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v1.194.0

nautechsystems/nautilus_traderv1.194.0May 31, 2024by github-actions[bot]

AI Summary

This release includes performance improvements for the DataEngine regarding order book deltas and Bybit parsing. It also ports two more indicators to Rust and improves SandboxExecutionClient handling.

Key Highlights

  • Enhanced order book delta buffering and Bybit handling.
  • Improved SandboxExecutionClient instrument handling.
  • Ported VolumeWeightedAveragePrice and VerticalHorizontalFilter to Rust.

New Features

  • Added `DataEngine` order book deltas buffering to `F_LAST` flag
  • Added `DataEngineConfig.buffer_deltas` config option
  • Improved Bybit order book deltas parsing
  • Improved Bybit handling for top-of-book quotes and order book deltas
  • Improved Interactive Brokers integration test mocks
  • Ported VolumeWeightedAveragePrice indicator to Rust
  • Ported VerticalHorizontalFilter indicator to Rust

Full Release Notes

# NautilusTrader 1.194.0 Beta

Released on 31st May 2024 (UTC).

### Enhancements
- Added `DataEngine` order book deltas buffering to `F_LAST` flag (#1673), thanks @davidsblom
- Added `DataEngineConfig.buffer_deltas` config option for the above (#1670), thanks @davidsblom
- Improved Bybit order book deltas parsing to set `F_LAST` flag (#1670), thanks @davidsblom
- Improved Bybit handling for top-of-book quotes and order book deltas (#1672), thanks @davidsblom
- Improved Interactive Brokers integration test mocks (#1669), thanks @rsmb7z
- Improved error message when no tick scheme initialized for an instrument, thanks for reporting @VeraLyu
- Improved `SandboxExecutionClient` instrument handling (instruments just need to be added to cache)
- Ported `VolumeWeightedAveragePrice` indicator to Rust (#1665), thanks @Pushkarm029
- Ported `VerticalHorizontalFilter` indicator to Rust (#1666), thanks @Pushkarm029

### Breaking Changes
None

### Fixes
- Fixed `SimulatedExchange` processing of commands in real-time for sandbox mode
- Fixed `DataEngine` unsubscribe handling (edge case would attempt to unsubscribe from the client multiple times)
- Fixed Bybit order book deltas parsing (was appending bid side twice) (#1668), thanks @davidsblom
- Fixed Binance instruments price and size precision parsing (was incorrectly stripping trailing zeros)
- Fixed `BinanceBar` streaming feather writing (was not setting up writer)
- Fixed backtest high-level tutorial documentation errors, thanks for reporting @Leonz5288