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@github-actions github-actions released this 10 Sep 09:11
v1.220.0
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NautilusTrader 1.220.0 Beta

Released on 9th September 2025 (UTC).

Enhancements

  • Added initial BitMEX integration adapter
  • Added FundingRateUpdate data type with caching support through data engine
  • Added subscribe_funding_rates(...) and unsubscribe_funding_rates(...) methods for actors
  • Added on_funding_rate(...) handler for actors
  • Added funding_rate(...) and add_funding_rate(...) for Cache
  • Added due_post_only field for OrderRejected event, only properly populated for Binance and Bybit for now
  • Added log_rejected_due_post_only_as_warning config option for StrategyConfig (default True to retain current behavior)
  • Added log_rejected_due_post_only_as_warning config option for BinanceExecClientConfig (default True to retain current behavior)
  • Added log_components_only config option for Logger (#2931), thanks @faysou
  • Added support for additional Databento schemas: CMBP_1, CBBO_1S, CBBO_1M, TCBBO, and OHLCV_EOD
  • Added configurable schema parameters for Databento quote and trade subscriptions, allowing TBBO/TCBBO for efficient combined data feeds
  • Added support for option combos for Interactive Brokers (#2812), thanks @faysou
  • Added support for execution of option spreads in backtesting (#2853), thanks @faysou
  • Added support for option spread quotes in backtest (#2845), thanks @faysou
  • Added loading of options chain from request_instruments for Interactive Brokers (#2809), thanks @faysou
  • Added OptionExerciseModule (#2907), thanks @faysou
  • Added MarginModel concept, base models, config, and factory for backtesting (#2794), thanks @faysou and @stefansimik
  • Added additional built-in backtest fill models (#2795), thanks @faysou and @stefansimik
  • Added OrderBookDepth10DataWrangler (#2801), thanks @trylovetom
  • Added group_size parameter for PyO3 OrderBook.pprint(...) and OwnOrderBook.pprint(...)
  • Added custom error logging function support for RetryManager
  • Added Bybit options support (#2821), thanks @Baerenstein
  • Added Bybit is_leverage order parameter support
  • Added persist_account_events config option for CacheConfig (default True to retain current behavior)
  • Added query_account method for Strategy
  • Added QueryAccount execution message
  • Added streaming methods for TardisCSVDataLoader
  • Added stream iterators support for BacktestEngine low-level streaming API
  • Added YEAR aggregation and improved bar specification validation (#2771), thanks @stastnypremysl
  • Added support for requesting any number of historical bars for dYdX (#2766, #2777), thanks @DeirhX
  • Added use_hyphens_in_client_order_ids config option for StrategyConfig
  • Added greeks_filter function to portfolio_greeks (#2756), thanks @faysou
  • Added time weighted and percent vega for GreeksCalculator (#2817), thanks @faysou
  • Added VERBOSE option to common make targets (#2759), thanks @faysou
  • Added bulk key loading capability for Redis cache database adapter
  • Added multiplier field for CurrencyPair instrument (required for some crypto pairs)
  • Added tick_scheme_name field for instrument dictionary conversions
  • Added default FixedTickScheme(s) for all valid precisions
  • Added PancakeSwapV3 pool parsing (#2829), thanks @filipmacek
  • Added PortfolioConfig.min_account_state_logging_interval_ms config option for throttling account state logging
  • Added allow_cash_borrowing config option for BacktestVenueConfig to enable negative balances in cash accounts
  • Added borrowing support for Bybit SPOT accounts, enabling margin trading with negative balances
  • Added initial DEX Pool filtering configuration (#2842, #2887), thanks @filipmacek
  • Added Arbitrum FluidDEX pool parsing (#2897), thanks @filipmacek
  • Added a complete .env.example template to guide environment configuration (#2877), thanks @nicolad
  • Added Interactive Brokers OCA setting to order groups (#2899), thanks @faysou
  • Added Interactive Brokers subscriptions for position updates (#2887), thanks @faysou
  • Added support for running separate live and paper IB Gateway containers without port conflicts. Simplified container naming and made VNC optional.
  • Added avg_px_open field to PositionStatusReport for IB adapter (#2925), thanks @dinana
  • Added support for running separate live and paper IB Gateway containers simultaneously (#2937), thanks @Bshara23
  • Added support for data deduplication on catalog consolidation (#2934), thanks @ms32035

Breaking Changes

  • Added multiplier field for CurrencyPair Arrow schema
  • Changed start parameter to required for Actor data request methods
  • Reverted implementation of delete_account_event from cache database that was too inefficient and is now a no-op pending redesign
  • Renamed ParquetDataCatalog.reset_catalog_file_names to reset_all_file_names
  • Renamed BinanceAccountType.USDT_FUTURE to USDT_FUTURES for more conventional terminology
  • Renamed BinanceAccountType.COIN_FUTURE to COIN_FUTURES for more conventional terminology
  • Renamed InstrumentMiniInfo to TardisInstrumentMiniInfo to standardize adapter naming conventions
  • Removed the generic cvec_drop FFI function, as it was unused and prone to misuse, potentially causing memory leaks
  • Removed redundant managed parameter for Actor.subscribe_book_at_interval (the book must be managed by the DataEngine to provide snapshots at intervals)
  • Consolidated OwnBook group_bids and group_asks methods into bid_quantity and ask_quantity with optional depth and group_size parameters
  • Consolidated ~40 individual indicator modules into 6 files to reduce binary size
  • Consolidated backtest.exchange into backtest.engine to reduce binary size
  • Consolidated backtest.matching_engine into backtest.engine to reduce binary size
  • Changed indicator imports from nested modules to flat structure (e.g., from nautilus_trader.indicators.atr import AverageTrueRange becomes from nautilus_trader.indicators import AverageTrueRange)
  • Changed NAUTILUS_CATALOG_PATH to NAUTILUS_PATH for Tardis adapter (#2850), thanks @nicolad
  • Simplified Binance environment variables for API credentials: removed separate variables for RSA/Ed25519 keys and consolidated mainnet spot/futures credentials
  • Moved Indicator base class from nautilus_trader.indicators.base.indicator to nautilus_trader.indicators.base

Internal Improvements

  • Refactored OKX adapter to Rust API clients
  • Refactored BacktestDataIterator (#2791) to consolidate data generator usage, thanks @faysou
  • Implemented LogGuard reference counting for proper thread lifecycle management, ensuring all logs flushed before termination
  • Implemented live subscriptions for blockchain data client (#2832), thanks @filipmacek
  • Implemented initial Hyperliquid adapter (#2912, #2916, #2922, #2935), thanks @nicolad
  • Introduced SharedCell / WeakCell wrappers for ergonomic and safer handling of Rc<RefCell<T>> / Weak<RefCell<T>> pairs
  • Introduced efficient block syncing command in the nautilus-cli (#2861), thanks @filipmacek
  • Introduced pool events syncing command in blockchain data client (#2920), thanks @filipmacek
  • Added stream iterators support BacktestDataIterator
  • Added serialization support for execution reports
  • Added serialization support for execution report commands
  • Added DataTester standardized data testing actor for integration adapters
  • Added start and stop to response data (#2748), thanks @stastnypremysl
  • Added integration test service management targets (#2765), thanks @stastnypremysl
  • Added integration tests for dYdX bar-partitioning and large-history handling (#2773), thanks @nicolad
  • Added make build-debug-pyo3 (#2802), thanks @faysou
  • Added pytest timer (#2834), thanks @faysou
  • Added support for several instrument versions with request_instrument (#2835), thanks @faysou
  • Added _send_position_status_report to base execution client (#2926), thanks @faysou
  • Added passthrough_bar_type to TimeBarAggregator (#2929), thanks @faysou
  • Added matching engine check to return early if last_qty is non-positive (#2930), thanks @GhostLee
  • Added avg_px population in order filled events for Interactive Brokers adapter (#2938), thanks @dinana
  • Optimized identifiers hashing to avoid frequent recomputations using C strings
  • Optimized data engine topic string caching for message bus publishing to avoid frequent f-string constructions
  • Optimized Redis key scans to improve efficiency over a network
  • Completed bar request implementation for OKX (#2789), thanks @nicolad
  • Continued ExecutionEngine and testing in Rust (#2886), thanks @dakshbtc
  • Enabled parallel pytest tests with pytest-xdist (#2808), thanks @stastnypremysl
  • Standardized DeFi chain name validation for InstrumentId (#2826), thanks @filipmacek
  • Standardized NAUTILUS_PATH env var across Tardis integration (#2850), thanks @nicolad
  • Standardized zero PnL as Money instead of None when exchange rate missing (#2880), thanks @nicolad
  • Refactored SpreadQuoteAggregator (#2905), thanks @faysou
  • Refactored bar aggregators to use ts_init instead of ts_event (#2924), thanks @fayosu
  • Improved typing for all the DEX IDs with DexType and add validation (#2827), thanks @filipmacek
  • Improved reconciliation handling of internally generated orders to align positions (now uses the INTERNAL-DIFF strategy ID)
  • Improved data client for blockchain adapter (#2787), thanks @filipmacek
  • Improved DEX pool sync process in the blockchain adapter (#2796), thanks @filipmacek
  • Improved efficiency of message bus external streams buffer flushing
  • Improved databento_test_request_bars example (#2762), thanks @faysou
  • Improved zero-sized trades handling for Tardis CSV loader (will log a warning)
  • Improved ergonomics of TardisInstrumentProvider datetime filter params (can be either pd.Timestamp or Unix nanos int)
  • Improved handling of Tardis Machine websocket connection errors
  • Improved positions report to mark snapshots (#2840), thanks @stastnypremysl
  • Improved ERC20 token metadata handling and error recovery (#2847), thanks @filipmacek
  • Improved Docker configuration (#2868), thanks @nicolad
  • Improved security for Credential struct (#2882), thanks @nicolad
  • Improved DeFi pool event parsing and integrate Arbitrum Camelotv3 new pools signature (#2889), thanks @filipmacek
  • Improved Databento multiplier decoding to prevent precision loss (#2895), thanks @nicolad
  • Improved Bybit balance precision by avoiding float conversion (#2903), thanks @scoriiu
  • Improved dYdX message parsing robustness to allow unknown fields (#2911), thanks @davidblom
  • Improved Polymarket instrument provider bulk loading (#2913), thanks @DeirhX
  • Improved Polymarket binary options parsing with no endDate (#2919), thanks @DeirhX
  • Refined Rust catalog path handling (#2743), thanks @faysou
  • Refined Rust GreeksCalculator (#2760), thanks @faysou
  • Refined Databento bars timestamp decoding and backtest execution usage (#2800), thanks @faysou
  • Refined allowed queries for bars from BacktestDataConfig (#2838), thanks @faysou
  • Refined FillModel (#2795), thanks @faysou and @stefansimik
  • Refined request of instruments (#2822), thanks @faysou
  • Refined subscribe_bars in IB adapter (#2852), thanks @faysou
  • Refined get_start_time in TimeBarAggregator (#2866), thanks @faysou
  • Refined option spread execution (#2859), thanks @faysou
  • Refined subscribe_historical_bars in IB adapter (#2870), thanks @faysou
  • Relaxed conditions on start and end of instrument requests in adapters (#2867), thanks @faysou
  • Updated request_aggregated_bars example (#2815), thanks @faysou
  • Updated PostgreSQL connection parameters to use 'nautilus' user (#2805), thanks @stastnypremysl
  • Upgraded Rust (MSRV) to 1.89.0
  • Upgraded Cython to v3.1.3
  • Upgraded web3 for Polymarket allowances script (#2814), thanks @DeirhX
  • Upgraded databento crate to v0.33.1
  • Upgraded datafusion crate to v49.0.1
  • Upgraded redis crate to v0.32.5
  • Upgraded tokio crate to v1.47.1

Fixes

  • Fixed Rust-Python reference cycles by replacing Arc<PyObject> with plain PyObject in callback-holding structs, eliminating memory leaks
  • Fixed TimeEventHandler memory leaks with Python callback references in FFI layer
  • Fixed PyCapsule memory leaks by adding destructors to enable proper Rust value cleanup
  • Fixed multiple circular-dependency memory leaks for network and bar Python callbacks using new SharedCell/WeakCell helpers
  • Fixed precision preservation for value types (Price, Quantity, Money)
  • Fixed incorrect raw price type for matching engine in high-precision mode that could overflow during trades processing (#2810), thanks for reporting @Frzgunr1 and @happysammy
  • Fixed incorrect currency used for cash account SELL orders pre-trade risk check
  • Fixed accounting for locked balance with multiple currencies (#2918), thanks @GhostLee
  • Fixed portfolio realized PnL for NETTING OMS position snapshot cycles (#2856), thanks for reporting @idobz and analysis @paulbir
  • Fixed decoding zero-sized trades for Databento MBO data
  • Fixed purging of contingent orders where open linked orders would still be purged
  • Fixed backtest bracket order quantity independence, preventing child orders from incorrectly syncing to net position size
  • Fixed Tardis Machine replay processing and Parquet file writing
  • Fixed Tardis exchange-venue mapping for Kraken Futures (should map to cryptofacilities)
  • Fixed Tardis CSV loader for book snapshots with interleaved bid/ask columns
  • Fixed Polymarket reconciliation for signature type 2 trades where wallet address differs from funder address
  • Fixed catalog query of multiple instruments of same type (#2772), thanks @faysou
  • Fixed modification of contingent orders in backtest (#2761), thanks faysou
  • Fixed balance calculations on order fill to allow operating at near account balance capacity (#2752), thanks @petioptrv
  • Fixed cash account locked balance calculations for sell orders (#2906), thanks for reporting @GhostLee
  • Fixed time range end in some databento request functions (#2755), thanks @faysou
  • Fixed skip_first_non_full_bar tolerance for near-boundary starts (#2605), thanks for reporting @stastnypremysl
  • Fixed EOD bar for Interactive Brokers (#2764), thanks @faysou
  • Fixed dYdX Take Profit order type mapping error (#2758), thanks @nicolad
  • Fixed dYdX logging typo (#2790), thanks @DeirhX
  • Fixed dYdX order and fill message schemas (#2824), thanks @davidsblom
  • Fixed dYdX message schemas (#2910), thanks @davidblom
  • Fixed Binance Spot testnet streaming URL, thanks for reporting @Frzgunr1
  • Fixed Binance US trading fee endpoint URL (#2914), thanks for reporting @bmlquant
  • Fixed Binance Ed25519 key handling
  • Fixed Bybit execution fee handling where the execFee field was not used when available as well as incorrect fee currency
  • Fixed Bybit instrument provider fee rate handling during parsing
  • Fixed Bybit SPOT commission currency for makers
  • Fixed Bybit positions pagination to handle more than 20 positions (#2879), thanks @scoriiu
  • Fixed Bybit REST model parsing balance precision errors for high-value tokens (#2898), thanks @scoriiu
  • Fixed Bybit WebSocket message parsing balance precision errors for high-value tokens (#2904), thanks @scoriiu
  • Fixed OKX bars request pagination logic (#2798, #2825), thanks @nicolad
  • Fixed RPC client content type header (#2828), thanks @filipmacek
  • Fixed venue_order_id handling for Polymarket order status request (#2848), thanks @DeirhX
  • Fixed race-condition on node shutdown in async InteractiveBrokersDataClient._disconnect() (#2865), thanks @ruvr
  • Fixed AttributeError when loading cached IBContract objects (#2862), thanks @ruvr
  • Fixed PolymarketUserTrade.bucket_index field type that changed from str to int (#2872), thanks for reporting @thefabus
  • Fixed Polymarket websocket 500 tokens per connection limitation (#2915), thanks @odobias and @DeirhX
  • Fixed Interactive Brokers submit_order_list rejection (#2892), thanks @faysou
  • Fixed Interactive Brokers bars query for indices (#2921), thanks @ms32035
  • Fixed missing funding_rates for Cache Debug impl (#2894), thanks @MK27MK
  • Fixed missing log_component_levels for PyO3 logging initialization
  • Fixed catalog consolidation name clash for an overlapping edge case (#2933), thanks @ms32035
  • Fixed historical data request race condition in DataEngine (#2946), thanks @lisiyuan656
  • Fixed catalog metadata retention on deduplication (#2943), thanks @ms32035

Documentation Updates

  • Added Positions concept guide
  • Added Reports concept guide
  • Added FFI Memory Contract developer guide
  • Added Windows signal handling guidance
  • Added mixed debugging instructions and example (#2806), thanks @faysou
  • Improved dYdX integration guide (#2751), thanks @nicolad
  • Updated IB documentation for option spreads (#2839), thanks @faysou
  • Moved rust-python debugging documentation to testing.md (#2928), thanks @faysou

Deprecations

None

Contributors

davidsblom, faysou, and 25 other contributors
Assets 15
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