NautilusTrader 1.219.0 Beta

@faysou

NautilusTrader 1.219.0 Beta

Released on 5th July 2025 (UTC).

Enhancements

Added graceful_shutdown_on_exception config option for live engines (default False to retain intended hard crash on unexpected system exceptions)
Added purge_from_database config option for LiveExecEngineConfig to support cache backing database management
Added support for data download during backtest (#2652), thanks @faysou
Added delete data range to catalog (#2744), thanks @faysou
Added consolidate catalog by period (#2727), thanks @faysou
Added fire_immediately flag parameter for timers where a time event will be fired at the start instant and then every interval thereafter (default False to retain current behavior) (#2600), thanks for the idea @stastnypremysl
Added time_bars_build_delay config option for DataEngineConfig (#2676), thanks @faysou
Added immediate firing capability for time alerts and corresponding test (#2745), thanks @stastnypremysl
Added missing serialization mappings for some instruments (#2702), thanks @faysou
Added support for DEX swaps for blockchain adapter (#2683), thanks @filipmacek
Added support for Pool liquidity updates for blockchain adapter (#2692), thanks @filipmacek
Added fill report reconciliation warning when discrepancy with existing fill (#2706), thanks @faysou
Added optional metadata function for custom data query (#2724), thanks @faysou
Added support for order-list submission in the sandbox execution client (#2714), thanks @petioptrv
Added hidden order support for IBKR (#2739), thanks @sunlei
Added subscribe_order_book_deltas support for IBKR (#2749), thanks @sunlei
Added bid_levels and ask_levels for OrderBook.pprint
Added accepted_buffer_ns filter param for Cache.own_bid_orders(...) and Cache.own_ask_orders(...)
Added trailing stop orders activation_price support in Rust (#2750), thanks @nicolad

Breaking Changes

Renamed catalog instrument_ids filter param to identifiers to more accurately describe strings which can represent either instrument IDs or bar types
Changed behavior of timers allow_past=False to permit start times in the past if the next event time is still in the future
Changed Databento DBN upgrade policy to default v3
Removed problematic negative balance check for margin accounts (cash account negative balance check remains unchanged)
Removed support for Databento DBN v1 schemas (migrate to DBN v2 or v3, see DBN Changelog)

Internal Improvements

Added logging macros for custom component and color in Rust
Added Cython-level parameter validation for timer operations to prevent Rust panics and provide clearer Python error messages
Added property-based testing for Price, Quantity, Money value types in Rust
Added property-based testing for UnixNanos in Rust
Added property-based testing for OrderBook in Rust
Added property-based testing for TestTimer in Rust
Added property-based testing for network crate in Rust
Added chaos testing with turmoil for socket clients in Rust
Added check_positive_decimal correctness function and use for instrument validations (#2736), thanks @nicolad
Added check_positive_money correctness function and use for instrument validations (#2738), thanks @nicolad
Ported data catalog refactor to Rust (#2681, #2720), thanks @faysou
Optimized TardisCSVDataLoader performance (~90% memory usage reduction, ~60-70% faster)
Consolidated the clocks and timers v2 feature from @twitu
Consolidated on pure Rust cryptography crates with no dependencies on native certs or openssl
Consolidated on aws-lc-rs cryptography for FIPS compliance
Confirmed parity between Cython and Rust indicators (#2700, #2710, #2713), thanks @nicolad
Implemented From<Pool> -> CurrencyPair & InstrumentAny (#2693), thanks @nicolad
Updated Makefile to use new docker compose syntax (#2746), thanks @stastnypremysl
Updated Tardis exchange mappings
Improved live engine message processing to ensure exceptions result in a crash rather than continuing without the queue processing messages
Improved live reconciliation robustness and testing
Improved listen key error handling and recovery for Binance
Improved handling of negative balances in backtests (#2730), thanks @ms32035
Improved robustness of cash and margin account locked balance calculations to avoid negative free balance
Improved robustness of fill price parsing for Betfair
Improved implementation, validations and testing for Rust instruments (#2723, #2733), thanks @nicolad
Improved Currency equality to use strcmp to avoid C pointer comparison issues with ustr string interning
Improved unsubscribe cleanup(s) for Bybit adapter
Improved Makefile to be self-documenting (#2741), thanks @sunlei
Refactored IB adapter (#2647), thanks @faysou
Refactored data catalog (#2652, #2740), thanks @faysou
Refined Rust data catalog (#2734), thanks @faysou
Refined logging subsystem lifecycle management and introduce global log sender
Refined signal serialization and tests (#2705), thanks @faysou
Refined CI/CD and build system (#2707), thanks @stastnypremysl
Upgraded Rust (MSRV) to 1.88.0
Upgraded Cython to v3.1.2
Upgraded databento crate to v0.28.0
Upgraded datafusion crate to v48.0.0
Upgraded pyo3 and pyo3-async-runtimes crates to v0.25.1
Upgraded redis crate to v0.32.3
Upgraded tokio crate to v1.46.1
Upgraded tokio-tungstenite crate to v0.27.0

Fixes

Fixed AccountBalance mutation in AccountState events (#2701), thanks for reporting @DeirhX
Fixed order book cache consistency in update and remove operations (found through property-based testing)
Fixed order status report generation for Polymarket where venue_order_id was unbounded
Fixed data request identifier attribute access for LiveDataClient
Fixed generate_order_modify_rejected typo in Binance execution client (#2682), thanks for reporting @etiennepar
Fixed order book depth handling in subscriptions for Binance
Fixed potential IndexError with empty bars requests for Binance
Fixed GTD-GTC time in force conversion for Binance
Fixed incorrect logging of trigger type for Binance
Fixed trade ticks unsubscribe for Binance which was not differentiating aggregated trades
Fixed pending update hot cache cleanup for Betfair execution client
Fixed invalid session information on account update for Betfair execution client
Fixed order book snapshots unsubscribe for Tardis data client
Fixed Arrow schema registration for BinanceBar
Fixed gRPC server shutdown warning when running dYdX integration tests
Fixed registration of encoder and decoder for BinanceBar, thanks for reporting @miller-moore
Fixed spot and futures sandbox for Binance (#2687), thanks @petioptrv
Fixed clean and distclean make targets entering .venv and corrupting the Python virtual env, thanks @faysou
Fixed catalog identifier matching to exact match (#2732), thanks @faysou
Fixed last value updating for RSI indicator (#2703), thanks @bartlaw
Fixed gateway/TWS reconnect process for IBKR (#2710), thanks @bartlaw
Fixed Interactive Brokers options chain issue (#2711), thanks @FGU1
Fixed partially filled bracket order and SL triggered for IBKR (#2704, #2717), thanks @bartlaw
Fixed instrument message decoding when no exchange value for Databento US equities
Fixed fetching single-instrument trading fees for Binance, thanks @petioptrv
Fixed IB-TWS connection issue with international languages (#2726), thanks @DracheShiki
Fixed bar requests for Bybit where pagination was incorrect which limited bars being returned
Fixed Bybit Unknown Error (#2742), thanks @DeevsDeevs
Fixed margin balance parsing for Bybit
Restored task error logs for IBKR (#2716), thanks @bartlaw

Documentation Updates

Updated IB adapter documentation (#2729), thanks @faysou
Improved reconciliation docs in live concept guide

Deprecations

Deprecated Portfolio.set_specific_venue(...), to be removed in a future release; use Cache.set_specific_venue(...) instead

@faysou

NautilusTrader 1.218.0 Beta

Released on 31st May 2025 (UTC).

Enhancements

Added convenience re-exports for Betfair adapter (constants, configs, factories, types)
Added convenience re-exports for Binance adapter (constants, configs, factories, loaders, types)
Added convenience re-exports for Bybit adapter (constants, configs, factories, loaders, types)
Added convenience re-exports for Coinbase International adapter (constants, configs, factories)
Added convenience re-exports for Databento adapter (constants, configs, factories, loaders, types)
Added convenience re-exports for dYdX adapter (constants, configs, factories)
Added convenience re-exports for Polymarket adapter (constants, configs, factories)
Added convenience re-exports for Tardis adapter (constants, configs, factories, loaders)
Added support for FillModel, LatencyModel and FeeModel in BacktestNode (#2601), thanks @faysou
Added bars caching from request_aggregated_bars (#2649), thanks @faysou
Added BacktestDataIterator to backtest engine to provide on-the-fly data loading (#2545), thanks @faysou
Added support for MarkPriceUpdate streaming from catalog (#2582), thanks @bartolootrit
Added support for Binance Futures margin type (#2660), thanks @bartolootrit
Added support for mark price stream across all markets for Binance (#2670), thanks @sunlei
Added bars_timestamp_on_close config option for Databento which defaults to True to consistently align with Nautilus conventions
Added activation_price support for trailing stop orders (#2610), thanks @hope2see
Added trailing stops for OrderFactory bracket orders (#2654), thanks @hope2see
Added raise_exception config option for BacktestRunConfig (default False to retain current behavior) which will raise exceptions to interrupt a nodes run process
Added UnixNanos::is_zero() convenience method to check for a zero/epoch value
Added SQL schema, model, and query for OrderCancelRejected
Added SQL schema, model, and query for OrderModifyRejected
Added HyperSync client to blockchain adapter (#2606), thanks @filipmacek
Added support for DEXs, pools, and tokens to blockchain adapter (#2638), thanks @filipmacek

Breaking Changes

Changed trailing stops to use activation_price rather than trigger_price for Binance to more closely match the Binance API conventions

Internal Improvements

Added activation_price str and repr tests for trailing stop orders (#2620), thanks @hope2see
Added condition check for order contingency_type and linked_order_ids where a contingency should have associated linked order IDs
Improved robustness of socket client reconnects and disconnects to avoid state race conditions
Improved error handling for socket clients, will now raise Python exceptions on send errors rather than logging with tracing only
Improved error handling for Databento adapter by changing many unwraps to instead log or raise Python exceptions (where applicable)
Improved error handling for Tardis adapter by changing many unwraps to instead log or raise Python exceptions (where applicable)
Improved fill behavior for limit orders in L1_MBP books, will now fill entire size when marketable as TAKER or market moves through limit as MAKER
Improved account state event generation for margin accounts, avoiding the generation of redundant intermediate account states for the same execution event
Improved ergonomics of messaging topics, patterns, and endpoints in Rust (#2658), thanks @twitu
Improved development debug builds with cranelift backend for Rust (#2640), thanks @twitu
Improved validations for LimitOrder in Rust (#2613), thanks @nicolad
Improved validations for LimitIfTouchedOrder in Rust (#2533), thanks @nicolad
Improved validations for MarketIfTouchedOrder in Rust (#2577), thanks @nicolad
Improved validations for MarketToLimitOrder in Rust (#2584), thanks @nicolad
Improved validations for StopLimitOrder in Rust (#2593), thanks @nicolad
Improved validations for StopMarketOrder in Rust (#2596), thanks @nicolad
Improved validations for TrailingStopMarketOrder in Rust (#2607), thanks @nicolad
Improved orders initialize and display tests in Rust (#2617), thanks @nicolad
Improved testing for Rust orders module (#2578), thanks @dakshbtc
Improved Cython-Rust indicator parity for AdaptiveMovingAverage (AMA) (#2626), thanks @nicolad
Improved Cython-Rust indicator parity for DoubleExponentialMovingAverage (DEMA) (#2633), thanks @nicolad
Improved Cython-Rust indicator parity for ExponentialMovingAverage (EMA) (#2642), thanks @nicolad
Improved Cython-Rust indicator parity for HullMovingAverage (HMA) (#2648), thanks @nicolad
Improved Cython-Rust indicator parity for LinearRegression (#2651), thanks @nicolad
Improved Cython-Rust indicator parity for WilderMovingAverage (RMA) (#2653), thanks @nicolad
Improved Cython-Rust indicator parity for VariableIndexDynamicAverage (VIDYA) (#2659), thanks @nicolad
Improved Cython-Rust indicator parity for SimpleMovingAverage (SMA) (#2655), thanks @nicolad
Improved Cython-Rust indicator parity for VolumeWeightedAveragePrice (VWAP) (#2661), thanks @nicolad
Improved Cython-Rust indicator parity for WeightedMovingAverage (WMA) (#2662), thanks @nicolad
Improved Cython-Rust indicator parity for ArcherMovingAveragesTrends (AMAT) (#2669), thanks @nicolad
Improved zero size trade logging for Binance Futures (#2588), thanks @bartolootrit
Improved error handling on API key authentication errors for Polymarket
Improved execution client debug logging for Polymarket
Improved exception on deserializing order from cache database
Improved None condition checks for value types, which now raise a TypeError instead of an obscure AttributeError
Changed VecDeque for fixed-capacity ArrayDeque in SMA indicator (#2666), thanks @nicolad
Changed VecDeque for fixed-capacity ArrayDeque in LinearRegression (#2667), thanks @nicolad
Implemented remaining Display for orders in Rust (#2614), thanks @nicolad
Implemented _subscribe_instrument for dYdX and Bybit (#2636), thanks @davidsblom
Untangled ratelimiter quota from python flag (#2595), thanks @twitu
Refined BacktestDataIterator correctness (#2591), thanks @faysou
Refined formatting of IB adapter files (#2639), thanks @faysou
Optimized message bus topic-matching logic in Rust by 100× (#2634), thanks @twitu
Changed to faster message bus pattern matching logic from Rust (#2643), thanks @twitu
Upgraded Rust (MSRV) to 1.87.0
Upgraded Cython to v3.1.0 (now stable)
Upgraded databento crate to v0.26.0
Upgraded redis crate to v0.31.0
Upgraded sqlx crate to v0.8.6
Upgraded tokio crate to v1.45.1

Fixes

Fixed portfolio account updates leading to incorrect balances (#2632, #2637), thanks for reporting @bartolootrit and @DeirhX
Fixed portfolio handling of OrderExpired events not updating state (margin requirements may change)
Fixed event handling for ExecutionEngine so it fully updates the Portfolio before to publishing execution events (#2513), thanks for reporting @stastnypremysl
Fixed PnL calculation for margin account on position flip (#2657), thanks for reporting @Egisess
Fixed notional value pre-trade risk check when order using quote quantity (#2628), thanks for reporting @DeevsDeevs
Fixed position snapshot cache access for ExecutionEngine
Fixed position snapshot SystemError calling copy.deepcopy() by simply using a pickle round trip to copy the position instance
Fixed event purging edge cases for account and position where at least one event must be guaranteed
Fixed authentication for Redis when password provided with no username
Fixed various numpy and pandas FutureWarning(s)
Fixed sockets exponential backoff immediate reconnect value on reset (this prevented immediate reconnects on the next reconnect sequence)
Fixed message bus subscription matching logic in Rust (#2646), thanks @twitu
Fixed trailing stop market fill behavior when top-level exhausted to align with market orders (#2540), thanks for reporting @stastnypremysl
Fixed stop limit fill behavior on initial trigger where the limit order was continuing to fill as a taker beyond available liquidity, thanks for reporting @hope2see
Fixed matching engine trade processing when aggressor side is NO_AGGRESSOR (we can still update the matching core)
Fixed modifying and updating trailing stop orders (#2619), thanks @hope2see
Fixed processing activated trailing stop update when no trigger price, thanks for reporting @hope2see
Fixed terminating backtest on AccountError when streaming, the exception needed to be reraised to interrupt the streaming of chunks (#2546), thanks for reporting @stastnypremysl
Fixed HTTP batch order operations for Bybit (#2627), thanks @sunlei
Fixed reduce_only attribute access in batch place order for Bybit
Fixed quote tick parsing for one-sided books on Polymarket
Fixed order fill handling for limit orders with MAKER liquidity side on Polymarket
Fixed currency parsing for BinaryOption on Polymarket to consistently use USDC.e (PoS USDC on Polygon)
Fixed identity error handling during keep-alive for Betfair, will now reconnect
Updated BinanceFuturesEventType enum with additional variants, thanks for reporting @miller-moore

Documentation Updates

Added capability matrices for integration guides
Added content to Architecture concept guide
Added content to Live Trading concept guide
Added content to Developer Guide
Added errors and panics docs for most crates
Added errors and panics docs for most crates
Improved the clarity of various concept guides
Fixed several errors in concept guides

Deprecations

Deprecated support for ...

@limx0

NautilusTrader 1.217.0 Beta

Released on 30th April 2025 (UTC).

Enhancements

Added processing of OrderBookDepth10 for BacktestEngine and OrderMatchingEngine (#2542), thanks @limx0
Added Actor.subscribe_order_book_depth(...) subscription method (#2555), thanks @limx0
Added Actor.unsubscribe_order_book_depth(...) subscription method
Added Actor.on_order_book_depth(...) handler method (#2555), thanks @limx0
Added UnixNanos::max() convenience method for the maximum valid value
Added available_offset filter parameter for TardisInstrumentProvider
Added NAUTILUS_WORKER_THREADS environment variable for common tokio runtime builder
Added Quantity::non_zero(...) method
Added Quantity::non_zero_checked(...) method
Added round_down param for Instrument.make_qty(...) that is False by default to maintain current behavior
Added WebSocket batch order operations for Bybit (#2521), thanks @sunlei
Added mark price subscription for Binance Futures (#2548), thanks @bartolootrit
Added Chain struct to represent blockchain network (#2526), thanks @filipmacek
Added Block primitive for blockchain domain model (#2535), thanks @filipmacek
Added Transaction primitive for blockchain domain model (#2551), thanks @filipmacek
Added initial blockchain adapter with live block subscription (#2557), thanks @filipmacek

Breaking Changes

Removed fees from locked balance calculations for CASH accounts
Removed fees from margin calculations for MARGIN accounts
Renamed id constructor parameter to instrument_id across all PyO3 instruments, aligning with equivalent Cython instrument constructors

Internal Improvements

Implemented exponential backoff and jitter for the RetryManager (#2518), thanks @davidsblom
Simplified default locked balance and margin calculations to not include fees
Improved handling of time range and effective date filters for TardisInstrumentProvider
Improved reconnection robustness for Bybit private/trading channels (#2520), thanks @sunlei
Improved logger buffers flushing post backtest
Improved validations for Tardis trades data
Improved correctness of client registration and deregistration for ExecutionEngine
Improved build time by only compiling libraries (#2539), thanks @twitu
Improved logging flush (#2568), thanks @faysou
Improved clear_log_file to happen for each kernel initialization (#2569), thanks @faysou
Refined Price and Quantity validations and correctness
Filter fill events if order is already filled for dYdX (#2547), thanks @davidsblom
Fixed some clippy lints (#2517), thanks @twitu
Upgraded databento crate to v0.24.0
Upgraded datafusion crate to v47.0.0
Upgraded redis crate to v0.30.0
Upgraded sqlx crate to v0.8.5
Upgraded pyo3 crate to v0.24.2

Fixes

Fixed consistent ordering of execution events (#2513, #2554), thanks for reporting @stastnypremysl
Fixed type error when generating an elapsed time for backtests with no elapsed time
Fixed memory leak in RetryManager by simplifying the acquire-release pattern, avoiding the asynchronous context manager protocol that led to state sharing, thanks for reporting @DeevsDeevs
Fixed locked balance and initial margin calculations for reduce-only orders (#2505), thanks for reporting @stastnypremysl
Fixed purging order events from position (these needed to be purged prior to removing cache index entry), thanks @DeevsDeevs
Fixed TypeError when formatting backtest post run timestamps which were None (#2514), thanks for reporting @stastnypremysl
Fixed handling of BetfairSequenceCompleted as custom data
Fixed the instrument class of IndexInstrument, changing to SPOT to correctly represent a spot index of underlying constituents
Fixed data range request end handling for DataEngine
Fixed unsubscribe instrument close for DataEngine
Fixed network clients authentication for OKX (#2553), thanks for reporting @S3toGreen
Fixed account balance calculation for dYdX (#2563), thanks @davidsblom
Fixed ts_init for databento historical data (#2566), thanks @faysou
Fixed RequestInstrument in query_catalog (#2567), thanks @faysou
Reverted removal of rotate log file on UTC date change (#2552), thanks @twitu

Documentation Updates

Improved environment setup guide with recommended rust analyzer settings (#2538), thanks @twitu
Fixed alignment with code for some ExecutionEngine docstrings

Deprecations

None

@xingyanan

NautilusTrader 1.216.0 Beta

Released on 13th April 2025 (UTC).

This release adds support for Python 3.13 (not yet compatible with free-threading),
and introduces support for linux on ARM64 architecture.

Enhancements

Added allow_past boolean flag for Clock.set_timer(...) to control behavior with start times in the past (default True to allow start times in the past)
Added allow_past boolean flag for Clock.set_time_alert(...) to control behavior with alert times in the past (default True to fire immediate alert)
Added risk engine check for GTD order expire time, which will deny if expire time is already in the past
Added instrument updating for exchange and matching engine
Added additional price and quantity precision validations for matching engine
Added log file rotation with additional config options max_file_size and max_backup_count (#2468), thanks @xingyanan and @twitu
Added bars_timestamp_on_close config option for BybitDataClientConfig (default True to match Nautilus conventions)
Added BetfairSequenceCompleted custom data type for Betfair to mark the completion of a sequence of messages
Added Arrow schema for MarkPriceUpdate in Rust
Added Arrow schema for IndexPriceUpdate in Rust
Added Arrow schema for InstrumentClose in Rust
Added BookLevel.side property
Added Position.closing_order_side() instance method
Improved robustness of in-flight order check for LiveExecutionEngine, once exceeded query retries will resolve submitted orders as rejected and pending orders as canceled
Improved logging for BacktestNode crashes with full stack trace and prettier config logging

Breaking Changes

Changed external bar requests ts_event timestamping from on open to on close for Bybit

Internal Improvements

Added handling and warning for Betfair zero sized fills
Improved WebSocket error handling for dYdX (#2499), thanks @davidsblom
Ported GreeksCalculator to Rust (#2493, #2496), thanks @faysou
Upgraded Cython to v3.1.0b1
Upgraded redis crate to v0.29.5
Upgraded tokio crate to v1.44.2

Fixes

Fixed setting component clocks to backtest start time
Fixed overflow error in trailing stop calculations
Fixed missing SymbolFilterType enum member for Binance (#2495), thanks @sunlei
Fixed ts_event for Bybit bars (#2502), thanks @davidsblom
Fixed position ID handling for Binance Futures in hedging mode with execution algorithm order (#2504), thanks for reporting @Oxygen923

Documentation Updates

Removed obsolete bar limitations in portfolio docs (#2501), thanks @stefansimik

Deprecations

None

@faysou

NautilusTrader 1.215.0 Beta

Released on 5th April 2025 (UTC).

Enhancements

Added Cache.purge_closed_order(...)
Added Cache.purge_closed_orders(...)
Added Cache.purge_closed_position(...)
Added Cache.purge_closed_positions(...)
Added Cache.purge_account_events(...)
Added Account.purge_account_events(...)
Added purge_closed_orders_interval_mins config option for LiveExecEngineConfig
Added purge_closed_orders_buffer_mins config option for LiveExecEngineConfig
Added purge_closed_positions_interval_mins config option for LiveExecEngineConfig
Added purge_closed_positions_buffer_mins config option for LiveExecEngineConfig
Added purge_account_events_interval_mins config option for LiveExecEngineConfig
Added purge_account_events_lookback_mins config option for LiveExecEngineConfig
Added Order.ts_closed property
Added instrument_ids and bar_types for BacktestDataConfig to improve catalog query efficiency (#2478), thanks @faysou
Added venue_dataset_map config option for DatabentoDataConfig to override the default dataset used for a venue (#2483, #2485), thanks @faysou

Breaking Changes

None

Internal Improvements

Added Position.purge_events_for_order(...) for purging OrderFilled events and TradeIds associated with a client order ID
Added Consumer for WebSocketClient (#2488), thanks @twitu
Improved instrument parsing for Tardis with consistent effective timestamp filtering, settlement currency, increments and fees changes
Improved error logging for Betfair update_account_state task by logging the full stack trace on error
Improved logging for Redis cache database operations
Standardized unexpected exception logging to include full stack trace
Refined type handling for backtest configs
Refined databento venue dataset mapping and configuration (#2483), thanks @faysou
Refined usage of databento use_exchange_as_venue (#2487), thanks @faysou
Refined time initialization of components in backtest (#2490), thanks @faysou
Upgraded Rust MSRV to 1.86.0
Upgraded pyo3 crate to v0.24.1

Fixes

Fixed MBO feed handling for Databento where an initial snapshot was decoding a trade tick with zero size (#2476), thanks for reporting @JackWCollins
Fixed position state snapshots for closed positions where these snapshots were being incorrectly filtered
Fixed handling of PolymarketTickSizeChanged message
Fixed parsing spot instruments for Tardis where size_increment was zero, now inferred from base currency
Fixed default log colors for Rust (#2489), thanks @filipmacek
Fixed sccache key for uv in CI (#2482), thanks @davidsblom

Documentation Updates

Clarified partial fills in backtesting concept guide (#2481), thanks @stefansimik

Deprecations

Deprecated strategies written in Cython and removed ema_cross_cython strategy example

@sunlei

NautilusTrader 1.214.0 Beta

Released on 28th March 2025 (UTC).

Enhancements

Added Coinbase International Exchange initial integration adapter
Added time_in_force parameter for Strategy.close_position(...)
Added time_in_force parameter for Strategy.close_all_positions(...)
Added MarkPriceUpdate data type
Added IndexPriceUpdate data type
Added Actor.subscribe_mark_prices(...)
Added Actor.subscribe_index_prices(...)
Added Actor.unsubscribe_mark_prices(...)
Added Actor.unsubscribe_index_prices(...)
Added Actor.on_mark_price(...)
Added Actor.on_index_price(...)
Added Cache.mark_price(...)
Added Cache.index_price(...)
Added Cache.mark_prices(...)
Added Cache.index_prices(...)
Added Cache.mark_price_count(...)
Added Cache.index_price_count(...)
Added Cache.has_mark_prices(...)
Added Cache.has_index_prices(...)
Added UnixNanos.to_rfc3339() for ISO 8601 (RFC 3339) strings
Added recv_window_ms config for Bybit WebSocket order client (#2466), thanks @sunlei
Enhanced UnixNanos string parsing to support YYYY-MM-DD date format (interpreted as midnight UTC)

Breaking Changes

Changed Cache.add_mark_price(self, InstrumentId instrument_id, Price price) to add_mark_price(self, MarkPriceUpdate mark_price)

Internal Improvements

Improved WebSocketClient and SocketClient design with dedicated writer task and message channel
Completed global message bus design in Rust (#2460), thanks @filipmacek
Refactored enum dispatch (#2461), thanks @filipmacek
Refactored data interfaces to messages in Rust
Refined catalog file operations in Rust (#2454), thanks @faysou
Refined quote ticks and klines for Bybit (#2465), thanks @davidsblom
Standardized use of anyhow::bail (#2459), thanks @faysou
Ported add_venue for BacktestEngine in Rust (#2457), thanks @filipmacek
Ported add_instrument for BacktestEngine in Rust (#2469), thanks @filipmacek
Upgraded redis crate to v0.29.2

Fixes

Fixed race condition on multiple reconnect attempts for WebSocketClient and SocketClient
Fixed position state snapshot ts_snapshot value, which was always ts_last instead of timestamp when the snapshot was taken
Fixed instrument parsing for Tardis, now correctly applies changes and filters by effective
Fixed OrderStatusReport for conditional orders of dYdX (#2467), thanks @davidsblom
Fixed submitting stop market orders for dYdX (#2471), thanks @davidsblom
Fixed retrying HTTP calls on DecodeError for dYdX (#2472), thanks @davidsblom
Fixed LIMIT_IF_TOUCHED order type enum parsing for Bybit
Fixed MARKET order type enum parsing for Bybit
Fixed quote ticks for Polymarket to only emit new quote ticks when the top-of-book changes
Fixed error on cancel order for IB (#2475), thanks @FGU1

Documentation Updates

Improved custom data documentation (#2470), thanks @faysou

Deprecations

None

@faysou

NautilusTrader 1.213.0 Beta

Released on 16th March 2025 (UTC).

Enhancements

Added CryptoOption instrument, supporting inverse and fractional sizes
Added Cache.prices(...) to return a map of latest price per instrument for a price type
Added use_uuid_client_order_ids config option for StrategyConfig
Added catalog consolidation functions of several parquet files into one (#2421), thanks @faysou
Added FDUSD (First Digital USD) crypto Currency constant
Added initial leverage, margin_mode and position_mode config options for Bybit (#2441), thanks @sunlei
Updated parquet catalog in Rust with recent features (#2442), thanks @faysou

Breaking Changes

None

Internal Improvements

Added timeout_secs parameter to HttpClient for default timeouts
Added additional precision validations for OrderMatchingEngine
Added symmetric comparison impls between u64 and UnixNanos
Improved InstrumentProvider error handling when loading (#2444), thanks @davidsblom
Improved order denied reason message for balance impact
Handle BybitErrors when updating instruments for ByBit (#2437), thanks @davidsblom
Handle unexpected errors when fetching order books for dYdX (#2445), thanks @davidsblom
Retry if HttpError is raised for dYdX (#2438), thanks @davidsblom
Refactored some Rust logs to use named parameters in format strings (#2443), thanks @faysou
Some minor performance optimizations for Bybit and dYdX adapters (#2448), thanks @sunlei
Ported backtest engine and kernel to Rust (#2449), thanks @filipmacek
Upgraded pyo3 and pyo3-async-runtimes crates to v0.24.0
Upgraded tokio crate to v1.44.1

Fixes

Fixed source distribution (sdist) packaging
Fixed Clock.timer_names() memory issue resulting in an empty list
Fixed underflow panic when setting a time alert in the past (#2446), thanks for reporting @uxbux
Fixed logger name for Strategy custom strategy_ids
Fixed unbound variable for Bybit (#2433), thanks @sunlei

Documentation Updates

Clarify docs for timestamp properties in Data (#2450), thanks @stefansimik
Updated environment setup document (#2452), thanks @faysou

Deprecations

None

@faysou

NautilusTrader 1.212.0 Beta

Released on 11th March 2025 (UTC).

This release introduces uv as the Python project and dependency management tool.

Enhancements

Added OwnOrderBook and OwnBookOrder to track own orders and prevent self-trades in market making
Added manage_own_order_books config option for ExecEngineConfig to enable own order tracking
Added Cache.own_order_book(...), Cache.own_bid_orders(...) and Cache.own_ask_orders(...) for own order tracking
Added optional beta weighting and percent option greeks (#2317), thanks @faysou
Added pnl information to greeks data (#2378), thanks @faysou
Added precision inference for TardisCSVDataLoader, where price_precision and size_precision are now optional
Added Order.ts_accepted property
Added Order.ts_submitted property
Added UnixNanos::to_datetime_utc() in Rust
Added Mark variant for PriceType enum
Added mark price handling for Cache
Added mark exchange rate handling for Cache
Added PortfolioConfig for configuration settings specific to the Portfolio
Added use_mark_prices, use_mark_xrates and convert_to_account_base_currency options for PortfolioConfig
Added mark price calculations and xrate handling for Portfolio
Added Rust debugging support and refined cargo nextest usage (#2335, #2339), thanks @faysou
Added catalog write mode options (#2365), thanks @faysou
Added BarSpecification to msgspec encoding and decoding hooks (#2373), thanks @pierianeagle
Added ignore_external_orders config option for BetfairExecClientConfig, default False to retain current behavior
Added requests for order book snapshots with HTTP for dYdX (#2393), thanks @davidsblom

Breaking Changes

Removed talib subpackage (see deprecations for v1.211.0)
Removed internal ExchangeRateCalculator, replaced with get_exchange_rate(...) function implemented in Rust
Replaced ForexSession enum with equivalent from PyO3
Replaced ForexSessionFilter with equivalent functions from PyO3
Renamed InterestRateData to YieldCurveData
Renamed Cache.add_interest_rate_curve to add_yield_curve
Renamed Cache.interest_rate_curve to yield_curve
Renamed OrderBook.count to update_count for clarity
Moved ExecEngineConfig.portfolio_bar_updates config option to PortfolioConfig.bar_updates

Internal Improvements

Added initial Cache benchmarking for orders (#2341), thanks @filipmacek
Added support for CARGO_BUILD_TARGET environment variable in build.py (#2385), thanks @sunlei
Added test for time-bar aggregation (#2391), thanks @stefansimik and @faysou
Implemented actor framework and message bus v3 (#2402), thanks @twitu
Implemented latency modeling for SimulatedExchange in Rust (#2423), thanks @filipmacek
Implemented exchange rate calculations in Rust
Improved handling of oms_type for StrategyConfig which now correctly handles the OmsType enum
Improved Binance websocket connections management to allow more than 200 streams (#2369), thanks @lidarbtc
Improved log event timestamping to avoid clock or time misalignments when events cross to the logging thread
Improved error logging for live engines to now include stacktrace for easier debugging
Improved logging initialization error handling to avoid panicking in Rust
Improved Redis cache database queries, serialization, error handling and connection management (#2295, #2308, #2318), thanks @pushkarm029
Improved validation for OrderList to check all orders are for the same instrument ID
Improved Controller functionality with ability to create actors and strategies from configs (#2322), thanks @faysou
Improved Controller creation for more streamlined trader registration, and separate clock for timer namespacing (#2357), thanks @faysou
Improved build by adding placeholders to avoid unnecessary rebuilds (#2336), thanks @bartolootrit
Improved consistency of OrderMatchingEngine between Cython and Rust and fix issues (#2350), thanks @filipmacek
Removed obsolete reconnect guard for dYdX (#2334), thanks @davidsblom
Refactored data request interfaces into messages (#2260), thanks @faysou
Refactored data subscribe interfaces into messages (#2280), thanks @faysou
Refactored reconciliation interface into messages (#2375), thanks @faysou
Refactored _handle_query_group to work with update_catalog (#2412), thanks @faysou
Refactored execution message handling in Rust (#2291), thanks @filipmacek
Refactored repetitive code in backtest examples (#2387, #2395), thanks @stefansimik
Refined yield curve data (#2300), thanks @faysou
Refined bar aggregators in Rust (#2311), thanks @faysou
Refined greeks computation (#2312), thanks @faysou
Refined underlying filtering in portfolio_greeks (#2382), thanks @faysou
Refined request_instruments granularity for Databento (#2347), thanks @faysou
Refined Rust date functions (#2356), thanks @faysou
Refined parsing of IB symbols (#2388), thanks @faysou
Refined base_template behaviour in parquet write_data (#2389), thanks @faysou
Refined mixed catalog client requests (#2405), thanks @faysou
Refined update catalog docstring (#2411), thanks @faysou
Refined to use next_back instead of last for identifier tag functions (#2414), thanks @twitu
Refined and optimized OrderBook in Rust
Cleaned up PyO3 migration artifacts (#2326), thanks @twitu
Ported StreamingFeatherWriter to Rust (#2292), thanks @twitu
Ported update_limit_order for OrderMatchingEngine in Rust (#2301), thanks @filipmacek
Ported update_stop_market_order for OrderMatchingEngine in Rust (#2310), thanks @filipmacek
Ported update_stop_limit_order for OrderMatchingEngine in Rust (#2314), thanks @filipmacek
Ported market-if-touched order handling for OrderMatchingEngine in Rust (#2329), thanks @filipmacek
Ported limit-if-touched order handling for OrderMatchingEngine in Rust (#2333), thanks @filipmacek
Ported market-to-limit order handling for OrderMatchingEngine in Rust (#2354), thanks @filipmacek
Ported trailing stop order handling for OrderMatchingEngine in Rust (#2366, #2376), thanks @filipmacek
Ported contingent orders handling for OrderMatchingEngine in Rust (#2404), thanks @filipmacek
Updated Databento publishers.json mappings file(s)
Upgraded nautilus-ibapi to 10.30.1 with necessary changes for Interactive Brokers (#2420), thanks @FGU1
Upgraded Rust to 1.85.0 and 2024 edition
Upgraded arrow and parquet crates to v54.2.1
Upgraded databento crate to v0.20.0 (upgrades the dbn crate to v0.28.0)
Upgraded datafusion crate to v46.0.0
Upgraded pyo3 crate to v0.23.5
Upgraded tokio crate to v1.44.0

Fixes

Fixed large difference between Data enum variants (#2315), thanks @twitu
Fixed start and end range filtering for TardisHttpClient to use API query params
Fixed built-in data type Arrow schemas for StreamingFeatherWriter, thanks for reporting @netomenoci
Fixed memory allocation performance issue for TardisCSVDataLoader
Fixed effective timestamp filtering for TardisHttpClient to now only retain latest version at or before effective
Fixed contract activation for Binance Futures, now based on the onboardDate field
Fixed hard-coded signature type for PolymarketExecutionClient
Fixed unsubscribing from quotes for dYdX (#2331), thanks @davidsblom
Fixed docstrings for dYdX factories (#2415), thanks @davidsblom
Fixed incorrect type annotations in _request_instrument signature (#2332), thanks @faysou
Fixed composite bars subscription (#2337), thanks @faysou
Fixed sub command issue in some adapters (#2343), thanks @faysou
Fixed bypass_logging fixture to keep log guard alive for entire test session
Fixed time parsing for IB adapter (#2360), thanks @faysou
Fixed bad ts_init value in IB weekly and monthly bar (#2355), thanks @Endura2024
Fixed bar timestamps for IB (#2380), thanks @Endura2024
Fixed backtest example load bars from custom CSV (#2383), thanks @hanksuper
Fixed subscribe composite bars (#2390), thanks @faysou
Fixed invalid link in IB docs (#2401), thanks @stefansimik
Fixed cache index loading to ensure persisted data remains available after startup, thanks for reporting @Saransh-28
Fixed bars pagination, ordering and limit for Bybit
Fixed update_bar aggregation function to guarantee high and low price invariants (#2430), thanks @hjander and @faysou

Documentation Updates

Added documentation for messaging styles (#2410), thanks @stefansimik
Added backtest clock and timers example (#2327), thanks @stefansimik
Added backtest bar aggregation example (#2340), thanks @stefansimik
Added backtest portfolio example (#2362), thanks @stefansimik
Added backtest cache example (#2370), thanks @stefansimik
Added backtest cascaded indicators example (#2398), thanks @stefansimik
Added backtest custom event with msgbus example (#2400), thanks @stefansimik
Added backtest messaging with msgbus example (#2406), thanks @stefansimik
Added backtest messaging with actor & data example (#2407), thanks @stefansimik
Added backtest messaging with actor & signal example (#2408), thanks @stefansimik
Added indicators example (#2396), thanks @stefansimik
Added documentation for debugging with Rust (#2325), thanks @faysou
Added MRE strategy example (#2352), thanks @stefansimik
Added data catalog example (#2353), thanks @stefansimik
Improved and expandd bar aggregation docs (#2384), thanks @stefansimik
Improved emulation_trigger parameter description in docstrings (#2313), thanks @stefansimik
Improved docs for emulated orders (#2316), thanks ...

@twitu

NautilusTrader 1.211.0 Beta

Released on 9th February 2025 (UTC).

This release introduces high-precision mode, where value types such as Price, Quantity and Money are now backed by 128-bit integers (instead of 64-bit), thereby increasing maximum precision to 16, and vastly expanding the allowable value ranges.

This will address precision and value range issues experienced by some crypto users, alleviate higher timeframe bar volume limitations, as well as future proofing the platform.

See the RFC for more details. For an explanation on compiling with or without high-precision mode, see the precision-mode section of the installation guide.

For migrating data catalogs due to the breaking changes, see the data migrations guide.

This release will be the final version that uses Poetry for package and dependency management.

Enhancements

Added high-precision mode for 128-bit integer backed value types (#2072), thanks @twitu
Added instrument definitions range requests for TardisHttpClient with optional start and end filter parameters
Added quote_currency, base_currency, instrument_type, contract_type, active, start and end filters for TardisInstrumentProvider
Added log_commands config option for ActorConfig, StrategyConfig, ExecAlgorithmConfig for more efficient log filtering
Added additional limit parameters for BettingInstrument constructor
Added venue_position_id parameter for OrderStatusReport
Added bars update support for Portfolio PnLs (#2239), thanks @faysou
Added optional params for Strategy order management methods (symmetry with Actor data methods) (#2251), thanks @faysou
Added heartbeats for Betfair clients to keep streams alive (more robust when initial subscription delays)
Added timeout_shutdown config option for NautilusKernelConfig
Added IOC time in force mapping for Betfair orders
Added min_market_start_time and max_market_start_time time range filtering for BetfairInstrumentProviderConfig
Added default_min_notional config option for BetfairInstrumentProviderConfig
Added stream_conflate_ms config option for BetfairDataClientConfig
Added recv_window_ms config option for BybitDataClientConfig and BybitExecClientConfig
Added open_check_open_only config option for LiveExecEngineConfig
Added BetSide enum (to support Bet and BetPosition)
Added Bet and BetPosition for betting market risk and PnL calculations
Added total_pnl and total_pnls methods for Portfolio
Added optional price parameter for Portfolio unrealized PnL and net exposure methods

Breaking Changes

Renamed OptionsContract instrument to OptionContract for more technically correct terminology (singular)
Renamed OptionsSpread instrument to OptionSpread for more technically correct terminology (singular)
Renamed options_contract modules to option_contract (see above)
Renamed options_spread modules to option_spread (see above)
Renamed InstrumentClass.FUTURE_SPREAD to InstrumentClass.FUTURES_SPREAD for more technically correct terminology
Renamed event_logging config option to log_events
Renamed BetfairExecClientConfig.request_account_state_period to request_account_state_secs
Moved SQL schema directory to schemas/sql (reinstall the Nautilus CLI with make install-cli)
Changed OrderBookDelta Arrow schema to use FixedSizeBinary fields to support the new precision modes
Changed OrderBookDepth10 Arrow schema to use FixedSizeBinary fields to support the new precision modes
Changed QuoteTick Arrow schema to use FixedSizeBinary fields to support the new precision modes
Changed TradeTick Arrow schema to use FixedSizeBinary fields to support the new precision modes
Changed Bar Arrow schema to use FixedSizeBinary fields to support the new precision modes
Changed BettingInstrument default min_notional to None
Changed meaning of ws_connection_delay_secs for PolymarketDataClientConfig to be non-initial delay (#2271)
Changed GATEIO Tardis venue to GATE_IO for consistency with CRYPTO_COM and BLOCKCHAIN_COM
Removed max_ws_reconnection_tries for dYdX configs (no longer applicable with infinite retries and exponential backoff)
Removed max_ws_reconnection_tries for Bybit configs (no longer applicable with infinite retries and exponential backoff)
Removed remaining max_ws_reconnection_tries for Bybit configs (#2290), thanks @sunlei

Internal Improvements

Added ThrottledEnqueuer for more efficient and robust live engines queue management and logging
Added OrderBookDeltaTestBuilder in Rust to improve testing (#2234), thanks @filipmacek
Added custom certificate loading for SocketClient TLS
Added check_nonempty_string for string validation in Rust
Improved Polymarket WebSocket subscription handling by configurable delay (#2271), thanks @ryantam626
Improved WebSocketClient with state management, error handling, timeouts and robust reconnects with exponential backoff
Improved SocketClient with state management, error handling, timeouts and robust reconnects with exponential backoff
Improved TradingNode shutdown when running with asyncio.run() (more orderly handling of event loop)
Improved NautilusKernel pending tasks cancellation on shutdown
Improved TardisHttpClient requests and error handling
Improved log file writer to strip ANSI escape codes and unprintable chars
Improved clean make target behavior and added distclean make target (#2286), @demonkoryu
Refined Currency name to accept non-ASCII characters (common for foreign currencies)
Refactored CI with composite actions (#2242), thanks @sunlei
Refactored Option Greeks feature (#2266), thanks @faysou
Changed validation to allow zero commission for PerContractFeeModel (#2282), thanks @stefansimik
Changed to use mold as the linker in CI (#2254), thanks @sunlei
Ported market order processing for OrderMatchingEngine in Rust (#2202), thanks @filipmacek
Ported limit order processing for OrderMatchingEngine in Rust (#2212), thanks @filipmacek
Ported stop limit order processing for OrderMatchingEngine in Rust (#2225), thanks @filipmacek
Ported CancelOrder processing for OrderMatchingEngine in Rust (#2231), thanks @filipmacek
Ported CancelAllOrders processing for OrderMatchingEngine in Rust (#2253), thanks @filipmacek
Ported BatchCancelOrders processing for OrderMatchingEngine in Rust (#2256), thanks @filipmacek
Ported expire order processing for OrderMatchingEngine in Rust (#2259), thanks @filipmacek
Ported modify order processing for OrderMatchingEngine in Rust (#2261), thanks @filipmacek
Ported generate fresh account state for SimulatedExchange in Rust (#2272), thanks @filipmacek
Ported adjust account for SimulatedExchange in Rust (#2273), thanks @filipmacek
Continued porting RiskEngine to Rust (#2210), thanks @pushkarm029
Continued porting ExecutionEngine to Rust (#2214), thanks @pushkarm029
Continued porting OrderEmulator to Rust (#2219, #2226), thanks @pushkarm029
Moved model crate stubs into defaults (#2235), thanks @fhill2
Upgraded pyo3 crate to v0.23.4
Upgraded pyo3-async-runtimes crate to v0.23.0

Fixes

Fixed LiveTimer immediate fire when start time zero (#2270), thanks for reporting @bartolootrit
Fixed order book action parsing for Tardis (ensures zero sizes in snapshots work with the tighter validation for action vs size)
Fixed PnL calculations for betting instruments in Portfolio
Fixed net exposure for betting instruments in Portfolio
Fixed backtest start and end time validation assertion (#2203), thanks @davidsblom
Fixed CustomData import in DataEngine (#2207), thanks @graceyangfan and @faysou
Fixed databento helper function (#2208), thanks @faysou
Fixed live reconciliation of generated order fills to use the venue_position_id (when provided), thanks for reporting @sdk451
Fixed InstrumentProvider initialization behavior when reload flag True, thanks @ryantam626
Fixed handling of Binance HTTP error messages (not always JSON-parsable, leading to msgspec.DecodeError)
Fixed CARGO_TARGET_DIR environment variable for build script (#2228), thanks @sunlei
Fixed typo in delta.rs doc comment (#2230), thanks @eltociear
Fixed memory leak in network PyO3 layer caused by the gil-refs feature (#2229), thanks for reporting @davidsblom
Fixed reconnect handling for Betfair (#2232, #2288, #2289), thanks @limx0
Fixed instrument.id null dereferences in error logs (#2237), thanks for reporting @ryantam626
Fixed schema for listing markets of dYdX (#2240), thanks @davidsblom
Fixed realized pnl calculation in Portfolio where flat positions were not included in cumulative sum (#2243), thanks @faysou
Fixed update order in Cache for Rust (#2248), thanks @filipmacek
Fixed websocket schema for market updates of dYdX (#2258), thanks @davidsblom
Fixed handling of empty book messages for Tardis (resulted in deltas cannot be empty panicking)
Fixed Cache.bar_types aggregation_source filtering, was incorrectly using price_type (#2269), thanks @faysou
Fixed missing combo instrument type for Tardis integration
Fixed quote tick processing from bars in OrderMatchingEngine resulting in sizes below the minimum increment (#2275), thanks for...

@stefansimik

NautilusTrader 1.210.0 Beta

Released on 10th January 2025 (UTC).

Enhancements

Added PerContractFeeModel, thanks @stefansimik
Added DYDXInternalError and DYDXOraclaPrice data types for dYdX (#2155), thanks @davidsblom
Added proper OrderBookDeltas flags parsing for Betfair
Added Binance TradeLite message support (#2156), thanks @DeevsDeevs
Added DataEngineConfig.time_bars_skip_first_non_full_bar config option (#2160), thanks @faysou
Added execution.fast support for Bybit (#2165), thanks @sunlei
Added catalog helper functions to export data (#2135), thanks @twitu
Added additional timestamp properties for NautilusKernel
Added event_logging config option for StrategyConfig (#2183), thanks @sunlei
Added bar_adaptive_high_low_ordering to BacktestVenueConfig (#2188), thanks @faysou and @stefansimik

Breaking Changes

Removed optional value param from UUID4 (use UUID4.from_str(...) instead), aligns with Nautilus PyO3 API
Changed unix_nanos_to_iso8601 to output an ISO 8601 (RFC 3339) format string with nanosecond precision
Changed format_iso8601 to output ISO 8601 (RFC 3339) format string with nanosecond precision
Changed format_iso8601 dt parameter to enforce pd.Timestamp (which has nanosecond precision)
Changed TradingNode.is_built from a property to a method .is_built()
Changed TradingNode.is_running from a property to a method .is_running()
Changed OrderInitialized Arrow schema (linked_order_ids and tags data types changed from string to binary)
Changed order dictionary representation field types for avg_px and slippage from str to float (as out of alignment with position events)
Changed aggregation_source filter parameter for Cache.bar_types(...) to optional with default of None

Internal Improvements

Improved market order handling when no size available in book (now explicitly rejects)
Improved validation for TradeTick by ensuring size is always positive
Improved validation for OrderBookDelta by ensuring order.size is positive when action is either ADD or UPDATE
Improved validation for BarSpecification by ensuring step is always positive
Standardized ISO 8601 timestamps to RFC 3339 spec with nanosecond precision
Standardized flags for OrderBookDeltas parsing across adapters
Refined parsing candles for dYdX (#2148), thanks @davidsblom
Refined imports for type hints in Bybit (#2149), thanks @sunlei
Refined private WebSocket message processing for Bybit (#2170), thanks @sunlei
Refined WebSocket client re-subscribe log for Bybit (#2179), thanks @sunlei
Refined margin balance report for dYdX (#2154), thanks @davidsblom
Enhanced lotSizeFilter field for Bybit (#2166), thanks @sunlei
Renamed WebSocket private client for Bybit (#2180), thanks @sunlei
Added unit tests for custom dYdX types (#2163), thanks @davidsblom
Allow bar aggregators to persist after request_aggregated_bars (#2144), thanks @faysou
Handle directory and live streams to catalog (#2153), thanks @limx0
Use timeout when initializing account for dYdX (#2169), thanks @davidsblom
Use retry manager when sending websocket messages for dYdX (#2196), thanks @davidsblom
Refined error logs when sending pong for dYdX (#2184), thanks @davidsblom
Optimized message bus topic is_matching (#2151), thanks @ryantam626
Added tests for bar_adaptive_high_low_ordering (#2197), thanks @faysou
Ported OrderManager to Rust (#2161), thanks @pushkarm029
Ported trailing stop logic to Rust (#2174), thanks @DeevsDeevs
Ported FeeModel to Rust (#2191), thanks @filipmacek
Implemented IDs generator for OrderMatchingEngine in Rust (#2193), thanks @filipmacek
Upgraded Cython to v3.1.0a1
Upgraded tokio crate to v1.43.0
Upgraded datafusion crate to v44.0.0

Fixes

Fixed type check for DataClient on requests to support clients other than MarketDataClient
Fixed processing trade ticks from bars in OrderMatchingEngine - that could result in zero-size trades, thanks for reporting @stefansimik
Fixed instrument is None check flows for DataEngine and PolymarketExecutionClient
Fixed instrument updates in BetfairDataClient (#2152), thanks @limx0
Fixed processing of time events on backtest completion when they occur after the final data timestamp
Fixed missing enum member CANCELED_MARKET_RESOLVED for PolymarketOrderStatus
Fixed missing init_id field from some order .to_dict() representations
Fixed writing DYDXOraclePrice to catalog (#2158), thanks @davidsblom
Fixed account balance for dYdX (#2167), thanks @davidsblom
Fixed markets schema for dYdX (#2190), thanks @davidsblom
Fixed missing OrderEmulated and OrderReleased Arrow schemas
Fixed websocket public channel reconnect for Bybit (#2176), thanks @sunlei
Fixed execution report parsing for Binance Spot (client order ID empty string now becomes a UUID4 string)
Fixed docs typo for fill_order function in OrderMatchingEngine (#2189), thanks @filipmacek

Documentation Updates

Added docs for Cache, slippage and spread handling in backtesting (#2162), thanks @stefansimik
Added docs for FillModel and bar based execution (#2187), thanks @stefansimik
Added docs for choosing data (cost vs. accuracy) and bars OHLC processing (#2195), thanks @stefansimik
Added docs for bar processing in backtests (#2198), thanks @stefansimik
Added docs for timestamp and UUID specs

Releases: nautechsystems/nautilus_trader