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NautilusTrader 1.117.0 Beta
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@github-actions github-actions released this 29 Apr 06:58
v1.117.0
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NautilusTrader 1.117.0 Beta - Release Notes

The major thrust of this release is added support for order book data in
backtests. The SimulatedExchange now maintains order books of each instrument
and will accurately simulate market impact with L2/L3 data. For quote and trade
tick data a L1 order book is used as a proxy. A future release will include
improved fill modelling assumptions and customizations.

Breaking Changes

  • OrderBook.create now takes Instrument and OrderBookLevel.

Enhancements

  • SimulatedExchange now maintains order books internally.
  • LiveLogger now exhibits better blocking behavior and logging.

Fixes

  • Various patches to the Betfair adapter.
  • Documentation builds.
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