Release 1.182.0

See release notes.

Author: cjdsellers

.github/workflows/build.yml

@@ -71,6 +71,12 @@ jobs:
       - name: Install build dependencies
         run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec
 
+      - name: Install TA-Lib (Linux)
+        if: runner.os == 'Linux'
+        run: |
+          make install-talib
+          poetry run pip install ta-lib
+
       - name: Setup cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v3

.github/workflows/coverage.yml

@@ -30,7 +30,6 @@ jobs:
         working-directory: ${{ github.workspace }}
 
       - 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 }}
@@ -54,6 +53,11 @@ jobs:
       - name: Install build dependencies
         run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec
 
+      - name: Install TA-Lib (Linux)
+        run: |
+          make install-talib
+          poetry run pip install ta-lib
+
       - name: Setup cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v3

.github/workflows/docker.yml

@@ -45,7 +45,7 @@ jobs:
 
       - name: Get branch name
         id: branch-name
-        uses: tj-actions/branch-names@v6
+        uses: tj-actions/branch-names@v7.0.7
 
       - name: Build nautilus_trader image (develop)
         if: ${{ steps.branch-name.outputs.current_branch == 'develop' }}

.github/workflows/docs.yml

@@ -59,7 +59,7 @@ jobs:
 
       - name: Get branch name
         id: branch-name
-        uses: tj-actions/branch-names@v6
+        uses: tj-actions/branch-names@v7.0.7
 
       - name: Build Python docs
         run: make docs-python

.gitignore

@@ -15,6 +15,8 @@
 *.key_secret
 *.sqlite
 *.env
+*.tar.gz*
+*.zip
 
 .benchmarks*
 .coverage*
@@ -41,6 +43,7 @@ env/
 log/
 logs/
 secrets/
+ta-lib/
 *temp/
 *target/
 venv*/

.pre-commit-config.yaml

@@ -73,7 +73,7 @@ repos:
         types: [python]
 
   - repo: https://github.com/psf/black
-    rev: 23.11.0
+    rev: 23.12.0
     hooks:
       - id: black
         types_or: [python, pyi]
@@ -82,13 +82,13 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.1.6
+    rev: v0.1.9
     hooks:
       - id: ruff
         args: ["--fix"]
 
   - repo: https://github.com/pycqa/isort
-    rev: 5.12.0
+    rev: 5.13.2
     hooks:
       - id: isort
         name: isort (cython)
@@ -111,7 +111,7 @@ repos:
         ]
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.7.1
+    rev: v1.8.0
     hooks:
       - id: mypy
         args: [

Makefile

@@ -130,6 +130,10 @@ pytest-coverage:
 test-examples:
 	bash scripts/test-examples.sh
 
+.PHONY: install-talib
+install-talib:
+	bash scripts/install-talib.sh
+
 .PHONY: init-db
 init-db:
 	(cd nautilus_core && cargo run --bin init-db)

README.md

@@ -14,10 +14,10 @@
 
 | Platform           | Rust    | Python |
 | :----------------- | :------ | :----- |
-| `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+  |
+| `Linux (x86_64)`   | 1.74.1+ | 3.10+  |
+| `macOS (x86_64)`   | 1.74.1+ | 3.10+  |
+| `macOS (arm64)`    | 1.74.1+ | 3.10+  |
+| `Windows (x86_64)` | 1.74.1+ | 3.10+  |
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io

RELEASES.md

@@ -1,3 +1,43 @@
+# NautilusTrader 1.182.0 Beta
+
+Released on 23rd December 2023 (UTC).
+
+### Enhancements
+- Added `CacheDatabaseFacade` and `CacheDatabaseAdapter` to abstract backing technology from Python codebase
+- Added `RedisCacheDatabase` implemented in Rust with separate MPSC channel thread for insert, update and delete operations
+- Added TA-Lib integration, thanks @rsmb7z
+- Added `OrderBookDelta` and `OrderBookDeltas` to serializable and publishable types
+- Moved `PortfolioFacade` to `Actor`
+- Improved `Actor` and `Strategy` usability to be more lenient to mistaken calls to `clock` and `logger` from the constructor (warnings also added to docs)
+- Removed `redis` and `hiredis` dependencies from Python codebase
+
+### Breaking Changes
+- Changed configuration objects to take stronger types as these are now serializable when registered (rather than primitives)
+- Changed `NautilusKernelConfig.trader_id` to type `TraderId`
+- Changed `BacktestDataConfig.instrument_id` to type `InstrumentId`
+- Changed `ActorConfig.component_id` to type `ComponentId | None`
+- Changed `StrategyConfig.strategy_id` to type `StrategyId | None`
+- Changed `Instrument`, `OrderFilled` and `AccountState` `info` field serialization due below fix (you'll need to flush your cache)
+- Changed `CacheConfig` to take a `DatabaseConfig` (better symmetry with `MessageBusConfig`)
+- Changed `RedisCacheDatabase` data structure for currencies from hashset to simpler key-value (you'll need to clear cache or delete all curreny keys)
+- Changed `Actor` state loading to now use the standard `Serializer`
+- Renamed `register_json_encoding` to `register_config_encoding`
+- Renamed `register_json_decoding` to `register_config_decoding`
+- Removed `CacheDatabaseConfig` (due above config change)
+- Removed `infrastructure` subpackage (now redundant with new Rust implementation)
+
+### Fixes
+- Fixed `json` encoding for `CacheDatabaseAdapter` from `info` field serialization fix below
+- Fixed `Instrument`, `OrderFilled` and `AccountState` `info` field serialization to retain JSON serializable dicts (rather than double encoding and losing information)
+- Fixed Binance Futures `good_till_date` value when `time_in_force` not GTD, such as when strategy is managing the GTD (was incorrectly passing through UNIX milliseconds)
+- Fixed `Executor` handling of queued task IDs (was not discarding from queued tasks on completion)
+- Fixed `DataEngine` handling of order book snapshots with very small intervals (now handles as short as 20 milliseconds)
+- Fixed `BacktestEngine.clear_actors()`, `BacktestEngine.clear_strategies()` and `BacktestEngine.clear_exec_algorithms()`, thanks for reporting @davidsblom
+- Fixed `BacktestEngine` OrderEmulator reset, thanks @davidsblom
+- Fixed `Throttler.reset` and reset of `RiskEngine` throttlers, thanks @davidsblom
+
+---
+
 # NautilusTrader 1.181.0 Beta
 
 Released on 2nd December (UTC).

build.py

@@ -277,15 +277,14 @@ def _strip_unneeded_symbols() -> None:
         print("Stripping unneeded symbols from binaries...")
         for so in itertools.chain(Path("nautilus_trader").rglob("*.so")):
             if platform.system() == "Linux":
-                strip_cmd = f"strip --strip-unneeded {so}"
+                strip_cmd = ["strip", "--strip-unneeded", so]
             elif platform.system() == "Darwin":
-                strip_cmd = f"strip -x {so}"
+                strip_cmd = ["strip", "-x", so]
             else:
                 raise RuntimeError(f"Cannot strip symbols for platform {platform.system()}")
             subprocess.run(
-                strip_cmd,
+                strip_cmd,  # type: ignore [arg-type] # noqa
                 check=True,
-                shell=True,  # noqa
                 capture_output=True,
             )
     except subprocess.CalledProcessError as e: