NautilusTrader 1.166.0 Beta

NautilusTrader 1.166.0 Beta

Released on 17th January 2023 (UTC).

Breaking Changes

• Position.unrealized_pnl now None until any realized PnL is generated (to reduce ambiguity)

Enhancements

• Added instrument status update subscription handlers, thanks @limx0
• Improvements to InteractiveBrokers DataClient, thanks @rsmb7z
• Improvements to async task handling for live clients
• Various improvements to Betfair adapter, thanks @limx0

Fixes

• Fixed netted Position realized_pnl and realized_return fields, which were incorrectly cumulative
• Fixed netted Position flip logic (now correctly 'resets' position)
• Various fixes for Betfair adapter, thanks @limx0
• InteractiveBrokers integration docs fixes

NautilusTrader 1.165.0 Beta

NautilusTrader 1.165.0 Beta

Released on 14th January 2023 (UTC).

A number of enum variant names have been changed in favour of explicitness,
and also to avoid C naming collisions.

Breaking Changes

• Renamed AggressorSide.NONE to NO_AGGRESSOR
• Renamed AggressorSide.BUY to BUYER
• Renamed AggressorSide.SELL to SELLER
• Renamed AssetClass.CRYPTO to CRYPTOCURRENCY
• Renamed LiquiditySide.NONE to NO_LIQUIDITY_SIDE
• Renamed OMSType to OmsType
• Renamed OmsType.NONE to UNSPECIFIED
• Renamed OrderSide.NONE to NO_ORDER_SIDE
• Renamed PositionSide.NONE to NO_POSITION_SIDE
• Renamed TrailingOffsetType.NONE to NO_TRAILING_OFFSET
• Removed TrailingOffsetType.DEFAULT
• Renamed TriggerType.NONE to NO_TRIGGER
• Renamed TriggerType.LAST to LAST_TRADE
• Renamed TriggerType.MARK to MARK_PRICE
• Renamed TriggerType.INDEX to INDEX_PRICE
• Renamed ComponentState.INITIALIZED to READY
• Renamed OrderFactory.bracket(post_only) to post_only_entry
• Moved manage_gtd_expiry to Strategy.submit_order(...) and Strategy.submit_order_list(...)

Enhancements

• Added BarSpecification.timedelta property, thanks @rsmb7z
• Added DataEngineConfig.build_time_bars_with_no_updates option
• Added OrderFactory.bracket(post_only_tp) param
• Added OrderListIdGenerator and integrate with OrderFactory
• Added Cache.add_order_list(...)
• Added Cache.order_list(...)
• Added Cache.order_lists(...)
• Added Cache.order_list_exists(...)
• Added Cache.order_list_ids(...)
• Improved generation of OrderListId from factory to ensure uniqueness
• Added auction matches for backtests, thanks @limx0
• Added .timedelta property to BarSpecification, thanks @rsmb7z
• Numerous improvements to the Betfair adapter, thanks @limx0
• Improvements to Interactive Brokers data subscriptions, thanks @rsmb7z
• Added DataEngineConfig.validate_data_sequence (False by default and currently only for Bar data), thanks @rsmb7z

Fixes

• Added TRD_GRP_* enum variants for Binance spot permissions
• Fixed PARTIALLY_FILLED -> EXPIRED order state transition, thanks @bb01100100

NautilusTrader 1.164.0 Beta

NautilusTrader 1.164.0 Beta

Released on 23rd December 2022 (UTC).

Breaking Changes

None

Enhancements

• Added managed GTD order expiry (experimental feature, config may change)
• Added Rust ParquetReader and ParquetWriter (for QuoteTick and TradeTick only)

Fixes

• Fixed MARKET_IF_TOUCHED orders for OrderFactory.bracket(..)
• Fixed OrderEmulator trigger event handling for live trading
• Fixed OrderEmulator transformation to market orders which had a GTD time in force
• Fixed serialization of OrderUpdated events
• Fixed typing and edge cases for new msgspec, thanks @limx0
• Fixed data wrangler processing with missing data, thanks @rsmb7z

NautilusTrader 1.163.0 Beta

NautilusTrader 1.163.0 Beta

Released on 17th December 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed MARKET_IF_TOUCHED and LIMIT_IF_TOUCHED trigger and modify behavior
• Fixed MatchingEngine updates of stop order types
• Fixed combinations of passive or immediate trigger vs passive or immediate fill behavior
• Fixed memory leaks from passing string pointers from Rust, thanks @twitu

NautilusTrader 1.162.0 Beta

NautilusTrader 1.162.0 Beta

Released on 12th December 2022 (UTC).

Breaking Changes

• OrderFactory bracket order methods consolidated to .bracket(...)

Enhancements

• Extended OrderFactory to provide more bracket order types
• Simplified GitHub CI and removed nox dependency

Fixes

• Fixed OrderBook sorting for bid side, thanks @gaugau3000
• Fixed MARKET_TO_LIMIT order initial fill behaviour
• Fixed BollingerBands indicator mid-band calculations, thanks zhp (Discord)

NautilusTrader 1.161.0 Beta

NautilusTrader 1.161.0 Beta

Released on 10th December 2022 (UTC).

This release adds support for Python 3.11.

Breaking Changes

• Renamed OrderFactory.bracket_market to OrderFactory.bracket_market_entry
• Renamed OrderFactory.bracket_limit to OrderFactory.bracket_limit_entry
• Renamed OrderFactory bracket order price and trigger_price parameters

Enhancements

• Consolidated config objects to msgspec providing better performance and correctness
• Added OrderFactory.bracket_stop_limit_entry_stop_limit_tp(...)
• Numerous improvements to the Interactive Brokers adapter, thanks @limx0 and @rsmb7z
• Removed dependency on pydantic

Fixes

• Fixed STOP_MARKET order behavior to fill at market on immediate trigger
• Fixed STOP_LIMIT order behavior to fill at market on immediate trigger and marketable
• Fixed STOP_LIMIT order behavior to fill at market on processed trigger and marketable
• Fixed LIMIT_IF_TOUCHED order behavior to fill at market on immediate trigger and marketable
• Fixed Binance start and stop time units for bar (kline) requests, thanks @Tzumx
• RiskEngineConfig.bypass set to True will now correctly bypass throttlers, thanks @DownBadCapital
• Fixed updating of emulated orders
• Numerous fixes to the Interactive Brokers adapter, thanks @limx0 and @rsmb7z

NautilusTrader 1.160.0 Beta

NautilusTrader 1.160.0 Beta

Released on 28th November 2022 (UTC).

Breaking Changes

• Removed time portion from generated IDs (affects ClientOrderId and PositionOrderId)
• Renamed orderbook.data.Order to orderbook.data.BookOrder (reduce conflicts/confusion)
• Renamed Instrument.get_cost_currency(...) to Instrument.get_settlement_currency(...) (more accurate terminology)

Enhancements

• Added emulated contingency orders capability to OrderEmulator
• Moved test_kit module to main package to support downstream project/package testing

Fixes

• Fixed position event sequencing: now generates PositionOpened when reopening a closed position
• Fixed LIMIT order fill characteristics when immediately marketable as a taker
• Fixed LIMIT order fill characteristics when passively filled as a maker as quotes move through
• Fixed canceling OTO contingent orders when still in-flight
• Fixed RiskEngine notional check when selling cash assets (spot currency pairs)
• Fixed flush on closed file bug for persistence stream writers

NautilusTrader 1.159.0 Beta

NautilusTrader 1.159.0 Beta

Released on 18th November 2022 (UTC).

Breaking Changes

• Removed FTX integration
• Renamed SubmitOrderList.list -> SubmitOrderList.order_list
• Slight adjustment to bar aggregation (will not use the last close as the open)

Enhancements

• Implemented TRAILING_STOP_MARKET orders for Binance Futures (beta)
• Added OUO One-Updates-Other ContingencyType with matching engine implementation
• Added bar price fallback for exchange rate calculations, thanks @ghill2

Fixes

• Fixed deallocation of Rust backing struct on Python exceptions causing segfaults
• Fixed bar aggregation start times for bar specs outside typical intervals (60-SECOND rather than 1-MINUTE etc)
• Fixed backtest engine main loop ordering of time events with identically timestamped data
• Fixed ModifyOrder message str and repr when no quantity
• Fixed OCO contingency orders which were actually implemented as OUO for backtests
• Fixed various bugs for Interactive Brokers integration, thanks @limx0 and @rsmb7z
• Fixed pyarrow version parsing, thanks @ghill2
• Fixed returning venue from InstrumentId, thanks @rsmb7z

NautilusTrader 1.158.0 Beta

NautilusTrader 1.158.0 Beta

Released on 3rd November 2022 (UTC).

Breaking Changes

• Added LiveExecEngineConfig.reconciliation boolean flag to control if reconciliation is active
• Removed LiveExecEngineConfig.reconciliation_auto (unclear naming and concept)
• All Redis keys have changed to a lowercase convention (please either migrate or flush your Redis)
• Removed BidAskMinMax indicator (to reduce total package size)
• Removed HilbertPeriod indicator (to reduce total package size)
• Removed HilbertSignalNoiseRatio indicator (to reduce total package size)
• Removed HilbertTransform indicator (to reduce total package size)

Enhancements

• Improved accuracy of clocks for backtests (all clocks will now match generated TimeEvents)
• Improved risk engine checks for reduce_only orders
• Added Actor.request_instruments(...) method
• Added Order.would_reduce_only(...) method
• Extended instrument(s) Req/Res handling for DataClient and `Actor

Fixes

• Fixed memory management for Rust backing structs (now being properly freed)

NautilusTrader 1.157.0 Beta

NautilusTrader 1.157.0 Beta

Released on 24th October 2022 (UTC).

Breaking Changes

• None

Enhancements

• Added experimental local order emulation for all order types (except MARKET and MARKET_TO_LIMIT) see docs
• Added min_latency, max_latency and avg_latency to HttpClient base class

Fixes

• Fixed Binance Spot display_qty for iceberg orders, thanks @jackma
• Fixed Binance HTTP client error logging