NautilusTrader 1.123.0 Beta

NautilusTrader 1.123.0 Beta - Release Notes

A major feature of this release is a complete re-design of serialization for the
platform, along with initial support for the Parquet format.
The MessagePack serialization functionality has been refined and retained.

In the interests of explicitness there is now a convention that timestamps are
named either timestamp_ns, or prepended with ts. Timestamps which are
represented with an int64 are always in nanosecond resolution, and appended
with _ns accordingly.

Initial scaffolding for new backtest data tooling has been added.

Breaking Changes

• Renamed OrderState.PENDING_REPLACE to OrderState.PENDING_UPDATE
• Renamed timestamp_origin_ns to ts_event_ns.
• Renamed timestamp_ns for data to ts_recv_ns.
• Renamed updated_ns to ts_updated_ns.
• Renamed submitted_ns to ts_submitted_ns.
• Renamed rejected_ns to ts_rejected_ns.
• Renamed accepted_ns to ts_accepted_ns.
• Renamed pending_ns to ts_pending_ns.
• Renamed canceled_ns to ts_canceled_ns.
• Renamed triggered_ns to ts_triggered_ns.
• Renamed expired_ns to ts_expired_ns.
• Renamed execution_ns to ts_filled_ns.
• Renamed OrderBookLevel to BookLevel.
• Renamed Order.volume to Order.size.

Enhancements

• Adapter dependencies are now optional extras at installation.
• Added arrow/parquet serialization.
• Added object to_dict() and from_dict() methods.
• Added Order.is_pending_update.
• Added Order.is_pending_cancel.
• Added run_analysis config option for BacktestEngine.
• Removed TradeMatchId in favour of bare string.
• Removed redundant conversion to pd.Timestamp when checking timestamps.
• Removed redundant data to_serializable_str methods.
• Removed redundant data from_serializable_str methods.
• Removed redundant __ne__ implementations.
• Removed redundant MsgPackSerializer cruft.
• Removed redundant ObjectCache and IdentifierCache.
• Removed redundant string constants.

Fixes

• Fixed millis to nanos in CCXTExecutionClient.
• Added missing trigger to UpdateOrder handling.
• Removed all import *.

NautilusTrader 1.122.0 Beta

NautilusTrader 1.122.0 Beta - Release Notes

This release includes numerous breaking changes with a view to enhancing the core
functionality and API of the platform. The data and execution caches have been
unified for simplicity. There have also been large changes to the accounting
functionality, with 'hooks' added in preparation for accurate calculation and
handling of margins.

Breaking Changes

• Renamed Account.balance() to Account.balance_total().
• ConsolidatedTradingStrategy.data into TradingStrategy.cache.
• Consolidated TradingStrategy.execution into TradingStrategy.cache.
• Moved redis subpackage into infrastructure.
• Moved some accounting methods back to Instrument.
• Removed Instrument.market_value().
• Renamed Portfolio.market_values() to Portfolio.net_exposures().
• Renamed Portfolio.market_value() to Portfolio.net_exposure().
• Renamed InMemoryExecutionDatabase to BypassCacheDatabase.
• Renamed Position.relative_qty to Position.net_qty.
• Renamed default_currency to base_currency.
• Removed cost_currency property from Instrument.

Enhancements

• ExecutionClient now has the option of calculating account state.
• Unified data and execution caches into single Cache.
• Improved configuration options and naming.
• Simplified Portfolio component registration.
• Simplified wiring of Cache into components.
• Added repr to execution messages.
• Added AccountType enum.
• Added cost_currency to Position.
• Added get_cost_currency() to Instrument.
• Added get_base_currency() to Instrument.

Fixes

• Fixed Order.is_working for PENDING_CANCEL and PENDING_REPLACE states.
• Fixed loss of precision for nanosecond timestamps in Redis.
• Fixed state reconciliation when uninstantiated client.

NautilusTrader 1.121.0 Beta

NautilusTrader 1.121.0 Beta - Release Notes

In this release there has been a major change to the use of inlines for method
signatures. From the Cython docs:
"Note that class-level cdef functions are handled via a virtual function table
so the compiler won’t be able to inline them in almost all cases.".
https://cython.readthedocs.io/en/latest/src/userguide/pyrex_differences.html?highlight=inline.

It has been found that adding inline to method signatures makes no difference
to the performance of the system - and so they have been removed to reduce
'noise' and simplify the codebase. Please note that the use of inline for
module level functions will be passed to the C compiler with the expected
result of inlining the function.

Breaking Changes

• BacktestEngine.add_venue added venue_type to method params.
• ExecutionClient added venue_type to constructor params.
• TraderId instantiation.
• StrategyId instantiation.
• Instrument serialization.

Enhancements

• Portfolio pending calculations if data not immediately available.
• Added instruments subpackage with expanded class definitions.
• Added timestamp_origin_ns timestamp when originally occurred.
• Added AccountState.is_reported flagging if reported by exchange or calculated.
• Simplified TraderId and StrategyId identifiers.
• Improved ExecutionEngine order routing.
• Improved ExecutionEngine client registration.
• Added order routing configuration.
• Added VenueType enum and parser.
• Improved param typing for identifier generators.
• Improved log formatting of Money and Quantity thousands commas.

Fixes

• CCXT TICK_SIZE precision mode - size precisions (BitMEX, FTX).
• State reconciliation (various bugs).

NautilusTrader 1.120.0 Beta

NautilusTrader 1.120.0 Beta - Release Notes

This release focuses on simplifications and enhancements of existing machinery.

Breaking Changes

• Position now requires an Instrument param.
• is_inverse removed from OrderFilled.
• ClientId removed from TradingCommand and subclasses.
• AccountId removed from TradingCommand and subclasses.
• TradingCommand serialization.

Enhancements

• Add Instrument methods to ExecutionCache.
• Add Venue filter to cache queries.
• Move order validations into RiskEngine.
• Refactor RiskEngine.
• Remove routing type information from identifiers.

Fixes

None

NautilusTrader 1.119.0 Beta

NautilusTrader 1.119.0 Beta - Release Notes

This release applies another major refactoring to the value object API for
BaseDecimal and its subclasses Price and Quantity. Previously a precision
was not explicitly required when passing in a decimal.Decimal type which
sometimes resulted in unexpected behavior when a user passed in a decimal with
a very large precision (when wrapping a float with decimal.Decimal).

Convenience methods have been added to Price and Quantity where precision
is implicitly zero for ints, or implied in the number of digits after the '.'
point for strings. Convenience methods have also been added to Instrument to
assist the UX.

The serialization of Money has been improved with the inclusion of the
currency code in the string delimited by whitespace. This avoids an additional
field for the currency code.

RiskEngine has been rewired ahead of ExecutionEngine which clarifies areas
of responsibility and cleans up the registration sequence and allows a more
natural flow of command and event messages.

Breaking Changes

• Serializations involving Money.
• Changed usage of Price and Quantity.
• Renamed BypassExecutionDatabase to InMemoryExecutionDatabase.

Enhancements

• Rewired RiskEngine and ExecutionEngine sequence.
• Added Instrument database operations.
• Added MsgPackInstrumentSerializer.
• Added Price.from_str().
• Added Price.from_int().
• Added Quantity.zero().
• Added Quantity.from_str().
• Added Quantity.from_int().
• Added Instrument.make_price().
• Added Instrument.make_qty().
• Improved serialization of Money.

Fixes

• Handling of precision for decimal.Decimal values passed to value objects.

NautilusTrader 1.118.0 Beta

NautilusTrader 1.118.0 Beta - Release Notes

This release simplifies the backtesting workflow by removing the need for the
intermediate BacktestDataContainer. There has also been some simplifications
for OrderFill events, as well as additional order states and events.

Breaking Changes

• Standardized all 'cancelled' references to 'canceled'.
• SimulatedExchange no longer generates OrderAccepted for MarketOrder.
• Removed redundant BacktestDataContainer.
• Removed redundant OrderFilled.cum_qty.
• Removed redundant OrderFilled.leaves_qty.
• BacktestEngine constructor simplified.
• BacktestMarketDataClient no longer needs instruments.
• Rename PerformanceAnalyzer.get_realized_pnls to .realized_pnls.

Enhancements

• Re-engineered BacktestEngine to take data directly.
• Added OrderState.PENDING_CANCEL.
• Added OrderState.PENDING_REPLACE.
• Added OrderPendingReplace event.
• Added OrderPendingCancel event.
• Added OrderFilled.is_buy property (with corresponding is_buy_c() fast method).
• Added OrderFilled.is_sell property (with corresponding is_sell_c() fast method).
• Added Position.is_opposite_side(OrderSide side) convenience method.
• Modified the Order FSM and event handling for the above.
• Consolidated event generation into ExecutionClient base class.
• Refactored SimulatedExchange for greater clarity.

Fixes

• ExecutionCache positions open queries.
• Exchange accounting for exchange OMSType.NETTING.
• Position flipping logic for exchange OMSType.NETTING.
• Multi-currency account terminology.
• Windows wheel packaging.
• Windows path errors.

NautilusTrader 1.117.0 Beta

NautilusTrader 1.117.0 Beta - Release Notes

The major thrust of this release is added support for order book data in
backtests. The SimulatedExchange now maintains order books of each instrument
and will accurately simulate market impact with L2/L3 data. For quote and trade
tick data a L1 order book is used as a proxy. A future release will include
improved fill modelling assumptions and customizations.

Breaking Changes

• OrderBook.create now takes Instrument and OrderBookLevel.

Enhancements

• SimulatedExchange now maintains order books internally.
• LiveLogger now exhibits better blocking behavior and logging.

Fixes

• Various patches to the Betfair adapter.
• Documentation builds.

NautilusTrader 1.116.1 Beta

NautilusTrader 1.116.1 Beta - Release Notes

Announcing official Windows 64-bit support.

Several bugs have been identified and fixed.

Breaking Changes

None

Enhancements

• Performance test refactoring.
• Remove redundant performance harness.
• Add Queue.peek() to high-performance queue.
• GitHub action refactoring, CI for Windows.
• Builds for 32-bit platforms.

Fixes

• OrderBook.create for OrderBookLevel.L3 now returns correct book.
• Betfair handling of execution IDs.

NautilusTrader 1.116.0 Beta

NautilusTrader 1.116.0 Beta - Release Notes

This release includes substantial breaking changes.

Further fundamental changes to the core API have been made.

Breaking Changes

• Introduce ClientId for data and execution client identification.
• Standardize client IDs to upper case.
• Rename OrderBookOperation to OrderBookDelta.
• Rename OrderBookOperations to OrderBookDeltas.
• Rename OrderBookOperationType to OrderBookDeltaType.

Enhancements

None

Fixes

None

NautilusTrader 1.115.0 Beta

NautilusTrader 1.115.0 Beta - Release Notes

This release includes substantial breaking changes.

Due to recent feedback and much further thought - a major renaming has been carried
out involving order identifiers. The Order is the only domain object in the
model which is identified with more than one ID. Due to this, more explicitness
helps to ensure correct logic. Previously the OrderId was
implicitly assumed to be the one assigned by the trading venue. This has been
clarified by renaming the identifier to VenueOrderId. Following this, it no
longer made sense to refer to it through Order.id, and so this was changed to
its full name Order.venue_order_id. This naturally resulted in ClientOrderId(s)
being renamed in properties and variables from cl_ord_id to client_order_id.

Breaking Changes

• Rename OrderId to VenueOrderId.
• Rename Order.id to Order.venue_order_id.
• Rename Order.cl_ord_id to Order.client_order_id.
• Rename AssetClass.STOCK to AssetClass.EQUITY.
• Remove redundant flag generate_position_ids (handled by OMSType).

Enhancements

• Introduce integration for Betfair.
• Add AssetClass.METAL and AssetClass.ENERGY.
• Add VenueStatusEvent, InstrumentStatusEvent and InstrumentClosePrice.
• Usage of np.ndarray to improve function and indicator performance.

Fixes

• LiveLogger log message when blocking.