Nautilus-trader

Released on 9th August 2024 (UTC).

Enhancements
- Added `customdataclass` decorator to reduce need for boiler plate implementing custom data types (1828), thanks faysou
- Added timeout for HTTP client in Rust (1835), thanks davidsblom
- Added catalog conversion function of streamed data to backtest data (1834), thanks faysou
- Upgraded Cython to v3.0.11

Breaking Changes
None

Fixes
- Fixed creation of `instrumend_id` folder when writing PyO3 bars in catalog (1832), thanks faysou
- Fixed `StreamingFeatherWriter` handling of `include_types` option (1833), thanks faysou
- Fixed `BybitExecutionClient` position reports error handling and logging
- Fixed `BybitExecutionClient` order report handling to correctly process external orders

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Released on 2nd August 2024 (UTC).

Enhancements
- Added Databento Status schema support for loading and live trading
- Added options on futures support for Interactive Brokers (1795), thanks rsmb7z
- Added documentation for option greeks custom data example (1788), thanks faysou
- Added `MarketStatusAction` enum (support Databento `status` schema)
- Added `ignore_quote_tick_size_updates` config option for Interactive Brokers (1799), thanks sunlei
- Implemented `MessageBus` v2 in Rust (1786), thanks twitu
- Implemented `DataEngine` v2 in Rust (1785), thanks twitu
- Implemented `FillModel` in Rust (1801), thanks filipmacek
- Implemented `FixedFeeModel` in Rust (1802), thanks filipmacek
- Implemented `MakerTakerFeeModel` in Rust (1803), thanks filipmacek
- Implemented Postgres native enum mappings in Rust (1797, 1806), thanks filipmacek
- Refactored order submission error handling for Interactive Brokers (1783), thanks rsmb7z
- Improved live reconciliation robustness (will now generate inferred orders necessary to align external position state)
- Improved tests for Interactive Brokers (1776), thanks mylesgamez
- Upgraded `tokio` crate to v1.39.2
- Upgraded `datafusion` crate to v40.0.0

Breaking Changes
- Removed `VenueStatus` and all associated methods and schemas (redundant with `InstrumentStatus`)
- Renamed `QuoteTick.extract_volume(...)` to `.extract_size(...)` (more accurate terminology)
- Changed `InstrumentStatus` params (support Databento `status` schema)
- Changed `InstrumentStatus` Arrow schema
- Changed `OrderBook` FFI API to take data by reference instead of by value

Fixes
- Fixed rounding errors in accounting calculations for large values (using `decimal.Decimal` internally)
- Fixed multi-currency account commission handling with multiple PnL currencies (1805), thanks for reporting dpmabo
- Fixed `DataEngine` unsubscribing from order book deltas (1814), thanks davidsblom
- Fixed `LiveExecutionEngine` handling of adapter client execution report causing `None` mass status (1789), thanks for reporting faysou
- Fixed `InteractiveBrokersExecutionClient` handling of instruments not found when generating execution reports (1789), thanks for reporting faysou
- Fixed Bybit parsing of trade and quotes for websocket messages (1794), thanks davidsblom

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Released on 5th July 2024 (UTC).

Enhancements
- Added `request_order_book_snapshot` method (1745), thanks graceyangfan
- Added order book data validation for `BacktestNode` when a venue `book_type` is `L2_MBP` or `L3_MBO`
- Added Bybit demo account support (set `is_demo` to `True` in configs)
- Added Bybit stop order types (`STOP_MARKET`, `STOP_LIMIT`, `MARKET_IF_TOUCHED`, `LIMIT_IF_TOUCHED`, `TRAILING_STOP_MARKET`)
- Added Binance venue option for adapter configurations (1738), thanks DevRoss
- Added Betfair amend order quantity support (1687 and 1751), thanks imemo88 and limx0
- Added Postgres tests serial test group for nextest runner (1753), thanks filipmacek
- Added Postgres account persistence capability (1768), thanks filipmacek
- Refactored `AccountAny` pattern in Rust (1755), thanks filipmacek
- Changed `DatabentoLiveClient` to use new [snapshot on subscribe](https://databento.com/blog/live-MBO-snapshot) feature
- Changed identifier generator time tag component to include seconds (affects new `ClientOrderId`, `OrderId` and `PositionId` generation)
- Changed `<Arc<Mutex<bool>>` to `AtomicBool` in Rust `network` crate, thanks NextThread and twitu
- Ported `KlingerVolumeOscillator` indicator to Rust (1724), thanks Pushkarm029
- Ported `DirectionalMovement` indicator to Rust (1725), thanks Pushkarm029
- Ported `ArcherMovingAveragesTrends` indicator to Rust (1726), thanks Pushkarm029
- Ported `Swings` indicator to Rust (1731), thanks Pushkarm029
- Ported `BollingerBands` indicator to Rust (1734), thanks Pushkarm029
- Ported `VolatilityRatio` indicator to Rust (1735), thanks Pushkarm029
- Ported `Stochastics` indicator to Rust (1736), thanks Pushkarm029
- Ported `Pressure` indicator to Rust (1739), thanks Pushkarm029
- Ported `PsychologicalLine` indicator to Rust (1740), thanks Pushkarm029
- Ported `CommodityChannelIndex` indicator to Rust (1742), thanks Pushkarm029
- Ported `LinearRegression` indicator to Rust (1743), thanks Pushkarm029
- Ported `DonchianChannel` indicator to Rust (1744), thanks Pushkarm029
- Ported `KeltnerChannel` indicator to Rust (1746), thanks Pushkarm029
- Ported `RelativeVolatilityIndex` indicator to Rust (1748), thanks Pushkarm029
- Ported `RateOfChange` indicator to Rust (1750), thanks Pushkarm029
- Ported `MovingAverageConvergenceDivergence` indicator to Rust (1752), thanks Pushkarm029
- Ported `OnBalanceVolume` indicator to Rust (1756), thanks Pushkarm029
- Ported `SpreadAnalyzer` indicator to Rust (1762), thanks Pushkarm029
- Ported `KeltnerPosition` indicator to Rust (1763), thanks Pushkarm029
- Ported `FuzzyCandlesticks` indicator to Rust (1766), thanks Pushkarm029

Breaking Changes
- Renamed `Actor.subscribe_order_book_snapshots` and `unsubscribe_order_book_snapshots` to `subscribe_order_book_at_interval` and `unsubscribe_order_book_at_interval` respectively (this clarifies the method behavior where the handler then receives `OrderBook` at a regular interval, distinct from a collection of deltas representing a snapshot)

Fixes
- Fixed `LIMIT` order fill behavior for `L2_MBP` and `L3_MBO` book types (was not honoring limit price as maker), thanks for reporting dpmabo
- Fixed `CashAccount` PnL calculations when opening a position with multiple fills, thanks Otlk
- Fixed msgspec encoding and decoding of `Environment` enum for `NautilusKernelConfig`
- Fixed `OrderMatchingEngine` processing by book type for quotes and deltas (1754), thanks davidsblom
- Fixed `DatabentoDataLoader.from_dbn_file` for `OrderBookDelta`s when `as_legacy_cython=False`
- Fixed `DatabentoDataLoader` OHLCV bar schema loading (incorrectly accounting for display factor), thanks for reporting faysou
- Fixed `DatabentoDataLoader` multiplier and round lot size decoding, thanks for reporting faysou
- Fixed Binance order report generation `active_symbols` type miss matching (1729), thanks DevRoss
- Fixed Binance trade data websocket schemas (Binance no longer publish `b` buyer and `a` seller order IDs)
- Fixed `BinanceFuturesInstrumentProvider` parsing of min notional, thanks for reporting AnthonyVince
- Fixed `BinanceSpotInstrumentProvider` parsing of min and max notional
- Fixed Bybit order book deltas subscriptions for `INVERSE` product type
- Fixed `Cache` documentation for `get` (was the same as `add`), thanks for reporting faysou

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Released on 17th June 2024 (UTC).

Enhancements
- Added Bybit base coin for fee rate parsing (1696), thanks filipmacek
- Added `IndexInstrument` with support for Interactive Brokers (1703), thanks rsmb7z
- Refactored Interactive Brokers client and gateway configuration (1692), thanks rsmb7z
- Improved `InteractiveBrokersInstrumentProvider` contract loading (1699), thanks rsmb7z
- Improved `InteractiveBrokersInstrumentProvider` option chain loading (1704), thanks rsmb7z
- Improved `Instrument.make_qty` error clarity when a positive value is rounded to zero
- Updated installation from source docs for Clang dependency (1690), thanks Troubladore
- Updated `DockerizedIBGatewayConfig` docs (1691), thanks Troubladore

Breaking Changes
None

Fixes
- Fixed DataFusion streaming backend mem usage (now constant mem usage) (1693), thanks twitu
- Fixed `OrderBookDeltaDataWrangler` snapshot parsing (was not prepending a `CLEAR` action), thanks for reporting VeraLyu
- Fixed `Instrument.make_price` and `make_qty` when increments have a lower precision (was not rounding to the minimum increment)
- Fixed `EMACrossTrailingStop` example strategy trailing stop logic (could submit multiple trailing stops on partial fills)
- Fixed Binance `TRAILING_STOP_MARKET` orders (callback rounding was incorrect, was also not handling updates)
- Fixed Interactive Brokers multiple gateway clients (incorrect port handling in factory) (1702), thanks dodofarm
- Fixed time alerts Python example in docs (1713), thanks davidsblom

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Released on 31st May 2024 (UTC).

Enhancements
- Added `DataEngine` order book deltas buffering to `F_LAST` flag (1673), thanks davidsblom
- Added `DataEngineConfig.buffer_deltas` config option for the above (1670), thanks davidsblom
- Improved Bybit order book deltas parsing to set `F_LAST` flag (1670), thanks davidsblom
- Improved Bybit handling for top-of-book quotes and order book deltas (1672), thanks davidsblom
- Improved Interactive Brokers integration test mocks (1669), thanks rsmb7z
- Improved error message when no tick scheme initialized for an instrument, thanks for reporting VeraLyu
- Improved `SandboxExecutionClient` instrument handling (instruments just need to be added to cache)
- Ported `VolumeWeightedAveragePrice` indicator to Rust (1665), thanks Pushkarm029
- Ported `VerticalHorizontalFilter` indicator to Rust (1666), thanks Pushkarm029

Breaking Changes
None

Fixes
- Fixed `SimulatedExchange` processing of commands in real-time for sandbox mode
- Fixed `DataEngine` unsubscribe handling (edge case would attempt to unsubscribe from the client multiple times)
- Fixed Bybit order book deltas parsing (was appending bid side twice) (1668), thanks davidsblom
- Fixed Binance instruments price and size precision parsing (was incorrectly stripping trailing zeros)
- Fixed `BinanceBar` streaming feather writing (was not setting up writer)
- Fixed backtest high-level tutorial documentation errors, thanks for reporting Leonz5288

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Released on 24th May 2024 (UTC).

Enhancements
- Added Interactive Brokers support for Market-on-Close (MOC) and Limit-on-Close (LOC) order types (1663), thanks rsmb7z
- Added Bybit sandbox example (1659), thanks davidsblom
- Added Binance sandbox example

Breaking Changes
- Overhauled `SandboxExecutionClientConfig` to more closely match `BacktestVenueConfig` (many changes and additions)

Fixes
- Fixed DataFusion backend data ordering by `ts_init` when streaming (1656), thanks twitu
- Fixed Interactive Brokers tick level historical data downloading (1653), thanks DracheShiki

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