Nautilus-trader

Released on 19th October 2022 (UTC).

This will be the final release with support for Python 3.8.

Breaking Changes
- Added `OrderSide.NONE` enum variant
- Added `PositionSide.NO_POSITION_SIDE` enum variant
- Changed order of `TriggerType` enum variants
- Renamed `AggressorSide.UNKNOWN` to `AggressorSide.NONE` (for consistency with other enums)
- Renamed `Order.type` to `Order.order_type` (reduces ambiguity and aligns with Rust struct field)
- Renamed `OrderInitialized.type` to `OrderInitialized.order_type` reduces ambiguity)
- Renamed `Bar.type` to `Bar.bar_type` (reduces ambiguity and aligns with Rust struct field)
- Removed redundant `check_position_exists` flag
- Removed `hyperopt` as considered unmaintained and there are better options
- Existing pickled data for `QuoteTick` is now **invalid** (change to schema for correctness)
- Existing catalog data for `OrderInitialized` is now **invalid** (change to schema for emulation)

Enhancements
- Added configurable automated in-flight order status checks
- Added order `side` filter to numerous cache order methods
- Added position `side` filter to numerous cache position methods
- Added optional `order_side` to `cancel_all_orders` strategy method
- Added optional `position_side` to `close_all_positions` strategy method
- Added support for Binance Spot second bars
- Added `RelativeVolatilityIndex` indicator, thanks graceyangfan
- Extracted `OrderMatchingEngine` from `SimulatedExchange` with refinements
- Extracted `MatchingCore` from `OrderMatchingEngine`
- Improved HTTP error handling and client logging (messages now contain reason)

Fixes
- Fixed price and size precision validation for `QuoteTick` from raw values
- Fixed IB adapter data parsing for decimal precision
- Fixed HTTP error handling and releasing of response coroutines, thanks JackMa
- Fixed `Position` calculations and account for when any base currency == commission currency, thanks JackMa

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Released on September 15th 2022 (UTC).

This is an early release to address some parsing bugs in the FTX adapter.

Breaking Changes
None

Enhancements
None

Fixes
- Fixed parsing bug for FTX futures
- Fixed parsing bug for FTX `Bar`

---

Released on September 14th 2022 (UTC).

Breaking Changes
- Changed `ExecEngineConfig` `allow_cash_positions` default to `True` (more typical use case)
- Removed `check` parameter from `Bar` (always checked for simplicity)

Enhancements
- Added `MARKET_TO_LIMIT` order implementation for `SimulatedExchange`
- Make strategy `order_id_tag` truly optional and auto incrementing
- Added PsychologicalLine indicator, thanks graceyangfan
- Added initial Rust parquet integration, thanks twitu and ghill2
- Added validation for setting leverages on `CASH` accounts
- De-cythonized live data and execution client base classes for usability

Fixes
- Fixed limit order `IOC` and `FOK` behavior, thanks limx0 for identifying
- Fixed FTX `CryptoFuture` instrument parsing, thanks limx0
- Fixed missing imports in data catalog example notebook, thanks gaugau3000
- Fixed order update behavior, affected orders:
- `LIMIT_IF_TOUCHED`
- `MARKET_IF_TOUCHED`
- `MARKET_TO_LIMIT`
- `STOP_LIMIT`

---

Released on September 6th 2022 (UTC).

Breaking Changes
None

Enhancements
- Added trigger orders for FTX adapter
- Improved `BinanceBar` to handle enormous quote volumes
- Improved robustness of instrument parsing for Binance and FTX adapters
- Improved robustness of WebSocket message handling for Binance and FTX adapters
- Added `override_usd` option for FTX adapter
- Added `log_warnings` config option for Binance and FTX instrument providers
- Added `TRD_GRP_005` enum variant for Binance spot permissions

Fixes
- Fixed bar aggregator partial bar handling
- Fixed `CurrencyType` variants in Rust
- Fixed missing `encoding` in Catalog parsing method, thanks limx0 and aviatorBeijing

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Released on September 1st 2022 (UTC).

Breaking Changes
- Renamed `offset_type` to `trailing_offset_type`
- Renamed `is_frozen_account` to `frozen_account`
- Removed `bar_execution` from config API (implicitly turned on with bars currently)

Enhancements
- Added `TRAILING_STOP_MARKET` order implementation for `SimulatedExchange`
- Added `TRAILING_STOP_LIMIT` order implementation for `SimulatedExchange`
- Added all simulated exchange options to `BacktestVenueConfig`

Fixes
- Fixed creation and caching of order book on subscribing to deltas, thanks limx0
- Fixed use of `LoopTimer` in live clock for trading node, thanks sidnvy
- Fixed order cancels for IB adapter, thanks limx0

---

Released on August 22nd 2022 (UTC).

Breaking Changes
None

Enhancements
- Added `on_historical_data` method with wiring for functionality
- Added 'unthrottled' 0ms order book updates for Binance Futures
- Improved robustness of `WebSocketClient` base during reconnects

Fixes
- Fixed sdist includes for Rust Cargo files
- Fixed `LatencyModel` integer overflows, thanks limx0
- Fixed parsing of Binance Futures `FUNDING_FEE` updates
- Fixed `asyncio.tasks.gather` for Python 3.10+

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