NautilusTrader 1.192.0 Beta

Released on 18th May 2024 (UTC).

Enhancements

• Added Nautilus CLI (see docs) (#1602), many thanks @filipmacek
• Added Cfd and Commodity instruments with Interactive Brokers support (#1604), thanks @DracheShiki
• Added OrderMatchingEngine futures and options contract activation and expiration simulation
• Added Sandbox example with Interactive Brokers (#1618), thanks @rsmb7z
• Added ParquetDataCatalog S3 support (#1620), thanks @benjaminsingleton
• Added Bar.from_raw_arrays_to_list (#1623), thanks @rsmb7z
• Added SandboxExecutionClientConfig.bar_execution option (#1646), thanks @davidsblom
• Improved venue order ID generation and assignment (it was previously possible for the OrderMatchingEngine to generate multiple IDs for the same order)
• Improved LiveTimer robustness and flexibility by not requiring positive intervals or stop times in the future (will immediately produce a time event), thanks for reporting @davidsblom

Breaking Changes

• Removed allow_cash_positions config (simplify to the most common use case, spot trading should track positions)
• Changed tags param and return type from str to list[str] (more naturally expresses multiple tags)
• Changed Order.to_dict() commission and linked_order_id fields to lists of strings rather than comma separated strings
• Changed OrderMatchingEngine to no longer process internally aggregated bars for execution (no tests failed, but still classifying as a behavior change), thanks for reporting @davidsblom

Fixes

• Fixed CashAccount PnL and balance calculations (was adjusting filled quantity based on open position quantity - causing a desync and incorrect balance values)
• Fixed from_str for Price, Quantity and Money when input string contains underscores in Rust, thanks for reporting @filipmacek
• Fixed Money string parsing where the value from str(money) can now be passed to Money.from_str
• Fixed TimeEvent equality (now based on the event id rather than the event name)
• Fixed ParquetDataCatalog bar queries by instrument_id which were no longer returning data (the intent is to use bar_type, however using instrument_id now returns all matching bars)
• Fixed venue order ID generation and application in sandbox mode (was previously generating additional venue order IDs), thanks for reporting @rsmb7z and @davidsblom
• Fixed multiple fills causing overfills in sandbox mode (OrderMatchingEngine now caching filled quantity to prevent this) (#1642), thanks @davidsblom
• Fixed leaves_qty exception message underflow (now correctly displays the projected negative leaves quantity)
• Fixed Interactive Brokers contract details parsing (#1615), thanks @rsmb7z
• Fixed Interactive Brokers portfolio registration (#1616), thanks @rsmb7z
• Fixed Interactive Brokers IBOrder attributes assignment (#1634), thanks @rsmb7z
• Fixed IBKR reconnection after gateway/TWS disconnection (#1622), thanks @benjaminsingleton
• Fixed Binance Futures account balance calculation (was over stating free balance with margin collateral, which could result in a negative locked balance)
• Fixed Betfair stream reconnection and avoid multiple reconnect attempts (#1644), thanks @imemo88