NautilusTrader 1.222.0 Beta

Released on 1st January 2026 (UTC).

This release adds support for Python 3.14 with the following limitations:

• dYdX adapter extras ([dydx]) unavailable due to upstream coincurve compatibility (available on Python 3.12-3.13)
• Interactive Brokers adapter extras ([ib]) unavailable due to upstream nautilus-ibapi compatibility (available on Python 3.12-3.13)

Enhancements

• Added support for Python 3.14
• Added Kraken integration adapter
• Added Cap'n Proto (capnp) serialization for efficient zero-copy data interchange (opt-in via capnp feature flag in nautilus-serialization crate)
• Added initial backtest visualization tearsheets with plotly
• Added matching engine liquidity_consumption config option to track per-level consumption and prevent overfilling displayed book liquidity (default False to retain current behavior)
• Added matching engine trade consumption tracking (when liquidity_consumption=True and trade_execution=True) to prevent multiple orders matching the same trade tick from collectively overfilling
• Added theme support to bars_with_fills chart (#3329), thanks @faysou
• Added price protection support for market orders (#3065), thanks @Antifrajz
• Added Quantity.from_decimal constructor (#3189), thanks @faysou
• Added Price.from_decimal constructor
• Added Money.from_decimal constructor
• Added create_bars_with_fills to Tearsheet (#3137), thanks @faysou
• Added proxy_url support for HTTP clients
• Added CAGR portfolio statistic
• Added CalmarRatio portfolio statistic
• Added MaxDrawdown portfolio statistic
• Added quote_quantity parameter for close_position(...) and close_all_positions(...) strategy methods
• Added remaining bar aggregation methods: TICK_IMBALANCE, TICK_RUNS, VOLUME_IMBALANCE, VOLUME_RUNS, VALUE_IMBALANCE, VALUE_RUNS (#3217), thanks @nicolad
• Added ParquetDataCatalog.query_first_timestamp (#3253), thanks @MK27MK
• Added PolymarketDataLoader for loading historical data with docs and example
• Added Binance accurate commission rates per symbol (#3208), thanks @delusionpig
• Added Binance cross-margin info to AccountState
• Added BinanceInstrumentProviderConfig to support the query_commission_rates config option
• Added Bybit spot margin auto-borrow and auto-repay with auto_repay_spot_borrows config option
• Added Bybit spot margin manual operations (BybitMarginAction) for strategy-controlled borrow/repay via query_account
• Added Bybit HTTP request_tickers support (#3241), thanks @TaiShanQ
• Added Databento subscription acknowledgement handling (#3337), thanks @shzhng
• Added Databento historical client consolidated schema support (#3338), thanks @shzhng
• Added Interactive Brokers optional exchange param for spread contracts (#3319), thanks @faysou
• Added Polymarket Gamma API support for instrument loading (#3141), thanks @DeirhX
• Added OKX historical trades requests
• Added Tardis book_snapshot_output config option for tardis machine replays (default deltas to retain current behavior)
• Added allow_overfills config option to ExecEngineConfig (default False) to handle order fills exceeding order quantity with warning instead of raising
• Added overfill_qty field to orders for tracking fill quantities exceeding original order quantity
• Introduced PositionAdjusted events for tracking quantity/PnL changes outside normal order fills (base currency commissions, funding payments, manual adjustments)
• Upgraded continuous reconciliation for execution engine using position reports to detect missed fills

Breaking Changes

• Dropped support for Python 3.11

• Removed prob_fill_on_stop parameter from FillModel and FillModelConfig (stop orders have no queue position to simulate as triggers are deterministic when price reaches the trigger level)

• Removed use_ws_trade_api config option from Bybit execution client (using WebSocket trade API only)

• Renamed parse_instrument to parse_polymarket_instrument in Polymarket adapter for clarity

• Renamed ExecTesterConfig.enable_buys to enable_limit_buys

• Renamed ExecTesterConfig.enable_sells to enable_limit_sells

• Changed ParquetDataCatalog.register_data to now treat files=[] as registering no files; pass files=None (default) to include all files

• Standardized data catalog directory naming: Order book data directory names now use plural forms to align with the Rust catalog and Tardis Machine conventions; this ensures data written by the Python StreamingFeatherWriter can be read by the Rust catalog

  • order_book_delta/ → order_book_deltas/
  • order_book_depth10/ → order_book_depths/

  Migration: Rename existing data directories to use plural forms:

  # If you have existing order book data, rename the directories:
  mv <your_data_path>/order_book_delta <your_data_path>/order_book_deltas
  mv <your_data_path>/order_book_depth10 <your_data_path>/order_book_depths

Security

• Added osv-scanner for Python dependency vulnerability scanning in pre-commit
• Added cargo-vet for Rust supply chain security auditing
• Hardened unsafe code with runtime checks and #![deny(unsafe_op_in_unsafe_fn)] lint
• Hardened datetime conversions with overflow protection
• Hardened CI workflows by pinning Docker images to SHA digests
• Improved actor/component registry safety with ActorRef guards and runtime borrow tracking
• Fixed code scanning security alerts

Fixes

• Fixed uint64_t truncation bug in determine_trade_fill_qty for trade execution with high-precision mode
• Fixed stop market order fill price in L1_MBP mode
• Fixed cache dropped same-timestamp market data on insert
• Fixed race condition in InstrumentProvider causing duplicate instrument initialization in shared providers
• Fixed portfolio statistics various bugs and edge cases
• Fixed SyntheticInstrument formula error during parsing with hyphened InstrumentId (#3257), thanks @Javdu10
• Fixed balance recalculation to use raw fixed-point (#3356), thanks @kirill-gr1
• Fixed matching engine GTD order expiry key mismatch (#3272), thanks for reporting @linimin
• Fixed matching engine order modification for partial fills
• Fixed matching engine L2/L3 partial fill quantity calculation on subsequent book updates
• Fixed NETTING position flip snapshots and cache index cleanup (#3081), thanks @SarunasSS
• Fixed incorrect handling of data responses in msgbus (#3310), thanks @filipmacek
• Fixed data engine to use separate aggregators for historical data (#3326), thanks @faysou
• Fixed bar execution generating fractional fill quantities (#3352), thanks @Johnkhk
• Fixed BacktestResult.total_positions to match tearsheet count (#3148), thanks for reporting @2-5
• Fixed risk engine negative price handling for spread instruments (#3136), thanks for reporting @q351941406
• Fixed risk engine trailing stop order risk validations (#3160), thanks for reporting @GianC0
• Fixed risk engine balance checks for cash borrowing
• Fixed risk engine balance checks for position-reducing SELL orders (#3256), thanks for reporting @GianC0
• Fixed spawned order client_id caching in ExecAlgorithm (#3122), thanks for reporting @kirill-gr1
• Fixed parse_dates parameter in CSV loaders (#3132), thanks @maomao9-0
• Fixed GreeksCalculator handling of missing price data (#3116), thanks for reporting @q351941406
• Fixed StreamingFeatherWriter _setup_streaming with replace_existing config (#3234), thanks @cauta
• Fixed conversion of streamed instruments to catalog (#3235), thanks @faysou
• Fixed active liquidity calculation Pool profiler simulation (#3165), thanks @filipmacek
• Fixed duplicate on_instrument callback in request flow for Python adapters (#3323), thanks @filipmacek
• Fixed Redis index key parsing with use_instance_id
• Fixed Betfair datetime encoding error in order status reports
• Fixed Betfair login race condition during concurrent connections
• Fixed Betfair parsing errors for undocumented codes
• Fixed Betfair duplicate fills on startup/reconnect
• Fixed Binance instrument info dict JSON serialization (#3128), thanks for reporting @woung717
• Fixed Binance ADL orders with TRADE execution type
• Fixed Binance Futures Algo Order API for conditional orders (#3287), thanks for reporting @KaizynX
• Fixed Bybit historical bars requests partial (unclosed) bar filtering
• Fixed Bybit WebSocket bars to respect timestamp_on_close config
• Fixed BybitHttpClient type stub pyi signatures (#3238), thanks @sunlei
• Fixed Databento historical client to support consolidated schemas (cmbp-1, cbbo-1s, cbbo-1m) in quote requests
• Fixed Databento MBO data decoding when PRICE_UNDEF appears with non-zero precision
• Fixed Databento Arrow serialization for PRICE_UNDEF (#3183), thanks for reporting @marloncalvo
• Fixed Databento quote decoding with undefined bid/ask prices
• Fixed Interactive Brokers quote tick subscriptions to use tick-by-tick data (#3135), thanks for reporting @genliusrocks
• Fixed Interactive Brokers serialization of IBContractDetails (#3181), thanks @faysou
• Fixed Interactive Brokers parsing of invalid prices (#3246), thanks @faysou
• Fixed OKX pre-open instrument parsing and standardize enum usage (#3134), thanks for reporting @3wtz
• Fixed OKX request_bars pagination halting prematurely in Range mode (#3145), thanks for reporting @3wtz
• Fixed OKX request_bars pagination using correct backwards API semantics (#3145), thanks for reporting @3wtz
• Fixed OKX FOK/IOC order type preservation across parsers (#3182), thanks @CuBeof
• Fixed OKX fee rate sign convention for backtesting (#3260), thanks @GhostLee
• Fixed Polymarket maker fill order side inversion (#3126), thanks for reporting @santivazq
• Fixed Polymarket instrument provider market filtering (#3133), thanks @MisterMM23
• Fixed Polymarket websocket client cancellation on concurrent subscriptions (#3169), thanks @DeirhX
• Fixed Polymarket maker fills parsing for cross-asset matching and multiple concurrent fills (#3172), thanks @petioptrv
• Fixed Polymarket account balance update timing issue (#3161), thanks for reporting @santivazq
• Fixed Polymarket handling of overfilled FOK orders using allow_overfills execution engine config option (#3221), thanks for reporting @Javdu10
• Fixed Polymarket match_time timestamp parsing (#3273), thanks for reporting @santivazq
• Fixed Polymarket timestamp conversions (#3291, #3292), thanks for reporting @santivazq
• Fixed Polymarket fill reports for cross-asset matches (#3345), thanks for reporting @santivazq
• Fixed Polymarket order side for cross-asset matches (#3357), thanks for reporting @santivazq
• Fixed Tardis book snapshot to deltas CLEAR prepending
• Fixed Tardis CSV parsing for mid-day snapshots

Internal Improvements

• Added BitMEX submit broadcaster
• Added Bybit start/end time filtering for order status reports (#3209), thanks @sunlei
• Added BybitRawHttpClient Python bindings (#3252), thanks @sunlei
• Added Databento subscription acknowledgement handling and logging
• Added non-mutating swap quote simulation for Pool tickmap profiling (#3123), thanks @filipmacek
• Added ERC20 token balance tracking to BlockchainExecutionClient (#3224), thanks @filipmacek
• Added DeFi pool discovery service with full Uniswap(V2/V3/V4) support (#3255), thanks @filipmacek
• Added Deribit HTTP client with instrument support (#3288), thanks @filipmacek
• Added Deribit account balance and credential management (#3295), thanks @filipmacek
• Added Deribit WebSocket client with market data support (#3297), thanks @filipmacek
• Added Deribit WebSocket auth and raw data stream support (#3304), thanks @filipmacek
• Added Deribit data client in Rust (#3311), thanks @filipmacek
• Added Deribit data client Python bindings (#3315), thanks @filipmacek
• Added Deribit data client WebSocket handling and request methods (#3340), thanks @filipmacek
• Added Deribit execution client scaffolding (#3350), thanks @filipmacek
• Added dYdX v4 crate (#3138), thanks @nicolad
• Added dYdX v4 WebSocket in Rust (#3158), thanks @nicolad
• Added dYdX v4 DataClient in Rust (#3162), thanks @nicolad
• Added dYdX v4 ExecutionClient in Rust (#3163), thanks @nicolad
• Added dYdX v4 execution reconciliation in Rust (#3171), thanks @nicolad
• Added dYdX v4 gRPC order execution (#3222), thanks @nicolad
• Added dYdX v4 order execution via gRPC with Python bindings (#3245), thanks @nicolad
• Added dYdX v4 conditional orders (#3259), thanks @nicolad
• Added dYdX v4 Python adapter layer (#3275), thanks @nicolad
• Added dYdX v4 batch cancel and expose missing Python bindings (#3282), thanks @nicolad
• Added dYdX v4 HTTP data, execution, and WebSocket tests (#3290), thanks @nicolad
• Added Kraken Futures demo support (#3262), thanks @nicolad
• Added check before creation of bars in IB adapter (#3348), thanks @PJPRoche and @faysou
• Added check for empty data in _handle_table_nautilus (#3248), thanks @faysou
• Integrated trade analytics across DeFi pools swaps and simulated quotes (#3174), thanks @filipmacek
• Implemented size for impact bps PoolProfiler simulation (#3186), thanks @filipmacek
• Implemented dual-parser architecture for DEX event parsing (#3228), thanks @filipmacek
• Implemented Bybit chunking support for batch cancel orders (#3244), thanks @sunlei
• Scaffolded blockchain execution client with native balance fetch (#3214), thanks @filipmacek
• Ported Bybit integration adapter to Rust
• Unified tokio runtime selection in Rust adapters (#3321), thanks @filipmacek
• Converted LatencyModel to trait with StaticLatencyModel impl (#3369), thanks @marcus-sa
• Refactored network crate to modularize http, socket, and websocket
• Refactored reading of feather files in catalog (#3114), thanks @faysou
• Refactored processing of historical data (#3038), thanks @faysou
• Refactored execution engine reconciliation (#3185), thanks @faysou
• Refactored risk engine initialization with shallow clone for portfolio (#3360), thanks @marcus-sa
• Refactored SpreadQuoteAggregator (#3312), thanks @faysou
• Refactored Polymarket instrument provider to use async HttpClient
• Refactored Interactive Brokers HistoricInteractiveBrokersClient (#3261), thanks @faysou
• Refactored IB Historical client (#3276), thanks @faysou
• Improved trade execution matching with transient bid/ask override for trade_execution=True mode, ensuring limit orders fill correctly when trades occur at the limit price
• Improved Stochastics indicator with additional parameters (#3296), thanks @mahmutf
• Improved None handling in equality and comparison methods
• Improved Actor.request_bars to enforce standard bar types (#3216), thanks @faysou
• Improved JSON-RPC non-standard rate limit error handling (#3227), thanks @filipmacek
• Improved Betfair execution error handling and edge cases
• Improved Betfair order rejection and duplicate fills handling
• Improved Binance data client with optional authentication
• Improved Bybit spot borrow repayments (#3223), thanks @vcraciun
• Improved Databento live connection stability and reconnects
• Improved Databento decoder sentinel value handling (#3361), thanks for reporting @davidsblom
• Improved dYdX v3 resilience and reliability (#3225), thanks @SarunasSS
• Improved dYdX v4 adapter test coverage (#3212), thanks @nicolad
• Improved dYdX v4 network, bars, and batch cancel (#3231), thanks @nicolad
• Improved dYdX v4 gRPC execution with edge cases and batch cancel (#3239), thanks @nicolad
• Improved dYdX v4 data/exec testers and fix GTT (#3254), thanks @nicolad
• Improved dYdX v4 WebSocket subscription state management (#3286), thanks @nicolad
• Improved dYdX v4 enums for type safety and improve WS tests (#3294), thanks @nicolad
• Improved dYdX v4 model type safety with enums (#3299), thanks @nicolad
• Improved dYdX v4 parse block height WebSocket feed and gate short-term order submission (#3320), thanks @nicolad
• Improved Polymarket position querying using Gamma API (#3142), thanks @DeirhX
• Improved Tardis adapter robustness and error handling
• Standardized dYdX WebSocket architecture (#3173), thanks @nicolad
• Standardized dYdX client integration tests (#3193), thanks @nicolad
• Standardized dYdX per adapter guide conventions (#3267), thanks @nicolad
• Changed Interactive Brokers default quote tick subscription to batch quotes (#3196), thanks @faysou
• Changed spread quote aggregation to opt-in (#3355), thanks @faysou
• Removed redundant debug code for reconcile execution (#3344), thanks @TaiShanQ
• Refined timer name validation to accept non-ASCII characters (common for foreign currencies) (#3154), thanks for reporting @woung717
• Refined spread support (#3284), thanks @faysou
• Refined support for monthly and yearly bars (#3166), thanks @faysou
• Refined bar aggregators in Rust (#3170), thanks @faysou
• Refined adding files to catalog session (#3215), thanks @faysou
• Refined loading of files in catalog (#3313), thanks @faysou
• Refined catalog file filter methods (#3318), thanks @faysou
• Refined HistoricInteractiveBrokersClient (#3187), thanks @faysou
• Refined BacktestDataIterator docstrings (#3264), thanks @faysou
• Refined BacktestDataConfig.query (#3266), thanks @faysou
• Refined Databento utils (#3268), thanks @faysou
• Refined Interactive Brokers historical data request methods (#3279), thanks @faysou
• Refined requests and aggregators (#3328), thanks @faysou
• Refined parsing of IB expiries (#3332), thanks @faysou
• Refined subscription to spread quotes (#3349), thanks @faysou
• Refined data query and subscription (#3353), thanks @faysou
• Refined response to join_request (#3366), thanks @faysou
• Refined adding instrument to cache after modifying it (#3372), thanks @faysou
• Optimized unnecessary string allocations and Ustr usage
• Optimized build to prefer sccache when available (#3243), thanks @sunlei
• Optimized execution reconciliation to avoid quadratic complexity (#3140), thanks @DeirhX
• Optimized network clients by enabling TCP_NODELAY (#3156), thanks @sunlei
• Optimized build by disabling Cargo incremental compilation when using sccache (#3157), thanks @sunlei
• Optimized BitMEX submit and cancel broadcasters by removing unnecessary lock on internal transport clients
• Optimized full math division for DeFi calculations (#3179), thanks @filipmacek
• Optimized parquet data filtering and streaming initialization performance (#3298), thanks @ReCodeLife
• Repaired OKX spot margin position reports for borrowing, thanks @sunlei
• Repaired Bybit docs links in comment (#3125), thanks @sunlei
• Repaired Bybit HTTP order place (#3127), thanks @sunlei
• Repaired Bybit AccountPosition message parsing (#3147), thanks @sunlei
• Repaired Bybit conditional order trigger semantics and type
• Repaired Bybit instruments pagination handling (#3210), thanks @sunlei
• Repaired Bybit batch place orders (#3211), thanks @sunlei
• Repaired Bybit get_account_details (#3219), thanks @sunlei
• Repaired Bybit set_position_mode (#3220), thanks @sunlei
• Upgraded implied-vol crate (#3115), thanks @faysou
• Upgraded Rust (MSRV) to 1.92.0
• Upgraded Cython to v3.2.3
• Upgraded databento crate to v0.37.0
• Upgraded datafusion crate to v51.0.0
• Upgraded msgspec to 0.20.0
• Upgraded pyo3 crate to v0.27.2
• Upgraded pyo3-async-runtimes crate to v0.27.0
• Upgraded redis crate to v1.0.2

Documentation Updates

• Added Polymarket historical data loading docs
• Added visualization docs for bars_with_fills tearsheet feature
• Added order state flow diagram with lifecycle documentation
• Added fee rate sign convention in instruments concept guide
• Added fill price determination to backtesting concept guide
• Improved concept docs with Mermaid diagrams replacing ASCII diagrams
• Improved execution concept guide with overfills explanation
• Improved backtesting concept guide to clarify bar execution behavior
• Improved documentation for uv-installed Python environments, thanks to @faysou for investigating and reporting
• Improved notebook path handling and fix quickstart data loading, thanks for reporting @semihtekten

Deprecations

None