NautilusTrader 1.221.0 Beta

Released on 26th October 2025 (UTC).

This will be the final release with support for Python 3.11.

Enhancements

• Added support for OrderBookDepth10 requests (#2955), thanks @faysou
• Added support for quotes from book depths (#2977), thanks @faysou
• Added support for quotes from order book deltas updates (#3106), thanks @faysou
• Added execution engine rate limiting for single-order reconciliation queries
• Added subscribe_order_fills(...) and unsubscribe_order_fills(...) for Actor allowing to subscribe to all fills for an instrument ID
• Added on_order_filled(...) for Actor
• Added Renko bar aggregator (#2941), thanks @faysou
• Added time_range_generator for on-the-fly data data subscriptions (#2952), thanks @faysou
• Added __repr__ to NewsEvent (#2958), thanks @MK27MK
• Added convert_quote_qty_to_base config option to ExecEngineConfig (default True to retain current behavior) allows adapters to keep quote-denominated sizes when needed
• Added contingent order fields parent_order_id and linked_order_ids for OrderStatusReport and reconciliation
• Added fs_rust_storage_options to Python catalog (#3008), thanks @faysou and @Johnkhk
• Added matching engine fallback to default order book for custom fill models (#3039), thanks @Hamish-Leahy
• Added filesystem parameter to parquet in the consolidate functions (#3097), thanks @huracosunah
• Added azure support for az protocol (#3102), thanks @huracosunah
• Added Binance BBO price_match parameter support for order submission
• Added BitMEX conditional orders support
• Added BitMEX batch cancel support
• Added BitMEX contingent orders support (OCO, OTO, brackets)
• Added BitMEX historical data requests (trades and bars)
• Added BitMEX configurable recv_window_ms for signed HTTP request expiration
• Added Bybit SPOT position reports with opt-in use_spot_position_reports config option for BybitExecClientConfig
• Added Bybit ignore_uncached_instrument_executions config option for BybitExecClientConfig (default False to retain current behavior)
• Added Databento CME sandbox example
• Added Interactive Brokers cache config support for historical provider (#2942), thanks @ms32035
• Added Interactive Brokers support for fetching orders from all clients (#2948), thanks @dinana
• Added Interactive Brokers order conditions (#2988), thanks @faysou
• Added Interactive Brokers generate_fill_reports implementation (#2989), thanks @faysou
• Added OKX conditional trigger orders support
• Added OKX trade mode per order via params using td_mode key
• Added OKX margin configuration and spot margin support
• Added OKX demo account support
• Added OKX batch cancel support
• Added Polymarket native market orders support

Breaking Changes

• Removed nautilus_trader.analysis.statistics subpackage - all statistics are now implemented in Rust and must be imported from nautilus_trader.analysis (e.g., from nautilus_trader.analysis import WinRate)
• Removed partial bar functionality from bar aggregators and subscription APIs (#3020), thanks @faysou
• Renamed nautilus-cli crate feature flag from hypersync to defi (gates blockchain/DeFi commands)
• Polymarket execution client no longer accepts market BUY orders unless quote_quantity=True

Security

• Fixed non-executable stack for Cython extensions to support hardened Linux systems
• Fixed divide-by-zero and overflow bugs in model crate that could cause crashes
• Fixed core arithmetic operations to reject NaN/Infinity values and improve overflow handling

Fixes

• Fixed reduce-only order panic when quantity exceeds position
• Fixed position purge logic to prevent purging re-opened position
• Fixed Position.purge_events_for_order to properly rebuild state from remaining order fills
• Fixed cache index cleanup bugs in purge_order operations
• Fixed order average price calculation that was double-counting current fill in weighted average
• Fixed own order book cleanup for terminal orders and inflight handling
• Fixed order book depth snapshot processing to avoid padding levels and metadata tracking for L1 top-of-book ticks
• Fixed crypto instruments PyO3 -> Cython conversion for lot_size where it was not being passed through
• Fixed serialization crate bugs and improve error handling
• Fixed PyO3 interpreter lifecycle for async shutdown preventing edge case "interpreter not initialized" panics during shutdown
• Fixed RiskEngine reduce-only cash exits (#2986), thanks for reporting @dennisnissle
• Fixed RiskEngine quote quantity validation
• Fixed BacktestEngine to retain instruments on reset (#3096), thanks for reporting @woung717
• Fixed overflow in NautilusKernel build time calculation due to negative duration (#2998), thanks for reporting @HaakonFlaaronning
• Fixed handling of asyncio.CancelledError in execution reconciliation (#3073), thanks @dinana
• Fixed edge case where rejected orders can remain in own order book
• Fixed Currency registration to synchronize between Cython and PyO3 runtimes via new register_currency() helper
• Fixed Databento CMBP-1/CBBO/TBBO symbology resolution
• Fixed on_load called before strategy added bug (#2953), thanks @lisiyuan656
• Fixed filesystem usage in catalog for isfile and isdir (#2954), thanks @limx0
• Fixed SandboxExecutionClient instrument data handling
• Fixed AccountState Arrow serialization (#3005), thanks for reporting @nikzasel
• Fixed CryptoOption Arrow schema option_kind field to accept string values
• Fixed FuturesSpread Arrow schema missing max/min quantity and price fields
• Fixed OptionSpread Arrow schema missing max/min quantity and price fields
• Fixed Commodity Arrow schema to match from_dict requirements
• Fixed safe encoded symbols (#2964), thanks @ms32035
• Fixed msgspec encoding for type objects with qualified names
• Fixed nautilus CLI macOS compatibility with regex unicode-perl feature (#2969), thanks @learnerLj
• Fixed fuzzy candlesticks indicator bugs (#3021), thanks @benhaben
• Fixed return type annotation for ArrowSerializer.deserialize (#3076), thanks @MK27MK
• Fixed initializing of sqrt price setting flow when Pool profiling (#3100), thanks @filipmacek
• Fixed Redis multi-stream consumer skipping messages (#3094), thanks for reporting @kirill-gr1
• Fixed Binance duplicate OrderSubmitted event generation for order lists (#2994), thanks @sunlei
• Fixed Binance websocket fill message parsing for Binance US with extra fields (#3006), thanks for reporting @bmlquant
• Fixed Binance order status parsing for external orders (#3006), thanks for reporting @bmlquant
• Fixed Binance execution handling for self-trade prevention and liquidations (#3006), thanks for reporting @bmlquant
• Fixed Binance trailing stop to use server-side activation price (#3056), thanks for reporting @hope2see
• Fixed Binance Futures reconciliation duplicated position bug (#3067), thanks @lisiyuan656
• Fixed Binance price_match order price synchronization (#3074)
• Fixed Binance Futures position risk query to use v3 API returning only symbols with positions or open orders (#3062), thanks for reporting @woung717
• Fixed Binance Futures liquidation and ADL fill handling
• Fixed BitMEX testnet support
• Fixed BitMEX instrument parsing of lot size
• Fixed BitMEX order rejection handling and response parsing
• Fixed Blockchain adapter out of gas RPC error in Multicall for problematic contracts (#3086), thanks @filipmacek
• Fixed Bybit currency parsing from venue resulting in incorrectly low precision (e.g., USDT precision 4 rather than 8)
• Fixed Bybit handling of OrderModifyRejected events from pending updates
• Fixed Bybit account endpoint pagination handling
• Fixed Coinbase Intx API credentials handling to allow passing explicitly
• Fixed Databento MBO Clear actions and improve docs
• Fixed Hyperliquid L1 signing with direct MessagePack serialization (#3087), thanks @nicolad
• Fixed Interactive Brokers tick level historical data downloading (#2956), thanks @DracheShiki
• Fixed Interactive Brokers instrument provider TypeError when load_ids/contracts are None, thanks for reporting @FGU1
• Fixed Interactive Brokers modify bracket order (#2979), thanks @faysou
• Fixed Interactive Brokers historical bars resubscription failure after connection loss (#3002), thanks @Johnkhk
• Fixed Interactive Brokers flat position reconciliation and instrument loading (#3023), thanks @idobz
• Fixed Interactive Brokers bars response handling by removing partial bar (#3040), thanks @sunlei
• Fixed Interactive Brokers account summary handling (#3052), thanks @shinhwasbiz02
• Fixed Interactive Brokers account balance calculation (#3064), thanks @sunlei
• Fixed OKX spot margin quote quantity order handling
• Fixed OKX API credentials handling to allow passing explicitly
• Fixed OKX fee calculations to account for negative fees
• Fixed OKX parsing for tick_sz across instrument types
• Fixed OKX parsing for instruments multiplier field
• Fixed OKX WebSocket heartbeat and standardize logging
• Fixed Polymarket handling of one-sided quotes (#2950), thanks for reporting @thefabus
• Fixed Polymarket websocket message handling (#2963, #2968), thanks @thefabus
• Fixed Polymarket tick size change handling for quotes (#2980), thanks for reporting @santivazq
• Fixed Polymarket market order submission to use native CLOB market orders (#2984), thanks for reporting @njkds
• Fixed Polymarket maker fill order side inversion (#3077), thanks for reporting @DarioHett
• Fixed Polymarket neg_risk order parameter handling
• Fixed Tardis instruments lot_size mapping
• Fixed Tardis adapter error handling and connection robustness
• Fixed Tardis replay to use catalog-compatible filenames

Internal Improvements

• Added ARM64 support to Docker builds
• Added BitMEX adapter integration tests
• Added OKX adapter integration tests
• Added turmoil network simulation testing to network crate
• Added liquidity utilization rate to AMM pool profiler (#3107), thanks @filipmacek
• Added filter_sec_types config to skip unsupported IB instrument types (#3108), thanks @sunlei
• Ported PortfolioAnalyzer and all portfolio statistics to Rust
• Introduced AMM Pool profiler with tickmaps and Uniswapv3 support (#3000, #3010, #3019, #3036), thanks @filipmacek
• Introduced snapshot, analytics, and PSQL schema for PoolProfiler (#3048), thanks @filipmacek
• Implemented consistency checking for AMM pool profiler with RPC state (#3030), thanks @filipmacek
• Implemented PoolFlash event in blockchain adapter (#3055, #3058), thanks @filipmacek
• Implemented Blockchain adapter pool profiler snapshot integration (#3090), thanks @filipmacek
• Implemented BitMEX robust ping/pong handling
• Implemented Hyperliquid adapter HTTP client (#2939), thanks @nicolad
• Implemented Hyperliquid adapter scaffolding and examples (#2957), thanks @nicolad
• Implemented Hyperliquid weighted rate limiter for REST API (#2960), thanks @nicolad
• Implemented Hyperliquid L2 order book with tick-based pricing (#2967), thanks @nicolad
• Implemented Hyperliquid data client and fix dependencies (#2975), thanks @nicolad
• Implemented Hyperliquid REST API models for execution (#2983), thanks @nicolad
• Implemented Hyperliquid InstrumentProvider / definitions parsing (#2992), thanks @nicolad
• Implemented Hyperliquid DataClient in Python (#2996), thanks @nicolad
• Implemented Hyperliquid DataClient in Rust (#2999), thanks @nicolad
• Implemented Hyperliquid ExecutionClient in Python (#3003), thanks @nicolad
• Implemented Hyperliquid ExecutionClient in Rust (#3013), thanks @nicolad
• Implemented Hyperliquid websocket tester for streaming market data (#3018), thanks @nicolad
• Implemented Hyperliquid basic market and limit orders (#3022), thanks @nicolad
• Implemented Hyperliquid conditional / advanced orders (#3035), thanks @nicolad
• Implemented Hyperliquid execution reconciliation (#3041), thanks @nicolad
• Implemented Hyperliquid execution client order submission (#3050), thanks @nicolad
• Implemented Hyperliquid LiveExecutionClientExt trait (#3075), thanks @nicolad
• Implemented Hyperliquid typed enums and optimize WebSocket lookups (#3089), thanks @nicolad
• Refactored Hyperliquid adapter to push complexity to Rust layer (#3063), thanks @nicolad
• Refactored streaming writer to support per-bar-type persistence (#3078), thanks @faysou
• Changed Symbol, Currency, and InstrumentId string validation from ASCII to UTF-8, fixing Binance compatibility with Chinese symbols
• Changed PositionId validation check from ASCII to UTF-8, fixing Binance compatibility with Chinese symbols (#3105), thanks @Osub
• Improved clock and timer thread safety and validations
• Improved live timer lifecycle management by canceling existing timers with the same name
• Improved ActorExecutor lifecycle and concurrency handling
• Improved order book error handling, state integrity, and pprint/display
• Improved order book handling of NoOrderSide deltas
• Improved websocket reconnection sequence protections in stream mode
• Improved socket reconnect sequence and tighten client setup and testing
• Improved socket client URL parsing
• Improved compatibility of Makefile for Windows git-bash (#3066), thanks @faysou
• Improved Blockchain adapter shutdown with cancellation token
• Improved Blockchain adapter node_test script (#3092), thanks @filipmacek
• Improved and optimize AMM pool profiling (#3098), thanks @filipmacek
• Improved Hyperliquid adapter patterns (#2972), thanks @nicolad
• Improved BitMEX spot instruments quantity handling by scaling to correct fractional units
• Improved BitMEX REST rate limits configuration
• Improved BitMEX instrument cache error logging
• Improved Binance, Bybit, OKX, BitMEX, and Coinbase International HTTP rate limiting to enforce documented per-endpoint quotas
• Improved Binance fill handling when instrument not cached with clearer error log
• Improved OKX trade mode detection and fee currency parsing
• Improved OKX client connection reliability
• Improved OKX liquidation and ADL fill handling and logging
• Improved Tardis instrument requests to filter options by default
• Standardized Binance order validations with proper order denied events to avoid "hanging" orders
• Refined Renko bar aggregator and add tests (#2961), thanks @faysou
• Refined setting of flags in Makefile (#3060), thanks @faysou
• Refined Bybit balance parsing to use Money.from_str to ensure no rounding errors
• Refined Interactive Brokers execution flows (#2993), thanks @faysou
• Refined Interactive Brokers filtering of bars in IB adapter after disconnection (#3011), thanks @faysou and @Johnkhk
• Refined Interactive Brokers account summary log to debug level (#3084), thanks @sunlei
• Refined catalog reset_data_file_names method (#3071), thanks @adrianbeer and @faysou
• Optimized ExecutionEngine hot path with topic caching and reduced cache lookups
• Optimized rate limiter quota keys with string interning to avoid repeated allocations
• Upgraded Rust (MSRV) to 1.90.0
• Upgraded Cython to v3.1.6
• Upgraded databento crate to v0.35.0
• Upgraded datafusion crate to v50.3.0
• Upgraded pyo3 and pyo3-async-runtimes crates to v0.26.0
• Upgraded redis crate to v0.32.7
• Upgraded tokio crate to v1.48.0
• Upgraded uvloop to v0.22.1 (upgrades libuv to v1.49.0)

Documentation Updates

• Added quick-reference rate limit tables with links to official docs for Binance, Bybit, OKX, BitMEX, and Coinbase International
• Updated cache concept guide with purging ops
• Improved dark and light themes for readability
• Improved clarity of implemented bar aggregations
• Standardized consistent styling per docs style guide
• Fixed some broken links

Deprecations

• Deprecated convert_quote_qty_to_base; disable (False) to maintain consistent behaviour going forwards. Automatic conversion will be removed in a future version.