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.

NautilusTrader 1.114.0 Beta

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

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 OrderId 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

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

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

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

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 Security, and fix some bugs.

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

Breaking Changes

• Security now takes first class value object Symbol.
• Security 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 security vs symbol naming.
• Security equality and hashing.
• Various docstrings.

NautilusTrader 1.108.0 Beta

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 security name.
• Add AssetType.WARRANT.

Fixes

• StopLimitOrder serialization.

NautilusTrader 1.107.1 Beta

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).

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NautilusTrader 1.107.0 Beta

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 sub-package to group risk components.

Fixes

• StopLimitOrder triggering behaviour.
• All flake8 warnings.

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