Nautilus-trader

Released on 18th May 2024 (UTC).

Enhancements
- Added Nautilus CLI (see [docs](https://nautilustrader.io/docs/nightly/developer_guide/index.html)) (#1602), many thanks filipmacek
- Added `Cfd` and `Commodity` instruments with Interactive Brokers support (1604), thanks DracheShiki
- Added `OrderMatchingEngine` futures and option contract activation and expiration simulation
- Added Sandbox example with Interactive Brokers (1618), thanks rsmb7z
- Added `ParquetDataCatalog` S3 support (1620), thanks benjaminsingleton
- Added `Bar.from_raw_arrays_to_list` (1623), thanks rsmb7z
- Added `SandboxExecutionClientConfig.bar_execution` config option (1646), thanks davidsblom
- Improved venue order ID generation and assignment (it was previously possible for the `OrderMatchingEngine` to generate multiple IDs for the same order)
- Improved `LiveTimer` robustness and flexibility by not requiring positive intervals or stop times in the future (will immediately produce a time event), thanks for reporting davidsblom

Breaking Changes
- Removed `allow_cash_positions` config (simplify to the most common use case, spot trading should track positions)
- Changed `tags` parameter and return type from `str` to `list[str]` (more naturally expresses multiple tags)
- Changed `Order.to_dict()` `commission` and `linked_order_id` fields to lists of strings rather than comma separated strings
- Changed `OrderMatchingEngine` to no longer process internally aggregated bars for execution (no tests failed, but still classifying as a behavior change), thanks for reporting davidsblom

Fixes
- Fixed `CashAccount` PnL and balance calculations (was adjusting filled quantity based on open position quantity - causing a desync and incorrect balance values)
- Fixed `from_str` for `Price`, `Quantity` and `Money` when input string contains underscores in Rust, thanks for reporting filipmacek
- Fixed `Money` string parsing where the value from `str(money)` can now be passed to `Money.from_str`
- Fixed `TimeEvent` equality (now based on the event `id` rather than the event `name`)
- Fixed `ParquetDataCatalog` bar queries by `instrument_id` which were no longer returning data (the intent is to use `bar_type`, however using `instrument_id` now returns all matching bars)
- Fixed venue order ID generation and application in sandbox mode (was previously generating additional venue order IDs), thanks for reporting rsmb7z and davidsblom
- Fixed multiple fills causing overfills in sandbox mode (`OrderMatchingEngine` now caching filled quantity to prevent this) (1642), thanks davidsblom
- Fixed `leaves_qty` exception message underflow (now correctly displays the projected negative leaves quantity)
- Fixed Interactive Brokers contract details parsing (1615), thanks rsmb7z
- Fixed Interactive Brokers portfolio registration (1616), thanks rsmb7z
- Fixed Interactive Brokers `IBOrder` attributes assignment (1634), thanks rsmb7z
- Fixed IBKR reconnection after gateway/TWS disconnection (1622), thanks benjaminsingleton
- Fixed Binance Futures account balance calculation (was over stating `free` balance with margin collateral, which could result in a negative `locked` balance)
- Fixed Betfair stream reconnection and avoid multiple reconnect attempts (1644), thanks imemo88

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Released on 20th April 2024 (UTC).

Enhancements
- Implemented `FeeModel` including `FixedFeeModel` and `MakerTakerFeeModel` (1584), thanks rsmb7z
- Implemented `TradeTickDataWrangler.process_bar_data` (1585), thanks rsmb7z
- Implemented multiple timeframe bar execution (will use lowest timeframe per instrument)
- Optimized `LiveTimer` efficiency and accuracy with `tokio` timer under the hood
- Optimized `QuoteTickDataWrangler` and `TradeTickDataWrangler` (1590), thanks rsmb7z
- Standardized adapter client logging (handle more logging from client base classes)
- Simplified and consolidated Rust `OrderBook` design
- Improved `CacheDatabaseAdapter` graceful close and thread join
- Improved `MessageBus` graceful close and thread join
- Improved `modify_order` error logging when order values remain unchanged
- Added `RecordFlag` enum for Rust and Python
- Interactive Brokers further improvements and fixes, thanks rsmb7z
- Ported `Bias` indicator to Rust, thanks Pushkarm029

Breaking Changes
- Reordered `OrderBookDelta` params `flags` and `sequence` and removed default 0 values (more explicit and less chance of mismatches)
- Reordered `OrderBook` params `flags` and `sequence` and removed default 0 values (more explicit and less chance of mismatches)
- Added `flags` parameter to `OrderBook.add`
- Added `flags` parameter to `OrderBook.update`
- Added `flags` parameter to `OrderBook.delete`
- Changed Arrow schema for all instruments: added `info` binary field
- Changed Arrow schema for `CryptoFuture`: added `is_inverse` boolean field
- Renamed both `OrderBookMbo` and `OrderBookMbp` to `OrderBook` (consolidated)
- Renamed `Indicator.handle_book_mbo` and `Indicator.handle_book_mbp` to `handle_book` (consolidated)
- Renamed `register_serializable_object` to `register_serializable_type` (also renames first parameter from `obj` to `cls`)

Fixes
- Fixed `MessageBus` pattern resolving (fixes a performance regression where topics published with no subscribers would always re-resolve)
- Fixed `BacktestNode` streaming data management (was not clearing between chunks), thanks for reporting dpmabo
- Fixed `RiskEngine` cumulative notional calculations for margin accounts (was incorrectly using base currency when selling)
- Fixed selling `Equity` instruments with `CASH` account and `NETTING` OMS incorrectly rejecting (should be able to reduce position)
- Fixed Databento bars decoding (was incorrectly applying display factor)
- Fixed `BinanceBar` (kline) to use `close_time` for `ts_event` was `opentime` (1591), thanks for reporting OnlyC
- Fixed `AccountMarginExceeded` error condition (margin must actually be exceeded now, and can be zero)
- Fixed `ParquetDataCatalog` path globbing which was including all paths with substrings of specified instrument IDs

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Released on 22nd March 2024 (UTC).

Enhancements
- Added Databento adapter `continuous`, `parent` and `instrument_id` symbology support (will infer from symbols)
- Added `DatabaseConfig.timeout` config option for timeout seconds to wait for a new connection
- Added CSV tick and bar data loader params, thanks rterbush
- Implemented `LogGuard` to ensure global logger is flushed on termination, thanks ayush-sb and twitu
- Improved Interactive Brokers client connectivity resilience and component lifecycle, thanks benjaminsingleton
- Improved Binance execution client ping listen key error handling and logging
- Improved Redis cache adapter and message bus error handling and logging
- Improved Redis port parsing (`DatabaseConfig.port` can now be either a string or integer)
- Ported `ChandeMomentumOscillator` indicator to Rust, thanks Pushkarm029
- Ported `VIDYA` indicator to Rust, thanks Pushkarm029
- Refactored `InteractiveBrokersEWrapper`, thanks rsmb7z
- Redact Redis passwords in strings and logs
- Upgraded `redis` crate to v0.25.2 which bumps up TLS dependencies, and turned on `tls-rustls-webpki-roots` feature flag

Breaking Changes
None

Fixes
- Fixed JSON format for log file output (was missing `timestamp` and `trader\_id`)
- Fixed `DatabaseConfig` port JSON parsing for Redis (was always defaulting to 6379)
- Fixed `ChandeMomentumOscillator` indicator divide by zero error (both Rust and Cython versions)

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Released on 15th March 2024 (UTC).

Enhancements
- Implemented Binance order book snapshot rebuilds on websocket reconnect (see integration guide)
- Added additional validations for `OrderMatchingEngine` (will now raise a `RuntimeError` when a price or size precision for `OrderFilled` does not match the instruments precisions)
- Added `LoggingConfig.use_pyo3` config option for PyO3 based logging initialization (worse performance but allows visibility into logs originating from Rust)
- Added `exchange` field to `FuturesContract`, `FuturesSpread`, `OptionContract` and `OptionSpread` (optional)

Breaking Changes
- Changed Arrow schema adding `exchange` field for `FuturesContract`, `FuturesSpread`, `OptionContract` and `OptionSpread`

Fixes
- Fixed `MessageBus` handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)
- Fixed `MessageBus` handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a `RuntimeError`)
- Fixed `Throttler` handling of sending messages after messages have been dropped, thanks davidsblom
- Fixed `OrderBookDelta.to_pyo3_list` using zero precision from clear delta
- Fixed `DataTransformer.pyo3_order_book_deltas_to_record_batch_bytes` using zero precision from clear delta
- Fixed `OrderBookMbo` and `OrderBookMbp` integrity check when crossed book
- Fixed `OrderBookMbp` error when attempting to add to a L1\_MBP book type (now raises `RuntimeError` rather than panicking)
- Fixed Interactive Brokers connection error logging (1524), thanks benjaminsingleton
- Fixed `SimulationModuleConfig` location and missing re-export from `config` subpackage
- Fixed logging `StdoutWriter` from also writing error logs (writers were duplicating error logs)
- Fixed `BinanceWebSocketClient` to [new specification](https://binance-docs.github.io/apidocs/futures/en/#websocket-market-streams) which requires responding to pings with a pong containing the pings payload
- Fixed Binance Futures `AccountBalance` calculations based on wallet and available balance
- Fixed `ExecAlgorithm` circular import issue for installed wheels (importing from `execution.algorithm` was a circular import)

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Released on 25th February 2024 (UTC).

Enhancements
- Added `FuturesSpread` instrument type
- Added `OptionSpread` instrument type
- Added `InstrumentClass.FUTURE_SPREAD`
- Added `InstrumentClass.OPTION_SPREAD`
- Added `managed` parameter to `subscribe_order_book_deltas`, default `True` to retain current behavior (if false then the data engine will not automatically manage a book)
- Added `managed` parameter to `subscribe_order_book_snapshots`, default `True` to retain current behavior (if false then the data engine will not automatically manage a book)
- Added additional validations for `OrderMatchingEngine` (will now reject orders with incorrect price or quantity precisions)
- Removed `interval_ms` 20 millisecond limitation for `subscribe_order_book_snapshots` (i.e. just needs to be positive), although we recommend you consider subscribing to deltas below 100 milliseconds
- Ported `LiveClock` and `LiveTimer` implementations to Rust
- Implemented `OrderBookDeltas` pickling
- Implemented `AverageTrueRange` in Rust, thanks rsmb7z

Breaking Changes
- Changed `TradeId` value maximum length to 36 characters (will raise a `ValueError` if value exceeds the maximum)

Fixes
- Fixed `TradeId` memory leak due assigning unique values to the `Ustr` global string cache (which are never freed for the lifetime of the program)
- Fixed `TradeTick` size precision for PyO3 conversion (size precision was incorrectly price precision)
- Fixed `RiskEngine` cash value check when selling (would previously divide quantity by price which is too much), thanks for reporting AnthonyVince
- Fixed FOK time in force behavior (allows fills beyond the top level, will cancel if cannot fill full size)
- Fixed IOC time in force behavior (allows fills beyond the top level, will cancel any remaining after all fills are applied)
- Fixed `LiveClock` timer behavior for small intervals causing next time to be less than now (timer then would not run)
- Fixed log level filtering for `log_level_file` (bug introduced in v1.187.0), thanks twitu
- Fixed logging `print_config` config option (was not being passed through to the logging system)
- Fixed logging timestamps for backtesting (static clock was not being incrementally set to individual `TimeEvent` timestamps)
- Fixed account balance updates (fills from zero quantity `NETTING` positions will generate account balance updates)
- Fixed `MessageBus` publishable types collection type (needed to be `tuple` not `set`)
- Fixed `Controller` registration of components to ensure all active clocks are iterated correctly during backtests
- Fixed `Equity` short selling for `CASH` accounts (will now reject)
- Fixed `ActorFactory.create` JSON encoding (was missing the encoding hook)
- Fixed `ImportableConfig.create` JSON encoding (was missing the encoding hook)
- Fixed `ImportableStrategyConfig.create` JSON encoding (was missing the encoding hook)
- Fixed `ExecAlgorithmFactory.create` JSON encoding (was missing the encoding hook)
- Fixed `ControllerConfig` base class and docstring
- Fixed Interactive Brokers historical bar data bug, thanks benjaminsingleton
- Fixed persistence `freeze_dict` function to handle `fs_storage_options`, thanks dimitar-petrov

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Released on 9th February 2024 (UTC).

Enhancements
- Refined logging system module and writers in Rust, thanks ayush-sb and twitu
- Improved Interactive Brokers adapter symbology and parsing with a `strict_symbology` config option, thanks rsmb7z and fhill2

Breaking Changes
- Reorganized configuration objects (separated into a `config` module per subpackage, with re-exports from `nautilus_trader.config`)

Fixes
- Fixed `BacktestEngine` and `Trader` disposal (now properly releasing resources), thanks for reporting davidsblom
- Fixed circular import issues from configuration objects, thanks for reporting cuberone
- Fixed unnecessary creation of log files when file logging off

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