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v1.197.0

nautechsystems/nautilus_traderv1.197.0Aug 2, 2024by github-actions[bot]

AI Summary

Added Databento Status schema support, options on futures for Interactive Brokers, and Rust implementations of MessageBus v2 and DataEngine v2.

Key Highlights

  • Added Databento Status schema support for loading and live trading.
  • Added options on futures support for Interactive Brokers.
  • Implemented MessageBus v2 and DataEngine v2 in Rust.

Breaking Changes

  • Removed VenueStatus and associated methods.
  • Renamed QuoteTick.extract_volume to extract_size.
  • Changed InstrumentStatus params and Arrow schema.
  • Changed OrderBook FFI API to take data by reference.

New Features

  • MarketStatusAction enum
  • ignore_quote_tick_size_updates config option
  • FixedFeeModel and MakerTakerFeeModel in Rust
  • Postgres native enum mappings in Rust

Full Release Notes

# NautilusTrader 1.197.0 Beta

Released on 2nd August 2024 (UTC).

### Enhancements
- Added Databento Status schema support for loading and live trading
- Added options on futures support for Interactive Brokers (#1795), thanks @rsmb7z
- Added documentation for option greeks custom data example (#1788), thanks @faysou
- Added `MarketStatusAction` enum (support Databento `status` schema)
- Added `ignore_quote_tick_size_updates` config option for Interactive Brokers (#1799), thanks @sunlei
- Implemented `MessageBus` v2 in Rust (#1786), thanks @twitu
- Implemented `DataEngine` v2 in Rust (#1785), thanks @twitu
- Implemented `FillModel` in Rust (#1801), thanks @filipmacek
- Implemented `FixedFeeModel` in Rust (#1802), thanks @filipmacek
- Implemented `MakerTakerFeeModel` in Rust (#1803), thanks @filipmacek
- Implemented Postgres native enum mappings in Rust (#1797, #1806), thanks @filipmacek
- Refactored order submission error handling for Interactive Brokers (#1783), thanks @rsmb7z
- Improved live reconciliation robustness (will now generate inferred orders necessary to align external position state)
- Improved tests for Interactive Brokers (#1776), thanks @mylesgamez
- Upgraded `tokio` crate to v1.39.2
- Upgraded `datafusion` crate to v40.0.0

### Breaking Changes
- Removed `VenueStatus` and all associated methods and schemas (redundant with `InstrumentStatus`)
- Renamed `QuoteTick.extract_volume(...)` to `.extract_size(...)` (more accurate terminology)
- Changed `InstrumentStatus` params (support Databento `status` schema)
- Changed `InstrumentStatus` arrow schema
- Changed `OrderBook` FFI API to take data by reference instead of by value

### Fixes
- Fixed rounding errors in accounting calculations for large values (using `decimal.Decimal` internally)
- Fixed multi-currency account commission handling with multiple PnL currencies (#1805), thanks for reporting @dpmabo
- Fixed `DataEngine` unsubscribing from order book deltas (#1814), thanks @davidsblom
- Fixed `LiveExecutionEngine` handling of adapter client execution report causing `None` mass status (#1789), thanks for reporting @faysou
- Fixed `InteractiveBrokersExecutionClient` handling of instruments not found when generating execution reports (#1789), thanks for reporting @faysou
- Fixed Bybit parsing of trade and quote ticks for websocket messages (#1794), thanks @davidsblom