Nautilus-trader

Released on 30th August 2021.

This release continues the focus on the core system, with upgrades and cleanups
to the component base class. The concept of an `active` order has been introduced,
which is an order whose state can change (is not a `completed` order).

Breaking Changes
- All configuration due `pydantic` upgrade
- Throttling config now takes string e.g. "100/00:00:01" which is 100 / second
- Renamed `DataProducerFacade` to `DataProducer`
- Renamed `fill.side` to `fill.order_side` (clarity and standardization)
- Renamed `fill.type` to `fill.order_type` (clarity and standardization)

Enhancements
- Added serializable configuration classes leveraging `pydantic`
- Improved adding bar data to `BacktestEngine`
- Added `BacktestEngine.add_bar_objects()`
- Added `BacktestEngine.add_bars_as_ticks()`
- Added order `active` concept, with `order.is_active` and cache methods
- Added `ComponentStateChanged` event
- Added `Component.degrade()` and `Component.fault()` command methods
- Added `Component.on_degrade()` and `Component.on_fault()` handler methods
- Added `ComponentState.PRE_INITIALIZED`
- Added `ComponentState.DEGRADING`
- Added `ComponentState.DEGRADED`
- Added `ComponentState.FAULTING`
- Added `ComponentState.FAULTED`
- Added `ComponentTrigger.INITIALIZE`
- Added `ComponentTrigger.DEGRADE`
- Added `ComponentTrigger.DEGRADED`
- Added `ComponentTrigger.FAULT`
- Added `ComponentTrigger.FAULTED`
- Wired up `Ticker` data type

Fixes
- `DataEngine.subscribed_bars()` now reports internally aggregated bars also.

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Release Notes

Released on 17th August 2021.

This release has again focused on core areas of the platform, including a
significant overhaul of accounting and portfolio components. The wiring between
the `DataEngine` and `DataClient`(s) has also received attention, and should now
exhibit correct subscription mechanics.

The Betfair adapter has been completely re-written, providing various fixes and
enhancements, increased performance, and full async support.

There has also been some further renaming to continue to align the platform
as closely as possible with established terminology in the domain.

Breaking Changes
- Moved margin calculation methods from `Instrument` to `Account`
- Removed redundant `Portfolio.register_account`
- Renamed `OrderState` to `OrderStatus`
- Renamed `Order.state` to `Order.status`
- Renamed `msgbus.message_bus` to `msgbus.bus`

Enhancements
- Betfair adapter re-write
- Extracted `accounting` subpackage
- Extracted `portfolio` subpackage
- Subclassed `Account` with `CashAccount` and `MarginAccount`
- Added `AccountsManager`
- Added `AccountFactory`
- Moved registration of custom account classes to `AccountFactory`
- Moved registration of calculated account to `AccountFactory`
- Added registration of OMS type per trading strategy
- Added `ExecutionClient.create_account` for custom account classes
- Separate `PortfolioFacade` from `Portfolio`

Fixes
- Data subscription handling in `DataEngine`
- `Cash` accounts no longer generate spurious margins
- Fix `TimeBarAggregator._stored_close_ns` property name

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Release Notes

Released on 3rd August 2021.

This is a patch release which fixes a bug involving `NotImplementedError`
exception handling when subscribing to order book deltas when not supported by
a client. This bug affected CCXT order book subscriptions.

Breaking Changes
None

Enhancements
None

Fixes
- Fix `DataEngine` order book subscription handling

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Release Notes

Released on 2nd August 2021.

This release sees the completion of the initial implementation of the
`MessageBus`, with data now being handled by Pub/Sub patterns, along with the
additions of point-to-point and Req/Rep messaging functionality.

An `Actor` base class has been abstracted from `TradingStrategy` which allows
custom components to be added to a `Trader` which aren't necessarily trading
strategies, opening up further possibilities for extending NautilusTrader with
custom functionality.

For the sake of simplicity and to favour more idiomatic Python, the null object
pattern is no longer utilized for handling identifiers. This has removed a layer
of 'logical indirection' in certain parts of the codebase, and allows for simpler
code.

An order is now considered 'in-flight' if it is actively pending a state
transition i.e. in the `SUBMITTED`,`PENDING_UPDATE` or `PENDING_CANCEL` states.

It is now a well established convention that all integer based timestamps are
expressed in UNIX nanoseconds, therefore the `_ns` postfix has now been dropped.
For clarity - time periods/intervals/objects where the units may not be obvious
have retained the `_ns` postfix.

The opportunity was identified to unify the parameter naming for the concept
of object instantiation by renaming `timestamp_ns` and `ts_recv_ns` to `ts_init`.
Along the same lines, the timestamps for both event and data occurrence have
been standardized to `ts_event`.

It is acknowledged that the frequent name changes and modifications to core
concepts may be frustrating, however whilst still in a beta phase - we're taking
the opportunity to lay a solid foundation for this project to continue to growth
in the years ahead.

Breaking Changes
- Renamed `timestamp_ns` to `ts_init`
- Renamed `ts_recv_ns` to `ts_event`
- Renamed various event timestamp parameters to `ts_event`
- Removed null object methods on identifiers

Enhancements
- Added `Actor` component base class
- Added `MessageBus.register()`
- Added `MessageBus.send()`
- Added `MessageBus.request()`
- Added `MessageBus.response()`
- Added `Trader.add_component()`
- Added `Trader.add_components()`
- Added `Trader.add_log_sink()`

Fixes
- Various Betfair adapter patches and fixes
- `ExecutionEngine` position flip logic in certain edge cases

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Release Notes

Released on 18th July 2021.

This release introduces a major re-architecture of the internal messaging system.
A common message bus has been implemented which now handles all events via a
Pub/Sub messaging pattern. The next release will see all data being handled by
the message bus, see the related issue for further details on this enhancement.

Another notable feature is the introduction of the order 'in-flight' concept,
which is a submitted order which has not yet been acknowledged by the
trading venue. Several properties on `Order`, and methods on `Cache`, now exist
to support this.

The `Throttler` has been refactored and optimized further. There has also been
extensive reorganization of the model sub-package, standardization of identifiers
on events, along with numerous 'under the hood' cleanups and two bug fixes.

Breaking Changes
- Renamed `MessageType` enum to `MessageCategory`
- Renamed `fill.order_side` to `fill.side`
- Renamed `fill.order_type` to `fill.type`
- All `Event` serialization due to domain refactorings

Enhancements
- Added `MessageBus` class
- Added `TraderId` to `Order` and `Position`
- Added `OrderType` to OrderFilled
- Added unrealized PnL to position events
- Added order in-flight concept to `Order` and `Cache`
- Improved efficiency of `Throttler`
- Standardized events `str` and `repr`
- Standardized commands `str` and `repr`
- Standardized identifiers on events and objects
- Improved `Account` `str` and `repr`
- Using `orjson` over `json` for efficiency
- Removed redundant `BypassCacheDatabase`
- Introduced `mypy` to the codebase

Fixes
- Fixed backtest log timestamping
- Fixed backtest duplicate initial account event

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Release Notes

Released on 6th July 2021.

This release sees the expansion of pre-trade risk check options (see
`RiskEngine` class documentation). There has also been extensive 'under the
hood' code cleanup and consolidation.

Breaking Changes
- Renamed `Position.opened_timestamp_ns` to `ts_opened_ns`
- Renamed `Position.closed_timestamp_ns` to `ts_closed_ns`
- Renamed `Position.open_duration_ns` to `duration_ns`
- Renamed Loggers `bypass_logging` to `bypass`
- Refactored `PositionEvent` types

Enhancements
- Added pre-trade risk checks to `RiskEngine` iteration 2
- Improve `Throttler` functionality and performance
- Removed redundant `OrderInvalid` state and associated code
- Improve analysis reports

Fixes
- PnL calculations for `CASH` account types
- Various event serializations

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