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@github-actions github-actions released this 30 Apr 14:27
v1.217.0
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NautilusTrader 1.217.0 Beta

Released on 30th April 2025 (UTC).

Enhancements

  • Added processing of OrderBookDepth10 for BacktestEngine and OrderMatchingEngine (#2542), thanks @limx0
  • Added Actor.subscribe_order_book_depth(...) subscription method (#2555), thanks @limx0
  • Added Actor.unsubscribe_order_book_depth(...) subscription method
  • Added Actor.on_order_book_depth(...) handler method (#2555), thanks @limx0
  • Added UnixNanos::max() convenience method for the maximum valid value
  • Added available_offset filter parameter for TardisInstrumentProvider
  • Added NAUTILUS_WORKER_THREADS environment variable for common tokio runtime builder
  • Added Quantity::non_zero(...) method
  • Added Quantity::non_zero_checked(...) method
  • Added round_down param for Instrument.make_qty(...) that is False by default to maintain current behavior
  • Added WebSocket batch order operations for Bybit (#2521), thanks @sunlei
  • Added mark price subscription for Binance Futures (#2548), thanks @bartolootrit
  • Added Chain struct to represent blockchain network (#2526), thanks @filipmacek
  • Added Block primitive for blockchain domain model (#2535), thanks @filipmacek
  • Added Transaction primitive for blockchain domain model (#2551), thanks @filipmacek
  • Added initial blockchain adapter with live block subscription (#2557), thanks @filipmacek

Breaking Changes

  • Removed fees from locked balance calculations for CASH accounts
  • Removed fees from margin calculations for MARGIN accounts
  • Renamed id constructor parameter to instrument_id across all PyO3 instruments, aligning with equivalent Cython instrument constructors

Internal Improvements

  • Implemented exponential backoff and jitter for the RetryManager (#2518), thanks @davidsblom
  • Simplified default locked balance and margin calculations to not include fees
  • Improved handling of time range and effective date filters for TardisInstrumentProvider
  • Improved reconnection robustness for Bybit private/trading channels (#2520), thanks @sunlei
  • Improved logger buffers flushing post backtest
  • Improved validations for Tardis trades data
  • Improved correctness of client registration and deregistration for ExecutionEngine
  • Improved build time by only compiling libraries (#2539), thanks @twitu
  • Improved logging flush (#2568), thanks @faysou
  • Improved clear_log_file to happen for each kernel initialization (#2569), thanks @faysou
  • Refined Price and Quantity validations and correctness
  • Filter fill events if order is already filled for dYdX (#2547), thanks @davidsblom
  • Fixed some clippy lints (#2517), thanks @twitu
  • Upgraded databento crate to v0.24.0
  • Upgraded datafusion crate to v47.0.0
  • Upgraded redis crate to v0.30.0
  • Upgraded sqlx crate to v0.8.5
  • Upgraded pyo3 crate to v0.24.2

Fixes

  • Fixed consistent ordering of execution events (#2513, #2554), thanks for reporting @stastnypremysl
  • Fixed type error when generating an elapsed time for backtests with no elapsed time
  • Fixed memory leak in RetryManager by simplifying the acquire-release pattern, avoiding the asynchronous context manager protocol that led to state sharing, thanks for reporting @DeevsDeevs
  • Fixed locked balance and initial margin calculations for reduce-only orders (#2505), thanks for reporting @stastnypremysl
  • Fixed purging order events from position (these needed to be purged prior to removing cache index entry), thanks @DeevsDeevs
  • Fixed TypeError when formatting backtest post run timestamps which were None (#2514), thanks for reporting @stastnypremysl
  • Fixed handling of BetfairSequenceCompleted as custom data
  • Fixed the instrument class of IndexInstrument, changing to SPOT to correctly represent a spot index of underlying constituents
  • Fixed data range request end handling for DataEngine
  • Fixed unsubscribe instrument close for DataEngine
  • Fixed network clients authentication for OKX (#2553), thanks for reporting @S3toGreen
  • Fixed account balance calculation for dYdX (#2563), thanks @davidsblom
  • Fixed ts_init for databento historical data (#2566), thanks @faysou
  • Fixed RequestInstrument in query_catalog (#2567), thanks @faysou
  • Reverted removal of rotate log file on UTC date change (#2552), thanks @twitu

Documentation Updates

  • Improved environment setup guide with recommended rust analyzer settings (#2538), thanks @twitu
  • Fixed alignment with code for some ExecutionEngine docstrings

Deprecations

None

Contributors

davidsblom, faysou, and 8 other contributors
Assets 15
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