Nautilus-trader

Released on 2nd February 2024 (UTC).

Enhancements
None

Breaking Changes
None

Fixes
- Fixed Interactive Brokers get account positions bug (1475), thanks benjaminsingleton
- Fixed `TimeBarAggregator` handling of interval types on build
- Fixed `BinanceSpotExecutionClient` non-existent method name, thanks sunlei
- Fixed unused `psutil` import, thanks sunlei

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Released on 26th January 2024 (UTC).

Enhancements
- Added warning log when `bypass_logging` is set true for a `LIVE` context
- Improved `register_serializable object` to also add type to internal `_EXTERNAL_PUBLIHSABLE_TYPES`
- Improved Interactive Brokers expiration contract parsing, thanks fhill2

Breaking Changes
- Changed `StreamingConfig.include_types` type from `tuple[str]` to `list[type]` (better alignment with other type filters)
- Consolidated `clock` module into `component` module (reduce binary wheel size)
- Consolidated `logging` module into `component` module (reduce binary wheel size)

Fixes
- Fixed Arrow serialization of `OrderUpdated` (`trigger_price` type was incorrect), thanks benjaminsingleton
- Fixed `StreamingConfig.include_types` behavior (was not being honored for instrument writers), thanks for reporting doublier1
- Fixed `ImportableStrategyConfig` type assignment in `StrategyFactory` (1470), thanks rsmb7z

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Released on 22nd January 2024 (UTC).

Enhancements
- Added `LogLevel.OFF` (matches the Rust `tracing` log levels)
- Added `init_logging` function with sensible defaults to initialize the Rust implemented logging system
- Updated Binance Futures enum members for `BinanceFuturesContractType` and `BinanceFuturesPositionUpdateReason`
- Improved log header using the `sysinfo` crate (adds swap space metrics and a PID identifier)
- Removed Python dependency on `psutil`

Breaking Changes
- Removed `clock` parameter from `Logger` (no dependency on `Clock` anymore)
- Renamed `LoggerAdapter` to `Logger` (and removed old `Logger` class)
- Renamed `Logger` `component_name` parameter to `name` (matches Python built-in `logging` API)
- Renamed `OptionKind` `kind` parameter and property to `option_kind` (better clarity)
- Renamed `OptionContract` Arrow schema field `kind` to `option_kind`
- Changed `level_file` log level to `OFF` (file logging is off by default)

Fixes
- Fixed memory leak for catalog queries (1430), thanks twitu
- Fixed `DataEngine` order book snapshot timer names (could not parse instrument IDs with hyphens), thanks for reporting x-zho14 and dimitar-petrov
- Fixed `LoggingConfig` parsing of `WARNING` log level (was not being recognized), thanks for reporting davidsblom
- Fixed Binance Futures `QuoteTick` parsing to capture event time for `ts_event`, thanks for reporting x-zho14

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Released on 12th January 2024 (UTC).

Enhancements
- Added `NautilusConfig.json_primitives` to convert object to Python dictionary with JSON primitive values
- Added `InstrumentClass.BOND`
- Added `MessageBusConfig` `use_trader_prefix` and `use_trader_id` config options (provides more control over stream names)
- Added `CacheConfig.drop_instruments_on_reset` (default `True` to retain current behavior)
- Implemented core logging interface via the `log` crate, thanks twitu
- Implemented global atomic clock in Rust (improves performance and ensures properly monotonic timestamps in real-time), thanks twitu
- Improved Interactive Brokers adapter raising docker `RuntimeError` only when needed (not when using TWS), thanks rsmb7z
- Upgraded core HTTP client to latest `hyper` and `reqwest`, thanks ayush-sb
- Optimized Arrow encoding (resulting in ~100x faster writes for the Parquet data catalog)

Breaking Changes
- Changed `ParquetDataCatalog` custom data prefix from `geneticdata_` to `custom_` (you will need to rename any catalog subdirs)
- Changed `ComponentStateChanged` Arrow schema for `config` from `string` to `binary`
- Changed `OrderInitialized` Arrow schema for `options` from `string` to `binary`
- Changed `OrderBookDeltas` dictionary representation of `deltas` field from JSON `bytes` to a list of `dict` (standardize with all other data types)
- Changed external message publishing stream name keys to be `trader-{trader_id}-{instance_id}-streams` (with options allows many traders to publish to the same streams)
- Renamed all version 2 data wrangler classes with a `V2` suffix for clarity
- Renamed `GenericData` to `CustomData` (more accurately reflects the nature of the type)
- Renamed `DataClient.subscribed_generic_data` to `.subscribed_custom_data`
- Renamed `MessageBusConfig.stream` to `.streams_prefix` (more accurate)
- Renamed `ParquetDataCatalog.generic_data` to `.custom_data`
- Renamed `TradeReport` to `FillReport` (more conventional terminology, and more clearly separates market data from user execution reports)
- Renamed `asset_type` to `instrument_class` across the codebase (more conventional terminology)
- Renamed `AssetType` enum to `InstrumentClass` (more conventional terminology)
- Renamed `AssetClass.BOND` to `AssetClass.DEBT` (more conventional terminology)
- Removed `AssetClass.METAL` (not strictly an asset class, more a futures category)
- Removed `AssetClass.ENERGY` (not strictly an asset class, more a futures category)
- Removed `multiplier` parameter from `Equity` constructor (not applicable)
- Removed `size_precision`, `size_increment`, and `multiplier` fields from `Equity` dictionary representation (not applicable)
- Removed `TracingConfig` (now redundant with new logging implementation)
- Removed `Ticker` data type and associated methods (not a type which can be practically normalized and so becomes adapter specific generic data)
- Moved `AssetClass.SPORTS_BETTING` to `InstrumentClass.SPORTS_BETTING`

Fixes
- Fixed logger thread leak, thanks twitu
- Fixed handling of configuration objects to work with `StreamingFeatherWriter`
- Fixed `BinanceSpotInstrumentProvider` fee loading key error for partial instruments load, thanks for reporting doublier1
- Fixed Binance API key configuration parsing for testnet (was falling through to non-testnet env vars)
- Fixed TWAP execution algorithm scheduled size handling when first order should be for the entire size, thanks for reporting pcgm-team
- Added `BinanceErrorCode.SERVER_BUSY` (-1008), also added to the retry error codes
- Added `BinanceOrderStatus.EXPIRED_IN_MATCH` which is when an order was canceled by the exchange due self-trade prevention (STP), thanks for reporting doublier1

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Released on 23rd December 2023 (UTC).

Enhancements
- Added `CacheDatabaseFacade` and `CacheDatabaseAdapter` to abstract backing technology from Python codebase
- Added `RedisCacheDatabase` implemented in Rust with separate MPSC channel thread for insert, update and delete operations
- Added TA-Lib integration, thanks rsmb7z
- Added `OrderBookDelta` and `OrderBookDeltas` to serializable and publishable types
- Moved `PortfolioFacade` to `Actor`
- Improved `Actor` and `Strategy` usability to be more lenient to mistaken calls to `clock` and `logger` from the constructor (warnings also added to docs)
- Removed `redis` and `hiredis` dependencies from Python codebase

Breaking Changes
- Changed configuration objects to take stronger types as these are now serializable when registered (rather than primitives)
- Changed `NautilusKernelConfig.trader_id` to type `TraderId`
- Changed `BacktestDataConfig.instrument_id` to type `InstrumentId`
- Changed `ActorConfig.component_id` to type `ComponentId | None`
- Changed `StrategyConfig.strategy_id` to type `StrategyId | None`
- Changed `Instrument`, `OrderFilled` and `AccountState` `info` field serialization due below fix (you'll need to flush your cache)
- Changed `CacheConfig` to take a `DatabaseConfig` (better symmetry with `MessageBusConfig`)
- Changed `RedisCacheDatabase` data structure for currencies from hashset to simpler key-value (you'll need to clear cache or delete all currency keys)
- Changed `Actor` state loading to now use the standard `Serializer`
- Renamed `register_json_encoding` to `register_config_encoding`
- Renamed `register_json_decoding` to `register_config_decoding`
- Removed `CacheDatabaseConfig` (due above config change)
- Removed `infrastructure` subpackage (now redundant with new Rust implementation)

Fixes
- Fixed `json` encoding for `CacheDatabaseAdapter` from `info` field serialization fix below
- Fixed `Instrument`, `OrderFilled` and `AccountState` `info` field serialization to retain JSON serializable dicts (rather than double encoding and losing information)
- Fixed Binance Futures `good_till_date` value when `time_in_force` not GTD, such as when strategy is managing the GTD (was incorrectly passing through UNIX milliseconds)
- Fixed `Executor` handling of queued task IDs (was not discarding from queued tasks on completion)
- Fixed `DataEngine` handling of order book snapshots with very small intervals (now handles as short as 20 milliseconds)
- Fixed `BacktestEngine.clear_actors()`, `BacktestEngine.clear_strategies()` and `BacktestEngine.clear_exec_algorithms()`, thanks for reporting davidsblom
- Fixed `BacktestEngine` OrderEmulator reset, thanks davidsblom
- Fixed `Throttler.reset` and reset of `RiskEngine` throttlers, thanks davidsblom

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Released on 2nd December (UTC).

This release adds support for Python 3.12.

Enhancements
- Rewrote Interactive Brokers integration documentation, many thanks benjaminsingleton
- Added Interactive Brokers adapter support for crypto instruments with cash quantity, thanks benjaminsingleton
- Added `HistoricInteractiveBrokerClient`, thanks benjaminsingleton and limx0
- Added `DataEngineConfig.time_bars_interval_type` (determines the type of interval used for time aggregation `left-open` or `right-open`)
- Added `LoggingConfig.log_colors` to optionally use ANSI codes to produce colored logs (default `True` to retain current behavior)
- Added `QuoteTickDataWrangler.process_bar_data` options for `offset_interval_ms` and `timestamp_is_close`
- Added identifier generators in Rust, thanks filipmacek
- Added `OrderFactory` in Rust, thanks filipmacek
- Added `WilderMovingAverage` in Rust, thanks ayush-sb
- Added `HullMovingAverage` in Rust, thanks ayush-sb
- Added all common identifier generators in Rust, thanks filipmacek
- Added generic SQL database support with `sqlx` in Rust, thanks filipmacek

Breaking Changes
- Consolidated all `data` submodules into one `data` module (reduce binary wheel size)
- Moved `OrderBook` from `model.orderbook.book` to `model.book` (subpackage only had this single module)
- Moved `Currency` from `model.currency` to `model.objects` (consolidating modules to reduce binary wheel size)
- Moved `MessageBus` from `common.msgbus` to `common.component` (consolidating modules to reduce binary wheel size)
- Moved `MsgSpecSerializer` from `serialization.msgpack.serializer` to `serialization.serializer`
- Moved `CacheConfig` `snapshot_orders`, `snapshot_positions`, `snapshot_positions_interval` to `NautilusKernelConfig` (logical applicability)
- Renamed `MsgPackSerializer` to `MsgSpecSeralizer` (now handles both JSON and MsgPack formats)

Fixes
- Fixed missing `trader_id` in `Position` dictionary representation, thanks filipmacek
- Fixed conversion of fixed-point integers to floats (should be dividing to avoid rounding errors), thanks for reporting filipmacek
- Fixed daily timestamp parsing for Interactive Brokers, thanks benjaminsingleton
- Fixed live reconciliation trade processing for partially filled then canceled orders
- Fixed `RiskEngine` cumulative notional risk check for `CurrencyPair` SELL orders on multi-currency cash accounts

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