NautilusTrader 2.0.0rc6

Released on 4th October 2026 (UTC).

Enhancements

• Added WebSocketConfig.max_message_size_bytes and max_frame_size_bytes configurable inbound size limits
• Added configurable writer_capacity limits for socket and WebSocket clients, defaulting to 1,024 messages
• Added NAUTILUS_HTTP2_ADAPTIVE_WINDOW env var to restore adaptive HTTP/2 flow-control windows
• Added same-venue execution client registration with explicit venue or default routing
• Added Rust Cache::account_id_for_client to resolve execution client accounts independent of issuers
• Added Rust Cache::client_id_for_venue to resolve the execution client that venue or default routing selects
• Added Python Cache.top_of_book() without cloning the resident book (#5011), thanks @youayouly
• Added RateOfChangeMode for configurable ROC output units (#5144), thanks @faysou
• Added MACD signal and histogram outputs (#5144), thanks @faysou
• Added Bollinger Bands stddev output (#5144), thanks @faysou
• Added independent VIDYA cmo_period configuration (#5144), thanks @faysou
• Added Ichimoku per-line readiness flags (#5144), thanks @faysou
• Added fallible Rust moving-average constructors and Python parameter validation (#5144), thanks @faysou
• Added period-1 support to EfficiencyRatio (#5144), thanks @faysou
• Added aggregate instrument fan-out across class directories to list_parquet_files
• Added custom data support to StreamingFeatherWriter (#4759), thanks for reporting @mystic-io
• Added recovery of unsealed Feather stream files left by a crashed writer (#5115), thanks @faysou
• Added streaming promotion into a separate, optionally remote, StreamingConfig.catalog (#5115), thanks @faysou
• Added timezone to RotationConfig.scheduled_dates, defaulting to UTC (#5115), thanks @faysou
• Added shared-table record/ and instrument/ catalog paths for external catalog backends (#5115), thanks @faysou
• Added Parquet catalog migration through nautilus catalog migrate-parquet (#4959), thanks @faysou
• Added type_name inference to migrate-parquet for legacy custom catalogs
• Added typed batch_size, compression, and max_row_group_size to DataCatalogConfig (#5166), thanks @faysou
• Added submission_recovery_policy config for exhausted submission recovery (#5028), thanks @silarin
• Added a live submission registry and exhaustion diagnostics for unresolved submissions (#5036), thanks @silarin
• Added a startup reconciliation warning for fills dropped without an order report or cached order
• Added events.order_fill_declined.{instrument_id} topic republishing fills and voids the engine declines
• Added position report metadata for FIFO and truncated venue entry averages (#5064), thanks for reporting @zhaow-de
• Added live binary option position settlement from InstrumentClose (#4963), thanks for reporting @seungpyoson
• Added deserialize_decimal_token and deserialize_optional_decimal_token to nautilus_core
• Added Rust new_generic_spread_id and parse_generic_spread_id_legs identifier functions (#5041), thanks @faysou
• Added Python new_generic_spread_id and generic_spread_id_to_list (#5041), thanks @faysou
• Added strategy trigger price modification for trailing stop orders (#5041), thanks @faysou
• Added per-instrument overrides on maker/taker fee models
• Added Architect AX account margins and locked USD balance from /risk-snapshot
• Added Architect AX bounded mass-status window declaration for reconciliation lookbacks
• Added Architect AX post-only repricing metadata to HTTP and WebSocket order models
• Added Architect AX instrument schedules and estimated funding metadata to response models
• Added Architect AX book_snapshot_timeout_secs override, honoring 0 as disabled
• Added Betfair book_snapshot_timeout_secs override, honoring 0 as disabled
• Added Binance book_snapshot_timeout_secs override, honoring 0 as disabled
• Added typed Parquet catalog round trips for Binance futures custom data
• Added Bybit book_snapshot_timeout_secs override, honoring 0 as disabled
• Added bars_timestamp_on_close to BybitDataClientConfig, defaulting to close (#5160), thanks @folknor
• Added historical_base_url and live_gateway_addr overrides to DatabentoDataClientConfig
• Added Hyperliquid book_snapshot_timeout_secs override, honoring 0 as disabled
• Added Kraken bounded mass-status window declaration for reconciliation lookbacks (#5043), thanks @zhaow-de
• Added Lighter support for 64-bit market IDs at and above 4095
• Added Lighter book_snapshot_timeout_secs override, honoring 0 as disabled
• Added Lighter use_gtd to choose venue or local GTD expiry (#4997), thanks @graceyangfan
• Added Lighter transport batching for batch cancellation and cancel-all requests (#4470)
• Added OKX error codes to order, modify, and cancel rejection reasons as OKX error <code>: <message>
• Added OKX scoped fee queries, instrument fee groups, and grouped fee responses (#5207), thanks @silarin
• Added Polymarket session signing and owner-operated session key authorization, listing, and revocation
• Added Polymarket book recovery with snapshot gating and stale-feed detection
• Added Polymarket settlement evidence registry with targeted REST trade resolution (#4876)
• Added Polymarket MATCHED_NOT_BROADCASTED trade status
• Added tardis_http_url override to TardisDataClientConfig and TardisReplayConfig
• Added Tardis full 25-level OrderBookDepth for snapshot25 data
• Migrated Polymarket trade and position history to Data API v2 with cursor pagination

Breaking Changes

• Removed the BitMEX adapter from Rust and Python following the exchange closure on 23 September 2026 (#4552)
• Removed nautilus_trader.persistence.NautilusDataType - import from nautilus_trader.model
• Removed NautilusDataType.OrderBook variant and "OrderBook"/"order_book" spellings
• Removed instrument maker_fee and taker_fee; set those rates on the venue fee_model instead
• Removed maker_fee and taker_fee from Arrow instrument schemas and the SQL instrument table
• Removed nautilus_persistence::backend::catalog - import from backend::parquet::{catalog, paths}
• Removed serialize_decimal and serialize_optional_decimal - use decimal::serialize and serialize_optional
• Removed Rust InnerHttpClient Default impl, which panicked on transport errors; use HttpClient::builder()
• Removed Rust fixed-width Arrow decoders decode_price, decode_quantity, and validate_precision_bytes
• Removed OBV constructor period; output is now cumulative signed volume (#5144), thanks @faysou
• Removed KVO constructor signal_period; require fast_period < slow_period (#5144), thanks @faysou
• Removed DirectionalMovement constructor ma_type; use Wilder sums that skip the first bar (#5144), thanks @faysou
• Removed VWAP update_raw timestamp; call reset() to start a new session (#5144), thanks @faysou
• Removed Rust WMA new weights argument; use with_weights for custom weights (#5144), thanks @faysou
• Removed the instrument_id column from funding rate, instrument status, and option Greeks Arrow files
• Removed StreamingFeatherWriter fs_protocol and fs_storage_options; pass a local path (#5115), thanks @faysou
• Removed flat rotation arguments from StreamingConfig and StreamingFeatherWriter (#5115), thanks @faysou
• Removed Python DataBackendSession and DataQueryResult - use ParquetDataCatalog queries (#5115), thanks @faysou
• Removed Rust nautilus_persistence::backend::session - query through ParquetDataCatalog (#5115), thanks @faysou
• Removed to-json and to-parquet binaries - use nautilus catalog migrate-parquet (#5115), thanks @faysou
• Removed nautilus_persistence::parquet - use backend::parquet::io (#5115), thanks @faysou
• Removed Rust write_batch_to_parquet and write_batches_to_parquet - use write_batches_to_object_store
• Removed Rust combine_parquet_files and min_max_from_parquet_metadata - use their _object_store variants
• Removed nautilus_persistence::backend::feather - use writer::feather (#5115), thanks @faysou
• Removed nautilus_persistence::python::catalog - use python::backend::parquet::catalog (#5115), thanks @faysou
• Removed nautilus_persistence::python::feather - use python::backend::feather (#5115), thanks @faysou
• Removed Rust DataCatalogConfig::create_catalog - use catalog::factory::create_catalog (#5115), thanks @faysou
• Removed Rust BybitWebSocketClient bar timestamp accessors; use the data config (#5160), thanks @folknor
• Replaced Rust flush_streaming with close_streaming_writer and reopen_streaming_writer (#5115), thanks @faysou
• Replaced StreamingConfig catalog_path and fs_protocol with writer_path and catalog (#5115), thanks @faysou
• Replaced StreamingConfig promotion params keys with typed promotion fields (#5115), thanks @faysou
• Replaced Parquet DataCatalogConfig.params settings with typed fields; params keys now fail (#5166), thanks @faysou
• Replaced StreamingWriter backend and storage_options with an optional catalog (#5115), thanks @faysou
• Replaced convert_stream_to_data subdirectory with an Environment argument (#5115), thanks @faysou
• Replaced Rust ParquetDataCatalog::query_typed_data and query_typed with query, which now returns Vec<T>
• Renamed OrderBookDepth10 to OrderBookDepth, removing the alias and book_depth10_to_arrow_record_batch_bytes
• Renamed actor subscribe_book_depth10/unsubscribe_book_depth10 to subscribe_book_depth/unsubscribe_book_depth
• Renamed OrderBookDepth10DataWrangler to OrderBookDepthDataWrangler
• Renamed SubscribeBookDepth10/UnsubscribeBookDepth10 commands and their data client hooks, dropping the 10 suffix
• Renamed Python persistence NautilusDataType.OrderBookDepth10 to NautilusDataType.OrderBookDepth
• Renamed ParquetDataCatalog method instrument_id parameters to identifier, matching v1
• Renamed Rust TestClock/TestTimer to VirtualClock/VirtualTimer without compatibility aliases
• Renamed Rust extract_column_by_name_or_index to extract_column_by_name, dropping the positional fallback
• Renamed Databento load_order_book_depth10 and get_order_book_depth10, dropping the 10 suffix
• Renamed the Databento publisher 142 venue from DEF to CDEF
• Renamed Polymarket SignatureType to PolymarketSignatureType
• Renamed Tardis *_tardis_depth10_from_snapshot* functions and TardisDepth10StreamIterator, dropping the 10 suffix
• Changed custom fill-model hooks to receive optional best bid and ask prices
• Changed socket and WebSocket sends to return SendError::BufferFull when writer capacity is exhausted
• Changed SocketClient::writer_tx to WriterSender; update explicit sender types and handle SendError
• Changed Strategy.modify_order and ExecutionAlgorithm.modify_order to return errors for invalid no-change requests
• Changed component lifecycle failures to propagate without logging; callers handle returned errors
• Changed EMA, Wilder, DEMA, and MACD to mean-seeded warmup (#5144), thanks @faysou
• Changed SMA and WMA to report zero until their windows are full (#5144), thanks @faysou
• Changed RSI to Wilder smoothing on [0, 100], with 50 for flat windows; rescale thresholds (#5144), thanks @faysou
• Changed CMO default smoothing to simple averages (#5144), thanks @faysou
• Changed MACD, Keltner, and KVO defaults to exponential averages, matching 1.x (#5098), thanks @nicoloangileri
• Changed VIDYA's CMO default to simple and Pressure's ATR to use the previous close (#5108), thanks @nicoloangileri
• Changed ATR, RVI, and Keltner ATR default smoothing to Wilder (#5144), thanks @faysou
• Changed RVI and ZScore to population deviation; ZScore is zero until its window is full (#5144), thanks @faysou
• Changed Stochastics %D to SMA of %K, with 50 for flat %K and %D windows (#5144), thanks @faysou
• Changed Bias and default ROC output to percentages; ROC looks back exactly period updates (#5144), thanks @faysou
• Changed Bollinger Bands to use close prices instead of typical prices (#5144), thanks @faysou
• Changed MACD constructors to take signal_period after slow_period, defaulting to 9 (#5144), thanks @faysou
• Changed MACD initialization to require signal warmup and reject fast_period >= slow_period (#5144), thanks @faysou
• Changed Keltner constructors to take atr_period after k_multiplier (#5144), thanks @faysou
• Changed WMA default weights to linear weights (#5144), thanks @faysou
• Changed linear regression intercept to use x = 0 (#5144), thanks @faysou
• Changed KVO to Klinger's volume force using daily high-low range and high+low+close trend (#5144), thanks @faysou
• Changed VolatilityRatio to current true range over prior EMA, taking a single period (#5144), thanks @faysou
• Changed Ichimoku initialization to require all five lines (#5144), thanks @faysou
• Changed Ichimoku displaced lines to lag displacement - 1 bars (#5144), thanks @faysou
• Changed Aroon outputs to retain full precision instead of rounding to 12 decimals (#5144), thanks @faysou
• Changed windowed indicator period limits to 16,777,216 (#5144), thanks @faysou
• Changed AMA warmup to period_efficiency_ratio + 1 inputs, seeded from the previous price (#5144), thanks @faysou
• Changed backtest venues to require an explicit fee_model, including an explicit zero-fee model
• Changed fee models that read instrument fees to require explicit maker_rate and taker_rate
• Changed account calculate_commission to require explicit maker_rate and taker_rate
• Changed Rust ExecutionEngine::register_client to stop adding venue routes; live and backtest nodes are unaffected
• Changed Cache.account_for_venue and account_id to return None for shared venues; look up by account ID
• Changed Rust Portfolio locked-balance and margin queries to take account_id; pass None for venue lookup
• Changed ParquetDataCatalog file methods to take data_type, not data_cls/type_name (#5027), thanks @faysou
• Changed ParquetDataCatalog.query to take a NautilusDataType, not a directory name (#5027), thanks @faysou
• Changed ParquetDataCatalog.delete_data_range to take a non-instrument NautilusDataType (#5027), thanks @faysou
• Changed BacktestDataConfig.data_type to a NautilusDataType; Instrument loads all classes (#5027), thanks @faysou
• Changed Rust OrderCore.events to read-only events(); construct cores with OrderCore::new
• Changed reconciliation_startup_delay_secs to reject values above 86,400 seconds (one day)
• Changed live node startup to fail when in-scope nonzero venue positions remain unrecovered
• Changed live shutdown to fail when retained submissions remain unresolved (#5156), thanks @silarin
• Changed Rust calculate_reconciliation_price and position_prices_match to take report average metadata
• Changed same-thread LiveNode replacement to require dropping the previous node, even after dispose()
• Changed RiskEngine to reject orders when accounts, prices, or required funding cannot be established
• Changed list_parquet_files and convert_stream_to_data to take typed selectors in place of strings
• Changed streaming Feather output to one file per data type and per instrument class (#5115), thanks @faysou
• Changed streaming to stage Feather files on local paths only, rejecting remote paths (#5115), thanks @faysou
• Changed Feather flushes to append to the open .feather.partial file; closing seals it (#5115), thanks @faysou
• Changed StreamingFeatherWriter rotation time and file info to use catalog type selectors (#5115), thanks @faysou
• Changed StreamingFeatherWriter.include_types and record filter keys to reject strings (#5115), thanks @faysou
• Changed Rust WriterRecordFilter to take CatalogDataType values in place of path prefixes (#5115), thanks @faysou
• Changed StreamingConfig.writer_backend to follow the catalog backend, else Feather (#5115), thanks @faysou
• Changed streaming to validate StreamingConfig and reject zero rotation sizes or intervals (#5115), thanks @faysou
• Changed Rust run manifests and Feather session sources to take Environment and RunStatus (#5115), thanks @faysou
• Changed ParquetDataCatalog to reject LZO and unknown compression codes, not use Snappy (#5166), thanks @faysou
• Changed catalog lz4 compression and code 5 to write LZ4_RAW, with lz4_raw as an alias (#5166), thanks @faysou
• Changed Rust DataCatalogConfig builder to return ConfigResult and reject zero counts (#5166), thanks @faysou
• Changed catalog storage options to reject unknown keys, including GCS project_id (#5166), thanks @faysou
• Changed Rust DataCatalogConfig and BacktestDataConfig storage option values to SecretString
• Changed StreamingConfig type selectors and record_filters keys to take enums only (#5115), thanks @faysou
• Changed ParquetDataCatalog.query_custom_data to take a NautilusDataType (#5115), thanks @faysou
• Changed ParquetDataCatalog.list_data_types to return type enums in place of names (#5115), thanks @faysou
• Changed RotationConfig.mode to return a RotationMode enum (#5115), thanks @faysou
• Changed Rust CatalogCoverageRow.data_type to a CatalogDataType (#5115), thanks @faysou
• Changed Rust CatalogBackendType and WriterBackendType to #[non_exhaustive]
• Changed Postgres cache connect to require a trader ID and flush only that trader's rows (#5070), thanks @utx0
• Changed Postgres cache connect to fail until old account events are assigned (#5070), thanks @utx0
• Changed Cache.flush_db to return errors, so a failing flush_on_start stops node startup (#5070), thanks @utx0
• Changed logging init to fail on an unusable log file; lazy Rust init keeps console logging
• Changed Rust FileWriter::new to return anyhow::Result instead of Option
• Changed custom-data writes to require valid schemas; migrate legacy files with nautilus catalog migrate-parquet
• Changed catalog depth display to nested bid/ask lists with all levels and order IDs (#4959), thanks @faysou
• Changed Parquet prices, timestamps, enums, and JSON to the open Arrow format; migrate catalogs (#4959), thanks @faysou
• Changed custom data macros to separate model definitions from optional Arrow encoding (#4959), thanks @faysou
• Changed catalog Arrow files to name their type in type_name metadata, replacing instrument class
• Changed instrument status and option Greeks Arrow conversions to reject batches mixing instruments
• Changed sandbox execution clients to require an explicit fee_model, including a zero-fee model
• Changed backtests to fail when a cash, betting, or wallet fill is rejected (#5077), thanks @abhijeetvichare76
• Changed a disposed BacktestNode to reject run() and build() (#5086), thanks @folknor
• Changed DeFi pool CurrencyPair base and quote to follow token priority, matching swap trade info and execution
• Changed Betfair, Binance, and Tardis crates to gate Arrow support behind an opt-in arrow feature
• Changed Deribit DeribitWebSocketClient::modify_order to take DeribitEditParams
• Changed Deribit models to deserialize only from borrowed JSON, with DeribitBookMsg borrowing its levels
• Changed Python Hyperliquid data and execution client config parameter order to base_url_http before base_url_ws
• Changed Hyperliquid stale book-delta recovery to shared book recovery, which never requests a reconnect
• Changed Rust parse_combined_account_balances_and_margins to require account mode (#5187), thanks @XBeg9
• Changed Kraken legacy currency codes to standard codes; migrate stored currency data (#5155), thanks @zhaow-de
• Changed Kraken EUR/USD quote currencies, REST fees, and PnL to 2 decimals, and JPY to 0 (#5155), thanks @zhaow-de
• Changed Kraken futures balances to retain negative free amounts for wallet shortfalls (#5155), thanks @zhaow-de
• Changed Polymarket polymarket_trade_sort_key inputs to v2 transaction_hash and token_id fields
• Changed Polymarket stream FAILED trades to quarantine until a targeted REST result voids applied fills
• Changed Polymarket fills on orders from before a reconnect or restart to wait for a terminal REST result
• Changed Polymarket reconciliation reports to fail while trade settlement evidence is unresolved
• Changed Polymarket user-channel GTD expiry to OrderExpired; earlier and REST cancels stay OrderCanceled
• Changed Polymarket fee curves to exact decimal arithmetic, rejecting fractional fee exponents
• Changed Polymarket taker fees to read info.fee_schedule instead of instrument taker_fee
• Changed Tardis book_snapshot_output value "depth10" to "depth" (the legacy value remains accepted)
• Changed Tardis derived trade IDs to hash decimal values, changing IDs for trades without venue IDs
• Changed Tardis replay feature to opt-in (no longer a default); it now enables arrow

Security

• Fixed adapter HTTP redirect leaks of credentials and signed payloads, thanks for reporting @seungpyoson
• Fixed Parquet catalog storage errors read as missing files, which could delete data during period consolidation
• Fixed Parquet period consolidation stopping after 10,000 periods, duplicating rows or deleting unconsolidated data
• Fixed logging thread panics when stderr is a closed pipe, which aborted release builds
• Fixed Python float conversions of precision 17 and 18 prices, quantities, and money aborting release builds
• Fixed Cache.price mid prices of precision 16 quotes aborting greeks calculations in release builds
• Fixed Cache.price midpoints at the precision ceiling panicking the process (#5084), thanks @folknor
• Fixed Python raw and pickle reconstruction of quotes, trades, bars, and price updates aborting release builds
• Fixed Python account balance queries, leverage setters, and balance_impact aborting release builds
• Fixed Redis connections leaking passwords to debug logs and panicking on some non-ASCII passwords
• Hardened HTTP and socket transport clients against URL credential leaks into logs, errors, and Debug output
• Hardened DataCatalogConfig and BacktestDataConfig repr() and Debug against storage option leaks
• Hardened TLS certs_dir loading by logging each trusted root at INFO with its SHA-256 fingerprint
• Hardened TLS certs_dir loading to fail on unreadable files instead of silently skipping them
• Hardened WebSocket transport client close-reason logging against server-injected line breaks and terminal escapes

Fixes

• Fixed StackStr hashing to support borrowed str lookups in maps and sets
• Fixed precision loss when deserializing exactly representable scientific Decimal strings
• Fixed from_pydict to raise ValueError for integers outside the signed or unsigned 64-bit range
• Fixed fills after order expiry being dropped instead of updating the order and position
• Fixed unnecessary Python borrow errors in default actor, strategy, and execution algorithm callbacks
• Fixed duplicate error logging for propagated order-command failures
• Fixed RetainUnresolved locally closing unacknowledged orders after recovery exhaustion
• Fixed Strategy.cancel_all_orders returning only the first individual cancellation error
• Fixed Strategy ignoring log_rejected_due_post_only_as_warning for post-only rejections
• Fixed silent Python strategy/algorithm errors (#5039), thanks for reporting @logeid and for initial fix @costajohnt
• Fixed mass-status reconciliation ignoring filled-quantity decreases without fills, thanks for reporting @kta1kri
• Fixed startup reconciliation dropping real fills for external Accepted and Triggered orders
• Fixed overfill rejections leaving no warning (#5081), thanks @folknor
• Fixed RiskEngine risk-limit bypasses through single and batch order modifications, thanks for reporting @kta1kri
• Fixed quote-quantity conversion overflow panics during order risk checks
• Fixed fill OMS resolution to use the owning execution client instead of venue or default routes
• Fixed venue account lookups depending on add order and index rebuilds when accounts share an issuer
• Fixed Python portfolio queries rejecting an explicit account when another account shares its issuer
• Fixed recorded portfolio snapshots latching stale missing-price flags (#5171), thanks @awss1i
• Fixed Python AccountBalance and MarginBalance to_dict amounts losing digits through float formatting
• Fixed Python PositionStatusReport.to_dict omitting avg_px_open
• Fixed RiskEngine using the venue account, not the routed client's (#4946), thanks for reporting @Artur-Sulej
• Fixed RiskEngine position-reducing checks counting positions and open orders of other accounts
• Fixed later submits denying or double-routing orders already sent to an execution client (#5020), thanks @s1amese2003
• Fixed overlapping mass-status snapshots reversing newer cached fills or fill voids
• Fixed strategy-scoped cancel-all skipping locally active orders (#5120), thanks @ngarid
• Fixed immediate-mode cancels leaving accepted orders open in the cache (#5120), thanks @ngarid
• Fixed immediate-mode OTO child cancellation and cleanup after entry rejection (#5120), thanks @ngarid
• Fixed trailing-stop orders already in the market being accepted despite reject_stop_orders
• Fixed trailing-stop modifies using touch checks instead of stop checks (#5147), thanks @abhijeetvichare76
• Fixed OrderEmulator panic releasing a trailing stop limit before its limit price is calculated
• Fixed OrderEmulator panic modifying an emulated order from an order or position event handler
• Fixed OrderEmulator panic releasing a GTD order as a market order
• Fixed OrderEmulator stranding an order whose limit release fails
• Fixed OrderEmulator triggering LAST_PRICE orders on quotes
• Fixed trailing-stop activation duplicating order events in the cache database
• Fixed OUO order updates resizing the sibling to the leg's total instead of remaining quantity
• Fixed custom fill books falling back to historical liquidity or exceeding their available quantity
• Fixed BestPriceFillModel never filling limit orders at or inside the spread
• Fixed fill model panic on probabilities within rounding error of 0 or 1
• Fixed Python FillModel subclasses rejecting constructor arguments
• Fixed simulated slippage moving fill prices outside instrument price limits
• Fixed simulated trailing stop limits with a price filling before they trigger
• Fixed simulated cancels rejected for pending OTO children and partially filled market orders
• Fixed simulated venues accepting off-tick prices that could never fill
• Fixed simulated cash accounts allowing binary-option sells to open or increase short positions
• Fixed simulated OTO children left submitted after their parent is rejected
• Fixed simulated bar execution evaluating last-price triggers against the previous bar leg
• Fixed backtest rejection of lower-precision order fields within the same fixed-point scale
• Fixed oversized futures delivery in simulated physical option settlement, thanks for reporting @zakkvald
• Fixed simulated physical option exercise double counting intrinsic value from InstrumentClose
• Fixed backtest L1 fills stalling on repeated identical trades (#5017), thanks for reporting @GwangPyo
• Fixed backtest L1 queue estimates ignoring quote size reductions (#5016), thanks for reporting @GwangPyo
• Fixed stale backtest fills triggered by portfolio snapshot timers (#5054), thanks for reporting @frslvr
• Fixed BacktestEngine runs after reset failing kernel startup and halting shutdown_on_error runs
• Fixed Sandbox dropping OrderAccepted for an immediately marketable limit IOC (#5102), thanks @graceyangfan
• Fixed Sandbox restart leaving cache-open orders out of the matching engine (#5046), thanks @AmitKumarDeoghoria
• Fixed spread quote aggregation accepting signed leg ratios that flipped the leg sign (#5041), thanks @faysou
• Fixed convert_stream_to_data silently skipping staged custom data (#4607), thanks for reporting @mystic-io
• Fixed typed catalog decode for kernel Feather streams of quotes, trades, bars, and related types
• Fixed migration of class-tagged Parquet instruments with UInt64 or UTC nanosecond timestamps
• Fixed runtime catalog queries to reject legacy instrument schemas with explicit migration guidance
• Fixed streaming Feather writers sealing a new file on every flush (#5115), thanks @faysou
• Fixed Parquet promotion precision for an empty order book depth staged with populated ones (#5115), thanks @faysou
• Fixed a Feather writer panic when a mixed-instrument batch crossed the rotation size limit (#5115), thanks @faysou
• Fixed Parquet writers accepting run IDs that object-store paths encode, which skipped promotion
• Fixed Feather staging writes hanging when the staging worker panics
• Fixed unbounded Feather filename reservations and repeated directory scans during Parquet promotion
• Fixed Parquet promotion from writer paths containing spaces, non-ASCII, or reserved characters
• Fixed Parquet promotion and convert_stream_to_data of Feather files with non-ASCII identifiers
• Fixed streaming replace_existing emptying the run directory before rejecting an invalid catalog
• Fixed reconciliation fills from venue fill reports not carrying the reconciliation event flag
• Fixed live node startup panic on an excessively large reconciliation_startup_delay_secs
• Fixed live node startup succeeding with unrecovered venue positions
• Fixed replayed fills doubling positions reconciled from venue position reports (#5041), thanks @faysou
• Fixed startup reconciliation dropping fills that precede order acceptance (#5041), thanks @faysou
• Fixed refused fills stalling position reconciliation (#5041, #5060), thanks for reporting @chaneyka1; thanks @faysou
• Fixed duplicate LiveNode builds replacing thread-local messaging (#5049), thanks for reporting @logeid
• Fixed unqueryable Python custom-data writes (#4984), thanks for reporting @shanezilla
• Fixed customdataclass nanosecond decoding without pandas (#4984), thanks for reporting @shanezilla
• Fixed catalog interval-filename validation renaming files before rejecting them (#4647)
• Fixed catalog file-name resets overwriting files before validating the new names
• Fixed catalog file-name resets without an identifier moving files out of identifier directories
• Fixed catalog write_to_json encoding Windows path separators into object keys
• Fixed local catalog run and data-type listings treating directory read errors as empty
• Fixed catalog run and data-type listings returning percent-encoded names
• Fixed catalog consolidation, deletes, name resets, intervals, and remote queries of non-ASCII identifiers
• Fixed ParquetDataCatalog accepting a zero batch_size or max_row_group_size
• Fixed HTTP client omitting configured User-Agent from proxy CONNECT requests for HTTPS URLs
• Fixed authenticated HTTP proxy requests failing after cross-origin redirects
• Fixed HTTP client adaptive HTTP/2 flow control triggering Cloudflare resets of large response bodies
• Fixed rate limiters admitting an extra request after idle periods
• Fixed TLS client config panicking on first use when ring is also enabled
• Fixed Sockudo handshake retries logged as errors, hiding reconnect recovery
• Fixed concurrent WebSocket authentication leaving the result and shared state inconsistent
• Fixed WebSocket sends skipping the reconnect replay buffer before authentication (#5128), thanks @Robin1987China
• Fixed dropping unfilled working orders when replacing a reconciliation lifecycle (#5003), thanks @abhijeetvichare76
• Fixed live reconciliation applying report-task results after shutdown (#4982), thanks @folknor
• Fixed backtest data-type and missing-engine errors to name the valid case (#4977), thanks @abhijeetvichare76
• Fixed unclear errors for missing local Parquet catalog paths (#4950), thanks for reporting @Artur-Sulej
• Fixed Windows drive-path catalog file URIs (#4646), thanks for reporting @autotrader2025
• Fixed catalog instrument listing ignoring base_path on remote stores such as s3:// (#5052), thanks @xWaita
• Fixed catalog-wide delete and consolidation skipping directories whose name prefixes a sibling directory
• Fixed catalog-wide delete and consolidation on remote catalogs whose base path contains a data segment
• Fixed remote catalogs accepting base paths that object-store paths encode, which broke queries
• Fixed custom data queries matching identifiers by substring instead of the identifier directory
• Fixed bar queries dropping instrument ID identifiers listed alongside full bar types
• Fixed filter_files matching bar types by name prefix instead of instrument ID
• Fixed period consolidation panicking on a zero period_nanos
• Fixed catalog queries applying time bounds to only one side of an OR where clause
• Fixed catalog queries failing on directories whose files differ in precision (#5166), thanks @faysou
• Fixed HTTP catalogs ignoring storage options, which blocked plain http:// catalogs (#5166), thanks @faysou
• Fixed write_batches_to_object_store panicking on an empty batch list
• Fixed OrderBook warnings after sequence counter resets (#5015), thanks @dnouri
• Fixed AroonOscillator MAX_PERIOD window dropping the oldest extreme before rollover (#5037), thanks @wbizmo
• Fixed ArcherMovingAveragesTrends keeping both trend flags after a reversal (#5125), thanks @wbizmo
• Fixed VerticalHorizontalFilter and RelativeVolatilityIndex reading NaN on flat prices (#5059), thanks @mkzung
• Fixed indicators changing state on non-finite inputs or malformed candles (#5144), thanks @faysou
• Fixed linear regression R-squared returning NaN for non-flat, low-variance windows (#5144), thanks @faysou
• Fixed rolling indicator precision after large shifts in the window mean (#5144), thanks @faysou
• Fixed Python indicator enums hashing differently from equal integers (#5144), thanks for reporting @faysou
• Fixed option expiry settlement missing underlyings listed on another venue (#5035), thanks @AmitKumarDeoghoria
• Fixed CryptoOption applying a one-contract minimum when min_quantity is unspecified
• Fixed Postgres cache loading and overwriting another trader's orders, positions, and fills (#5070), thanks @utx0
• Fixed cached time bars replacing same timestamps and skipping older bars (#5109), thanks @dfjmax
• Fixed inverse option notional and PnL using 1 / price valuation (#5053), thanks for reporting @Kilvish25
• Fixed backtest inverse option cash settlement at quote-point intrinsic value (#5053), thanks for reporting @Kilvish25
• Fixed TestDataProvider reading develop data in release wheels (#5087), thanks for reporting @bananaunderground
• Fixed adapter JSON decimal and UnixNanos parsing with serde_json/arbitrary_precision
• Fixed log file rotation for trader IDs or file names containing dots
• Fixed failed log file rotations retrying with a disk sync on every line
• Fixed file logs lagging until the write buffer filled; lines now flush within about 100 ms
• Fixed nautilus CLI dropping buffered log lines at exit
• Fixed OwnOrderBook ghost orders after re-adding at a new price or a zero-size price update
• Fixed OrderBook grouped filtered views overstating liquidity when own orders are better priced
• Fixed own order books appearing with manage_own_order_books disabled after a failed order event
• Fixed OrderBook filtered views subtracting emulated orders, which never rest in the public book
• Fixed own order books holding quote-quantity orders in quote units before conversion to base units
• Fixed own order book audit removals logging as errors, halting shutdown_on_error nodes
• Fixed OrderBook.get_avg_px_qty_for_exposure quantities 100x too large for 18-decimal DeFi sizes
• Fixed recoverable adapter conditions logging as errors, halting shutdown_on_error nodes
• Fixed quanto margin and balance locks to use the settlement currency (#5073), thanks @abhijeetvichare76
• Fixed margin and betting accounts reserving filled quantity after partial fills (#5130), thanks @abhijeetvichare76
• Fixed time bars stalling after an interval with no updates (#5082), thanks @faysou
• Fixed risk engine reset leaving a halted or reducing engine active without an event (#5085), thanks @folknor
• Fixed canceled FOK orders leaving book liquidity marked consumed (#5106), thanks @ngarid
• Fixed cash-account SELL checks for instruments without a base currency (#5112), thanks @yashwardhan-gautam
• Fixed non-ASCII symbols silently dropping positions (#5143), thanks @Yize9
• Fixed nautilus-live failing to compile without the node feature (#5177), thanks @zhaow-de
• Fixed adapters logging routine events as warnings and duplicate failures twice
• Fixed Architect AX cancel-all requests ignoring order_side (#4470), thanks for reporting @zurpet
• Fixed Architect AX order status reports dropping venue reject reasons
• Fixed Architect AX market data subscriptions not resuming after an explicit reconnect
• Fixed Architect AX terminal order queries losing the original order quantity
• Fixed Architect AX order report parsing of post-only flags, timestamps, and terminal states
• Fixed Architect AX position entry prices to use cost basis when available
• Fixed Architect AX fills being dropped for unknown sibling order states
• Fixed Architect AX book recovery after missing snapshots, invalid frames, and reconnects
• Fixed Architect AX resubscribes racing an earlier unsubscribe and leaving the stream unsubscribed
• Fixed Betfair false fill voids and missing fills during reconciliation after price replacements
• Fixed Betfair false fill voids from inconsistent order and fill snapshots during reconciliation
• Fixed Betfair order quantities in replacement queries and quantity reduction recovery
• Fixed Betfair resting SP bets treated as closed before BSP reconciliation
• Fixed Betfair book recovery after unparsable runner changes, missing images, and changes before an image
• Fixed Betfair market images leaving stale levels on runners the image omits
• Fixed Betfair concurrent book subscriptions dropping markets from the stream subscription
• Fixed Binance order ID encoding for short alphanumeric tags (#5055), thanks for reporting @logeid
• Fixed Binance WebSocket subscribe bursts that closed sockets with 1008 (#5014), thanks @costajohnt
• Fixed historical BinanceBar responses never reaching Python (#5002), thanks @abhijeetvichare76
• Fixed Binance bulk non-trading instrument skips logged as warnings instead of debug
• Fixed Binance cancel-all requests ignoring order_side
• Fixed Binance Spot batch_cancel_orders using a non-existent batch endpoint
• Fixed Binance book recovery after sequence gaps, snapshot failures, and reconnects
• Fixed Binance Spot empty depth snapshots failing to clear the book
• Fixed Binance order book snapshots missing F_SNAPSHOT on their price levels
• Fixed Binance Futures panic on depth updates without price levels
• Fixed Binance depth snapshot bursts exceeding the venue request-weight limit
• Fixed Binance Spot book unsubscribe and resubscribe commands reaching the stream pool out of order
• Fixed Binance Rust data clients not registering BinanceBar custom data for persistence
• Fixed Blockchain RPC WebSocket blocks missing their chain, panicking the data engine
• Fixed Blockchain swaps awaiting finality rejected by the in-flight check before their fill arrived
• Fixed Bybit cancel-all requests ignoring order_side (#4470), thanks for reporting @zurpet
• Fixed Bybit cursor pagination looping forever on repeated page cursors (#5019), thanks @Martingale42
• Fixed Bybit book recovery after update ID gaps, missing snapshots, and reconnects
• Fixed Bybit order book snapshots missing F_SNAPSHOT on their price levels
• Fixed Bybit data is_connected staying true while a socket reconnects (#5162), thanks @folknor
• Fixed Coinbase trade aggressor side inverted by using the reported maker side
• Fixed Databento live MBO subscriptions never emitting trades (#5095), thanks for reporting @invisiblebackhand
• Fixed DeFi position fees accruing on liquidity after a mint or burn instead of before
• Fixed DeFi swap replay dropping fees on input left at the swap's final price
• Fixed DeFi size-for-impact search never expanding its upper bound
• Fixed DeFi pool balance estimates adding raw fee growth to token amounts
• Fixed DeFi price impact and slippage reporting 0 bps beyond the u32 range
• Fixed DeFi chain IDs and HyperSync URLs for 12 chains, including Unichain, Ink, and Hyperliquid
• Fixed DeFi Pool display repeating the fee label
• Fixed DeFi swap replay advancing fees across a drifted tick partition (#5163), thanks @folknor
• Fixed DeFi pool utilization panics during partial-history replay
• Fixed DeFi mint panics above tick liquidity limits and state changes on rejected mints or burns
• Fixed DeFi size estimates overflowing near the maximum pool tick
• Fixed Deribit prices, sizes, balances, and fees losing digits through f64 JSON parsing
• Fixed Deribit order and edit amounts and prices losing digits through f64 serialization
• Fixed Deribit and Tardis Machine book parsing panicking on out-of-range prices
• Fixed Deribit order books going stale when a book message fails conversion
• Fixed Deribit book parsing panicking on amounts that round to zero at size precision
• Fixed Deribit orders and edits emitting no rejection when their values cannot serialize exactly
• Fixed Derive rejecting valid sub-minimum taker orders (#5045), thanks for reporting @Aviksaikat
• Fixed Derive instrument info dropping fields from the venue response
• Fixed Hyperliquid fill reconciliation failing for accounts with fills on settled HIP-4 outcomes
• Fixed Hyperliquid mass status failing on outcomeSettledCanceled historical orders
• Fixed Hyperliquid book recovery after missing snapshots, invalid frames, and reconnects
• Fixed Hyperliquid order book snapshots missing F_SNAPSHOT and closing every level with F_LAST
• Fixed Hyperliquid depth-only book subscriptions emitting order book deltas
• Fixed Hyperliquid fills and order updates missed while the execution WebSocket was disconnected
• Fixed Hyperliquid bracket order modification canceling contingent orders
• Fixed Hyperliquid orders left open when canceled while a modify of them was in flight
• Fixed Hyperliquid REST open orders reconciling stops and take-profits as limits (#5145), thanks @JulienKervarrec
• Fixed Hyperliquid historical stop reports losing trigger metadata and blocking fills (#5191), thanks @XBeg9
• Fixed Hyperliquid IOC canceled remainders reconciling as filled and staying open (#5191), thanks @XBeg9
• Fixed Hyperliquid reduce-only quantities in startup reports with complete fill history (#5192), thanks @XBeg9
• Fixed Hyperliquid unified and portfolio margin account balances to use spot collateral (#5187), thanks @XBeg9
• Fixed Interactive Brokers contract details conversion raising ModuleNotFoundError (#5051), thanks @dfjmax
• Fixed Kraken spot connect aborting when TradeVolume fails (#5005), thanks @zhaow-de
• Fixed Kraken spot reports spelled with the pair altname not resolving to instruments (#5034), thanks @zhaow-de
• Fixed Kraken spot cancel-all cancelling orders outside the requested instrument (#5044), thanks @zhaow-de
• Fixed Kraken spot report pagination continuing past 500 pages without reporting incomplete (#5062), thanks @zhaow-de
• Fixed Kraken spot startup reconciliation omitting orders closed while the node was down (#5110), thanks @zhaow-de
• Fixed Kraken spot margin reports omitting the surviving-lot entry average (#5065), thanks @zhaow-de
• Fixed Kraken spot position coverage and false flat reports for unreported holdings (#5185), thanks @zhaow-de
• Fixed Kraken scoped reads dropping altname pairs or returning every instrument (#5129), thanks @zhaow-de
• Fixed Kraken currency normalization corrupting XTZ, ZRX, and XAUT codes (#5155), thanks @zhaow-de
• Fixed Kraken fills booking fees in quote currency instead of the reported fee currency (#5155), thanks @zhaow-de
• Fixed Kraken futures balances overwriting holdings across wallets of the same currency (#5155), thanks @zhaow-de
• Fixed Kraken futures double-counting flex USD collateral and contract-symbol balances (#5155), thanks @zhaow-de
• Fixed Kraken futures flex USD portfolio balances using 2 instead of 8 decimals (#5155), thanks @zhaow-de
• Fixed Lighter cancel-all requests ignoring order_side (#4470), thanks for reporting @zurpet
• Fixed Lighter book recovery after missing snapshots, sequence gaps, and reconnects
• Fixed Lighter websocket subscription hangs on unparsable confirmations
• Fixed Lighter spot stats parsing for empty mid prices
• Fixed OKX order book snapshots retaining stale price levels after resubscription
• Fixed OKX book deltas missing the F_LAST flag, stalling consumers with buffer_deltas enabled
• Fixed OKX account state always reporting MARGIN, ignoring the configured account type
• Fixed OKX fee and filled-quantity caches growing unbounded over long-running sessions
• Fixed OKX cancel-all requests ignoring order_side (#4470), thanks for reporting @zurpet
• Fixed OKX close_fraction orders reconciling with zero quantity (#5068), thanks for reporting @victor-santana-hub
• Fixed OKX filled spot market buys remaining PARTIALLY_FILLED (#5105), thanks for reporting @BioxMech
• Fixed OKX activate_feature rate limit exceeding the published 5 requests per 2 seconds
• Fixed OKX HTTP errors without data hiding the venue error code, such as invalid API keys
• Fixed OKX open_only order status reports fetching regular and spread order history
• Fixed Polymarket order modifications blocked after a deferred cancel with an unresolved venue outcome
• Fixed Polymarket maker rebates and taker fees zeroing on incomplete schedules
• Fixed Polymarket submits with an unknown outcome staying SUBMITTED after missed WebSocket updates
• Fixed Polymarket reconciliation of resolved, unredeemed balances (#4963), thanks for reporting @seungpyoson
• Fixed Polymarket reconciliation closing auto-redeemed positions at the entry price before settlement
• Fixed Polymarket fills matched during a user WebSocket outage never applying after reconnect
• Fixed Polymarket unknown submissions being rejected locally after recovery exhaustion
• Fixed Polymarket late submit evidence repeating acceptance or fills and overwriting replacement order mappings
• Fixed Polymarket uncertain order recovery losing venue cancellation duties after local closure
• Fixed Polymarket BUY fills truncated to the order quantity; overfills now raise the order quantity
• Fixed Polymarket commissions rounding instead of flooring to five decimals like the venue charge
• Fixed Polymarket order quantity updates after a modify dropping fills from earlier venue orders
• Fixed Polymarket restarts replacing fills of closed orders with synthetic fills that lack commission
• Fixed Polymarket restarts failing for retained positions whose fills fall outside a bounded lookback
• Fixed Polymarket denying immediate FOK and FAK BUY orders whose maker amount is not an exact cent
• Fixed Polymarket opening an idle market WebSocket on connect, which the venue closed with code 1008
• Fixed Polymarket HTTP cancels emitting OrderCanceled for tracked orders or orders the response omits
• Fixed Polymarket sub-tick settlement prices being rejected or emitted raw (#5176), thanks @yashwardhan-gautam
• Fixed Polymarket fill reports admitting trades that contradict retained settlement outcomes
• Fixed Polymarket order queries emitting events while settlement evidence is unresolved
• Fixed Polymarket bounded reconciliation reports inferring fills from pending settlement
• Fixed Polymarket report fill totals double-counting inferred fills or restoring voided quantities
• Fixed Tardis accepting stream requests and retrying connections for unsupported venues
• Fixed Tardis instrument filtering excluding the exact availability start timestamp
• Fixed Tardis instrument bootstrap failing on very large instrument lists such as Deribit
• Fixed Tardis options chain CSV conversion panicking on a missing catalog directory
• Fixed Tardis Machine bar and option summary decoding with serde_json/arbitrary_precision
• Fixed Tardis Machine prices, sizes, and funding rates losing digits through f64 parsing
• Fixed Tardis CSV loaders applying book rows before the first snapshot (#5127), thanks @szpony

Internal Improvements

• Added shared catalog and streaming writer factories for backtest and live nodes (#4959), thanks @faysou
• Added LiveNode Feather streaming tests for typed routes, size rotation, and auto-flush
• Added CRLF line relay routes to the shared book stress fault proxy
• Added OrderBook filtered view property tests against a reference model
• Added Architect AX live book stress harness with fault injection and an independent book oracle
• Added Betfair live book stress harness with fault injection and an independent book oracle
• Added Binance live book stress harness with fault injection and independent book oracles
• Added Bybit live book stress harness with fault injection and an independent book oracle
• Added Hyperliquid live book stress harness with fault injection and an independent book oracle
• Standardized Data and NautilusDataType ordering with Custom first
• Standardized Cap'n Proto OrderBookDepth10 schema to OrderBookDepth, pinning node IDs and field ordinals
• Standardized network config field layouts across adapters: URL override block, then proxy_url
• Standardized book recovery ownership and retry handling across Lighter and OKX
• Standardized book snapshot timeouts on a shared 10s default across Lighter, OKX, and Polymarket
• Standardized adapter JSON decimal parsing on shared core parsers
• Standardized Architect AX book recovery on the shared recovery runner and 10s snapshot default
• Standardized Betfair book recovery on the shared recovery runner and 10s snapshot default
• Standardized Binance book recovery on the shared recovery runner and 10s snapshot default
• Standardized Bybit book recovery on the shared recovery runner and 10s snapshot default
• Standardized Hyperliquid book recovery on the shared recovery runner and 10s snapshot default
• Improved cache order query benchmark coverage
• Improved live and backtest callback drains at runtime-owned loop boundaries
• Improved Parquet catalog regression coverage for consolidation, promotion, and identifier matching
• Improved catalog worker, Arrow batch grouping, and ts_init range test coverage (#5115), thanks @faysou
• Improved testkit data downloads with atomic checksum manifest writes and stale partial cleanup
• Improved order book and own order book regression coverage from mutation testing
• Improved the live test harness own book invariant to detect missing orders and stale entry fields
• Improved the canceled HTTP request test to accept a connection reset (#5138), thanks @faysou
• Improved WebSocket rate-limit tests to handshake on the real clock (#5146), thanks @faysou
• Improved execution engine tests by collecting functions nested in another test (#5158), thanks @abhijeetvichare76
• Improved unwritable log directory test portability on Windows and Linux (#5167), thanks @abhijeetvichare76
• Improved PyO3 docstring generation for one-line parameter attributes (#5115), thanks @faysou
• Improved Postgres connection string redaction test coverage
• Improved Architect AX protocol regression coverage with sanitized HTTP and WebSocket captures
• Improved Kraken futures scoped position and order read coverage (#5154), thanks @zhaow-de
• Improved OKX live-node submission recovery and unresolved-shutdown regression coverage (#5178), thanks @silarin
• Improved OKX fee response tests with canonical grouped-fee and instrument fixtures (#5212), thanks @silarin
• Improved OKX public and spread book recovery with bounded retries and cancellation-safe resubscription
• Improved OKX dispatch benchmarks with steady-state caches and WebSocket order-event coverage
• Extracted CacheApi and CacheView from the cache module
• Normalized persistence path separators for Windows
• Refactored RiskEngine validation, funding checks, and batch modification rate limiting
• Refined persistence backend module layout and removed a duplicated Parquet I/O test module
• Refined persistence by removing the vendored k-merge, duplicate tests, and session bench (#5115), thanks @faysou
• Refined SharedCell and WeakCell clones to use Rc::clone and Weak::clone (#5066), thanks @mirooon
• Refined model ref-count clones to use Arc::clone (#5076), thanks @mirooon
• Refined risk engine ref-count clones to use Rc::clone (#5089), thanks @mirooon
• Refined portfolio ref-count clones to use Rc::clone (#5131), thanks @mirooon
• Refined serialization ref-count clones to use Arc::clone (#5149), thanks @mirooon
• Refined Windows persistence doc comments so Clippy doc_markdown passes (#5078), thanks @abhijeetvichare76
• Refined Windows logger test imports so Clippy passes (#5157), thanks @abhijeetvichare76
• Refined the copyright hook's temporary files and Bash 3.2 lookups (#5118), thanks @seungpyoson
• Refined blockchain ref-count clones to use Arc::clone and Rc::clone (#5175), thanks @mirooon
• Refined HyperSync stream calls to avoid redundant Arc clones (#5206), thanks @mirooon
• Refreshed Binance Spot WebSocket trading tests for SBE schema 3:5
• Optimized cache order queries and exchange rate lookups from bars
• Optimized average-price calculation for orders with many fills
• Optimized allocation overhead in Rust cache orders and orders_refs queries
• Optimized allocation overhead in Rust exchange rate calculations
• Optimized NETTING reopen and duplicate-fill checks to ignore replay-history length (#4999), thanks @folknor
• Optimized live reconciliation fill recovery and portfolio order-event updates (#5063), thanks for reporting @ligl
• Optimized staged Feather files to one dictionary-encoded record batch per flush (#5115), thanks @faysou
• Optimized Parquet catalog ts_event and ts_init columns with delta encoding, thanks @Martingale42
• Optimized HTTP client construction by reusing loaded platform TLS roots across clients
• Optimized position replay duplicate-fill checks to use the trade ID set (#5096), thanks @mirooon
• Optimized per-order overhead in account balance updates, order matching, and event publishing
• Optimized Deribit WebSocket and HTTP decimal decoding
• Optimized OKX WebSocket frame decoding and per-message handler overhead
• Optimized OKX reconciliation report collection to reduce LiveNode main-thread stalls
• Optimized Tardis Machine decimal decoding
• Upgraded cargo-codspeed tool to v5.0.2
• Upgraded cargo-nextest tool to v0.9.146
• Upgraded markdownlint-cli2 tool and pre-commit hook to v0.23.3
• Upgraded osv-scanner tool to v2.6.0
• Upgraded prek tool to v0.5.3
• Upgraded uv tool and pre-commit hook to v0.12.19
• Upgraded typos pre-commit hook to v1.50.3
• Upgraded alloy crate to v2.5.0
• Upgraded clap crate to v4.6.7
• Upgraded codspeed-criterion-compat crate to v5.0.2
• Upgraded databento crate to v0.62.0
• Upgraded datafusion crate to v55.1.0
• Upgraded hyper-rustls crate to v0.27.10
• Upgraded jiff crate to v0.2.37
• Upgraded rand crate to v0.10.3
• Upgraded redis crate to v1.7.1
• Upgraded redb crate to v4.3.0
• Upgraded ruint crate to v1.20.1
• Upgraded rustls-platform-verifier crate to v0.7.1
• Upgraded smallvec crate to v1.16.2
• Upgraded sockudo-ws crate to v2.1.0
• Upgraded syn crate to v3.0.6
• Upgraded thiserror crate to v2.0.21
• Upgraded pandas package to v3.0.6
• Upgraded plotly package to v7.1.0
• Upgraded polars package (test) to v1.44.2
• Upgraded pytest-memray package (test) to v1.11.0
• Upgraded ruff package (dev) and pre-commit hook to v0.16.9
• Upgraded ty package (dev) to v0.0.83
• Upgraded uvicorn package (test) to v0.53.0

Documentation Updates

• Fixed LiveNodeBuilder::with_streaming_config docs, which said build() rejects streaming (#5115), thanks @faysou
• Fixed get_avg_px_qty_for_exposure docstring to name the last-touched price return value
• Fixed own_books_audit_interval_secs description to state which own-book orders the audit removes
• Fixed ParquetDataCatalog docs to state the 10,000 batch size and ZSTD level 1 defaults (#5111), thanks @Martingale42
• Fixed ParquetDataCatalog::list_parquet_files docs, which said subdirectories are not scanned
• Fixed OKX USDC activation guidance to call activate_feature only after a 54109 order rejection
• Documented the adapter config field layout convention in the developer guide
• Documented declined fill notification in the execution concepts guide
• Documented the order evidence adapters must give mass-status fill reports
• Documented own order book membership for emulated, quote-quantity, and external client orders
• Documented trader-scoped Postgres cache and the assign-account migration (#5070), thanks @utx0
• Documented shared order book recovery ownership and Lighter recovery limits
• Documented shared book snapshot defaults and live validation levels
• Documented legacy custom data layout migration
• Documented verified Parquet migration sources, removed fee columns, and cutover limits
• Documented streaming into a separate catalog and RotationConfig file rotation (#5115), thanks @faysou
• Documented v1 StreamingConfig migration to writer_path, catalog, and RotationConfig (#5115), thanks @faysou
• Documented HTTP client ambient proxy routing defaults and the use_system_proxy(false) opt-out
• Documented cache bars staying newest-first, with one time bar per timestamp (#5109), thanks @dfjmax
• Documented portfolio valuation of zero and negative prices the instrument allows (#5148), thanks @abhijeetvichare76
• Documented live shutdown reporting unresolved retained submissions (#5156), thanks @silarin
• Documented Architect AX repricing metadata, replacement recovery limits, and market data limitations
• Documented Architect AX order book recovery, snapshot deadlines, and the book stress harness
• Documented Betfair order book recovery, retry limits, and live recovery validation
• Documented Binance custom data catalog persistence
• Documented Binance side-filtered cancel-all selecting open orders only
• Documented Binance order book synchronization, recovery limits, and snapshot pacing
• Documented Bybit order book recovery, retry limits, and live recovery validation
• Documented Hyperliquid inferred-fill commissions as unset
• Documented Hyperliquid order book recovery, stale stream escalation, and the book stress harness
• Documented Hyperliquid reduce-only fill quantity clamps and fill history limits (#5203), thanks @XBeg9
• Documented Kraken spot cancel-all instrument scope and the 500-page report cap (#5044, #5062), thanks @zhaow-de
• Documented Kraken persisted currency migration and money precision changes (#5155), thanks @zhaow-de
• Documented that Kraken spot report requests warn at the page cap without marking incomplete (#5091), thanks @zhaow-de
• Documented Kraken scoped reads matching resolved instrument IDs (#5129), thanks @zhaow-de
• Documented Kraken spot margin entry averages as opening-only (#5065), thanks @zhaow-de
• Documented Kraken margin-only closed-lot reconciliation limits (#5185), thanks @zhaow-de
• Documented Lighter active and pending order limits by account tier
• Documented OKX order book recovery and retry limits
• Documented OKX opt-in submission retention and incomplete-recovery shutdown errors (#5178), thanks @silarin
• Documented OKX rejection reason format with venue error codes
• Documented Polymarket trade settlement, quarantine, and reconciliation precedence
• Documented Polymarket report settlement authority and fill-quantity caps
• Documented Polymarket GTD expiry mapping, immediate BUY cent budgets, and idle market sockets
• Documented Tardis CSV loaders skipping rows before the first snapshot (#5127), thanks @szpony
• Updated Databento and Tardis integration guides with new URL overrides
• Updated OKX Rust exec tester example to use cross margin

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