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@github-actions github-actions released this 02 Dec 06:52
v1.181.0
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NautilusTrader 1.181.0 Beta

Released on 2nd December (UTC).

This release adds support for Python 3.12.

Enhancements

  • Rewrote Interactive Brokers integration documentation, many thanks @benjaminsingleton
  • Added Interactive Brokers adapter support for crypto instruments with cash quantity, thanks @benjaminsingleton
  • Added HistoricInteractiveBrokerClient, thanks @benjaminsingleton and @limx0
  • Added DataEngineConfig.time_bars_interval_type (determines the type of interval used for time aggregation left-open or right-open)
  • Added LoggingConfig.log_colors to optionally use ANSI codes to produce colored logs (default true to retain current behavior)
  • Added QuoteTickDataWrangler.process_bar_data options for offset_interval_ms and timestamp_is_close
  • Added identifier generators in Rust, thanks @filipmacek
  • Added OrderFactory in Rust, thanks @filipmacek
  • Added WilderMovingAverage in Rust, thanks @ayush-sb
  • Added HullMovingAverage in Rust, thanks @ayush-sb
  • Added all common identifier generators in Rust, thanks @filipmacek
  • Added generic SQL database support with sqlx in Rust, thanks @filipmacek

Breaking Changes

  • Consolidated all data submodules into one data module (reduce binary wheel size)
  • Moved OrderBook from model.orderbook.book to model.book (subpackage only had this single module)
  • Moved Currency from model.currency to model.objects (consolidating modules to reduce binary wheel size)
  • Moved MessageBus from common.msgbus to common.component (consolidating modules to reduce binary wheel size)
  • Moved MsgSpecSerializer from serialization.msgpack.serializer to serialization.serializer
  • Moved CacheConfig snapshot_orders, snapshot_positions, snapshot_positions_interval to NautilusKernelConfig (logical applicability)
  • Renamed MsgPackSerializer to MsgSpecSeralizer (now handles both JSON and MsgPack formats)

Fixes

  • Fixed missing trader_id in Position dictionary representation, thanks @filipmacek
  • Fixed conversion of fixed precision integers to floats (should be dividing to avoid rounding errors), thanks for reporting @filipmacek
  • Fixed daily timestamp parsing for Interactive Brokers, thanks @benjaminsingleton
  • Fixed live reconciliation trade processing for partially filled then canceled orders
  • Fixed RiskEngine cumulative notional risk check for CurrencyPair SELL orders on multi-currency cash accounts

Contributors

limx0, benjaminsingleton, and 2 other contributors
Assets 18
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