NautilusTrader 1.176.0 Beta

NautilusTrader 1.176.0 Beta

Released on 31st July 2023 (UTC).

Enhancements

• Implemented string interning with the ustr library, thanks @twitu
• Added SyntheticInstrument capability, including dynamic derivation formulas
• Added Order.commissions() convenience method (also added to state snapshot dictionaries)
• Added Cache position and order state snapshots (configure via CacheConfig)
• Added CacheDatabaseConfig.timestamps_as_iso8601 to persist timestamps as ISO 8601 strings
• Added LiveExecEngineConfig.filter_position_reports to filter position reports from reconciliation
• Added Strategy.cancel_gtd_expiry to cancel managed GTD order expiration
• Added Binance Futures support for modifying LIMIT orders
• Added BinanceExecClientConfig.max_retries option (for retrying order submit and cancel requests)
• Added BinanceExecClientConfig.retry_delay option (the delay between retry attempts)
• Added BinanceExecClientConfig.use_reduce_only option (default true to retain current behavior)
• Added BinanceExecClientConfig.use_position_ids option (default true to retain current behavior)
• Added BinanceExecClientConfig.treat_expired_as_canceled option (default false to retain current behavior)
• Added BacktestVenueConfig.use_reduct_only option (default true to retain current behaviour)
• Added MessageBus.is_pending_request(...) method
• Added Level API for core OrderBook (exposes the bid and ask levels for the order book)
• Added Actor.is_pending_request(...) convenience method
• Added Actor.has_pending_requests() convenience method
• Added Actor.pending_requests() convenience method
• Added USDP (Pax Dollar) and TUSD (TrueUSD) stablecoins
• Improved OrderMatchingEngine handling when no fills (an error is now logged)
• Improved Binance live clients logging
• Upgraded Cython to 3.0.0 stable

Breaking Changes

• Moved filter_unclaimed_external_orders from ExecEngineConfig to LiveExecEngineConfig
• All Actor.request_* methods no longer take a request_id, but now return a UUID4 request ID
• Removed BinanceExecClientConfig.warn_gtd_to_gtd (now always an INFO level log)
• Renamed Instrument.native_symbol to raw_symbol (you must manually migrate or flush your cached instruments)
• Renamed Position.cost_currency to settlement_currency (standardize terminology)
• Renamed CacheDatabaseConfig.flush to flush_on_start (for clarity)
• Changed Order.ts_last to represent the UNIX nanoseconds timestamp of the last event (rather than fill)

Fixes

• Fixed Portfolio.net_position calculation to use Decimal rather than float to avoid rounding errors
• Fixed race condition on OrderFactory order identifiers generation
• Fixed dictionary representation of orders for venue_order_id (for three order types)
• Fixed Currency registration with core global map on creation
• Fixed serialization of OrderInitialized.exec_algorithm_params to spec (bytes rather than string)
• Fixed assignment of position IDs for contingency orders (when parent filled)
• Fixed PENDING_CANCEL -> EXPIRED as valid state transition (real world possibility)
• Fixed fill handling of reduce_only orders when partially filled
• Fixed Binance reconciliation which was requesting reports for the same symbol multiple times
• Fixed Binance Futures native symbol parsing (was actually Nautilus symbol values)
• Fixed Binance Futures PositionStatusReport parsing of position side
• Fixed Binance Futures TradeReport assignment of position ID (was hardcoded to hedging mode)
• Fixed Binance execution submitting of order lists
• Fixed Binance commission rates requests for InstrumentProvider
• Fixed Binance TriggerType parsing nautechsystems#1154, thanks for reporting @davidblom603
• Fixed Binance order parsing of invalid orders in execution reports nautechsystems#1157, thanks for reporting @graceyangfan
• Fixed BinanceOrderType members to include undocumented INSURANCE_FUND, thanks for reporting @Tzumx
• Extended BinanceSpotPermissions enum members nautechsystems#1161, thanks for reporting @davidblom603