Nautilus-trader

Release Notes

Released on 22nd November 2021.

Breaking Changes
- Changed `hidden` order option to `display_qty` to support iceberg orders
- Renamed `Trader.component_ids()` to `Trader.actor_ids()`
- Renamed `Trader.component_states()` to `Trader.actor_states()`
- Renamed `Trader.add_component()` to `Trader.add_actor()`
- Renamed `Trader.add_components()` to `Trader.add_actors()`
- Renamed `Trader.clear_components()` to `Trader.clear_actors()`

Enhancements
- Added initial implementation of Binance SPOT integration (beta stage testing)
- Added support for display quantity/iceberg orders

Fixes
- Fixed `Actor` clock time advancement in backtest engine

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Release Notes

Released on 8th November 2021.

Breaking Changes
None

Enhancements
- Added `LatencyModel` for simulated exchange
- Added `last_update_id` to order books
- Added `update_id` to order book data
- Added `depth` parameter when subscribing to order book deltas
- Added `Clock.timestamp_ms()`
- Added `TestDataProvider` and consolidate test data
- Added orjson default serializer for arrow
- Reorganized example strategies and launch scripts

Fixes
- Fixed logic for partial fills in backtests
- Various Betfair integration fixes
- Various `BacktestNode` fixes

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Release Notes

Released on 24th October 2021.

Breaking Changes
- `Actor` constructor now takes `ActorConfig`

Enhancements
- Added `ActorConfig`
- Added `ImportableActorConfig`
- Added `ActorFactory`
- Added `actors` to `BacktestRunConfig`
- Improved network base classes
- Refine `InstrumentProvider`

Fixes
- Fixed persistence config for `BacktestNode`
- Various Betfair integration fixes

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Release Notes

Released on 10th October 2021.

Breaking Changes
- Renamed `nanos_to_unix_dt` to `unix_nanos_to_dt` (more accurate name)
- Changed `Clock.set_time_alert(...)` method signature
- Changed `Clock.set_timer(...)` method signature
- Removed `pd.Timestamp` from `TimeEvent`

Enhancements
- `OrderList` submission and OTO, OCO contingencies now operational
- Added `Cache.orders_for_position(...)` method
- Added `Cache.position_for_order(...)` method
- Added `SimulatedExchange.get_working_bid_orders(...)` method
- Added `SimulatedExchange.get_working_ask_orders(...)` method
- Added optional `run_config_id` for backtest runs
- Added `BacktestResult` object
- Added `Clock.set_time_alert_ns(...)` method
- Added `Clock.set_timer_ns(...)` method
- Added `fill_limit_at_price` simulated exchange option
- Added `fill_stop_at_price` simulated exchange option
- Improve timer and time event efficiency

Fixes
- Fixed `OrderUpdated` leaves quantity calculation
- Fixed contingency order logic at the exchange
- Fixed indexing of orders for a position in the cache
- Fixed flip logic for zero sized positions (not a flip)

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Release Notes

Released on 26th September 2021.

Breaking Changes
- `BacktestEngine.run` method signature change
- Renamed `BookLevel` to `BookType`
- Renamed `FillModel` params

Enhancements
- Added streaming backtest machinery.
- Added `quantstats` (removed `empyrical`)
- Added `BacktestEngine.run_streaming()`
- Added `BacktestEngine.end_streaming()`
- Added `Portfolio.balances_locked(venue)`
- Improved `DataCatalog` functionality
- Improved logging for `BacktestEngine`
- Improved parquet serialization and machinery

Fixes
- Fixed `SimulatedExchange` message processing
- Fixed `BacktestEngine` event ordering in main loop
- Fixed locked balance calculation for `CASH` accounts
- Fixed fill dynamics for `reduce-only` orders
- Fixed `PositionId` handling for `HEDGING` OMS exchanges
- Fixed parquet `Instrument` serialization
- Fixed `CASH` account PnL calculations with base currency

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Release Notes

Released on 12th September 2021.

Breaking Changes
- Removed CCXT adapter (428)
- Backtest configuration changes
- Renamed `UpdateOrder` to `ModifyOrder` (terminology standardization)
- Renamed `DeltaType` to `BookAction` (terminology standardization)

Enhancements
- Added `BacktestNode`
- Added `BookIntegrityError` with improved integrity checks for order books
- Added order custom user tags
- Added `Actor.register_warning_event` (also applicable to `TradingStrategy`)
- Added `Actor.deregister_warning_event` (also applicable to `TradingStrategy`)
- Added `ContingencyType` enum (for contingent orders in an `OrderList`)
- All order types can now be `reduce_only` (437)
- Refined backtest configuration options
- Improved efficiency of `UUID4` using the Rust `fastuuid` Python bindings

Fixes
- Fixed Redis loss of precision for `int64_t` nanosecond timestamps (363)
- Fixed behavior of `reduce_only` orders for both submission and filling (437)
- Fixed PnL calculation for `CASH` accounts when commission negative (436)

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