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v1.191.0

nautechsystems/nautilus_traderv1.191.0Apr 20, 2024by github-actions[bot]

AI Summary

This release focuses on fee models, standardization, and a major consolidation of the `OrderBook` design in Rust. It introduces new serialization types and standardizes adapter client logging.

Key Highlights

  • Implemented FeeModel including FixedFeeModel and MakerTakerFeeModel.
  • Consolidated `OrderBookMbo` and `OrderBookMbp` into a single `OrderBook`.
  • Reordered `OrderBookDelta` and `OrderBook` params for clarity.

Breaking Changes

  • Reordered `OrderBookDelta` params `flags` and `sequence` and removed default 0 values
  • Reordered `OrderBook` params `flags` and `sequence` and removed default 0 values
  • Added `flags` parameter to `OrderBook.add`
  • Added `flags` parameter to `OrderBook.update`
  • Added `flags` parameter to `OrderBook.delete`
  • Changed Arrow schema for all instruments: added `info` binary field
  • Changed Arrow schema for `CryptoFuture`: added `is_inverse` boolean field
  • Renamed both `OrderBookMbo` and `OrderBookMbp` to `OrderBook` (consolidated)
  • Renamed `Indicator.handle_book_mbo` and `Indicator.handle_book_mbp` to `handle_book` (consolidated)
  • Renamed `register_serializable_object` to `register_serializable_type`

New Features

  • Implemented `FeeModel` including `FixedFeeModel` and `MakerTakerFeeModel`
  • Implemented `TradeTickDataWrangler.process_bar_data`
  • Implemented multiple timeframe bar execution (will use lowest timeframe per instrument)
  • Standardized adapter client logging
  • Simplified and consolidated Rust `OrderBook` design
  • Ported Bias indicator to Rust

Full Release Notes

# NautilusTrader 1.191.0 Beta

Released on 20th April 2024 (UTC).

### Enhancements
- Implemented `FeeModel` including `FixedFeeModel` and `MakerTakerFeeModel` (#1584), thanks @rsmb7z
- Implemented `TradeTickDataWrangler.process_bar_data` (#1585), thanks @rsmb7z
- Implemented multiple timeframe bar execution (will use lowest timeframe per instrument)
- Optimized `LiveTimer` efficiency and accuracy with `tokio` timer under the hood
- Optimized `QuoteTickDataWrangler` and `TradeTickDataWrangler` (#1590), thanks @rsmb7z
- Standardized adapter client logging (handle more logging from client base classes)
- Simplified and consolidated Rust `OrderBook` design
- Improved `CacheDatabaseAdapter` graceful close and thread join
- Improved `MessageBus` graceful close and thread join
- Improved `modify_order` error logging when order values remain unchanged
- Added `RecordFlag` enum for Rust and Python
- Interactive Brokers further improvements and fixes, thanks @rsmb7z
- Ported Bias indicator to Rust, thanks @Pushkarm029

### Breaking Changes
- Reordered `OrderBookDelta` params `flags` and `sequence` and removed default 0 values (more explicit and less chance of mismatches)
- Reordered `OrderBook` params `flags` and `sequence` and removed default 0 values (more explicit and less chance of mismatches)
- Added `flags` parameter to `OrderBook.add`
- Added `flags` parameter to `OrderBook.update`
- Added `flags` parameter to `OrderBook.delete`
- Changed Arrow schema for all instruments: added `info` binary field
- Changed Arrow schema for `CryptoFuture`: added `is_inverse` boolean field
- Renamed both `OrderBookMbo` and `OrderBookMbp` to `OrderBook` (consolidated)
- Renamed `Indicator.handle_book_mbo` and `Indicator.handle_book_mbp` to `handle_book` (consolidated)
- Renamed `register_serializable_object` to `register_serializable_type` (also renames first param from `obj` to `cls`)

### Fixes
- Fixed `MessageBus` pattern resolving (fixes a performance regression where topics published with no subscribers would always re-resolve)
- Fixed `BacktestNode` streaming data management (was not clearing between chunks), thanks for the report @dpmabo
- Fixed `RiskEngine` cumulative notional calculations for margin accounts (was incorrectly using base currency when selling)
- Fixed selling `Equity` instruments with `CASH` account and `NETTING` OMS incorrectly rejecting (should be able to reduce position)
- Fixed Databento bars decoding (was incorrectly applying display factor)
- Fixed `Binance` bar (kline) to use `close_time` for `ts_event` was `opentime` (#1591), thanks for reporting @OnlyC
- Fixed `AccountMarginExceeded` error condition (margin must actually be exceeded now, and can be zero)
- Fixed `ParquetDataCatalog` path globbing which was including all paths with substrings of specified instrument IDs