Nautilus-trader

Released on 2nd September 2023 (UTC).

Enhancements
None

Breaking Changes
None

Fixes
- Fixed `OrderBookDelta.clear` method (where the `sequence` field was swapped with `flags` causing an overflow)
- Fixed `OrderManager` OTO contingency handling on fills
- Fixed `OrderManager` duplicate order canceled events (race condition when processing contingencies)
- Fixed `Cache` loading of initialized emulated orders (were not being correctly indexed as emulated)
- Fixed Binance order book subscriptions for deltas at full depth (was not requesting initial snapshot), thanks for reporting doublier1

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Released on 26th August 2023 (UTC).

This release includes a large breaking change to quote tick bid and ask price property and
parameter naming. This was done in the interest of maintaining our generally explicit naming
standards, and has caused confusion for some users in the past. Data using 'bid' and 'ask' columns should
still work with the legacy data wranglers, as columns are renamed under the hood to accommodate
this change.

Enhancements
- Added `ActorExecutor` with `Actor` API for creating and running threaded tasks in live environments
- Added `OrderEmulated` event and associated `OrderStatus.EMULATED` enum variant
- Added `OrderReleased` event and associated `OrderStatus.RELEASED` enum variant
- Added `BacktestVenueConfig.use_position_ids` option (default true to retain current behavior)
- Added `Cache.exec_spawn_total_quantity(...)` convenience method
- Added `Cache.exec_spawn_total_filled_qty(...)` convenience method
- Added `Cache.exec_spawn_total_leaves_qty(...)` convenience method
- Added `WebSocketClient.send_text`, thanks twitu
- Implemented string interning for `TimeEvent`

Breaking Changes
- Renamed `QuoteTick.bid` to `bid_price` including all associated parameters (for explicit naming standards)
- Renamed `QuoteTick.ask` to `ask_price` including all associated parameters (for explicit naming standards)

Fixes
- Fixed execution algorithm `position_id` assignment in `HEDGING` mode
- Fixed `OrderMatchingEngine` processing of emulated orders
- Fixed `OrderEmulator` processing of exec algorithm orders
- Fixed `ExecutionEngine` processing of exec algorithm orders (exec spawn IDs)
- Fixed `Cache` emulated order indexing (were not being properly discarded from the set when closed)
- Fixed `RedisCacheDatabase` loading of transformed `LIMIT` orders
- Fixed a connection issue with the IB client, thanks dkharrat and rsmb7z

---

Released on 31st July 2023 (UTC).

Enhancements
- Implemented string interning with the [ustr](https://github.com/anderslanglands/ustr) crate, thanks twitu
- Added `SyntheticInstrument` capability, including dynamic derivation formulas
- Added `Order.commissions()` convenience method (also added to state snapshot dictionaries)
- Added `Cache` position and order state snapshots (configure via `CacheConfig`)
- Added `CacheDatabaseConfig.timestamps_as_iso8601` to persist timestamps as ISO 8601 strings
- Added `LiveExecEngineConfig.filter_position_reports` to filter position reports from reconciliation
- Added `Strategy.cancel_gtd_expiry` to cancel managed GTD order expiration
- Added Binance Futures support for modifying `LIMIT` orders
- Added `BinanceExecClientConfig.max_retries` option (for retrying order submit and cancel requests)
- Added `BinanceExecClientConfig.retry_delay` option (the delay between retry attempts)
- Added `BinanceExecClientConfig.use_reduce_only` option (default true to retain current behavior)
- Added `BinanceExecClientConfig.use_position_ids` option (default true to retain current behavior)
- Added `BinanceExecClientConfig.treat_expired_as_canceled` option (default false to retain current behavior)
- Added `BacktestVenueConfig.use_reduce_only` option (default true to retain current behavior)
- Added `MessageBus.is_pending_request(...)` method
- Added `Level` API for core `OrderBook` (exposes the bid and ask levels for the order book)
- Added `Actor.is_pending_request(...)` convenience method
- Added `Actor.has_pending_requests()` convenience method
- Added `Actor.pending_requests()` convenience method
- Added `USDP` (Pax Dollar) and `TUSD` (TrueUSD) stablecoins
- Improved `OrderMatchingEngine` handling when no fills (an error is now logged)
- Improved `Binance` live clients logging
- Upgraded Cython to 3.0.0 stable

Breaking Changes
- Moved `filter_unclaimed_external_orders` from `ExecEngineConfig` to `LiveExecEngineConfig`
- All `Actor.request_*` methods no longer take a `request_id`, but now return a `UUID4` request ID
- Removed `BinanceExecClientConfig.warn_gtd_to_gtd` (now always an `INFO` level log)
- Renamed `Instrument.native_symbol` to `raw_symbol` (you must manually migrate or flush your cached instruments)
- Renamed `Position.cost_currency` to `settlement_currency` (standardize terminology)
- Renamed `CacheDatabaseConfig.flush` to `flush_on_start` (for clarity)
- Changed `Order.ts_last` to represent the UNIX nanoseconds timestamp of the last _event_ (rather than fill)

Fixes
- Fixed `Portfolio.net_position` calculation to use `Decimal` rather than `float` to avoid rounding errors
- Fixed race condition on `OrderFactory` order identifiers generation
- Fixed dictionary representation of orders for `venue_order_id` (for three order types)
- Fixed `Currency` registration with core global map on creation
- Fixed serialization of `OrderInitialized.exec_algorithm_params` to spec (bytes rather than string)
- Fixed assignment of position IDs for contingent orders (when parent filled)
- Fixed `PENDING_CANCEL` -> `EXPIRED` as valid state transition (real world possibility)
- Fixed fill handling of `reduce_only` orders when partially filled
- Fixed Binance reconciliation which was requesting reports for the same symbol multiple times
- Fixed Binance Futures native symbol parsing (was actually Nautilus symbol values)
- Fixed Binance Futures `PositionStatusReport` parsing of position side
- Fixed Binance Futures `TradeReport` assignment of position ID (was hardcoded to hedging mode)
- Fixed Binance execution submitting of order lists
- Fixed Binance commission rates requests for `InstrumentProvider`
- Fixed Binance `TriggerType` parsing 1154, thanks for reporting davidblom603
- Fixed Binance order parsing of invalid orders in execution reports 1157, thanks for reporting graceyangfan
- Extended `BinanceOrderType` enum members to include undocumented `INSURANCE_FUND`, thanks for reporting Tzumx
- Extended `BinanceSpotPermissions` enum members 1161, thanks for reporting davidblom603

---

Released on 16th June 2023 (UTC).

The Betfair adapter is broken for this release pending integration with the new Rust order book.
We recommend you do not upgrade to this version if you're using the Betfair adapter.

Enhancements
- Integrated Interactive Brokers adapter v2 into platform, thanks rsmb7z
- Integrated core Rust `OrderBook` into platform
- Integrated core Rust `OrderBookDelta` data type
- Added core Rust `HttpClient` based on `hyper`, thanks twitu
- Added core Rust `WebSocketClient` based on `tokio-tungstenite`, thanks twitu
- Added core Rust `SocketClient` based on `tokio` `TcpStream`, thanks twitu
- Added `quote_quantity` parameter to determine if order quantity is denominated in quote currency
- Added `trigger_instrument_id` parameter to trigger emulated orders from alternative instrument prices
- Added `use_random_ids` to `add_venue(...)` method, controls whether venue order, position and trade IDs will be random UUID4s (no change to current behavior)
- Added `ExecEngineConfig.filter_unclaimed_external_orders` options, if unclaimed order events with an `EXTERNAL` strategy ID should be filtered/dropped
- Changed `BinanceHttpClient` to use new core HTTP client
- Defined public API for data, can now import directly from `nautilus_trader.model.data` (denest namespace)
- Defined public API for events, can now import directly from `nautilus_trader.model.events` (denest namespace)

Breaking Changes
- Upgraded `pandas` to v2
- Removed `OrderBookSnapshot` (redundant as can be represented as an initial CLEAR followed by deltas)
- Removed `OrderBookData` (redundant)
- Renamed `Actor.handle_order_book_delta` to `handle_order_book_deltas` (to more clearly reflect the `OrderBookDeltas` data type)
- Renamed `Actor.on_order_book_delta` to `on_order_book_deltas` (to more clearly reflect the `OrderBookDeltas` data type)
- Renamed `inverse_as_quote` to `use_quote_for_inverse` (ambiguous name, only applicable for notional calcs on inverse instruments)
- Changed `Data` contract (custom data), [see docs](https://docs.nautilustrader.io/develop/concepts/advanced/data.html)
- Renamed core `LogMessage` to `LogEvent` to more clearly distinguish between the `message` field and the event struct itself (aligns with [vector](https://vector.dev/docs/about/under-the-hood/architecture/data-model/log/) language)
- Renamed core `LogEvent.timestamp_ns` to `LogEvent.timestamp` (affects field name for JSON format)
- Renamed core `LogEvent.msg` to `LogEvent.message` (affects field name for JSON format)

Fixes
- Updated `BinanceAccountType` enum members and associated docs
- Fixed `BinanceCommonExecutionClient` iteration of `OrderList` orders
- Fixed heartbeats for `BinanceWebSocketClient` (new Rust client now responds with `pong` frames)
- Fixed Binance adapter typing for `orderId`, `fromId`, `startTime` and `endTime` (all are ints), thanks for reporting davidsblom
- Fixed `Currency` equality to be based on the `code` field (avoiding equality issues over FFI), thanks for reporting Otlk
- Fixed `BinanceInstrumentProvider` parsing of initial and maintenance margin values

---

Released on 19th May 2023 (UTC).

Breaking Changes
- Parquet schemas are now shifting towards catalog v2 (we recommend you don't upgrade if using legacy catalog)
- Moved order book data from `model.orderbook.data` into the `model.data.book` namespace

Enhancements
- Improved handling for backtest account blow-up scenarios (balance negative or margin exceeded)
- Added `AccountMarginExceeded` exception and refined `AccountBalanceNegative`
- Various improvements to `Binance` clients error handling and logging
- Improve Binance HTTP error messages

Fixes
- Fixed handling of emulated order contingencies (not based on status of spawned algorithm orders)
- Fixed sending execution algorithm commands from strategy
- Fixed `OrderEmulator` releasing of already closed orders
- Fixed `MatchingEngine` processing of reduce only for child contingent orders
- Fixed `MatchingEngine` position ID assignment for child contingent orders
- Fixed `Actor` handling of historical data from requests (will now call `on_historical_data` regardless of state), thanks for reporting miller-moore
- Fixed `pyarrow` schema dictionary index keys being too narrow (int8 -> int16), thanks for reporting rterbush

---

Released on 5th May 2023 (UTC).

Breaking Changes
None

Enhancements
None

Fixes
- Fixed `BacktestEngine` processing of venue(s) message queue based off time event `ts_init`
- Fixed `Position.signed_decimal_qty` (incorrect format precision in f-string), thanks for reporting rsmb7z
- Fixed trailing stop type order updates for `reduce_only` instruction, thanks for reporting Otlk
- Fixed updating of active execution algorithm orders (events weren't being cached)
- Fixed condition check for applying pending events (do not apply to orders at `INITIALIZED` status)

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