NautilusTrader 1.170.0 Beta

Released on 11th March 2023 (UTC).

Breaking Changes

• Moved backtest.data.providers to test_kit.providers
• Moved backtest.data.wranglers to persistence.wranglers (to be consolidated)
• Moved backtest.data.loaders to persistence.loaders (to be consolidated)
• Renamed from_datetime to start across data request methods and properties
• Renamed to_datetime to end across data request methods and properties
• Removed RiskEngineConfig.deny_modify_pending_update (as now redundant with new pending event sequencing)
• Removed redundant log sink machinery
• Changed parquet catalog schema dictionary integer key widths/types
• Invalidated all pickled data due to Cython 3.0.0b1 upgrade

Enhancements

• Added logging to file at core Rust level
• Added DataCatalogConfig for more cohesive data catalog configuration
• Added DataEngine.register_catalog to support historical data requests
• Added catalog_config field to base NautilusKernelConfig
• Changed to immediately caching orders and order lists in Strategy
• Changed to checking duplicate client_order_id and order_list_id in Strategy
• Changed generating and applying OrderPendingUpdate and OrderPendingCancel in Strategy
• PortfolioAnalyzer PnL statistics now take optional unrealized_pnl
• Backtest performance statistics now include unrealized PnL in total PnL

Fixes

• Fixed Binance Futures trigger type parsing
• Fixed DataEngine bar subscribe and unsubscribe logic, thanks for reporting @rsmb7z
• Fixed Actor handling of bars, thanks @limx0
• Fixed CancelAllOrders command handling for contingent orders not yet in matching core
• Fixed TrailingStopMarketOrder slippage calculation when no trigger_price, thanks for reporting @rsmb7z
• Fixed BinanceSpotInstrumentProvider parsing of quote asset (was using base), thanks for reporting @logogin
• Fixed undocumented Binance time in force 'GTE_GTC', thanks for reporting @graceyangfan
• Fixed Position calculation of last_qty when commission currency was equal to base currency, thanks for reporting @rsmb7z
• Fixed BacktestEngine post backtest run PnL performance statistics for currencies traded per venue, thanks for reporting @rsmb7z