NautilusTrader 1.208.0 Beta

Released on 15th December 2024 (UTC).

Enhancements

• Added specific params for data subscriptions and requests which supports Databento bbo-1s and bbo-1m quotes (#2083, #2094), thanks @faysou
• Added support for STOP_LIMIT entry order type for OrderFactory.bracket(...)
• Added .group_bids(...) and .group_asks(...) for OrderBook
• Added .bids_to_dict() and .asks_to_dict() for OrderBook
• Added ShutdownSystem command and shutdown_system(...) method for components (system-wide shutdown for backtest, sandbox, or live environments)
• Added max_ws_reconnection_tries to BybitDataClientConfig (#2100), thanks @sunlei
• Added additional API functionality for Bybit (#2102), thanks @sunlei
• Added position and execution.fast subscriptions for Bybit (#2104), thanks @sunlei
• Added max_ws_reconnection_tries to BybitExecClientConfig (#2109), thanks @sunlei
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for FuturesContract
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for FuturesSpread
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for OptionsContract
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for OptionsSpread
• Improved Databento symbology support for Interactive Brokers (#2113), thanks @rsmb7z
• Improved support of STOP_MARKET and STOP_LIMIT orders for dYdX (#2069), thanks @Saransh-Bhandari
• Improved timer validation for interval_ns (avoids panicking from Rust)

Internal Improvements

• Added .bids_as_map() and .asks_as_map() for OrderBook in Rust
• Added type stubs for core subpackage
• Added type stubs for common and model enums
• Added type stubs for common.messages
• Added re-exports and module declarations to enhance code ergonomics and improve import discoverability
• Added subscriptions for block height websocket messages for dYdX (#2085), thanks @davidsblom
• Added sccache in CI (#2093), thanks @sunlei
• Refined BybitWebSocketClient private channel authentication (#2101), thanks @sunlei
• Refined BybitWebSocketClient subscribe and unsubscribe (#2105), thanks @sunlei
• Refined place order class definitions for Bybit (#2106), thanks @sunlei
• Refined BybitEnumParser (#2107), thanks @sunlei
• Refined batch cancel orders for Bybit (#2111), thanks @sunlei
• Upgraded tokio crate to v1.42.0

Breaking Changes

• Renamed Level to BookLevel (standardizes order book type naming conventions)
• Renamed Ladder to BookLadder (standardizes order book type naming conventions)
• Changed FuturesContract Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)
• Changed FuturesSpread Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)
• Changed OptionsContract Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)
• Changed OptionsSpread Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)

Fixes

• Fixed data requests when specifying end with no catalog registered (comparison between pd.Timestamp and NoneType)
• Fixed BEST_EFFORT_CANCELED order status report for dYdX (#2082), thanks @davidsblom
• Fixed order handling for BEST_EFFORT_CANCELED messages of dYdX (#2095), thanks @davidsblom
• Fixed specifying price for market orders on dYdX (#2088), thanks @davidsblom
• Fixed interest rate curve custom data and interpolation (#2090), thanks @gcheshkov
• Fixed BybitHttpClient error handling when not a JSON string (#2096), thanks @sunlei
• Fixed BybitWebSocketClient private channel reconnect (#2097), thanks @sunlei
• Fixed incorrect order side use in BybitExecutionClient (#2098), thanks @sunlei
• Fixed default http_base_url for Bybit (#2110), thanks @sunlei