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NautilusTrader 1.112.0 Beta
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@github-actions github-actions released this 27 Mar 07:52
v1.112.0
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NautilusTrader 1.112.0 Beta - Release Notes

This release includes substantial breaking changes.

The platforms internal timestamping has been standardized to nanoseconds. This
decision was made to increase the accuracy of backtests to nanosecond precision,
improve data handling including order book and custom data for backtesting, and
to future-proof the platform to a more professional standard. The top level user
API still takes datetime and timedelta objects for usability.

There has also been some standardization of naming conventions to align more
closely with established financial market terminology with reference to the
FIX5.0 SP2 specification, and CME MDP 3.0.

Breaking Changes

  • Move BarType into Bar as a property.
  • Change signature of Bar handling methods due to above.
  • Remove Instrument.leverage (incorrect place for concept).
  • Change ExecutionClient.venue as a Venue to ExecutionClient.name as a str.
  • Change serialization of timestamp datatype to int64.
  • Extensive changes to serialization constant names.
  • Rename OrderFilled.filled_qty to OrderFilled.last_qty.
  • Rename OrderFilled.filled_price to OrderFilled.last_px.
  • Rename avg_price to avg_px in methods and properties.
  • Rename avg_open to avg_px_open in methods and properties.
  • Rename avg_close to avg_px_close in methods and properties.
  • Rename Position.relative_quantity to Position.relative_qty.
  • Rename Position.peak_quantity to Position.peak_qty.

Enhancements

  • Standardize nanosecond timestamps.
  • Add time unit conversion functions as found in nautilus_trader.core.datetime.
  • Add optional broker property to Venue to assist with routing.
  • Enhance state reconciliation from both LiveExecutionEngine and LiveExecutionClient.
  • Add internal messages to aid state reconciliation.

Fixes

  • DataCache incorrectly caching bars.
Assets 9
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