NautilusTrader 1.196.0 Beta

NautilusTrader 1.196.0 Beta

Released on 5th July 2024 (UTC).

Enhancements

• Added request_order_book_snapshot method (#1745), thanks @graceyangfan
• Added order book data validation for BacktestNode when a venue book_type is L2_MBP or L3_MBO
• Added Bybit demo account support (set is_demo to True in configs)
• Added Bybit stop order types (STOP_MARKET, STOP_LIMIT, MARKET_IF_TOUCHED, LIMIT_IF_TOUCHED, TRAILING_STOP_MARKET)
• Added Binance venue option for adapter configurations (#1738), thanks @DevRoss
• Added Betfair amend order quantity support (#1687 and #1751), thanks @imemo88 and @limx0
• Added Postgres tests serial test group for nextest runner (#1753), thanks @filipmacek
• Added Postgres account persistence capability (#1768), thanks @filipmacek
• Refactored AccountAny pattern in Rust (#1755), thanks @filipmacek
• Changed DatabentoLiveClient to use new snapshot on subscribe feature
• Changed identifier generator time tag component to include seconds (affects new ClientOrderId, OrderId and PositionId generation)
• Changed <Arc<Mutex<bool>> to AtomicBool in Rust network crate, thanks @NextThread and @twitu
• Ported KlingerVolumeOscillator indicator to Rust (#1724), thanks @Pushkarm029
• Ported DirectionalMovement indicator to Rust (#1725), thanks @Pushkarm029
• Ported ArcherMovingAveragesTrends indicator to Rust (#1726), thanks @Pushkarm029
• Ported Swings indicator to Rust (#1731), thanks @Pushkarm029
• Ported BollingerBands indicator to Rust (#1734), thanks @Pushkarm029
• Ported VolatilityRatio indicator to Rust (#1735), thanks @Pushkarm029
• Ported Stochastics indicator to Rust (#1736), thanks @Pushkarm029
• Ported Pressure indicator to Rust (#1739), thanks @Pushkarm029
• Ported PsychologicalLine indicator to Rust (#1740), thanks @Pushkarm029
• Ported CommodityChannelIndex indicator to Rust (#1742), thanks @Pushkarm029
• Ported LinearRegression indicator to Rust (#1743), thanks @Pushkarm029
• Ported DonchianChannel indicator to Rust (#1744), thanks @Pushkarm029
• Ported KeltnerChannel indicator to Rust (#1746), thanks @Pushkarm029
• Ported RelativeVolatilityIndex indicator to Rust (#1748), thanks @Pushkarm029
• Ported RateOfChange indicator to Rust (#1750), thanks @Pushkarm029
• Ported MovingAverageConvergenceDivergence indicator to Rust (#1752), thanks @Pushkarm029
• Ported OnBalanceVolume indicator to Rust (#1756), thanks @Pushkarm029
• Ported SpreadAnalyzer indicator to Rust (#1762), thanks @Pushkarm029
• Ported KeltnerPosition indicator to Rust (#1763), thanks @Pushkarm029
• Ported FuzzyCandlesticks indicator to Rust (#1766), thanks @Pushkarm029

Breaking Changes

• Renamed Actor.subscribe_order_book_snapshots and unsubscribe_order_book_snapshots to subscribe_order_book_at_interval and unsubscribe_order_book_at_interval respectively (this clarifies the method behavior where the handler then receives OrderBook at a regular interval, distinct from a collection of deltas representing a snapshot)

Fixes

• Fixed LIMIT order fill behavior for L2_MBP and L3_MBO book types (was not honoring limit price as maker), thanks for reporting @dpmabo
• Fixed CashAccount PnL calculations when opening a position with multiple fills, thanks @Otlk
• Fixed msgspec encoding and decoding of Environment enum for NautilusKernelConfig
• Fixed OrderMatchingEngine processing by book type for quotes and deltas (#1754), thanks @davidsblom
• Fixed DatabentoDataLoader.from_dbn_file for OrderBookDeltas when as_legacy_cython=False
• Fixed DatabentoDataLoader OHLCV bar schema loading (incorrectly accounting for display factor0), thanks for reporting @faysou
• Fixed DatabentoDataLoader multiplier and round lot size decoding, thanks for reporting @faysou
• Fixed Binance order report generation active_symbols type miss matching (#1729), thanks @DevRoss
• Fixed Binance trade data websocket schemas (Binance no longer publish b buyer and a seller order IDs)
• Fixed BinanceFuturesInstrumentProvider parsing of min notional, thanks for the report @AnthonyVince
• Fixed BinanceSpotInstrumentProvider parsing of min and max notional
• Fixed Bybit order book deltas subscriptions for INVERSE product type
• Fixed Cache documentation for get (was the same as add), thanks for reporting @faysou