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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 - 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 - 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 - 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.

NautilusTrader 1.114.0 Beta - Release Notes

This release includes substantial breaking changes.

Further standardization of naming conventions along with internal refinements and fixes.

Breaking Changes

  • Rename AmendOrder to UpdateOrder.
  • Rename OrderAmended to OrderUpdated.
  • Rename amend and amended related methods to update and updated.
  • Rename OrderCancelReject to OrderCancelRejected (standardize tense).

Enhancements

  • Improve efficiency of data wrangling.
  • Simplify Logger and general system logging.
  • Add stdout and stderr log streams with configuration.
  • Add OrderBookData base class.

Fixes

  • Backtest handling of GenericData and OrderBook related data.
  • Backtest DataClient creation logic prevented client registering.

NautilusTrader 1.113.0 Beta - Release Notes

This release includes substantial breaking changes.

Further standardization of naming conventions along with internal refinements and fixes.

Breaking Changes

  • Rename AmendOrder to UpdateOrder.
  • Rename OrderAmended to OrderUpdated.
  • Rename amend and amended related methods to update and updated.
  • Rename OrderCancelReject to OrderCancelRejected (standardize tense).

Enhancements

  • Introduce OrderUpdateRejected, event separated for clarity.
  • Refined LiveLogger: Now runs on event loop with high-performance Queue.
  • Improved flexibility of when strategies are added to a BacktestEngine.
  • Improved checks for VenueOrderId equality when applying order events.

Fixes

  • Removed UNDEFINED enum values. Do not allow invalid values to be represented in the system (prefer throwing exceptions).

NautilusTrader 1.112.0 Beta - Release Notes

This release includes substantial breaking changes.

The platforms internal timestamping has been standardized to nanoseconds. This decision was made to increase the accuracy of backtests to nanosecond precision, improve data handling including order book and custom data for backtesting, and to future-proof the platform to a more professional standard. The top-level user API still takes datetime and timedelta objects for usability.

There has also been some standardization of naming conventions to align more closely with established financial market terminology with reference to the FIX5.0 SP2 specification, and CME MDP 3.0.

Breaking Changes

  • Move BarType into Bar as a property.
  • Change signature of Bar handling methods due to above.
  • Remove Instrument.leverage (incorrect place for concept).
  • Change ExecutionClient.venue as a Venue to ExecutionClient.name as a str.
  • Change serialization of timestamp datatype to int64.
  • Extensive changes to serialization constant names.
  • Rename OrderFilled.filled_qty to OrderFilled.last_qty.
  • Rename OrderFilled.filled_price to OrderFilled.last_px.
  • Rename avg_price to avg_px in methods and properties.
  • Rename avg_open to avg_px_open in methods and properties.
  • Rename avg_close to avg_px_close in methods and properties.
  • Rename Position.relative_quantity to Position.relative_qty.
  • Rename Position.peak_quantity to Position.peak_qty.

Enhancements

  • Standardize nanosecond timestamps.
  • Add time unit conversion functions as found in nautilus_trader.core.datetime.
  • Add optional broker property to Venue to assist with routing.
  • Enhance state reconciliation from both LiveExecutionEngine and LiveExecutionClient.
  • Add internal messages to aid state reconciliation.

Fixes

  • DataCache incorrectly caching bars.

NautilusTrader 1.111.0 Beta - Release Notes

This release adds further enhancements to the platform.

Breaking Changes

None

Enhancements

  • RiskEngine built out including configuration options hook and LiveRiskEngine implementation.
  • Add generic Throttler.
  • Add details dict to instrument_id related requests to cover IB futures contracts.
  • Add missing Fiat currencies.
  • Add additional Crypto currencies.
  • Add ISO 4217 codes.
  • Add currency names.

Fixes

  • Queue put coroutines in live engines when blocking at maxlen was not creating a task on the event loop.

NautilusTrader 1.110.0 Beta - Release Notes

This release applies one more major change to the identifier API. Security has been renamed to InstrumentId for greater clarity that the object is an identifier, and to group the concept of an instrument with its identifier.

Data objects in the framework have been further abstracted to prepare for the handling of custom data in backtests.

A RiskEngine base class has also been scaffolded.

Breaking Changes

  • Security renamed to InstrumentId.
  • Instrument.security renamed to Instrument.id.
  • Data becomes an abstract base class with timestamp and unix_timestamp properties.
  • Data and DataType moved to model.data.
  • on_data methods now take GenericData.

Enhancements

  • Add GenericData.
  • Add Future instrument.

Fixes

None

NautilusTrader 1.109.0 Beta - Release Notes

The main thrust of this release is to refine and further bed down the changes to the identifier model via InstrumentId, and fix some bugs.

Errors in the CCXT clients caused by the last release have been addressed.

Breaking Changes

  • InstrumentId now takes first class value object Symbol.
  • InstrumentId asset_class and asset_type no longer optional.
  • SimulatedExchange.venue changed to SimulatedExchange.id.

Enhancements

  • Ensure TestTimer advances monotonically increase.
  • Add AssetClass.BETTING.

Fixes

  • CCXT data and execution clients regarding instrument_id vs symbol naming.
  • InstrumentId equality and hashing.
  • Various docstrings.

NautilusTrader 1.108.0 Beta - Release Notes

This release executes a major refactoring of Symbol and how securities are generally identified within the platform. This will allow a smoother integration with Interactive Brokers and other exchanges, brokerages and trading counterparties.

Previously the Symbol identifier also included a venue which confused the concept. The replacement Security identifier more clearly expresses the domain with a symbol string, a primary Venue, AssetClass and AssetType properties.

Breaking Changes

  • All previous serializations.
  • Security replaces Symbol with expanded properties.
  • AssetClass.EQUITY changed to AssetClass.STOCK.
  • from_serializable_string changed to from_serializable_str.
  • to_serializable_string changed to to_serializable_str.

Enhancements

  • Reports now include full instrument_id name.
  • Add AssetType.WARRANT.

Fixes

  • StopLimitOrder serialization.

NautilusTrader 1.107.1 Beta - Release Notes

This is a patch release which applies various fixes and refactorings.

The behaviour of the StopLimitOrder continued to be fixed and refined. SimulatedExchange was refactored further to reduce complexity.

Breaking Changes

None

Enhancements

None

Fixes

  • TRIGGERED states in order FSM.
  • StopLimitOrder triggering behaviour.
  • OrderFactory.stop_limit missing post_only and hidden.
  • Order and StopLimitOrder __repr__ string (duplicate id).

NautilusTrader 1.107.0 Beta - Release Notes

The main thrust of this release is to refine some subtleties relating to order matching and amendment behaviour for improved realism. This involved a fairly substantial refactoring of SimulatedExchange to manage its complexity, and support extending the order types.

The post_only flag for LIMIT orders now results in the expected behaviour regarding when a marketable limit order will become a liquidity TAKER during order placement and amendment.

Test coverage was moderately increased.

Breaking Changes

None

Enhancements

  • Refactored SimulatedExchange order matching and amendment logic.
  • Add risk subpackage to group risk components.

Fixes

  • StopLimitOrder triggering behaviour.
  • All flake8 warnings.

NautilusTrader 1.106.0 Beta - Release Notes

The main thrust of this release is to introduce the Interactive Brokers integration, and begin adding platform capabilities to support this effort.

Breaking Changes

  • from_serializable_string methods changed to from_serializable_str.

Enhancements

  • Scaffold Interactive Brokers integration in adapters/ib.
  • Add the Future instrument type.
  • Add the StopLimitOrder order type.
  • Add the Data and DataType types to support custom data handling.
  • Add the InstrumentId identifier types initial implementation to support extending the platforms capabilities.

Fixes

  • BracketOrder correctness.
  • CCXT precision parsing bug.
  • Some log formatting.