NautilusTrader 1.217.0 Beta

Released on 30th April 2025 (UTC).

Enhancements

• Added processing of OrderBookDepth10 for BacktestEngine and OrderMatchingEngine (#2542), thanks @limx0
• Added Actor.subscribe_order_book_depth(...) subscription method (#2555), thanks @limx0
• Added Actor.unsubscribe_order_book_depth(...) subscription method
• Added Actor.on_order_book_depth(...) handler method (#2555), thanks @limx0
• Added UnixNanos::max() convenience method for the maximum valid value
• Added available_offset filter parameter for TardisInstrumentProvider
• Added NAUTILUS_WORKER_THREADS environment variable for common tokio runtime builder
• Added Quantity::non_zero(...) method
• Added Quantity::non_zero_checked(...) method
• Added round_down param for Instrument.make_qty(...) that is False by default to maintain current behavior
• Added WebSocket batch order operations for Bybit (#2521), thanks @sunlei
• Added mark price subscription for Binance Futures (#2548), thanks @bartolootrit
• Added Chain struct to represent blockchain network (#2526), thanks @filipmacek
• Added Block primitive for blockchain domain model (#2535), thanks @filipmacek
• Added Transaction primitive for blockchain domain model (#2551), thanks @filipmacek
• Added initial blockchain adapter with live block subscription (#2557), thanks @filipmacek

Breaking Changes

• Removed fees from locked balance calculations for CASH accounts
• Removed fees from margin calculations for MARGIN accounts
• Renamed id constructor parameter to instrument_id across all PyO3 instruments, aligning with equivalent Cython instrument constructors

Internal Improvements

• Implemented exponential backoff and jitter for the RetryManager (#2518), thanks @davidsblom
• Simplified default locked balance and margin calculations to not include fees
• Improved handling of time range and effective date filters for TardisInstrumentProvider
• Improved reconnection robustness for Bybit private/trading channels (#2520), thanks @sunlei
• Improved logger buffers flushing post backtest
• Improved validations for Tardis trades data
• Improved correctness of client registration and deregistration for ExecutionEngine
• Improved build time by only compiling libraries (#2539), thanks @twitu
• Improved logging flush (#2568), thanks @faysou
• Improved clear_log_file to happen for each kernel initialization (#2569), thanks @faysou
• Refined Price and Quantity validations and correctness
• Filter fill events if order is already filled for dYdX (#2547), thanks @davidsblom
• Fixed some clippy lints (#2517), thanks @twitu
• Upgraded databento crate to v0.24.0
• Upgraded datafusion crate to v47.0.0
• Upgraded redis crate to v0.30.0
• Upgraded sqlx crate to v0.8.5
• Upgraded pyo3 crate to v0.24.2

Fixes

• Fixed consistent ordering of execution events (#2513, #2554), thanks for reporting @stastnypremysl
• Fixed type error when generating an elapsed time for backtests with no elapsed time
• Fixed memory leak in RetryManager by simplifying the acquire-release pattern, avoiding the asynchronous context manager protocol that led to state sharing, thanks for reporting @DeevsDeevs
• Fixed locked balance and initial margin calculations for reduce-only orders (#2505), thanks for reporting @stastnypremysl
• Fixed purging order events from position (these needed to be purged prior to removing cache index entry), thanks @DeevsDeevs
• Fixed TypeError when formatting backtest post run timestamps which were None (#2514), thanks for reporting @stastnypremysl
• Fixed handling of BetfairSequenceCompleted as custom data
• Fixed the instrument class of IndexInstrument, changing to SPOT to correctly represent a spot index of underlying constituents
• Fixed data range request end handling for DataEngine
• Fixed unsubscribe instrument close for DataEngine
• Fixed network clients authentication for OKX (#2553), thanks for reporting @S3toGreen
• Fixed account balance calculation for dYdX (#2563), thanks @davidsblom
• Fixed ts_init for databento historical data (#2566), thanks @faysou
• Fixed RequestInstrument in query_catalog (#2567), thanks @faysou
• Reverted removal of rotate log file on UTC date change (#2552), thanks @twitu

Documentation Updates

• Improved environment setup guide with recommended rust analyzer settings (#2538), thanks @twitu
• Fixed alignment with code for some ExecutionEngine docstrings

Deprecations

None