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NautilusTrader 1.218.0 Beta

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@github-actions github-actions released this 31 May 05:30
v1.218.0
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NautilusTrader 1.218.0 Beta

Released on 31st May 2025 (UTC).

Enhancements

  • Added convenient re-exports for Betfair adapter (constants, configs, factories, types)
  • Added convenient re-exports for Binance adapter (constants, configs, factories, loaders, types)
  • Added convenient re-exports for Bybit adapter (constants, configs, factories, loaders, types)
  • Added convenient re-exports for Coinbase International adapter (constants, configs, factories)
  • Added convenient re-exports for Databento adapter (constants, configs, factories, loaders, types)
  • Added convenient re-exports for dYdX adapter (constants, configs, factories)
  • Added convenient re-exports for Polymarket adapter (constants, configs, factories)
  • Added convenient 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 Binances mark price stream across all markets (#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 Databento instrument definitions v1 data, v2 & v3 continue to be supported and v1 data can be migrated (see Databento documentation)

Contributors

davidsblom, faysou, and 12 other contributors
Assets 15
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