Release 1.186.0

See release notes.

.pre-commit-config.yaml

@@ -45,7 +45,7 @@ repos:
     hooks:
       - id: fmt
         name: cargo fmt
-        description: Format files with cargo fmt (nightly toolchain).
+        description: Format files with cargo fmt.
         entry: cargo fmt
         language: system
         types: [rust]
@@ -73,7 +73,7 @@ repos:
         types: [python]
 
   - repo: https://github.com/psf/black
-    rev: 23.12.1
+    rev: 24.1.1
     hooks:
       - id: black
         types_or: [python, pyi]
@@ -82,7 +82,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.1.14
+    rev: v0.1.15
     hooks:
       - id: ruff
         args: ["--fix"]

Makefile

@@ -10,7 +10,7 @@ install:
 
 .PHONY: install-debug
 install-debug:
-	BUILD_MODE=debug poetry install --with dev,test --all-extras
+	BUILD_MODE=debug poetry install --with dev,test --all-extras --sync
 
 .PHONY: install-just-deps
 install-just-deps:
@@ -82,7 +82,7 @@ cargo-build:
 
 .PHONY: cargo-update
 cargo-update:
-	(cd nautilus_core && cargo update && cargo install cargo-nextest)
+	(cd nautilus_core && cargo update && cargo install cargo-nextest && cargo install cargo-llvm-cov)
 
 .PHONY: cargo-test
 cargo-test:
@@ -92,9 +92,17 @@ cargo-test:
 	fi
 	RUST_BACKTRACE=1 && (cd nautilus_core && cargo nextest run --workspace --exclude tokio-tungstenite)
 
-.PHONY: cargo-test-nightly
-cargo-test-nightly:
-	RUST_BACKTRACE=1 && (cd nautilus_core && cargo +nightly test)
+.PHONY: cargo-test-coverage
+cargo-test-coverage:
+	@if ! cargo nextest --version >/dev/null 2>&1; then \
+		echo "cargo-nextest is not installed. You can install it using 'cargo install cargo-nextest'"; \
+		exit 1; \
+	fi
+	@if ! cargo llvm-cov --version >/dev/null 2>&1; then \
+		echo "cargo-llvm-cov is not installed. You can install it using 'cargo install cargo-llvm-cov'"; \
+		exit 1; \
+	fi
+	RUST_BACKTRACE=1 && (cd nautilus_core && cargo llvm-cov nextest run --workspace --exclude tokio-tungstenite)
 
 .PHONY: cargo-bench
 cargo-bench:

RELEASES.md

@@ -1,3 +1,21 @@
+# NautilusTrader 1.186.0 Beta
+
+Released on 2nd February 2024 (UTC).
+
+### Enhancements
+None
+
+### Breaking Changes
+None
+
+### Fixes
+- Fixed Interactive Brokers get account positions bug (#1475), thanks @benjaminsingleton
+- Fixed `TimeBarAggregator` handling of interval types on build
+- Fixed `BinanceSpotExecutionClient` non-existent method name, thanks @sunlei
+- Fixed unused `psutil` import, thanks @sunlei
+
+---
+
 # NautilusTrader 1.185.0 Beta
 
 Released on 26th January 2024 (UTC).

build.py

@@ -1,12 +1,12 @@
 #!/usr/bin/env python3
 
+import datetime
 import itertools
 import os
 import platform
 import shutil
 import subprocess
 import sysconfig
-from datetime import datetime
 from pathlib import Path
 
 import numpy as np
@@ -350,7 +350,7 @@ def build() -> None:
     print(f"PYO3_ONLY={PYO3_ONLY}\n")
 
     print("Starting build...")
-    ts_start = datetime.utcnow()
+    ts_start = datetime.datetime.now(datetime.timezone.utc)
     build()
-    print(f"Build time: {datetime.utcnow() - ts_start}")
+    print(f"Build time: {datetime.datetime.now(datetime.timezone.utc) - ts_start}")
     print("\033[32m" + "Build completed" + "\033[0m")

docs/getting_started/installation.md

@@ -22,8 +22,7 @@ To install the latest binary wheel (or sdist package) from PyPI using Pythons _p
 Install optional dependencies as 'extras' for specific integrations:
 
 - `betfair`: Betfair adapter (integration)
-- `databento`: Databento adapter (integration)
-- `docker`: Needed for Docker when using the IB gateway
+- `docker`: Needed for Docker when using the IB gateway (with the Interactive Brokers adapter)
 - `ib`: Interactive Brokers adapter
 
 To install with specific extras using _pip_:

examples/live/databento/databento_subscriber.py

@@ -26,10 +26,11 @@
 from nautilus_trader.config.common import StrategyConfig
 from nautilus_trader.live.node import TradingNode
 from nautilus_trader.model.book import OrderBook
+
+# from nautilus_trader.model.data import BarType
 from nautilus_trader.model.data import OrderBookDeltas
 from nautilus_trader.model.data import QuoteTick
 from nautilus_trader.model.data import TradeTick
-from nautilus_trader.model.enums import BookType
 from nautilus_trader.model.identifiers import InstrumentId
 from nautilus_trader.model.identifiers import TraderId
 from nautilus_trader.trading.strategy import Strategy
@@ -41,8 +42,8 @@
 # For correct subscription operation, you must specify all instruments to be immediately
 # subscribed for as part of the data client configuration
 instrument_ids = [
-    # InstrumentId.from_str("AAPL.XCHI"),
-    # InstrumentId.from_str("ESH4.GLBX"),
+    InstrumentId.from_str("AAPL.XCHI"),
+    InstrumentId.from_str("ESH4.GLBX"),
     InstrumentId.from_str("ESM4.GLBX"),
 ]
 
@@ -80,6 +81,7 @@
             http_gateway=None,
             instrument_provider=InstrumentProviderConfig(load_all=True),
             instrument_ids=instrument_ids,
+            parent_symbols={"GLBX.MDP3": {"ES.FUT", "ES.OPT"}},
         ),
     },
     timeout_connection=10.0,
@@ -128,7 +130,7 @@ def on_start(self) -> None:
         """
         Actions to be performed when the strategy is started.
 
-        Here we specify the 'DATABENTO' client for subscriptions.
+        Here we specify the 'DATABENTO' client_id for subscriptions.
 
         """
         for instrument_id in self.instrument_ids:
@@ -137,15 +139,15 @@ def on_start(self) -> None:
             #     book_type=BookType.L3_MBO,
             #     client_id=DATABENTO_CLIENT_ID,
             # )
-            self.subscribe_order_book_snapshots(
-                instrument_id=instrument_id,
-                book_type=BookType.L2_MBP,
-                depth=10,
-                client_id=DATABENTO_CLIENT_ID,
-                interval_ms=100,
-            )
-            # self.subscribe_quote_ticks(instrument_id, client_id=DATABENTO_CLIENT_ID)
-            # self.subscribe_trade_ticks(instrument_id, client_id=DATABENTO_CLIENT_ID)
+            # self.subscribe_order_book_snapshots(
+            #     instrument_id=instrument_id,
+            #     book_type=BookType.L2_MBP,
+            #     depth=10,
+            #     client_id=DATABENTO_CLIENT_ID,
+            #     interval_ms=100,
+            # )
+            self.subscribe_quote_ticks(instrument_id, client_id=DATABENTO_CLIENT_ID)
+            self.subscribe_trade_ticks(instrument_id, client_id=DATABENTO_CLIENT_ID)
             # self.request_quote_ticks(instrument_id)
             # self.request_trade_ticks(instrument_id)
             # self.request_bars(BarType.from_str(f"{instrument_id}-1-MINUTE-LAST-EXTERNAL"))