NautilusTrader 1.197.0 Beta

Released on 2nd August 2024 (UTC).

Enhancements

• Added Databento Status schema support for loading and live trading
• Added options on futures support for Interactive Brokers (#1795), thanks @rsmb7z
• Added documentation for option greeks custom data example (#1788), thanks @faysou
• Added MarketStatusAction enum (support Databento status schema)
• Added ignore_quote_tick_size_updates config option for Interactive Brokers (#1799), thanks @sunlei
• Implemented MessageBus v2 in Rust (#1786), thanks @twitu
• Implemented DataEngine v2 in Rust (#1785), thanks @twitu
• Implemented FillModel in Rust (#1801), thanks @filipmacek
• Implemented FixedFeeModel in Rust (#1802), thanks @filipmacek
• Implemented MakerTakerFeeModel in Rust (#1803), thanks @filipmacek
• Implemented Postgres native enum mappings in Rust (#1797, #1806), thanks @filipmacek
• Refactored order submission error handling for Interactive Brokers (#1783), thanks @rsmb7z
• Improved live reconciliation robustness (will now generate inferred orders necessary to align external position state)
• Improved tests for Interactive Brokers (#1776), thanks @mylesgamez
• Upgraded tokio crate to v1.39.2
• Upgraded datafusion crate to v40.0.0

Breaking Changes

• Removed VenueStatus and all associated methods and schemas (redundant with InstrumentStatus)
• Renamed QuoteTick.extract_volume(...) to .extract_size(...) (more accurate terminology)
• Changed InstrumentStatus params (support Databento status schema)
• Changed InstrumentStatus arrow schema
• Changed OrderBook FFI API to take data by reference instead of by value

Fixes

• Fixed rounding errors in accounting calculations for large values (using decimal.Decimal internally)
• Fixed multi-currency account commission handling with multiple PnL currencies (#1805), thanks for reporting @dpmabo
• Fixed DataEngine unsubscribing from order book deltas (#1814), thanks @davidsblom
• Fixed LiveExecutionEngine handling of adapter client execution report causing None mass status (#1789), thanks for reporting @faysou
• Fixed InteractiveBrokersExecutionClient handling of instruments not found when generating execution reports (#1789), thanks for reporting @faysou
• Fixed Bybit parsing of trade and quote ticks for websocket messages (#1794), thanks @davidsblom