NautilusTrader 1.199.0 Beta

Released on 19th August 2024 (UTC).

Enhancements

• Added LiveExecEngineConfig.generate_missing_orders reconciliation config option to align internal and external position states
• Added LogLevel::TRACE (only available in Rust for debug/development builds)
• Added Actor.subscribe_signal(...) method and Data.is_signal(...) class method (#1853), thanks @faysou
• Added Binance Futures support for HEDGE mode (#1846), thanks @DevRoss
• Overhauled and refined error modeling and handling in Rust (#1849, #1858), thanks @twitu
• Improved BinanceExecutionClient position report requests (can now filter by instrument and includes reporting for flat positions)
• Improved BybitExecutionClient position report requests (can now filter by instrument and includes reporting for flat positions)
• Improved LiveExecutionEngine reconciliation robustness and recovery when internal positions do not match external positions
• Improved @customdataclass decorator constructor to allow more positional arguments (#1850), thanks @faysou
• Improved @customdataclass documentation (#1854), thanks @faysou
• Upgraded datafusion crate to v41.0.0
• Upgraded tokio crate to v1.39.3
• Upgraded uvloop to v0.20.0 (upgrades libuv to v1.48.0)

Breaking Changes

• Changed VolumeWeightedAveragePrice calculation formula to use each bars "typical" price (#1842), thanks @evgenii-prusov
• Changed OptionsContract constructor parameter ordering and Arrow schema (consistently group option kind and strike price)
• Renamed snapshot_positions_interval to snapshot_positions_interval_secs (more explicitly indicates time units)
• Moved snapshot_orders config setting to ExecEngineConfig (can now be used for all environment contexts)
• Moved snapshot_positions config setting to ExecEngineConfig (can now be used for all environment contexts)
• Moved snapshot_positions_interval_secs config setting to ExecEngineConfig (can now be used for all environment contexts)

Fixes

• Fixed Position exception type on duplicate fill (should be KeyError to align with the same error for Order)
• Fixed Bybit position report parsing when position is flat (BybitPositionSide now correctly handles the empty string)