NautilusTrader 1.130.0 Beta - Release Notes

Released on 26th, September 2021

Breaking Changes

• BacktestEngine.run method signature change.
• Renamed BookLevel to BookType.
• Renamed FillModel params.

Enhancements

• Added streaming backtest machinery.
• Added quantstats (removed empyrical).
• Added BacktestEngine.run_streaming().
• Added BacktestEngine.end_streaming()
• Added Portfolio.balances_locked(venue).
• Improved DataCatalog functionality.
• Improved logging for BacktestEngine.
• Improved parquet serialization and machinery.

Fixes

• Fixed SimulatedExchange message processing.
• Fixed BacktestEngine event ordering in main loop.
• Fixed locked balance calculation for CASH accounts.
• Fixed fill dynamics for reduce-only orders.
• Fixed PositionId handling for HEDGING OMS exchanges.
• Fixed parquet Instrument serialization.
• Fixed CASH account PnL calculations with base currency.