Nautilus-trader

Release Notes

Released on 20th June 2021.

A major feature of this release is a complete re-design of serialization for the
platform, along with initial support for the [Parquet](https://parquet.apache.org/) format.
The MessagePack serialization functionality has been refined and retained.

In the interests of explicitness there is now a convention that timestamps are
named either `timestamp_ns`, or prepended with `ts`. Timestamps which are
represented with an `int64` are always in nanosecond resolution, and appended
with `_ns` accordingly.

Initial scaffolding for new backtest data tooling has been added.

Breaking Changes
- Renamed `OrderState.PENDING_REPLACE` to `OrderState.PENDING_UPDATE`
- Renamed `timestamp_origin_ns` to `ts_event_ns`
- Renamed `timestamp_ns` for data to `ts_recv_ns`
- Renamed `updated_ns` to `ts_updated_ns`
- Renamed `submitted_ns` to `ts_submitted_ns`
- Renamed `rejected_ns` to `ts_rejected_ns`
- Renamed `accepted_ns` to `ts_accepted_ns`
- Renamed `pending_ns` to `ts_pending_ns`
- Renamed `canceled_ns` to `ts_canceled_ns`
- Renamed `triggered_ns` to `ts_triggered_ns`
- Renamed `expired_ns` to `ts_expired_ns`
- Renamed `execution_ns` to `ts_filled_ns`
- Renamed `OrderBookLevel` to `BookLevel`
- Renamed `Order.volume` to `Order.size`

Enhancements
- Adapter dependencies are now optional extras at installation
- Added arrow/parquet serialization
- Added object `to_dict()` and `from_dict()` methods
- Added `Order.is_pending_update`
- Added `Order.is_pending_cancel`
- Added `run_analysis` config option for `BacktestEngine`
- Removed `TradeMatchId` in favour of bare string
- Removed redundant conversion to `pd.Timestamp` when checking timestamps
- Removed redundant data `to_serializable_str` methods
- Removed redundant data `from_serializable_str` methods
- Removed redundant `__ne__` implementations
- Removed redundant `MsgPackSerializer` cruft
- Removed redundant `ObjectCache` and `IdentifierCache`
- Removed redundant string constants

Fixes
- Fixed millis to nanos in `CCXTExecutionClient`
- Added missing trigger to `UpdateOrder` handling
- Removed all `import *`

---

Release Notes

Released on 6th June 2021.

This release includes numerous breaking changes with a view to enhancing the core
functionality and API of the platform. The data and execution caches have been
unified for simplicity. There have also been large changes to the accounting
functionality, with 'hooks' added in preparation for accurate calculation and
handling of margins.

Breaking Changes
- Renamed `Account.balance()` to `Account.balance_total()`
- Consolidated`TradingStrategy.data` into `TradingStrategy.cache`
- Consolidated `TradingStrategy.execution` into `TradingStrategy.cache`
- Moved `redis` subpackage into `infrastructure`
- Moved some accounting methods back to `Instrument`
- Removed `Instrument.market_value()`
- Renamed `Portfolio.market_values()` to `Portfolio.net_exposures()`
- Renamed `Portfolio.market_value()` to `Portfolio.net_exposure()`
- Renamed `InMemoryExecutionDatabase` to `BypassCacheDatabase`
- Renamed `Position.relative_qty` to `Position.net_qty`
- Renamed `default_currency` to `base_currency`
- Removed `cost_currency` property from `Instrument`

Enhancements
- `ExecutionClient` now has the option of calculating account state
- Unified data and execution caches into single `Cache`
- Improved configuration options and naming
- Simplified `Portfolio` component registration
- Simplified wiring of `Cache` into components
- Added `repr` to execution messages
- Added `AccountType` enum
- Added `cost_currency` to `Position`
- Added `get_cost_currency()` to `Instrument`
- Added `get_base_currency()` to `Instrument`

Fixes
- Fixed `Order.is_working` for `PENDING_CANCEL` and `PENDING_REPLACE` states
- Fixed loss of precision for nanosecond timestamps in Redis
- Fixed state reconciliation when uninstantiated client

---

Release Notes

Released on 30th May 2021.

In this release there has been a major change to the use of inlines for method
signatures. From the Cython docs:
_"Note that class-level cdef functions are handled via a virtual function table
so the compiler won’t be able to inline them in almost all cases."_.
https://cython.readthedocs.io/en/latest/src/userguide/pyrex_differences.html?highlight=inline.

It has been found that adding `inline` to method signatures makes no difference
to the performance of the system - and so they have been removed to reduce
'noise' and simplify the codebase. Note that the use of `inline` for
module level functions will be passed to the C compiler with the expected
result of inlining the function.

Breaking Changes
- `BacktestEngine.add_venue` added `venue_type` to method params
- `ExecutionClient` added `venue_type` to constructor params
- `TraderId` instantiation
- `StrategyId` instantiation
- `Instrument` serialization

Enhancements
- `Portfolio` pending calculations if data not immediately available
- Added `instruments` subpackage with expanded class definitions
- Added `timestamp_origin_ns` timestamp when originally occurred
- Added `AccountState.is_reported` flagging if reported by exchange or calculated
- Simplified `TraderId` and `StrategyId` identifiers
- Improved `ExecutionEngine` order routing
- Improved `ExecutionEngine` client registration
- Added order routing configuration
- Added `VenueType` enum and parser
- Improved parameter typing for identifier generators
- Improved log formatting of `Money` and `Quantity` thousands commas

Fixes
- CCXT `TICK_SIZE` precision mode - size precisions (BitMEX, FTX)
- State reconciliation (various bugs)

---

Release Notes

This release focuses on simplifications and enhancements of existing machinery

Breaking Changes
- `Position` now requires an `Instrument` param
- `is_inverse` removed from `OrderFilled`
- `ClientId` removed from `TradingCommand` and subclasses
- `AccountId` removed from `TradingCommand` and subclasses
- `TradingCommand` serialization

Enhancements
- Added `Instrument` methods to `ExecutionCache`
- Added `Venue` filter to cache queries
- Moved order validations into `RiskEngine`
- Refactored `RiskEngine`
- Removed routing type information from identifiers

Fixes
None

---

Release Notes

This release applies another major refactoring to the value object API for
`BaseDecimal` and its subclasses `Price` and `Quantity`. Previously a precision
was not explicitly required when passing in a `decimal.Decimal` type which
sometimes resulted in unexpected behavior when a user passed in a decimal with
a very large precision (when wrapping a float with `decimal.Decimal`).

Convenience methods have been added to `Price` and `Quantity` where precision
is implicitly zero for ints, or implied in the number of digits after the '.'
point for strings. Convenience methods have also been added to `Instrument` to
assist the UX.

The serialization of `Money` has been improved with the inclusion of the
currency code in the string delimited by whitespace. This avoids an additional
field for the currency code.

`RiskEngine` has been rewired ahead of `ExecutionEngine` which clarifies areas
of responsibility and cleans up the registration sequence and allows a more
natural flow of command and event messages.

Breaking Changes
- Serializations involving `Money`
- Changed usage of `Price` and `Quantity`
- Renamed `BypassExecutionDatabase` to `BypassCacheDatabase`

Enhancements
- Rewired `RiskEngine` and `ExecutionEngine` sequence
- Added `Instrument` database operations
- Added `MsgPackInstrumentSerializer`
- Added `Price.from_str()`
- Added `Price.from_int()`
- Added `Quantity.zero()`
- Added `Quantity.from_str()`
- Added `Quantity.from_int()`
- Added `Instrument.make_price()`
- Added `Instrument.make_qty()`
- Improved serialization of `Money`

Fixes
- Handling of precision for `decimal.Decimal` values passed to value objects

---

Release Notes

This release simplifies the backtesting workflow by removing the need for the
intermediate `BacktestDataContainer`. There has also been some simplifications
for `OrderFill` events, as well as additional order states and events.

Breaking Changes
- Standardized all 'cancelled' references to 'canceled'.
- `SimulatedExchange` no longer generates `OrderAccepted` for `MarketOrder`
- Removed redundant `BacktestDataContainer`
- Removed redundant `OrderFilled.cum_qty`
- Removed redundant `OrderFilled.leaves_qty`
- `BacktestEngine` constructor simplified
- `BacktestMarketDataClient` no longer needs instruments
- Renamed `PortfolioAnalyzer.get_realized_pnls` to `.realized_pnls`

Enhancements
- Re-engineered `BacktestEngine` to take data directly
- Added `OrderState.PENDING_CANCEL`
- Added `OrderState.PENDING_REPLACE`
- Added `OrderPendingUpdate` event
- Added `OrderPendingCancel` event
- Added `OrderFilled.is_buy` property (with corresponding `is_buy_c()` fast method)
- Added `OrderFilled.is_sell` property (with corresponding `is_sell_c()` fast method)
- Added `Position.is_opposite_side(OrderSide side)` convenience method
- Modified the `Order` FSM and event handling for the above
- Consolidated event generation into `ExecutionClient` base class
- Refactored `SimulatedExchange` for greater clarity

Fixes
- `ExecutionCache` positions open queries
- Exchange accounting for exchange `OmsType.NETTING`
- Position flipping logic for exchange `OmsType.NETTING`
- Multi-currency account terminology
- Windows wheel packaging
- Windows path errors

---