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NautilusTrader 1.191.0 Beta
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@github-actions github-actions released this 20 Apr 03:36
v1.191.0
0b0d031

NautilusTrader 1.191.0 Beta

Released on 20th April 2024 (UTC).

Enhancements

  • Implemented FeeModel including FixedFeeModel and MakerTakerFeeModel (#1584), thanks @rsmb7z
  • Implemented TradeTickDataWrangler.process_bar_data (#1585), thanks @rsmb7z
  • Implemented multiple timeframe bar execution (will use lowest timeframe per instrument)
  • Optimized LiveTimer efficiency and accuracy with tokio timer under the hood
  • Optimized QuoteTickDataWrangler and TradeTickDataWrangler (#1590), thanks @rsmb7z
  • Standardized adapter client logging (handle more logging from client base classes)
  • Simplified and consolidated Rust OrderBook design
  • Improved CacheDatabaseAdapter graceful close and thread join
  • Improved MessageBus graceful close and thread join
  • Improved modify_order error logging when order values remain unchanged
  • Added RecordFlag enum for Rust and Python
  • Interactive Brokers further improvements and fixes, thanks @rsmb7z
  • Ported Bias indicator to Rust, thanks @Pushkarm029

Breaking Changes

  • Reordered OrderBookDelta params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
  • Reordered OrderBook params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
  • Added flags parameter to OrderBook.add
  • Added flags parameter to OrderBook.update
  • Added flags parameter to OrderBook.delete
  • Changed Arrow schema for all instruments: added info binary field
  • Changed Arrow schema for CryptoFuture: added is_inverse boolean field
  • Renamed both OrderBookMbo and OrderBookMbp to OrderBook (consolidated)
  • Renamed Indicator.handle_book_mbo and Indicator.handle_book_mbp to handle_book (consolidated)
  • Renamed register_serializable_object to register_serializable_type (also renames first param from obj to cls)

Fixes

  • Fixed MessageBus pattern resolving (fixes a performance regression where topics published with no subscribers would always re-resolve)
  • Fixed BacktestNode streaming data management (was not clearing between chunks), thanks for the report @dpmabo
  • Fixed RiskEngine cumulative notional calculations for margin accounts (was incorrectly using base currency when selling)
  • Fixed selling Equity instruments with CASH account and NETTING OMS incorrectly rejecting (should be able to reduce position)
  • Fixed Databento bars decoding (was incorrectly applying display factor)
  • Fixed Binance bar (kline) to use close_time for ts_event was opentime (#1591), thanks for reporting @OnlyC
  • Fixed AccountMarginExceeded error condition (margin must actually be exceeded now, and can be zero)
  • Fixed ParquetDataCatalog path globbing which was including all paths with substrings of specified instrument IDs

Contributors

OnlyC, Pushkarm029, and 2 other contributors
Assets 18