NautilusTrader 1.123.0 Beta - Release Notes

A major feature of this release is a complete re-design of serialization for the
platform, along with initial support for the Parquet format.
The MessagePack serialization functionality has been refined and retained.

In the interests of explicitness there is now a convention that timestamps are
named either timestamp_ns, or prepended with ts. Timestamps which are
represented with an int64 are always in nanosecond resolution, and appended
with _ns accordingly.

Initial scaffolding for new backtest data tooling has been added.

Breaking Changes

• Renamed OrderState.PENDING_REPLACE to OrderState.PENDING_UPDATE
• Renamed timestamp_origin_ns to ts_event_ns.
• Renamed timestamp_ns for data to ts_recv_ns.
• Renamed updated_ns to ts_updated_ns.
• Renamed submitted_ns to ts_submitted_ns.
• Renamed rejected_ns to ts_rejected_ns.
• Renamed accepted_ns to ts_accepted_ns.
• Renamed pending_ns to ts_pending_ns.
• Renamed canceled_ns to ts_canceled_ns.
• Renamed triggered_ns to ts_triggered_ns.
• Renamed expired_ns to ts_expired_ns.
• Renamed execution_ns to ts_filled_ns.
• Renamed OrderBookLevel to BookLevel.
• Renamed Order.volume to Order.size.

Enhancements

• Adapter dependencies are now optional extras at installation.
• Added arrow/parquet serialization.
• Added object to_dict() and from_dict() methods.
• Added Order.is_pending_update.
• Added Order.is_pending_cancel.
• Added run_analysis config option for BacktestEngine.
• Removed TradeMatchId in favour of bare string.
• Removed redundant conversion to pd.Timestamp when checking timestamps.
• Removed redundant data to_serializable_str methods.
• Removed redundant data from_serializable_str methods.
• Removed redundant __ne__ implementations.
• Removed redundant MsgPackSerializer cruft.
• Removed redundant ObjectCache and IdentifierCache.
• Removed redundant string constants.

Fixes

• Fixed millis to nanos in CCXTExecutionClient.
• Added missing trigger to UpdateOrder handling.
• Removed all import *.