NautilusTrader 1.191.0 Beta

Released on 20th April 2024 (UTC).

Enhancements

• Implemented FeeModel including FixedFeeModel and MakerTakerFeeModel (#1584), thanks @rsmb7z
• Implemented TradeTickDataWrangler.process_bar_data (#1585), thanks @rsmb7z
• Implemented multiple timeframe bar execution (will use lowest timeframe per instrument)
• Optimized LiveTimer efficiency and accuracy with tokio timer under the hood
• Optimized QuoteTickDataWrangler and TradeTickDataWrangler (#1590), thanks @rsmb7z
• Standardized adapter client logging (handle more logging from client base classes)
• Simplified and consolidated Rust OrderBook design
• Improved CacheDatabaseAdapter graceful close and thread join
• Improved MessageBus graceful close and thread join
• Improved modify_order error logging when order values remain unchanged
• Added RecordFlag enum for Rust and Python
• Interactive Brokers further improvements and fixes, thanks @rsmb7z
• Ported Bias indicator to Rust, thanks @pushkarm029

Breaking Changes

• Reordered OrderBookDelta params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
• Reordered OrderBook params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
• Added flags parameter to OrderBook.add
• Added flags parameter to OrderBook.update
• Added flags parameter to OrderBook.delete
• Changed Arrow schema for all instruments: added info binary field
• Changed Arrow schema for CryptoFuture: added is_inverse boolean field
• Renamed both OrderBookMbo and OrderBookMbp to OrderBook (consolidated)
• Renamed Indicator.handle_book_mbo and Indicator.handle_book_mbp to handle_book (consolidated)
• Renamed register_serializable_object to register_serializable_type (also renames first param from obj to cls)

Fixes

• Fixed MessageBus pattern resolving (fixes a performance regression where topics published with no subscribers would always re-resolve)
• Fixed BacktestNode streaming data management (was not clearing between chunks), thanks for the report @dpmabo
• Fixed RiskEngine cumulative notional calculations for margin accounts (was incorrectly using base currency when selling)
• Fixed selling Equity instruments with CASH account and NETTING OMS incorrectly rejecting (should be able to reduce position)
• Fixed Databento bars decoding (was incorrectly applying display factor)
• Fixed Binance bar (kline) to use close_time for ts_event was opentime (#1591), thanks for reporting @OnlyC
• Fixed AccountMarginExceeded error condition (margin must actually be exceeded now, and can be zero)
• Fixed ParquetDataCatalog path globbing which was including all paths with substrings of specified instrument IDs