NautilusTrader 1.211.0 Beta

Released on 9th February 2025 (UTC).

This release introduces high-precision mode, where value types such as Price, Quantity and Money are now backed by 128-bit integers (instead of 64-bit), thereby increasing maximum precision to 16, and vastly expanding the allowable value ranges.

This will address precision and value range issues experienced by some crypto users, alleviate higher timeframe bar volume limitations, as well as future proofing the platform.

See the RFC for more details. For an explanation on compiling with or without high-precision mode, see the precision-mode section of the installation guide.

For migrating data catalogs due to the breaking changes, see the data migrations guide.

This release will be the final version that uses Poetry for package and dependency management.

Enhancements

• Added high-precision mode for 128-bit integer backed value types (#2072), thanks @twitu
• Added instrument definitions range requests for TardisHttpClient with optional start and end filter parameters
• Added quote_currency, base_currency, instrument_type, contract_type, active, start and end filters for TardisInstrumentProvider
• Added log_commands config option for ActorConfig, StrategyConfig, ExecAlgorithmConfig for more efficient log filtering
• Added additional limit parameters for BettingInstrument constructor
• Added venue_position_id parameter for OrderStatusReport
• Added bars update support for Portfolio PnLs (#2239), thanks @faysou
• Added optional params for Strategy order management methods (symmetry with Actor data methods) (#2251), thanks @faysou
• Added heartbeats for Betfair clients to keep streams alive (more robust when initial subscription delays)
• Added timeout_shutdown config option for NautilusKernelConfig
• Added IOC time in force mapping for Betfair orders
• Added min_market_start_time and max_market_start_time time range filtering for BetfairInstrumentProviderConfig
• Added default_min_notional config option for BetfairInstrumentProviderConfig
• Added stream_conflate_ms config option for BetfairDataClientConfig
• Added recv_window_ms config option for BybitDataClientConfig and BybitExecClientConfig
• Added open_check_open_only config option for LiveExecEngineConfig
• Added BetSide enum (to support Bet and BetPosition)
• Added Bet and BetPosition for betting market risk and PnL calculations
• Added total_pnl and total_pnls methods for Portfolio
• Added optional price parameter for Portfolio unrealized PnL and net exposure methods

Breaking Changes

• Renamed OptionsContract instrument to OptionContract for more technically correct terminology (singular)
• Renamed OptionsSpread instrument to OptionSpread for more technically correct terminology (singular)
• Renamed options_contract modules to option_contract (see above)
• Renamed options_spread modules to option_spread (see above)
• Renamed InstrumentClass.FUTURE_SPREAD to InstrumentClass.FUTURES_SPREAD for more technically correct terminology
• Renamed event_logging config option to log_events
• Renamed BetfairExecClientConfig.request_account_state_period to request_account_state_secs
• Moved SQL schema directory to schemas/sql (reinstall the Nautilus CLI with make install-cli)
• Changed OrderBookDelta Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed OrderBookDepth10 Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed QuoteTick Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed TradeTick Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed Bar Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed BettingInstrument default min_notional to None
• Changed meaning of ws_connection_delay_secs for PolymarketDataClientConfig to be non-initial delay (#2271)
• Changed GATEIO Tardis venue to GATE_IO for consistency with CRYPTO_COM and BLOCKCHAIN_COM
• Removed max_ws_reconnection_tries for dYdX configs (no longer applicable with infinite retries and exponential backoff)
• Removed max_ws_reconnection_tries for Bybit configs (no longer applicable with infinite retries and exponential backoff)
• Removed remaining max_ws_reconnection_tries for Bybit configs (#2290), thanks @sunlei

Internal Improvements

• Added ThrottledEnqueuer for more efficient and robust live engines queue management and logging
• Added OrderBookDeltaTestBuilder in Rust to improve testing (#2234), thanks @filipmacek
• Added custom certificate loading for SocketClient TLS
• Added check_nonempty_string for string validation in Rust
• Improved Polymarket WebSocket subscription handling by configurable delay (#2271), thanks @ryantam626
• Improved WebSocketClient with state management, error handling, timeouts and robust reconnects with exponential backoff
• Improved SocketClient with state management, error handling, timeouts and robust reconnects with exponential backoff
• Improved TradingNode shutdown when running with asyncio.run() (more orderly handling of event loop)
• Improved NautilusKernel pending tasks cancellation on shutdown
• Improved TardisHttpClient requests and error handling
• Improved log file writer to strip ANSI escape codes and unprintable chars
• Improved clean make target behavior and added distclean make target (#2286), @demonkoryu
• Refined Currency name to accept non-ASCII characters (common for foreign currencies)
• Refactored CI with composite actions (#2242), thanks @sunlei
• Refactored Option Greeks feature (#2266), thanks @faysou
• Changed validation to allow zero commission for PerContractFeeModel (#2282), thanks @stefansimik
• Changed to use mold as the linker in CI (#2254), thanks @sunlei
• Ported market order processing for OrderMatchingEngine in Rust (#2202), thanks @filipmacek
• Ported limit order processing for OrderMatchingEngine in Rust (#2212), thanks @filipmacek
• Ported stop limit order processing for OrderMatchingEngine in Rust (#2225), thanks @filipmacek
• Ported CancelOrder processing for OrderMatchingEngine in Rust (#2231), thanks @filipmacek
• Ported CancelAllOrders processing for OrderMatchingEngine in Rust (#2253), thanks @filipmacek
• Ported BatchCancelOrders processing for OrderMatchingEngine in Rust (#2256), thanks @filipmacek
• Ported expire order processing for OrderMatchingEngine in Rust (#2259), thanks @filipmacek
• Ported modify order processing for OrderMatchingEngine in Rust (#2261), thanks @filipmacek
• Ported generate fresh account state for SimulatedExchange in Rust (#2272), thanks @filipmacek
• Ported adjust account for SimulatedExchange in Rust (#2273), thanks @filipmacek
• Continued porting RiskEngine to Rust (#2210), thanks @pushkarm029
• Continued porting ExecutionEngine to Rust (#2214), thanks @pushkarm029
• Continued porting OrderEmulator to Rust (#2219, #2226), thanks @pushkarm029
• Moved model crate stubs into defaults (#2235), thanks @fhill2
• Upgraded pyo3 crate to v0.23.4
• Upgraded pyo3-async-runtimes crate to v0.23.0

Fixes

• Fixed LiveTimer immediate fire when start time zero (#2270), thanks for reporting @bartolootrit
• Fixed order book action parsing for Tardis (ensures zero sizes in snapshots work with the tighter validation for action vs size)
• Fixed PnL calculations for betting instruments in Portfolio
• Fixed net exposure for betting instruments in Portfolio
• Fixed backtest start and end time validation assertion (#2203), thanks @davidsblom
• Fixed CustomData import in DataEngine (#2207), thanks @graceyangfan and @faysou
• Fixed databento helper function (#2208), thanks @faysou
• Fixed live reconciliation of generated order fills to use the venue_position_id (when provided), thanks for reporting @sdk451
• Fixed InstrumentProvider initialization behavior when reload flag True, thanks @ryantam626
• Fixed handling of Binance HTTP error messages (not always JSON-parsable, leading to msgspec.DecodeError)
• Fixed CARGO_TARGET_DIR environment variable for build script (#2228), thanks @sunlei
• Fixed typo in delta.rs doc comment (#2230), thanks @eltociear
• Fixed memory leak in network PyO3 layer caused by the gil-refs feature (#2229), thanks for reporting @davidsblom
• Fixed reconnect handling for Betfair (#2232, #2288, #2289), thanks @limx0
• Fixed instrument.id null dereferences in error logs (#2237), thanks for reporting @ryantam626
• Fixed schema for listing markets of dYdX (#2240), thanks @davidsblom
• Fixed realized pnl calculation in Portfolio where flat positions were not included in cumulative sum (#2243), thanks @faysou
• Fixed update order in Cache for Rust (#2248), thanks @filipmacek
• Fixed websocket schema for market updates of dYdX (#2258), thanks @davidsblom
• Fixed handling of empty book messages for Tardis (resulted in deltas cannot be empty panicking)
• Fixed Cache.bar_types aggregation_source filtering, was incorrectly using price_type (#2269), thanks @faysou
• Fixed missing combo instrument type for Tardis integration
• Fixed quote tick processing from bars in OrderMatchingEngine resulting in sizes below the minimum increment (#2275), thanks for reporting @miller-moore
• Fixed initialization of BinanceErrorCodes requiring int
• Fixed resolution of Tardis BINANCE_DELIVERY venue for COIN-margined contracts
• Fixed hang in rate limiter (#2285), thanks @WyldeCat
• Fixed typo in InstrumentProviderConfig docstring (#2284), thanks @ikeepo
• Fixed handling of tick_size_change message for Polymarket

Documentation Updates

• Added Databento overview tutorial (#2233, #2252), thanks @stefansimik
• Added docs for Actor (#2233), thanks @stefansimik
• Added docs for Portfolio limitations with bar data (#2233), thanks @stefansimik
• Added docs overview for example locations in repository (#2287), thanks @stefansimik
• Improved docstrings for Actor subscription and request methods
• Refined streaming parameter description (#2293), thanks @faysou and @stefansimik

Deprecations

• The talib subpackage for indicators is deprecated and will be removed in a future version, see RFC