Nautilus-trader

Released on 23rd December 2022 (UTC).

Breaking Changes
None

Enhancements
- Added managed GTD order expiry (experimental feature, config may change)
- Added Rust `ParquetReader` and `ParquetWriter` (for `QuoteTick` and `TradeTick` only)

Fixes
- Fixed `MARKET_IF_TOUCHED` orders for `OrderFactory.bracket(..)`
- Fixed `OrderEmulator` trigger event handling for live trading
- Fixed `OrderEmulator` transformation to market orders which had a GTD time in force
- Fixed serialization of `OrderUpdated` events
- Fixed typing and edge cases for new `msgspec`, thanks limx0
- Fixed data wrangler processing with missing data, thanks rsmb7z

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Released on 17th December 2022 (UTC).

Breaking Changes
None

Enhancements
None

Fixes
- Fixed `MARKET_IF_TOUCHED` and `LIMIT_IF_TOUCHED` trigger and modify behavior
- Fixed `MatchingEngine` updates of stop order types
- Fixed combinations of passive or immediate trigger vs passive or immediate fill behavior
- Fixed memory leaks from passing string pointers from Rust, thanks twitu

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Released on 12th December 2022 (UTC).

Breaking Changes
- `OrderFactory` bracket order methods consolidated to `.bracket(...)`

Enhancements
- Extended `OrderFactory` to provide more bracket order types
- Simplified GitHub CI and removed `nox` dependency

Fixes
- Fixed `OrderBook` sorting for bid side, thanks gaugau3000
- Fixed `MARKET_TO_LIMIT` order initial fill behavior
- Fixed `BollingerBands` indicator mid-band calculations, thanks zhp (Discord)

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Released on 10th December 2022 (UTC).

Breaking Changes
- Renamed `OrderFactory.bracket_market` to `OrderFactory.bracket_market_entry`
- Renamed `OrderFactory.bracket_limit` to `OrderFactory.bracket_limit_entry`
- Renamed `OrderFactory` bracket order `price` and `trigger_price` parameters

Enhancements
- Added support for Python 3.11
- Consolidated config objects to `msgspec` providing better performance and correctness
- Added `OrderFactory.bracket_stop_limit_entry_stop_limit_tp(...)`
- Numerous improvements to the Interactive Brokers adapter, thanks limx0 and rsmb7z
- Removed dependency on `pydantic`

Fixes
- Fixed `STOP_MARKET` order behavior to fill at market on immediate trigger
- Fixed `STOP_LIMIT` order behavior to fill at market on immediate trigger and marketable
- Fixed `STOP_LIMIT` order behavior to fill at market on processed trigger and marketable
- Fixed `LIMIT_IF_TOUCHED` order behavior to fill at market on immediate trigger and marketable
- Fixed Binance start and stop time units for bar (kline) requests, thanks Tzumx
- `RiskEngineConfig.bypass` set to `True` will now correctly bypass throttlers, thanks DownBadCapital
- Fixed updating of emulated orders
- Numerous fixes to the Interactive Brokers adapter, thanks limx0 and rsmb7z

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Released on 28th November 2022 (UTC).

Breaking Changes
- Removed time portion from generated IDs (affects `ClientOrderId` and `PositionOrderId`)
- Renamed `orderbook.data.Order` to `orderbook.data.BookOrder` (reduce conflicts/confusion)
- Renamed `Instrument.get_cost_currency(...)` to `Instrument.get_settlement_currency(...)` (more accurate terminology)

Enhancements
- Added emulated contingent orders capability to `OrderEmulator`
- Moved `test_kit` module to main package to support downstream project/package testing

Fixes
- Fixed position event sequencing: now generates `PositionOpened` when reopening a closed position
- Fixed `LIMIT` order fill characteristics when immediately marketable as a taker
- Fixed `LIMIT` order fill characteristics when passively filled as a maker as quotes move through
- Fixed canceling OTO contingent orders when still in-flight
- Fixed `RiskEngine` notional check when selling cash assets (spot currency pairs)
- Fixed flush on closed file bug for persistence stream writers

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Released on 18th November 2022 (UTC).

Breaking Changes
- Removed FTX integration
- Renamed `SubmitOrderList.list` to `SubmitOrderList.order_list`
- Slight adjustment to bar aggregation (will not use the last close as the open)

Enhancements
- Implemented `TRAILING_STOP_MARKET` orders for Binance Futures (beta)
- Added `OUO` One-Updates-Other `ContingencyType` with matching engine implementation
- Added bar price fallback for exchange rate calculations, thanks ghill2

Fixes
- Fixed dealloc of Rust backing struct on Python exceptions causing segfaults
- Fixed bar aggregation start times for bar specs outside typical intervals (60-SECOND rather than 1-MINUTE etc)
- Fixed backtest engine main loop ordering of time events with identically timestamped data
- Fixed `ModifyOrder` message `str` and `repr` when no quantity
- Fixed OCO contingent orders which were actually implemented as OUO for backtests
- Fixed various bugs for Interactive Brokers integration, thanks limx0 and rsmb7z
- Fixed pyarrow version parsing, thanks ghill2
- Fixed returning venue from InstrumentId, thanks rsmb7z

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