NautilusTrader 1.189.0 Beta

Released on 15th March 2024 (UTC).

Enhancements

• Implemented Binance order book snapshot rebuilds on websocket reconnect (see integration guide)
• Added additional validations for OrderMatchingEngine (will now raise a RuntimeError when a price or size precision for OrderFilled does not match the instruments precisions)
• Added LoggingConfig.use_pyo3 option for pyo3 based logging initialization (worse performance but allows visibility into logs originating from Rust)
• Added exchange field to FuturesContract, FuturesSpread, OptionsContract and OptionsSpread (optional)

Breaking Changes

• Changed Arrow schema adding exchange field for FuturesContract, FuturesSpread, OptionsContract and OptionsSpread

Fixes

• Fixed MessageBus handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)
• Fixed MessageBus handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a RuntimeError)
• Fixed Throttler handling of sending messages after messages have been dropped, thanks @davidsblom
• Fixed OrderBookDelta.to_pyo3_list using zero precision from clear delta
• Fixed DataTransformer.pyo3_order_book_deltas_to_record_batch_bytes using zero precision from clear delta
• Fixed OrderBookMbo and OrderBookMbp integrity check when crossed book
• Fixed OrderBookMbp error when attempting to add to a L1_MBP book type (now raises RuntimeError rather than panicking)
• Fixed Interactive Brokers connection error logging (#1524), thanks @benjaminsingleton
• Fixed SimulationModuleConfig location and missing re-export from config subpackage
• Fixed logging StdoutWriter from also writing error logs (writers were duplicating error logs)
• Fixed BinanceWebSocketClient to new specification which requires responding to pings with a pong containing the pings payload
• Fixed Binance Futures AccountBalance calculations based on wallet and available balance
• Fixed ExecAlgorithm circular import issue for installed wheels (importing from execution.algorithm was a circular import)