1.122.0

See release notes.

Author: cjdsellers

RELEASES.md

@@ -1,3 +1,44 @@
+# NautilusTrader 1.122.0 Beta - Release Notes
+
+This release includes numerous breaking changes with a view to enhancing the core
+functionality and API of the platform. The data and execution caches have been 
+unified for simplicity. There have also been large changes to the accounting 
+functionality, with 'hooks' added in preparation for accurate calculation and 
+handling of margins.
+
+## Breaking Changes
+- Renamed `Account.balance()` to `Account.balance_total()`.
+- Consolidated`TradingStrategy.data` into `TradingStrategy.cache`.
+- Consolidated `TradingStrategy.execution` into `TradingStrategy.cache`.
+- Moved `redis` subpackage into `infrastructure`.
+- Moved some accounting methods back to `Instrument`.
+- Removed `Instrument.market_value()`.
+- Renamed `Portfolio.market_values()` to `Portfolio.net_exposures()`.
+- Renamed `Portfolio.market_value()` to `Portfolio.net_exposure()`.
+- Renamed `InMemoryExecutionDatabase` to `BypassCacheDatabase`.
+- Renamed `Position.relative_qty` to `Position.net_qty`.
+- Renamed `default_currency` to `base_currency`.
+- Removed `cost_currency` property from `Instrument`.
+
+## Enhancements
+- `ExecutionClient` now has the option of calculating account state.
+- Unified data and execution caches into single `Cache`.
+- Improved configuration options and naming.
+- Simplified `Portfolio` component registration.
+- Simplified wiring of `Cache` into components.
+- Added `repr` to execution messages.
+- Added `AccountType` enum.
+- Added `cost_currency` to `Position`.
+- Added `get_cost_currency()` to `Instrument`.
+- Added `get_base_currency()` to `Instrument`.
+
+## Fixes
+- Fixed `Order.is_working` for `PENDING_CANCEL` and `PENDING_REPLACE` states.
+- Fixed loss of precision for nanosecond timestamps in Redis.
+- Fixed state reconciliation when uninstantiated client.
+
+---
+
 # NautilusTrader 1.121.0 Beta - Release Notes
 
 In this release there has been a major change to the use of inlines for method
@@ -85,7 +126,7 @@ natural flow of command and event messages.
 ## Breaking Changes
 - Serializations involving `Money`.
 - Changed usage of `Price` and `Quantity`.
-- Renamed `BypassExecutionDatabase` to `InMemoryExecutionDatabase`.
+- Renamed `BypassExecutionDatabase` to `BypassCacheDatabase`.
 
 ## Enhancements
 - Rewired `RiskEngine` and `ExecutionEngine` sequence.

docs/source/api_reference/cache.rst

@@ -0,0 +1,40 @@
+Cache
+=====
+
+.. automodule:: nautilus_trader.cache
+
+Base
+----
+
+.. automodule:: nautilus_trader.cache.base
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Cache
+-----
+
+.. automodule:: nautilus_trader.cache.cache
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Database
+--------
+
+.. automodule:: nautilus_trader.cache.database
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Identifier
+----------
+
+.. automodule:: nautilus_trader.cache.identifier
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource

docs/source/api_reference/core.rst

@@ -22,7 +22,7 @@ Datetime
    :member-order: bysource
 
 Finite-State Machine (FSM)
---------------------------------
+--------------------------
 
 .. automodule:: nautilus_trader.core.fsm
    :show-inheritance:

docs/source/api_reference/data.rst

@@ -13,24 +13,6 @@ Aggregation
    :members:
    :member-order: bysource
 
-Base
-----
-
-.. automodule:: nautilus_trader.data.base
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-
-Cache
------
-
-.. automodule:: nautilus_trader.data.cache
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-
 Client
 ------
 

docs/source/api_reference/execution.rst

@@ -4,24 +4,6 @@ Execution
 .. automodule:: nautilus_trader.execution
 
 
-Base
-----
-
-.. automodule:: nautilus_trader.execution.base
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-
-Cache
------
-
-.. automodule:: nautilus_trader.execution.cache
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-
 Client
 ------
 

docs/source/api_reference/infrastructure.rst

@@ -0,0 +1,13 @@
+Infrastructure
+==============
+
+.. automodule:: nautilus_trader.infrastructure
+
+Cache
+-----
+
+.. automodule:: nautilus_trader.infrastructure.cache
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource

docs/source/api_reference/model.rst

@@ -76,15 +76,6 @@ Identifiers
    :members:
    :member-order: bysource
 
-Instrument
-----------
-
-.. automodule:: nautilus_trader.model.instrument
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-
 Objects
 -------
 

docs/source/api_reference/serialization.rst

@@ -13,7 +13,6 @@ Base
    :members:
    :member-order: bysource
 
-
 Serializers
 -----------
 

docs/source/index.rst

@@ -112,14 +112,15 @@ Index
 
     api_reference/analysis
     api_reference/backtest
+    api_reference/cache
     api_reference/common
     api_reference/core
     api_reference/data
     api_reference/execution
     api_reference/indicators
+    api_reference/infrastructure
     api_reference/live
     api_reference/model
-    api_reference/redis
     api_reference/risk
     api_reference/serialization
     api_reference/trading

examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py

@@ -15,24 +15,25 @@
 # -------------------------------------------------------------------------------------------------
 
 from decimal import Decimal
-import pathlib
+import os
 import sys
 
 import ccxt
 import pandas as pd
 
 
 sys.path.insert(
-    0, str(pathlib.Path(__file__).parents[2])
+    0, str(os.path.abspath(__file__ + "/../../../"))
 )  # Allows relative imports from examples
 
 from examples.strategies.ema_cross_simple import EMACross
 from nautilus_trader.adapters.ccxt.providers import CCXTInstrumentProvider
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.models import FillModel
 from nautilus_trader.model.bar import BarSpecification
-from nautilus_trader.model.currencies import BTC
+from nautilus_trader.model.currencies import ETH
 from nautilus_trader.model.currencies import USDT
+from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import BarAggregation
 from nautilus_trader.model.enums import OMSType
 from nautilus_trader.model.enums import PriceType
@@ -80,7 +81,9 @@
         venue=BINANCE,
         venue_type=VenueType.EXCHANGE,
         oms_type=OMSType.NETTING,
-        starting_balances=[Money(1_000_000, USDT), Money(1, BTC)],
+        account_type=AccountType.CASH,  # Spot cash account
+        base_currency=None,  # Multi-currency account
+        starting_balances=[Money(1_000_000, USDT), Money(10, ETH)],
         fill_model=fill_model,
     )