A high-performance algorithmic trading platform and event-driven backtester
Released on 20th April 2024 (UTC).
FeeModel including FixedFeeModel and MakerTakerFeeModel (#1584), thanks @rsmb7zTradeTickDataWrangler.process_bar_data (#1585), thanks @rsmb7zLiveTimer efficiency and accuracy with tokio timer under the hoodQuoteTickDataWrangler and TradeTickDataWrangler (#1590), thanks @rsmb7zOrderBook designCacheDatabaseAdapter graceful close and thread joinMessageBus graceful close and thread joinmodify_order error logging when order values remain unchangedRecordFlag enum for Rust and PythonOrderBookDelta params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)OrderBook params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)flags parameter to OrderBook.add
flags parameter to OrderBook.update
flags parameter to OrderBook.delete
info binary fieldCryptoFuture: added is_inverse boolean fieldOrderBookMbo and OrderBookMbp to OrderBook (consolidated)Indicator.handle_book_mbo and Indicator.handle_book_mbp to handle_book (consolidated)register_serializable_object to register_serializable_type (also renames first param from obj to cls)MessageBus pattern resolving (fixes a performance regression where topics published with no subscribers would always re-resolve)BacktestNode streaming data management (was not clearing between chunks), thanks for the report @dpmaboRiskEngine cumulative notional calculations for margin accounts (was incorrectly using base currency when selling)Equity instruments with CASH account and NETTING OMS incorrectly rejecting (should be able to reduce position)Binance bar (kline) to use close_time for ts_event was opentime (#1591), thanks for reporting @OnlyCAccountMarginExceeded error condition (margin must actually be exceeded now, and can be zero)ParquetDataCatalog path globbing which was including all paths with substrings of specified instrument IDsReleased on 22nd March 2024 (UTC).
continuous, parent and instrument_id symbology support (will infer from symbols)DatabaseConfig.timeout config option for timeout seconds to wait for a new connectionLogGuard to ensure global logger is flushed on termination, thanks @ayush-sb and @twituDatabaseConfig.port can now be either a string or integer)InteractiveBrokersEWrapper, thanks @rsmb7zredis crate to 0.25.2 which bumps up TLS dependencies, and turned on tls-rustls-webpki-roots feature flagNone
timestamp and trader_id)DatabaseConfig port JSON parsing for Redis (was always defaulting to 6379)ChandeMomentumOscillator indicator divide by zero error (both Rust and Cython versions)Released on 15th March 2024 (UTC).
OrderMatchingEngine (will now raise a RuntimeError when a price or size precision for OrderFilled does not match the instruments precisions)LoggingConfig.use_pyo3 option for pyo3 based logging initialization (worse performance but allows visibility into logs originating from Rust)exchange field to FuturesContract, FuturesSpread, OptionsContract and OptionsSpread (optional)exchange field for FuturesContract, FuturesSpread, OptionsContract and OptionsSpread
MessageBus handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)MessageBus handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a RuntimeError)Throttler handling of sending messages after messages have been dropped, thanks @davidsblomOrderBookDelta.to_pyo3_list using zero precision from clear deltaDataTransformer.pyo3_order_book_deltas_to_record_batch_bytes using zero precision from clear deltaOrderBookMbo and OrderBookMbp integrity check when crossed bookOrderBookMbp error when attempting to add to a L1_MBP book type (now raises RuntimeError rather than panicking)SimulationModuleConfig location and missing re-export from config subpackageStdoutWriter from also writing error logs (writers were duplicating error logs)BinanceWebSocketClient to new specification which requires responding to pings with a pong containing the pings payloadAccountBalance calculations based on wallet and available balanceExecAlgorithm circular import issue for installed wheels (importing from execution.algorithm was a circular import)Released on 25th February 2024 (UTC).
FuturesSpread instrument typeOptionsSpread instrument typeInstrumentClass.FUTURE_SPREAD
InstrumentClass.OPTION_SPREAD
managed parameter to subscribe_order_book_deltas, default true to retain current behavior (if false then the data engine will not automatically manage a book)managed parameter to subscribe_order_book_snapshots, default true to retain current behavior (if false then the data engine will not automatically manage a book)OrderMatchingEngine (will now reject orders with incorrect price or quantity precisions)interval_ms 20 millisecond limitation for subscribe_order_book_snapshots (i.e. just needs to be positive), although we recommend you consider subscribing to deltas below 100 millisecondsLiveClock and LiveTimer implementations to RustOrderBookDeltas picklingAverageTrueRange in Rust, thanks @rsmb7zTradeId value maximum length to 36 characters (will raise a ValueError if value exceeds the maximum)TradeId memory leak due assigning unique values to the Ustr global string cache (which are never freed for the lifetime of the program)TradeTick size precision for pyo3 conversion (size precision was incorrectly price precision)RiskEngine cash value check when selling (would previously divide quantity by price which is too much), thanks for reporting@AnthonyVinceLiveClock timer behavior for small intervals causing next time to be less than now (timer then would not run)log_level_file (bug introduced in v1.187.0), thanks @twituprint_config config option (was not being passed through to the logging system)TimeEvent timestamps)NETTING positions will generate account balance updates)MessageBus publishable types collection type (needed to be tuple not set)Controller registration of components to ensure all active clocks are iterated correctly during backtestsEquity short selling for CASH accounts (will now reject)ActorFactory.create JSON encoding (was missing the encoding hook)ImportableConfig.create JSON encoding (was missing the encoding hook)ImportableStrategyConfig.create JSON encoding (was missing the encoding hook)ExecAlgorithmFactory.create JSON encoding (was missing the encoding hook)ControllerConfig base class and docstringfreeze_dict function to handle fs_storage_options, thanks @dimitar-petrovReleased on 9th February 2024 (UTC).
strict_symbology option, thanks @rsmb7z and @fhill2config module per subpackage, with re-exports from nautilus_trader.config)BacktestEngine and Trader disposal (now properly releasing resources), thanks for reporting @davidsblomReleased on 2nd February 2024 (UTC).
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TimeBarAggregator handling of interval types on buildBinanceSpotExecutionClient non-existent method name, thanks @sunleipsutil import, thanks @sunleiReleased on 26th January 2024 (UTC).
bypass_logging is set true for a LIVE contextregister_serializable object to also add type to internal _EXTERNAL_PUBLIHSABLE_TYPES
StreamingConfig.include_types type from tuple[str] to list[type] (better alignment with other type filters)clock module into component module (reduce binary wheel size)logging module into component module (reduce binary wheel size)OrderUpdated (trigger_price type was incorrect), thanks @benjaminsingletonStreamingConfig.include_types behavior (was not being honored for instrument writers), thanks for reporting @doublier1ImportableStrategyConfig type assignment in StrategyFactory (#1470), thanks @rsmb7zReleased on 22nd January 2024 (UTC).
LogLevel.OFF (matches the Rust tracing log levels)init_logging function with sensible defaults to initialize the Rust implemented logging systemBinanceFuturesContractType and BinanceFuturesPositionUpdateReason
sysinfo crate (adds swap space metrics and a PID identifier)psutil
clock parameter from Logger (no dependency on Clock anymore)LoggerAdapter to Logger (and removed old Logger class)Logger component_name parameter to name (matches Python built-in logging API)OptionKind kind parameter and property to option_kind (better clarity)OptionsContract Arrow schema field kind to option_kind
level_file log level to OFF (file logging is off by default)DataEngine order book snapshot timer names (could not parse instrument IDs with hyphens), thanks for reporting @x-zho14 and @dimitar-petrovLoggingConfig parsing of WARNING log level (was not being recognized), thanks for reporting @davidsblomQuoteTick parsing to capture event time for ts_event, thanks for reporting @x-zho14Released on 12th January 2024 (UTC).
NautilusConfig.json_primitives to convert object to Python dictionary with JSON primitive valuesInstrumentClass.BOND
MessageBusConfig use_trader_prefix and use_trader_id options (provides more control over stream names)CacheConfig.drop_instruments_on_reset (default true to retain current behavior)log crate, thanks @twituRuntimeError only when needed (not when using TWS), thanks @rsmb7zhyper and reqwest, thanks @ayush-sbParquetDataCatalog custom data prefix from geneticdata_ to custom_ (you will need to rename any catalog subdirs)ComponentStateChanged Arrow schema for config from string to binary
OrderInitialized Arrow schema for options from string to binary
OrderBookDeltas dictionary representation of deltas field from JSON bytes to a list of dict (standardize with all other data types)trader-{trader_id}-{instance_id}-streams (with options allows many traders to publish to the same streams)V2 suffix for clarityGenericData to CustomData (more accurately reflects the nature of the type)DataClient.subscribed_generic_data to .subscribed_custom_data
MessageBusConfig.stream to .streams_prefix (more accurate)ParquetDataCatalog.generic_data to .custom_data
TradeReport to FillReport (more conventional terminology, and more clearly separates market data from user execution reports)asset_type to instrument_class across the codebase (more conventional terminology)AssetType enum to InstrumentClass (more conventional terminology)AssetClass.BOND to AssetClass.DEBT (more conventional terminology)AssetClass.METAL (not strictly an asset class, more a futures category)AssetClass.ENERGY (not strictly an asset class, more a futures category)multiplier param from Equity constructor (not applicable)size_precision, size_increment, and multiplier fields from Equity dictionary representation (not applicable)TracingConfig (now redundant with new logging implementation)Ticker data type and associated methods (not a type which can be practically normalized and so becomes adapter specific generic data)AssetClass.SPORTS_BETTING to InstrumentClass.SPORTS_BETTING
StreamingFeatherWriter
BinanceSpotInstrumentProvider fee loading key error for partial instruments load, thanks for reporting @doublier1BinanceErrorCode.SERVER_BUSY (-1008), also added to the retry error codesBinanceOrderStatus.EXPIRED_IN_MATCH which is when an order was canceled by the exchange due self-trade prevention (STP), thanks for reporting @doublier1Released on 23rd December 2023 (UTC).
CacheDatabaseFacade and CacheDatabaseAdapter to abstract backing technology from Python codebaseRedisCacheDatabase implemented in Rust with separate MPSC channel thread for insert, update and delete operationsOrderBookDelta and OrderBookDeltas to serializable and publishable typesPortfolioFacade to Actor
Actor and Strategy usability to be more lenient to mistaken calls to clock and logger from the constructor (warnings also added to docs)redis and hiredis dependencies from Python codebaseNautilusKernelConfig.trader_id to type TraderId
BacktestDataConfig.instrument_id to type InstrumentId
ActorConfig.component_id to type ComponentId | None
StrategyConfig.strategy_id to type StrategyId | None
Instrument, OrderFilled and AccountState info field serialization due below fix (you'll need to flush your cache)CacheConfig to take a DatabaseConfig (better symmetry with MessageBusConfig)RedisCacheDatabase data structure for currencies from hashset to simpler key-value (you'll need to clear cache or delete all curreny keys)Actor state loading to now use the standard Serializer
register_json_encoding to register_config_encoding
register_json_decoding to register_config_decoding
CacheDatabaseConfig (due above config change)infrastructure subpackage (now redundant with new Rust implementation)json encoding for CacheDatabaseAdapter from info field serialization fix belowInstrument, OrderFilled and AccountState info field serialization to retain JSON serializable dicts (rather than double encoding and losing information)good_till_date value when time_in_force not GTD, such as when strategy is managing the GTD (was incorrectly passing through UNIX milliseconds)Executor handling of queued task IDs (was not discarding from queued tasks on completion)DataEngine handling of order book snapshots with very small intervals (now handles as short as 20 milliseconds)BacktestEngine.clear_actors(), BacktestEngine.clear_strategies() and BacktestEngine.clear_exec_algorithms(), thanks for reporting @davidsblomBacktestEngine OrderEmulator reset, thanks @davidsblomThrottler.reset and reset of RiskEngine throttlers, thanks @davidsblom