NautilusTrader 1.206.0 Beta

Released on 17th November 2024 (UTC).

Enhancements

• Added TardisDataClient providing live data streams from a Tardis Machine WebSocket server
• Added TardisInstrumentProvider providing instrument definitions from Tardis through the HTTP instrument metadata API
• Added Portfolio.realized_pnl(...) method for per instrument realized PnL (based on positions)
• Added Portfolio.realized_pnls(...) method for per venue realized PnL (based on positions)
• Added configuration warning for InstrumentProvider (to warn when node starts with no instrument loading)
• Implemented Tardis optional symbol normalization
• Implemented WebSocketClient reconnection retries (#2044), thanks @davidsblom
• Implemented OrderCancelRejected event generation for Binance and Bybit
• Implemented OrderModifyRejected event generation for Binance and Bybit
• Improved OrderRejected handling of reason string (None is now allowed which will become the string 'None')
• Improved OrderCancelRejected handling of reason string (None is now allowed which will become the string 'None')
• Improved OrderModifyRejected handling of reason string (None is now allowed which will become the string 'None')

Internal Improvements

• Ported RiskEngine to Rust (#2035), thanks @pushkarm029 and @twitu
• Ported ExecutionEngine to Rust (#2048), thanks @twitu
• Added globally shared data channels to send events from engines to Runner in Rust (#2042), thanks @twitu
• Added LRU caching for dYdX HTTP client (#2049), thanks @davidsblom
• Improved identifier constructors to take AsRef<str> for a cleaner more flexible API
• Refined identifiers From trait impls
• Refined InstrumentProvider initialization behavior and logging
• Refined LiveTimer cancel and performance testing
• Simplified LiveTimer cancellation model (#2046), thanks @twitu
• Refined Bybit HMAC authentication signatures (now using Rust implemented function)
• Refined Tardis instrument ID parsing
• Removed Bybit msgspec redundant import alias (#2050), thanks @sunlei
• Upgraded databento crate to v0.16.0

Breaking Changes

None

Fixes

• Fixed loading specific instrument IDs for InstrumentProviderConfig
• Fixed PyO3 instrument conversions for raw_symbol (was incorrectly using the normalized symbol)
• Fixed reconcile open orders and account websocket message for dYdX (#2039), thanks @davidsblom
• Fixed market order avg_px for Polymarket trade reports
• Fixed Betfair clients keepalive (#2040), thanks @limx0
• Fixed Betfair reconciliation (#2041), thanks @limx0
• Fixed Betfair customer order ref limit to 32 chars
• Fixed Bybit handling of PARTIALLY_FILLED_CANCELED status orders
• Fixed Polymarket size precision for BinaryOption instruments (precision 6 to match USDC.e)
• Fixed adapter instrument reloading (providers were not reloading instruments at the configured interval due to internal state flags)
• Fixed static time logging for BacktestEngine when running with use_pyo3 logging config
• Fixed in-flight orders check and improve error handling (#2053), thanks @davidsblom
• Fixed dYdX handling for liquidated fills (#2052), thanks @davidsblom
• Fixed BybitResponse.time field as optional int (#2051), thanks @sunlei
• Fixed single instrument requests for DatabentoDataClient (was incorrectly calling _handle_instruments instead of _handle_instrument), thanks for reporting @Emsu
• Fixed fsspec recursive globbing behavior to ensure only file paths are included, and bumped dependency to version 2024.10.0
• Fixed jupyterlab url typo (#2057), thanks @Alsheh