Nautilus-trader

Release Notes

Released on 11th March 2022 (UTC).

Breaking Changes
- Renamed `CurrencySpot` to `CurrencyPair`
- Renamed `PerformanceAnalyzer` to `PortfolioAnalyzer`
- Renamed `BacktestDataConfig.data_cls_path` to `data_cls`
- Renamed `BinanceTicker` to `BinanceSpotTicker`
- Renamed `BinanceSpotExecutionClient` to `BinanceExecutionClient`

Enhancements
- Added initial **(beta)** Binance Futures adapter implementation
- Added initial **(beta)** Interactive Brokers adapter implementation
- Added custom portfolio statistics
- Added `CryptoFuture` instrument
- Added `OrderType.MARKET_TO_LIMIT`
- Added `OrderType.MARKET_IF_TOUCHED`
- Added `OrderType.LIMIT_IF_TOUCHED`
- Added `MarketToLimitOrder` order type
- Added `MarketIfTouchedOrder` order type
- Added `LimitIfTouchedOrder` order type
- Added `Order.has_price` property (convenience)
- Added `Order.has_trigger_price` property (convenience)
- Added `msg` parameter to `LoggerAdapter.exception()`
- Added WebSocket `log_send` and `log_recv` config options
- Added WebSocket `auto_ping_interval` (seconds) config option
- Replaced `msgpack` with `msgspec` (faster drop in replacement https://github.com/jcrist/msgspec)
- Improved exception messages by providing helpful context
- Improved `BacktestDataConfig` API: now takes either a type of `Data` _or_ a fully qualified path string

Fixes
- Fixed FTX execution WebSocket 'ping strategy'
- Fixed non-deterministic config dask tokenization

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Release Notes

Released on 15th February 2022 (UTC).

**This release contains numerous method, parameter and property name changes**

For consistency and standardization with other protocols, the `ExecutionId` type
has been renamed to `TradeId` as they express the same concept with a more
standardized terminology. In the interests of enforcing correctness and
safety this type is now utilized for the `TradeTick.trade_id`.

Breaking Changes
- Renamed `working` orders to `open` orders including all associated methods and params
- Renamed `completed` orders to `closed` orders including all associated methods and params
- Removed `active` order concept (often confused with `open`)
- Renamed `trigger` to `trigger_price`
- Renamed `StopMarketOrder.price` to `StopMarketOrder.trigger_price`
- Renamed all params related to a `StopMarketOrders` `price` to `trigger_price`
- Renamed `ExecutionId` to `TradeId`
- Renamed `execution_id` to `trade_id`
- Renamed `Order.trade_id` to `Order.last_trade_id` (for clarity)
- Renamed other variations and references of 'execution ID' to 'trade ID'
- Renamed `contingency` to `contingency_type`

Enhancements
- Introduced the `TradeId` type to enforce `trade_id` typing
- Improve handling of unleveraged cash asset positions including Crypto and Fiat spot currency instruments
- Added `ExecEngineConfig` config option `allow_cash_positions` (`False` by default)
- Added `TrailingOffsetType` enum
- Added `TrailingStopMarketOrder`
- Added `TrailingStopLimitOrder`
- Added trailing order factory methods
- Added `trigger_type` parameter to stop orders
- Added `TriggerType` enum
- Large refactoring of order base and impl classes
- Overhaul of execution reports
- Overhaul of execution state reconciliation

Fixes
- Fixed WebSocket base reconnect handling

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Release Notes

Released on 15th January 2022 (UTC).

This is a patch release which fixes moderate to high severity security vulnerabilities in

Release Notes

Released on 12th January 2022 (UTC).

Breaking Changes
- Removed redundant `currency` parameter from `AccountBalance`
- Renamed `local_symbol` to `native_symbol`
- Removed the `VenueType` enum and `venue_type` parameter in favour of a `routing` bool flag
- Removed `account_id` parameter from execution client factories and constructors
- Changed venue generated IDs (order, execution, position) which now begin with the venue ID

Enhancements
- Added FTX integration for testing
- Added FTX US configuration option
- Added Binance US configuration option
- Added `MarginBalance` object to assist with margin account functionality

Fixes
- Fixed parsing of `BarType` with symbols including hyphens `-`
- Fixed `BinanceSpotTicker` `__repr__` (was missing whitespace after a comma)
- Fixed `DataEngine` requests for historical `TradeTick`
- Fixed `DataEngine` `_handle_data_response` typing of `data` to `object`

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Release Notes

Released on 29th December 2021.

Breaking Changes
- Changed `subscribe_data(...)` method (`client_id` now optional)
- Changed `unsubscribe_data(...)` method (`client_id` now optional)
- Changed `publish_data(...)` method (added `data_type`)
- Renamed `MessageBus.subscriptions` method parameter to `pattern`
- Renamed `MessageBus.has_subscribers` method parameter to `pattern`
- Removed `subscribe_strategy_data(...)` method
- Removed `unsubscribe_strategy_data(...)` method
- Removed `publish_strategy_data(...)` method
- Renamed `CryptoSwap` to `CryptoPerpetual`

Enhancements
- Can now modify or cancel in-flight orders live and backtest
- Updated `CancelOrder` to allow None `venue_order_id`
- Updated `ModifyOrder` to allow None `venue_order_id`
- Updated `OrderPendingUpdate` to allow None `venue_order_id`
- Updated `OrderPendingCancel` to allow None `venue_order_id`
- Updated `OrderCancelRejected` to allow None `venue_order_id`
- Updated `OrderModifyRejected` to allow None `venue_order_id`
- Added `DataType.topic` string for improved message bus handling

Fixes
- Implemented comparisons for `DataType`, `BarSpecification` and `BarType`
- Fixed `QuoteTickDataWrangler.process_bar_data` with `random_seed`

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Release Notes

Released on 13th December 2021.

Breaking Changes
- Renamed `match_id` to `trade_id`

Enhancements
- Added bars method to `DataCatalog`
- Improved parsing of Binance historical bars data
- Added `CancelAllOrders` command
- Added bulk cancel capability to Binance integration
- Added bulk cancel capability to Betfair integration

Fixes
- Fixed handling of `cpu_freq` call in logging for ARM architecture
- Fixed market order fill edge case for bar data
- Fixed handling of `GenericData` in backtests

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