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v1.189.0

nautechsystems/nautilus_traderv1.189.0Mar 15, 2024by github-actions[bot]

AI Summary

This release focuses on Binance websocket reliability, Arrow schema updates for futures and options contracts, and order matching engine validation. It also introduces managed parameters for order book subscriptions.

Key Highlights

  • Added `exchange` field to FuturesContract, FuturesSpread, OptionsContract and OptionsSpread.
  • Implemented Binance order book snapshot rebuilds on websocket reconnect.
  • Added validation for OrderMatchingEngine precision.

Breaking Changes

  • Changed Arrow schema adding `exchange` field for `FuturesContract`, `FuturesSpread`, `OptionsContract` and `OptionsSpread`

New Features

  • Implemented Binance order book snapshot rebuilds on websocket reconnect
  • Added additional validations for `OrderMatchingEngine`
  • Added `LoggingConfig.use_pyo3` option for pyo3 based logging initialization
  • Added `exchange` field to `FuturesContract`, `FuturesSpread`, `OptionsContract` and `OptionsSpread`

Full Release Notes

# NautilusTrader 1.189.0 Beta

Released on 15th March 2024 (UTC).

### Enhancements
- Implemented Binance order book snapshot rebuilds on websocket reconnect (see integration guide)
- Added additional validations for `OrderMatchingEngine` (will now raise a `RuntimeError` when a price or size precision for `OrderFilled` does not match the instruments precisions)
- Added `LoggingConfig.use_pyo3` option for pyo3 based logging initialization (worse performance but allows visibility into logs originating from Rust)
- Added `exchange` field to `FuturesContract`, `FuturesSpread`, `OptionsContract` and `OptionsSpread` (optional)

### Breaking Changes
- Changed Arrow schema adding `exchange` field for `FuturesContract`, `FuturesSpread`, `OptionsContract` and `OptionsSpread`

### Fixes
- Fixed `MessageBus` handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)
- Fixed `MessageBus` handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a `RuntimeError`)
- Fixed `Throttler` handling of sending messages after messages have been dropped, thanks @davidsblom
- Fixed `OrderBookDelta.to_pyo3_list` using zero precision from clear delta
- Fixed `DataTransformer.pyo3_order_book_deltas_to_record_batch_bytes` using zero precision from clear delta
- Fixed `OrderBookMbo` and `OrderBookMbp` integrity check when crossed book
- Fixed `OrderBookMbp` error when attempting to add to a L1\_MBP book type (now raises `RuntimeError` rather than panicking)
- Fixed Interactive Brokers connection error logging (#1524), thanks @benjaminsingleton
- Fixed `SimulationModuleConfig` location and missing re-export from `config` subpackage
- Fixed logging `StdoutWriter` from also writing error logs (writers were duplicating error logs)
- Fixed `BinanceWebSocketClient` to [new specification](https://binance-docs.github.io/apidocs/futures/en/#websocket-market-streams) which requires responding to pings with a pong containing the pings payload
- Fixed Binance Futures `AccountBalance` calculations based on wallet and available balance
- Fixed `ExecAlgorithm` circular import issue for installed wheels (importing from `execution.algorithm` was a circular import)