7 @@ process_files(
     glob_path=input_files,
     reader=CSVReader(
         block_parser=lambda x: parser(x, instrument_id=instrument.id), 
-        header=['timestamp', 'bid', 'ask', 'volume'],
+        header=["timestamp", "bid", "ask", "volume"],
         chunked=False, 
         as_dataframe=False,
     ),