NautilusTrader 1.156.0 Beta

NautilusTrader 1.156.0 Beta

Released on 19th October 2022 (UTC).

This will be the final release with support for Python 3.8.

Breaking Changes

• Added OrderSide.NONE enum variant
• Added PositionSide.NONE enum variant
• Changed order of TriggerType enum variants
• Renamed AggressorSide.UNKNOWN -> AggressorSide.NONE (for consistency with other enums)
• Renamed Order.type to Order.order_type (reduces ambiguity and aligns with Rust struct field)
• Renamed OrderInitialized.type to OrderInitialized.order_type reduces ambiguity)
• Renamed Bar.type to Bar.bar_type (reduces ambiguity and aligns with Rust struct field)
• Removed redundant check_position_exists flag
• Removed hyperopt as considered unmaintained and there are better options
• Existing pickled data for QuoteTick is now invalid (change to schema for correctness)
• Existing catalog data for OrderInitialized is now invalid (change to schema for emulation)

Enhancements

• Added configurable automated in-flight order status checks
• Added order side filter to numerous cache order methods
• Added position side filter to numerous cache position methods
• Added optional order_side to cancel_all_orders strategy method
• Added optional position_side to close_all_positions strategy method
• Added support for Binance Spot second bars
• Added RelativeVolatilityIndex indicator, thanks @graceyangfan
• Extracted OrderMatchingEngine from SimulatedExchange with refinements
• Extracted MatchingCore from OrderMatchingEngine
• Improved HTTP error handling and client logging (messages now contain reason)

Fixes

• Fixed price and size precision validation for QuoteTick from raw values
• Fixed IB adapter data parsing for decimal precision
• Fixed HTTP error handling and releasing of response coroutines, thanks @jackma
• Fixed Position calculations and account for when any base currency == commission currency, thanks @jackma

NautilusTrader 1.155.0 Beta

NautilusTrader 1.155.0 Beta

Released on September 15th 2022 (UTC).

This is an early release to address some parsing bugs in the FTX adapter.

Breaking Changes

None

Enhancements

None

Fixes

• Fixed parsing bug for FTX futures
• Fixed parsing bug for FTX Bar

NautilusTrader 1.154.0 Beta

NautilusTrader 1.154.0 Beta

Released on September 14th 2022 (UTC).

Breaking Changes

• Changed ExecEngineConfig allow_cash_positions default to True (more typical use case)
• Removed check param from Bar (always checked for simplicity)

Enhancements

• Added MARKET_TO_LIMIT order implementation for SimulatedExchange
• Make strategy order_id_tag truly optional and auto incrementing
• Added PsychologicalLine indicator, thanks @graceyangfan
• Added initial Rust parquet integration, thanks @twitu and @ghill2
• Added validation for setting leverages on CASH accounts
• De-cythonized live data and execution client base classes for usability

Fixes

• Fixed limit order IOC and FOK behaviour, 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:
  • LIMIT_IF_TOUCHED
  • MARKET_IF_TOUCHED
  • MARKET_TO_LIMIT
  • STOP_LIMIT

NautilusTrader 1.153.0 Beta

NautilusTrader 1.153.0 Beta

Released on September 6th 2022 (UTC).

Breaking Changes

None

Enhancements

• Added trigger orders for FTX adapter
• Improved BinanceBar to handle enormous quote volumes
• Improved robustness of instrument parsing for Binance and FTX adapters
• Improved robustness of WebSocket message handling for Binance and FTX adapters
• Added override_usd option for FTX adapter
• Added log_warnings config option for Binance and FTX instrument providers
• Added TRD_GRP_005 enum variant for Binance spot permissions

Fixes

• Fixed bar aggregator partial bar handling
• Fixed CurrencyType variants in Rust
• Fixed missing encoding in Catalog parsing method, thanks @limx0 and @aviatorBeijing

NautilusTrader 1.152.0 Beta

NautilusTrader 1.152.0 Beta

Released on September 1st 2022 (UTC).

Breaking Changes

• Renamed offset_type to trailing_offset_type
• Renamed is_frozen_account -> frozen_account
• Removed bar_execution from config API (implicitly turned on with bars currently)

Enhancements

• Added TRAILING_STOP_MARKET order implementation for SimulatedExchange
• Added TRAILING_STOP_LIMIT order implementation for SimulatedExchange
• Added all simulated exchange options to BacktestVenueConfig

Fixes

• Fixed creation and caching of order book on subscribing to deltas, thanks @limx0
• Fixed use of LoopTimer in live clock for trading node, thanks @sidnvy
• Fixed order cancels for IB adapter, thanks @limx0

NautilusTrader 1.151.0 Beta

NautilusTrader 1.151.0 Beta

Released on August 22nd 2022 (UTC).

Breaking Changes

None

Enhancements

• Added on_historical_data method with wiring for functionality
• Added 'unthrottled' 0ms order book updates for Binance Futures
• Improved robustness of WebSocketClient base during reconnects

Fixes

• Fixed sdist includes for Rust Cargo files (fixes pip installs)
• Fixed LatencyModel integer overflows, thanks @limx0
• Fixed parsing of Binance Futures FUNDING_FEE updates
• Fixed asyncio.tasks.gather for Python 3.10+

NautilusTrader 1.150.0 Beta

NautilusTrader 1.150.0 Beta

Released on August 15th 2022 (UTC).

Breaking Changes

• BacktestEngine now required venues to be added prior to instruments
• BacktestEngine now requires instruments to be added prior to data
• Renamed Ladder.reverse -> Ladder.is_reversed
• Portfolio performance now displays commissions as a negative

Enhancements

• Added initial backtest config validation for instrument vs venue
• Added initial sandbox execution client, thanks @limx0
• Added leverage options for BacktestVenueConfig, thanks @miller-moore
• Allow Trader to run without strategies loaded
• Integrated core Rust clock and timer
• De-cythonize InstrumentProvider base class

Fixes

• Fixed double counting of commissions for single-currency and multi-currency accounts #657

NautilusTrader 1.149.0 Beta

NautilusTrader 1.149.0 Beta

Released on 27th June 2022 (UTC).

Breaking Changes

• Schema change for Instrument.info for ParquetDataCatalog

Enhancements

• Added DirectionalMovementIndicator indicator, thanks @graceyangfan
• Added KlingerVolumeOscillator indicator, thanks @graceyangfan
• Added clientId and start_gateway for IB config, thanks @niks199

Fixes

• Fixed macOS ARM64 build
• Fixed Binance testnet URL
• Fixed IB contract ID dict, thanks @niks199
• Fixed IB InstrumentProvider #685, thanks @limx0
• Fixed IB orderbook snapshots L1 value assertion #712 , thanks @limx0

NautilusTrader 1.148.0 Beta

NautilusTrader 1.148.0 Beta

Released on 30th June 2022 (UTC).

Breaking Changes

None

Enhancements

• Ported core bar objects to Rust thanks @ghill2
• Improved core unix_nanos_to_iso8601 performance by 30% thanks @ghill2
• Added DataCatalog interface for ParquetDataCatalog thanks @jordanparker6
• Added AroonOscillator indicator thanks @graceyangfan
• Added ArcherMovingAveragesTrends indicator thanks @graceyangfan
• Added DoubleExponentialMovingAverage indicator thanks @graceyangfan
• Added WilderMovingAverage indicator thanks @graceyangfan
• Added ChandeMomentumOscillator indicator thanks @graceyangfan
• Added VerticalHorizontalFilter indicator thanks @graceyangfan
• Added Bias indicator thanks @graceyangfan

Fixes

None

NautilusTrader 1.147.1 Beta

NautilusTrader 1.147.1 Beta

Released on 6th June 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed incorrect backtest log timestamps (was using actual time)
• Fixed formatting of timestamps for nanoseconds zulu as per RFC3339