NautilusTrader 1.204.0 Beta

Released on 22nd October 2024 (UTC).

Enhancements

• Added TardisCSVDataLoader for loading data from Tardis format CSV files as either legacy Cython or PyO3 objects
• Added Clock.timestamp_us() method for UNIX timestamps in microseconds (μs)
• Added support for bbo-1s and bbo-1m quote schemas for Databento adapter (#1990), thanks @faysou
• Added validation for venue book_type configuration vs data (prevents an issue where top-of-book data is used when order book data is expected)
• Added compute_effective_deltas config setting for PolymarketDataClientConfig, reducing snapshot size (False by default to maintain current behavior)
• Added rate limiter for WebSocketClient (#1994), thanks @pushkarm029
• Added in the money probability field to GreeksData (#1995), thanks @faysou
• Added on_signal(signal) handler for custom signal data
• Added nautilus_trader.common.events module with re-exports for TimeEvent and other system events
• Improved usability of OrderBookDepth10 by filling partial levels with null orders and zero counts
• Improved Postgres config (#2010), thanks @filipmacek
• Refined DatabentoInstrumentProvider handling of large bulks of instrument definitions (improved parent symbol support)
• Standardized Betfair symbology to use hyphens instead of periods (prevents Betfair symbols being treated as composite)
• Integration guide docs fixes (#1991), thanks @FarukhS52

Internal Improvements

• Ported Throttler to Rust (#1988), thanks @pushkarm029 and @twitu
• Ported BettingInstrument to Rust
• Refined RateLimiter for WebSocketClient and add tests (#2000), thanks @pushkarm029
• Refined WebSocketClient to close existing tasks on reconnect (#1986), thanks @davidsblom
• Remove mutable references in CacheDatabaseAdapter trait in Rust (#2015), thanks @filipmacek
• Use Rust rate limiter for dYdX websockets (#1996, #1999), thanks @davidsblom
• Improved error logs for dYdX websocket subscriptions (#1993), thanks @davidsblom
• Standardized log and error message syntax in Rust
• Continue porting SimulatedExchange and OrderMatchingEngine to Rust (#1997, #1998, #2001, #2003, #2004, #2006, #2007, #2009, #2014), thanks @filipmacek

Breaking Changes

• Removed legacy TardisQuoteDataLoader (now redundant with new Rust implemented loader)
• Removed legacy TardisTradeDataLoader (now redundant with new Rust implemented loader)
• Custom signals are now passed to on_signal(signal) instead of on_data(data)
• Changed Position.to_dict() commissions value type to list[str] (rather than an optional str of a list of strings)
• Changed Position.to_dict() avg_px_open value type to float
• Changed Position.to_dict() avg_px_close value type to float | None
• Changed Position.to_dict() realized_return value type to float | None
• Changed BettingInstrument Arrow schema fields event_open_date and market_start_time from string to uint64

Fixes

• Fixed SocketClient TLS implementation
• Fixed WebSocketClient error handling on writer close, thanks for reporting @davidsblom
• Fixed resubscribing to orderbook in batched mode for dYdX (#1985), thanks @davidsblom
• Fixed Betfair tests related to symbology (#1988), thanks @limx0
• Fixed check for OmsType in OrderMatchingEngine position ID processing (#2003), thanks @filipmacek
• Fixed TardisCSVDataLoader snapshot5 and snapshot25 parsing (#2005), thanks @pushkarm029
• Fixed Binance clients venue assignment, we should use the client_id params (which match the custom client name) to communicate with the clients, and use the same 'BINANCE' venue identifiers
• Fixed OrderMatchingEngine incorrectly attempting to process monthly bars for execution (which will fail, as no reasonable timedelta is available), thanks for reporting @frostRed
• Fixed handling MONTH aggregation for cache.bar_types() (sorting required an internal call for the bar intervals timedelta), thanks for reporting @frostRed