NautilusTrader 1.210.0 Beta

Released on 10th January 2025 (UTC).

Enhancements

• Added PerContractFeeModel, thanks @stefansimik
• Added DYDXInternalError and DYDXOraclaPrice data types for dYdX (#2155), thanks @davidsblom
• Added proper OrderBookDeltas flags parsing for Betfair
• Added Binance TradeLite message support (#2156), thanks @DeevsDeevs
• Added DataEngineConfig.time_bars_skip_first_non_full_bar config option (#2160), thanks @faysou
• Added execution.fast support for Bybit (#2165), thanks @sunlei
• Added catalog helper functions to export data (#2135), thanks @twitu
• Added additional timestamp properties for NautilusKernel
• Added event_logging config option for StrategyConfig (#2183), thanks @sunlei
• Added bar_adaptive_high_low_ordering to BacktestVenueConfig (#2188), thanks @faysou and @stefansimik

Breaking Changes

• Removed optional value param from UUID4 (use UUID4.from_str(...) instead), aligns with Nautilus PyO3 API
• Changed unix_nanos_to_iso8601 to output an ISO 8601 (RFC 3339) format string with nanosecond precision
• Changed format_iso8601 to output ISO 8601 (RFC 3339) format string with nanosecond precision
• Changed format_iso8601 dt parameter to enforce pd.Timestamp (which has nanosecond precision)
• Changed TradingNode.is_built from a property to a method .is_built()
• Changed TradingNode.is_running from a property to a method .is_running()
• Changed OrderInitialized Arrow schema (linked_order_ids and tags data types changed from string to binary)
• Changed order dictionary representation field types for avg_px and slippage from str to float (as out of alignment with position events)
• Changed aggregation_source filter parameter for Cache.bar_types(...) to optional with default of None

Internal Improvements

• Improved market order handling when no size available in book (now explicitly rejects)
• Improved validation for TradeTick by ensuring size is always positive
• Improved validation for OrderBookDelta by ensuring order.size is positive when action is either ADD or UPDATE
• Improved validation for BarSpecification by ensuring step is always positive
• Standardized ISO 8601 timestamps to RFC 3339 spec with nanosecond precision
• Standardized flags for OrderBookDeltas parsing across adapters
• Refined parsing candles for dYdX (#2148), thanks @davidsblom
• Refined imports for type hints in Bybit (#2149), thanks @sunlei
• Refined private WebSocket message processing for Bybit (#2170), thanks @sunlei
• Refined WebSocket client re-subscribe log for Bybit (#2179), thanks @sunlei
• Refined margin balance report for dYdX (#2154), thanks @davidsblom
• Enhanced lotSizeFilter field for Bybit (#2166), thanks @sunlei
• Renamed WebSocket private client for Bybit (#2180), thanks @sunlei
• Added unit tests for custom dYdX types (#2163), thanks @davidsblom
• Allow bar aggregators to persist after request_aggregated_bars (#2144), thanks @faysou
• Handle directory and live streams to catalog (#2153), thanks @limx0
• Use timeout when initializing account for dYdX (#2169), thanks @davidsblom
• Use retry manager when sending websocket messages for dYdX (#2196), thanks @davidsblom
• Refined error logs when sending pong for dYdX (#2184), thanks @davidsblom
• Optimized message bus topic is_matching (#2151), thanks @ryantam626
• Added tests for bar_adaptive_high_low_ordering (#2197), thanks @faysou
• Ported OrderManager to Rust (#2161), thanks @pushkarm029
• Ported trailing stop logic to Rust (#2174), thanks @DeevsDeevs
• Ported FeeModel to Rust (#2191), thanks @filipmacek
• Implemented IDs generator for OrderMatchingEngine in Rust (#2193), thanks @filipmacek
• Upgraded Cython to v3.1.0a1
• Upgraded tokio crate to v1.43.0
• Upgraded datafusion crate to v44.0.0

Fixes

• Fixed type check for DataClient on requests to support clients other than MarketDataClient
• Fixed processing trade ticks from bars in OrderMatchingEngine - that could result in zero-size trades, thanks for reporting @stefansimik
• Fixed instrument is None check flows for DataEngine and PolymarketExecutionClient
• Fixed instrument updates in BetfairDataClient (#2152), thanks @limx0
• Fixed processing of time events on backtest completion when they occur after the final data timestamp
• Fixed missing enum member CANCELED_MARKET_RESOLVED for PolymarketOrderStatus
• Fixed missing init_id field from some order .to_dict() representations
• Fixed writing DYDXOraclePrice to catalog (#2158), thanks @davidsblom
• Fixed account balance for dYdX (#2167), thanks @davidsblom
• Fixed markets schema for dYdX (#2190), thanks @davidsblom
• Fixed missing OrderEmulated and OrderReleased Arrow schemas
• Fixed websocket public channel reconnect for Bybit (#2176), thanks @sunlei
• Fixed execution report parsing for Binance Spot (client order ID empty string now becomes a UUID4 string)
• Fixed docs typo for fill_order function in OrderMatchingEngine (#2189), thanks @filipmacek

Documentation Updates

• Added docs for Cache, slippage and spread handling in backtesting (#2162), thanks @stefansimik
• Added docs for FillModel and bar based execution (#2187), thanks @stefansimik
• Added docs for choosing data (cost vs. accuracy) and bars OHLC processing (#2195), thanks @stefansimik
• Added docs for bar processing in backtests (#2198), thanks @stefansimik
• Added docs for timestamp and UUID specs