NautilusTrader 1.179.0 Beta

NautilusTrader 1.179.0 Beta

Released on 22nd October 2023 (UTC).

A major feature of this release is the ParquetDataCatalog version 2, which represents months of
collective effort thanks to contributions from Brad @limx0, @twitu, @ghill2 and @davidsblom.

This will be the final release with support for Python 3.9.

Enhancements

• Added ParquetDataCatalog v2 supporting built-in data types OrderBookDelta, QuoteTick, TradeTick and Bar
• Added Strategy specific order and position event handlers
• Added ExecAlgorithm specific order and position event handlers
• Added Cache.is_order_pending_cancel_local(...) (tracks local orders in cancel transition)
• Added BinanceTimeInForce.GTD enum member (futures only)
• Added Binance Futures support for GTD orders
• Added Binance internal bar aggregation inference from aggregated trade ticks or 1-MINUTE bars (depending on lookback window)
• Added BinanceExecClientConfig.use_gtd option (to remap to GTC and locally manage GTD orders)
• Added package version check for nautilus_ibapi, thanks @rsmb7z
• Added RiskEngine min/max instrument notional limit checks
• Added Controller for dynamically controlling actor and strategy instances for a Trader
• Added ReportProvider.generate_fills_report(...) which provides a row per individual fill event, thanks @r3k4mn14r
• Moved indicator registration and data handling down to Actor (now available for Actor)
• Implemented Binance WebSocketClient live subscribe and unsubscribe
• Implemented BinanceCommonDataClient retries for update_instruments
• Decythonized Trader

Breaking Changes

• Renamed BookType.L1_TBBO to BookType.L1_MBP (more accurate definition, as L1 is the top-level price either side)
• Renamed VenueStatusUpdate -> VenueStatus
• Renamed InstrumentStatusUpdate -> InstrumentStatus
• Renamed Actor.subscribe_venue_status_updates(...) to Actor.subscribe_venue_status(...)
• Renamed Actor.subscribe_instrument_status_updates(...) to Actor.subscribe_instrument_status(...)
• Renamed Actor.unsubscribe_venue_status_updates(...) to Actor.unsubscribe_venue_status(...)
• Renamed Actor.unsubscribe_instrument_status_updates(...) to Actor.unsubscribe_instrument_status(...)
• Renamed Actor.on_venue_status_update(...) to Actor.on_venue_status(...)
• Renamed Actor.on_instrument_status_update(...) to Actor.on_instrument_status(...)
• Changed InstrumentStatus fields/schema and constructor
• Moved manage_gtd_expiry from Strategy.submit_order(...) and Strategy.submit_order_list(...) to StrategyConfig (simpler and allows re-activiting any GTD timers on start)

Fixes

• Fixed LimitIfTouchedOrder.create (exec_algorithm_params were not being passed in)
• Fixed OrderEmulator start-up processing of OTO contingent orders (when position from parent is open)
• Fixed SandboxExecutionClientConfig kw_only=True to allow importing without initializing
• Fixed OrderBook pickling (did not include all attributes), thanks @limx0
• Fixed open position snapshots race condition (added open_only flag)
• Fixed Strategy.cancel_order for orders in INITIALIZED state and with an emulation_trigger (was not sending command to OrderEmulator)
• Fixed BinanceWebSocketClient reconnect behavior (reconnect handler was not being called due event loop issue from Rust)
• Fixed Binance instruments missing max notional values, thanks for reporting @AnthonyVince and thanks for fixing @filipmacek
• Fixed Binance Futures fee rates for backtesting
• Fixed Timer missing condition check for non-positive intervals
• Fixed Condition checks involving integers, was previously defaulting to 32-bit and overflowing
• Fixed ReportProvider.generate_order_fills_report(...) which was missing partial fills for orders not in a final FILLED status, thanks @r3k4mn14r