Nautilus-trader

Release Notes

The major thrust of this release is added support for order book data in
backtests. The `SimulatedExchange` now maintains order books of each instrument
and will accurately simulate market impact with L2/L3 data. For quote and trade
tick data a L1 order book is used as a proxy. A future release will include
improved fill modelling assumptions and customizations.

Breaking Changes
- `OrderBook.create` now takes `Instrument` and `BookLevel`

Enhancements
- `SimulatedExchange` now maintains order books internally
- `LiveLogger` now exhibits better blocking behavior and logging

Fixes
- Various patches to the Betfair adapter
- Documentation builds

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Release Notes

Announcing official Windows 64-bit support.

Several bugs have been identified and fixed.

Breaking Changes
None

Enhancements
- Performance test refactoring
- Removed redundant performance harness
- Added `Queue.peek()` to high-performance queue
- GitHub action refactoring, CI for Windows
- Builds for 32-bit platforms

Fixes
- `OrderBook.create` for `BookLevel.L3` now returns correct book
- Betfair handling of trade IDs

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Release Notes

**This release includes substantial breaking changes.**

Further fundamental changes to the core API have been made.

Breaking Changes
- Introduce `ClientId` for data and execution client identification
- Standardized client IDs to upper case
- Renamed `OrderBookOperation` to `OrderBookDelta`
- Renamed `OrderBookOperations` to `OrderBookDeltas`
- Renamed `OrderBookOperationType` to `OrderBookDeltaType`

Enhancements
None

Fixes
None

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Release Notes

**This release includes substantial breaking changes.**

Due to recent feedback and much further thought - a major renaming has been carried
out involving order identifiers. The `Order` is the only domain object in the
model which is identified with more than one ID. Due to this, more explicitness
helps to ensure correct logic. Previously the `OrderId` was
implicitly assumed to be the one assigned by the trading venue. This has been
clarified by renaming the identifier to `VenueOrderId`. Following this, it no
longer made sense to refer to it through `Order.id`, and so this was changed to
its full name `Order.venue_order_id`. This naturally resulted in `ClientOrderId`(s)
being renamed in properties and variables from `cl_ord_id` to `client_order_id`.

Breaking Changes
- Renamed `OrderId` to `VenueOrderId`
- Renamed `Order.id` to `Order.venue_order_id`
- Renamed `Order.cl_ord_id` to `Order.client_order_id`
- Renamed `AssetClass.STOCK` to `AssetClass.EQUITY`
- Removed redundant flag `generate_position_ids` (handled by `OmsType`)

Enhancements
- Introduce integration for Betfair.
- Added `AssetClass.METAL` and `AssetClass.ENERGY`
- Added `VenueStatusEvent`, `InstrumentStatusEvent` and `InstrumentClosePrice`
- Usage of `np.ndarray` to improve function and indicator performance

Fixes
- LiveLogger log message when blocking.

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Release Notes

**This release includes substantial breaking changes.**

Further standardization of naming conventions along with internal refinements
and fixes.

Breaking Changes
- Renamed `AmendOrder` to `UpdateOrder`
- Renamed `OrderAmended` to `OrderUpdated`
- Renamed `amend` and `amended` related methods to `update` and `updated`
- Renamed `OrderCancelReject` to `OrderCancelRejected` (standardize tense)

Enhancements
- Improve efficiency of data wrangling
- Simplify `Logger` and general system logging
- Added `stdout` and `stderr` log streams with configuration
- Added `OrderBookData` base class

Fixes
- Backtest handling of `GenericData` and `OrderBook` related data
- Backtest `DataClient` creation logic prevented client registering

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Release Notes

**This release includes substantial breaking changes.**

Further standardization of naming conventions along with internal refinements
and fixes.

Breaking Changes
- Renamed `AmendOrder` to `UpdateOrder`
- Renamed `OrderAmended` to `OrderUpdated`
- Renamed `amend` and `amended` related methods to `update` and `updated`
- Renamed `OrderCancelReject` to `OrderCancelRejected` (standardize tense)

Enhancements
- Introduce `OrderUpdateRejected`, event separated for clarity
- Refined LiveLogger: Now runs on event loop with high-performance `Queue`
- Improved flexibility of when strategies are added to a `BacktestEngine`
- Improved checks for `VenueOrderId` equality when applying order events

Fixes
- Removed `UNDEFINED` enum values. Do not allow invalid values to be represented
in the system (prefer throwing exceptions)

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