NautilusTrader 1.188.0 Beta

Released on 25th February 2024 (UTC).

Enhancements

• Added FuturesSpread instrument type
• Added OptionsSpread instrument type
• Added InstrumentClass.FUTURE_SPREAD
• Added InstrumentClass.OPTION_SPREAD
• Added managed parameter to subscribe_order_book_deltas, default true to retain current behavior (if false then the data engine will not automatically manage a book)
• Added managed parameter to subscribe_order_book_snapshots, default true to retain current behavior (if false then the data engine will not automatically manage a book)
• Added additional validations for OrderMatchingEngine (will now reject orders with incorrect price or quantity precisions)
• Removed interval_ms 20 millisecond limitation for subscribe_order_book_snapshots (i.e. just needs to be positive), although we recommend you consider subscribing to deltas below 100 milliseconds
• Ported LiveClock and LiveTimer implementations to Rust
• Implemented OrderBookDeltas pickling
• Implemented AverageTrueRange in Rust, thanks @rsmb7z

Breaking Changes

• Changed TradeId value maximum length to 36 characters (will raise a ValueError if value exceeds the maximum)

Fixes

• Fixed TradeId memory leak due assigning unique values to the Ustr global string cache (which are never freed for the lifetime of the program)
• Fixed TradeTick size precision for pyo3 conversion (size precision was incorrectly price precision)
• Fixed RiskEngine cash value check when selling (would previously divide quantity by price which is too much), thanks for reporting@AnthonyVince
• Fixed FOK time in force behavior (allows fills beyond the top level, will cancel if cannot fill full size)
• Fixed IOC time in force behavior (allows fills beyond the top level, will cancel any remaining after all fills are applied)
• Fixed LiveClock timer behavior for small intervals causing next time to be less than now (timer then would not run)
• Fixed log level filtering for log_level_file (bug introduced in v1.187.0), thanks @twitu
• Fixed logging print_config config option (was not being passed through to the logging system)
• Fixed logging timestamps for backtesting (static clock was not being incrementally set to individual TimeEvent timestamps)
• Fixed account balance updates (fills from zero quantity NETTING positions will generate account balance updates)
• Fixed MessageBus publishable types collection type (needed to be tuple not set)
• Fixed Controller registration of components to ensure all active clocks are iterated correctly during backtests
• Fixed Equity short selling for CASH accounts (will now reject)
• Fixed ActorFactory.create JSON encoding (was missing the encoding hook)
• Fixed ImportableConfig.create JSON encoding (was missing the encoding hook)
• Fixed ImportableStrategyConfig.create JSON encoding (was missing the encoding hook)
• Fixed ExecAlgorithmFactory.create JSON encoding (was missing the encoding hook)
• Fixed ControllerConfig base class and docstring
• Fixed Interactive Brokers historical bar data bug, thanks @benjaminsingleton
• Fixed persistence freeze_dict function to handle fs_storage_options, thanks @dimitar-petrov