v1.221.0

# NautilusTrader 1.221.0 Beta

Released on 26th October 2025 (UTC).

This will be the final release with support for Python 3.11.

### Enhancements
- Added support for `OrderBookDepth10` requests (#2955), thanks @faysou
- Added support for quotes from book depths (#2977), thanks @faysou
- Added support for quotes from order book deltas updates (#3106), thanks @faysou
- Added execution engine rate limiting for single-order reconciliation queries
- Added `subscribe_order_fills(...)` and `unsubscribe_order_fills(...)` for `Actor` allowing to subscribe to all fills for an instrument ID
- Added `on_order_filled(...)` for `Actor`
- Added Renko bar aggregator (#2941), thanks @faysou
- Added `time_range_generator` for on-the-fly data data subscriptions (#2952), thanks @faysou
- Added `__repr__` to `NewsEvent` (#2958), thanks @MK27MK
- Added `convert_quote_qty_to_base` config option to `ExecEngineConfig` (default `True` to retain current behavior) allows adapters to keep quote-denominated sizes when needed
- Added contingent order fields `parent_order_id` and `linked_order_ids` for `OrderStatusReport` and reconciliation
- Added `fs_rust_storage_options` to Python catalog (#3008), thanks @faysou and @Johnkhk
- Added matching engine fallback to default order book for custom fill models (#3039), thanks @Hamish-Leahy
- Added filesystem parameter to parquet in the consolidate functions (#3097), thanks @huracosunah
- Added azure support for az protocol (#3102), thanks @huracosunah
- Added Binance BBO `price_match` parameter support for order submission
- Added BitMEX conditional orders support
- Added BitMEX batch cancel support
- Added BitMEX contingent orders support (OCO, OTO, brackets)
- Added BitMEX historical data requests (trades and bars)
- Added BitMEX configurable `recv_window_ms` for signed HTTP request expiration
- Added Bybit SPOT position reports with opt-in `use_spot_position_reports` config option for `BybitExecClientConfig`
- Added Bybit `ignore_uncached_instrument_executions` config option for `BybitExecClientConfig` (default `False` to retain current behavior)
- Added Databento CME sandbox example
- Added Interactive Brokers cache config support for historical provider (#2942), thanks @ms32035
- Added Interactive Brokers support for fetching orders from all clients (#2948), thanks @dinana
- Added Interactive Brokers order conditions (#2988), thanks @faysou
- Added Interactive Brokers `generate_fill_reports` implementation (#2989), thanks @faysou
- Added OKX conditional trigger orders support
- Added OKX trade mode per order via `params` using `td_mode` key
- Added OKX margin configuration and spot margin support
- Added OKX demo account support
- Added OKX batch cancel support
- Added Polymarket native market orders support

### Breaking Changes
- Removed `nautilus_trader.analysis.statistics` subpackage - all statistics are now implemented in Rust and must be imported from `nautilus_trader.analysis` (e.g., `from nautilus_trader.analysis import WinRate`)
- Removed partial bar functionality from bar aggregators and subscription APIs (#3020), thanks @faysou
- Renamed `nautilus-cli` crate feature flag from `hypersync` to `defi` (gates blockchain/DeFi commands)
- Polymarket execution client no longer accepts market BUY orders unless `quote_quantity=True`

### Security
- Fixed non-executable stack for Cython extensions to support hardened Linux systems
- Fixed divide-by-zero and overflow bugs in model crate that could cause crashes
- Fixed core arithmetic operations to reject NaN/Infinity values and improve overflow handling

### Fixes
- Fixed reduce-only order panic when quantity exceeds position
- Fixed position purge logic to prevent purging re-opened position
- Fixed `Position.purge_events_for_order` to properly rebuild state from remaining order fills
- Fixed cache index cleanup bugs in purge_order operations
- Fixed order average price calculation that was double-counting current fill in weighted average
- Fixed own order book cleanup for terminal orders and inflight handling
- Fixed order book depth snapshot processing to avoid padding levels and metadata tracking for L1 top-of-book ticks
- Fixed crypto instruments PyO3 -> Cython conversion for `lot_size` where it was not being passed through
- Fixed `serialization` crate bugs and improve error handling
- Fixed PyO3 interpreter lifecycle for async shutdown preventing edge case `"interpreter not initialized"` panics during shutdown
- Fixed `RiskEngine` reduce-only cash exits (#2986), thanks for reporting @dennisnissle
- Fixed `RiskEngine` quote quantity validation
- Fixed `BacktestEngine` to retain instruments on reset (#3096), thanks for reporting @woung717
- Fixed overflow in `NautilusKernel` build time calculation due to negative duration (#2998), thanks for reporting @HaakonFlaaronning
- Fixed handling of asyncio.CancelledError in execution reconciliation (#3073), thanks @dinana
- Fixed edge case where rejected orders can remain in own order book
- Fixed Currency registration to synchronize between Cython and PyO3 runtimes via new `register_currency()` helper
- Fixed Databento CMBP-1/CBBO/TBBO symbology resolution
- Fixed `on_load` called before strategy added bug (#2953), thanks @lisiyuan656
- Fixed filesystem usage in catalog for `isfile` and `isdir` (#2954), thanks @limx0
- Fixed `SandboxExecutionClient` instrument data handling
- Fixed `AccountState` Arrow serialization (#3005), thanks for reporting @nikzasel
- Fixed `CryptoOption` Arrow schema `option_kind` field to accept string values
- Fixed `FuturesSpread` Arrow schema missing max/min quantity and price fields
- Fixed `OptionSpread` Arrow schema missing max/min quantity and price fields
- Fixed `Commodity` Arrow schema to match from_dict requirements
- Fixed safe encoded symbols (#2964), thanks @ms32035
- Fixed msgspec encoding for type objects with qualified names
- Fixed nautilus CLI macOS compatibility with regex unicode-perl feature (#2969), thanks @learnerLj
- Fixed fuzzy candlesticks indicator bugs (#3021), thanks @benhaben
- Fixed return type annotation for `ArrowSerializer.deserialize` (#3076), thanks @MK27MK
- Fixed initializing of sqrt price setting flow when `Pool` profiling (#3100), thanks @filipmacek
- Fixed Redis multi-stream consumer skipping messages (#3094), thanks for reporting @kirill-gr1
- Fixed Binance duplicate `OrderSubmitted` event generation for order lists (#2994), thanks @sunlei
- Fixed Binance websocket fill message parsing for Binance US with extra fields (#3006), thanks for reporting @bmlquant
- Fixed Binance order status parsing for external orders (#3006), thanks for reporting @bmlquant
- Fixed Binance execution handling for self-trade prevention and liquidations (#3006), thanks for reporting @bmlquant
- Fixed Binance trailing stop to use server-side activation price (#3056), thanks for reporting @hope2see
- Fixed Binance Futures reconciliation duplicated position bug (#3067), thanks @lisiyuan656
- Fixed Binance `price_match` order price synchronization (#3074)
- Fixed Binance Futures position risk query to use v3 API returning only symbols with positions or open orders (#3062), thanks for reporting @woung717
- Fixed Binance Futures liquidation and ADL fill handling
- Fixed BitMEX testnet support
- Fixed BitMEX instrument parsing of lot size
- Fixed BitMEX order rejection handling and response parsing
- Fixed Blockchain adapter out of gas RPC error in Multicall for problematic contracts (#3086), thanks @filipmacek
- Fixed Bybit currency parsing from venue resulting in incorrectly low precision (e.g., USDT precision 4 rather than 8)
- Fixed Bybit handling of `OrderModifyRejected` events from pending updates
- Fixed Bybit account endpoint pagination handling
- Fixed Coinbase Intx API credentials handling to allow passing explicitly
- Fixed Databento MBO `Clear` actions and improve docs
- Fixed Hyperliquid L1 signing with direct MessagePack serialization (#3087), thanks @nicolad
- Fixed Interactive Brokers tick level historical data downloading (#2956), thanks @DracheShiki
- Fixed Interactive Brokers instrument provider `TypeError` when load_ids/contracts are `None`, thanks for reporting @FGU1
- Fixed Interactive Brokers modify bracket order (#2979), thanks @faysou
- Fixed Interactive Brokers historical bars resubscription failure after connection loss (#3002), thanks @Johnkhk
- Fixed Interactive Brokers flat position reconciliation and instrument loading (#3023), thanks @idobz
- Fixed Interactive Brokers bars response handling by removing partial bar (#3040), thanks @sunlei
- Fixed Interactive Brokers account summary handling (#3052), thanks @shinhwasbiz02
- Fixed Interactive Brokers account balance calculation (#3064), thanks @sunlei
- Fixed OKX spot margin quote quantity order handling
- Fixed OKX API credentials handling to allow passing explicitly
- Fixed OKX fee calculations to account for negative fees
- Fixed OKX parsing for `tick_sz` across instrument types
- Fixed OKX parsing for instruments `multiplier` field
- Fixed OKX WebSocket heartbeat and standardize logging
- Fixed Polymarket handling of one-sided quotes (#2950), thanks for reporting @thefabus
- Fixed Polymarket websocket message handling (#2963, #2968), thanks @thefabus
- Fixed Polymarket tick size change handling for quotes (#2980), thanks for reporting @santivazq
- Fixed Polymarket market order submission to use native CLOB market orders (#2984), thanks for reporting @njkds
- Fixed Polymarket maker fill order side inversion (#3077), thanks for reporting @DarioHett
- Fixed Polymarket `neg_risk` order parameter handling
- Fixed Tardis instruments `lot_size` mapping
- Fixed Tardis adapter error handling and connection robustness
- Fixed Tardis replay to use catalog-compatible filenames

### Internal Improvements
- Added ARM64 support to Docker builds
- Added BitMEX adapter integration tests
- Added OKX adapter integration tests
- Added turmoil network simulation testing to network crate
- Added liquidity utilization rate to AMM pool profiler (#3107), thanks @filipmacek
- Added `filter_sec_types` config to skip unsupported IB instrument types (#3108), thanks @sunlei
- Ported `PortfolioAnalyzer` and all portfolio statistics to Rust
- Introduced AMM Pool profiler with tickmaps and Uniswapv3 support (#3000, #3010, #3019, #3036), thanks @filipmacek
- Introduced snapshot, analytics, and PSQL schema for PoolProfiler (#3048), thanks @filipmacek
- Implemented consistency checking for AMM pool profiler with RPC state (#3030), thanks @filipmacek
- Implemented `PoolFlash` event in blockchain adapter (#3055, #3058), thanks @filipmacek
- Implemented Blockchain adapter pool profiler snapshot integration (#3090), thanks @filipmacek
- Implemented BitMEX robust ping/pong handling
- Implemented Hyperliquid adapter HTTP client (#2939), thanks @nicolad
- Implemented Hyperliquid adapter scaffolding and examples (#2957), thanks @nicolad
- Implemented Hyperliquid weighted rate limiter for REST API (#2960), thanks @nicolad
- Implemented Hyperliquid L2 order book with tick-based pricing (#2967), thanks @nicolad
- Implemented Hyperliquid data client and fix dependencies (#2975), thanks @nicolad
- Implemented Hyperliquid REST API models for execution (#2983), thanks @nicolad
- Implemented Hyperliquid `InstrumentProvider` / definitions parsing (#2992), thanks @nicolad
- Implemented Hyperliquid DataClient in Python (#2996), thanks @nicolad
- Implemented Hyperliquid DataClient in Rust (#2999), thanks @nicolad
- Implemented Hyperliquid ExecutionClient in Python (#3003), thanks @nicolad
- Implemented Hyperliquid ExecutionClient in Rust (#3013), thanks @nicolad
- Implemented Hyperliquid websocket tester for streaming market data (#3018), thanks @nicolad
- Implemented Hyperliquid basic market and limit orders (#3022), thanks @nicolad
- Implemented Hyperliquid conditional / advanced orders (#3035), thanks @nicolad
- Implemented Hyperliquid execution reconciliation (#3041), thanks @nicolad
- Implemented Hyperliquid execution client order submission (#3050), thanks @nicolad
- Implemented Hyperliquid LiveExecutionClientExt trait (#3075), thanks @nicolad
- Implemented Hyperliquid typed enums and optimize WebSocket lookups (#3089), thanks @nicolad
- Refactored Hyperliquid adapter to push complexity to Rust layer (#3063), thanks @nicolad
- Refactored streaming writer to support per-bar-type persistence (#3078), thanks @faysou
- Changed `Symbol`, `Currency`, and `InstrumentId` string validation from ASCII to UTF-8, fixing Binance compatibility with Chinese symbols
- Changed `PositionId` validation check from ASCII to UTF-8, fixing Binance compatibility with Chinese symbols (#3105), thanks @Osub
- Improved clock and timer thread safety and validations
- Improved live timer lifecycle management by canceling existing timers with the same name
- Improved `ActorExecutor` lifecycle and concurrency handling
- Improved order book error handling, state integrity, and pprint/display
- Improved order book handling of `NoOrderSide` deltas
- Improved websocket reconnection sequence protections in stream mode
- Improved socket reconnect sequence and tighten client setup and testing
- Improved socket client URL parsing
- Improved compatibility of Makefile for Windows git-bash (#3066), thanks @faysou
- Improved Blockchain adapter shutdown with cancellation token
- Improved Blockchain adapter `node_test` script (#3092), thanks @filipmacek
- Improved and optimize AMM pool profiling (#3098), thanks @filipmacek
- Improved Hyperliquid adapter patterns (#2972), thanks @nicolad
- Improved BitMEX spot instruments quantity handling by scaling to correct fractional units
- Improved BitMEX REST rate limits configuration
- Improved BitMEX instrument cache error logging
- Improved Binance, Bybit, OKX, BitMEX, and Coinbase International HTTP rate limiting to enforce documented per-endpoint quotas
- Improved Binance fill handling when instrument not cached with clearer error log
- Improved OKX trade mode detection and fee currency parsing
- Improved OKX client connection reliability
- Improved OKX liquidation and ADL fill handling and logging
- Improved Tardis instrument requests to filter options by default
- Standardized Binance order validations with proper order denied events to avoid "hanging" orders
- Refined Renko bar aggregator and add tests (#2961), thanks @faysou
- Refined setting of flags in Makefile (#3060), thanks @faysou
- Refined Bybit balance parsing to use `Money.from_str` to ensure no rounding errors
- Refined Interactive Brokers execution flows (#2993), thanks @faysou
- Refined Interactive Brokers filtering of bars in IB adapter after disconnection (#3011), thanks @faysou and @Johnkhk
- Refined Interactive Brokers account summary log to debug level (#3084), thanks @sunlei
- Refined catalog `reset_data_file_names` method (#3071), thanks @adrianbeer and @faysou
- Optimized `ExecutionEngine` hot path with topic caching and reduced cache lookups
- Optimized rate limiter quota keys with string interning to avoid repeated allocations
- Upgraded Rust (MSRV) to 1.90.0
- Upgraded Cython to v3.1.6
- Upgraded `databento` crate to v0.35.0
- Upgraded `datafusion` crate to v50.3.0
- Upgraded `pyo3` and `pyo3-async-runtimes` crates to v0.26.0
- Upgraded `redis` crate to v0.32.7
- Upgraded `tokio` crate to v1.48.0
- Upgraded `uvloop` to v0.22.1 (upgrades libuv to v1.49.0)

### Documentation Updates
- Added quick-reference rate limit tables with links to official docs for Binance, Bybit, OKX, BitMEX, and Coinbase International
- Updated cache concept guide with purging ops
- Improved dark and light themes for readability
- Improved clarity of implemented bar aggregations
- Standardized consistent styling per docs style guide
- Fixed some broken links

### Deprecations
- Deprecated `convert_quote_qty_to_base`; disable (`False`) to maintain consistent behaviour going forwards. Automatic conversion will be removed in a future version.