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v1.203.0

nautechsystems/nautilus_traderv1.203.0Oct 5, 2024by github-actions[bot]

AI Summary

Enhanced Parquet catalog writing, added batch cancel for dYdX, and improved SimulatedExchange with Rust-based order book and bar processing.

Key Highlights

  • Added mode parameter for ParquetDataCatalog.write_data.
  • Implemented batch cancel for short-term dYdX orders.
  • Enhanced SimulatedExchange with order book delta and bar processing in Rust.

New Features

  • ParquetDataCatalog.write_data mode parameter
  • LiveExecEngineConfig.inflight_check_retries option
  • Rate limiting for dYdX websocket subscriptions
  • Refactored reconnection handling for dYdX

Full Release Notes

# NautilusTrader 1.203.0 Beta

Released on 5th October 2024 (UTC).

### Enhancements
- Added `mode` parameter to `ParquetDataCatalog.write_data` to control data writing behavior (#1976), thanks @faysou
- Added batch cancel for short terms orders of dYdX (#1978), thanks @davidsblom
- Improved OKX configuration (#1966), thanks @miller-moore
- Improved option greeks (#1964), thanks @faysou

### Internal Improvements
- Implemented order book delta processing for `SimulatedExchange` (#1975), thanks @filipmacek
- Implemented bar processing for `SimulatedExchange` (#1969), thanks @filipmacek
- Implemented remaining getter functions in `SimulatedExchange` (#1970), thanks @filipmacek
- Implemented rate limiting for dYdX websocket subscriptions (#1977), thanks @davidsblom
- Refactored reconnection handling for dYdX (#1983), thanks @davidsblom
- Refined `DatabentoDataLoader` internals to accommodate usage from Rust
- Added initial large test data files download and caching capability

### Breaking Changes
None

### Fixes
- Fixed out of order row groups in DataFusion filter query (#1974), thanks @twitu
- Fixed `BacktestNode` data sorting regression causing clock non-decreasing time assertion error
- Fixed circular imports for `Actor`, thanks @limx0
- Fixed OKX HTTP client signatures (#1966), thanks @miller-moore
- Fixed resubscribing to orderbooks for dYdX (#1973), thanks @davidsblom
- Fixed generating cancel rejections for dYdX (#1982), thanks @davidsblom
- Fixed `WebSocketClient` task cleanup on disconnect (#1981), thanks @twitu
- Fixed `Condition` method name collisions with C `true` and `false` macros, which occurred during compilation in profiling mode