NautilusTrader 1.183.0 Beta

NautilusTrader 1.183.0 Beta

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 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 library, 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 param 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