NautilusTrader 1.202.0 Beta

NautilusTrader 1.202.0 Beta

Released on 27th September 2024 (UTC).

This will be the final release with support for Python 3.10.

The numpy version requirement has been relaxed to >= 1.26.4.

Enhancements

• Added Polymarket decentralized prediction market integration
• Added OKX crypto exchange integration (#1951), thanks @miller-moore
• Added BinaryOption instrument (supports Polymarket integration)
• Added LiveExecutionEngine.inflight_check_retries config option to limit in-flight order query attempts
• Added Symbol.root() method for obtaining the root of parent or composite symbols
• Added Symbol.topic() method for obtaining the subscription topic of parent or composite symbols
• Added Symbol.is_composite() method to determine if symbol is made up of parts with period (.) delimiters
• Added underlying filter parameter for Cache.instruments(...) method
• Added reduce_only parameter for Strategy.close_position(...) method (True by default to maintain current behavior)
• Added reduce_only parameter for Strategy.close_all_positions(...) method (True by default to maintain current behavior)
• Implemented flush with truncate Postgres function for PostgresCacheDatabase (#1928), thanks @filipmacek
• Implemented file rotation for StreamingFeatherWriter with internal improvements using Clock and Cache (#1954, #1961), thanks @graceyangfan
• Improved dYdX execution client to use RetryManager for HTTP requests (#1941), thanks @davidsblom
• Improved Interactive Brokers adapter to use a dynamic IB gateway container_image from config (#1940), thanks @rsmb7z
• Improved OrderBookDeltas streaming and batching based on the F_LAST flag
• Standardized underscore thousands separators for backtest logging
• Updated Databento publishers.json

Internal Improvements

• Implemented OrderTestBuilder to assist testing in Rust (#1952), thanks @filipmacek
• Implemented quote tick processing for SimulatedExchange in Rust (#1956), thanks @filipmacek
• Implemented trade tick processing for SimulatedExchange in Rust (#1956), thanks @filipmacek
• Refined Logger to use unbuffered stdout/stderr writers (#1960), thanks @twitu

Breaking Changes

• Renamed batch_size_bytes to chunk_size (more accurate naming for number of data points to process per chunk in backtest streaming mode)
• Standardized Stop-Loss (SL) and Take-Profit (TP) param ordering for OrderFactory.bracket(...) including: tp_time_in_force, tp_exec_algorithm_params, tp_tags, tp_client_order_id

Fixes

• Fixed LoggingConfig issue for level_file when used with use_pyo3=True (was not passing through the level_file setting), thanks for reporting @xt2014
• Fixed composite bar requests (#1923), thanks @faysou
• Fixed average price calculation for ValueBarAggregator (#1927), thanks @faysou
• Fixed breaking protobuf issue by pinning protobuf and grpcio for dYdX (#1929), thanks @davidsblom
• Fixed edge case where exceptions raised in BacktestNode prior to engine initialization would not produce logs, thanks for reporting @faysou
• Fixed handling of internal server error for dYdX (#1938), thanks @davidsblom
• Fixed BybitWebSocketClient private channel authentication on reconnect, thanks for reporting @miller-moore
• Fixed OrderFactory.bracket(...) param ordering for sl_time_in_force and tp_time_in_force, thanks for reporting @marcodambros
• Fixed Cfd instrument Arrow schema and serialization
• Fixed bar subscriptions on TWS/GW restart for Interactive Brokers (#1950), thanks @rsmb7z
• Fixed Databento parent and continuous contract subscriptions (using new symbol root)
• Fixed Databento FuturesSpread and OptionsSpread instrument decoding (was not correctly handling price increments and empty underlyings)
• Fixed FuturesSpread serialization
• Fixed OptionsSpread serialization