Release 1.189.0

See release notes.

.docker/nautilus_trader.dockerfile

@@ -4,7 +4,7 @@ ENV PYTHONUNBUFFERED=1 \
     PIP_NO_CACHE_DIR=off \
     PIP_DISABLE_PIP_VERSION_CHECK=on \
     PIP_DEFAULT_TIMEOUT=100 \
-    POETRY_VERSION=1.7.1 \
+    POETRY_VERSION=1.8.2 \
     POETRY_HOME="/opt/poetry" \
     POETRY_VIRTUALENVS_CREATE=false \
     POETRY_NO_INTERACTION=1 \

.pre-commit-config.yaml

@@ -82,7 +82,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.2.2
+    rev: v0.3.2
     hooks:
       - id: ruff
         args: ["--fix"]
@@ -111,7 +111,7 @@ repos:
         ]
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.8.0
+    rev: v1.9.0
     hooks:
       - id: mypy
         args: [

Makefile

@@ -70,12 +70,16 @@ docs-python: install-just-deps-all
 
 .PHONY: docs-rust
 docs-rust:
-	(cd nautilus_core && RUSTDOCFLAGS="--enable-index-page -Zunstable-options" cargo +nightly doc --no-deps)
+	(cd nautilus_core && RUSTDOCFLAGS="--enable-index-page -Zunstable-options --deny warnings" cargo +nightly doc --no-deps)
 
 .PHONY: clippy
 clippy:
 	(cd nautilus_core && cargo clippy --fix --all-targets --all-features -- -D warnings -W clippy::pedantic -W clippy::nursery -W clippy::unwrap_used -W clippy::expect_used)
 
+.PHONY: clippy-nightly
+clippy-nightly:
+	(cd nautilus_core && cargo +nightly clippy --fix --all-targets --all-features --allow-dirty --allow-staged -- -D warnings -W clippy::pedantic -W clippy::nursery -W clippy::unwrap_used -W clippy::expect_used)
+
 .PHONY: cargo-build
 cargo-build:
 	(cd nautilus_core && cargo build --release --all-features)

README.md

@@ -139,15 +139,15 @@ NautilusTrader is designed in a modular way to work with 'adapters' which provid
 connectivity to data providers and/or trading venues - converting their raw API
 into a unified interface. The following integrations are currently supported:
 
-| Name                                                      | ID                    | Type                    | Status                                                  | Docs                                                              |
-| :-------------------------------------------------------- | :-------------------- | :---------------------- | :------------------------------------------------------ | :---------------------------------------------------------------- |
-| [Betfair](https://betfair.com)                            | `BETFAIR`             | Sports betting exchange | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](https://docs.nautilustrader.io/integrations/betfair.html) |
-| [Binance](https://binance.com)                            | `BINANCE`             | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://docs.nautilustrader.io/integrations/binance.html) |
-| [Binance US](https://binance.us)                          | `BINANCE`             | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://docs.nautilustrader.io/integrations/binance.html) |
-| [Binance Futures](https://www.binance.com/en/futures)     | `BINANCE`             | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://docs.nautilustrader.io/integrations/binance.html) |
-| [Bybit](https://www.bybit.com)                            | `BYBIT`               | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/building-orange) |                                                                   |
-| [Databento](https://databento.com)                        | `DATABENTO`           | Data provider           | ![status](https://img.shields.io/badge/building-orange) |                                                                   |
-| [Interactive Brokers](https://www.interactivebrokers.com) | `INTERACTIVE_BROKERS` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](https://docs.nautilustrader.io/integrations/ib.html)      |
+| Name                                                      | ID                    | Type                    | Status                                                  | Docs                                                                |
+| :-------------------------------------------------------- | :-------------------- | :---------------------- | :------------------------------------------------------ | :------------------------------------------------------------------ |
+| [Betfair](https://betfair.com)                            | `BETFAIR`             | Sports betting exchange | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](https://docs.nautilustrader.io/integrations/betfair.html)   |
+| [Binance](https://binance.com)                            | `BINANCE`             | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://docs.nautilustrader.io/integrations/binance.html)   |
+| [Binance US](https://binance.us)                          | `BINANCE`             | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://docs.nautilustrader.io/integrations/binance.html)   |
+| [Binance Futures](https://www.binance.com/en/futures)     | `BINANCE`             | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://docs.nautilustrader.io/integrations/binance.html)   |
+| [Bybit](https://www.bybit.com)                            | `BYBIT`               | Crypto exchange (CEX)   | ![status](https://img.shields.io/badge/building-orange) |                                                                     |
+| [Databento](https://databento.com)                        | `DATABENTO`           | Data provider           | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](https://docs.nautilustrader.io/integrations/databento.html) |
+| [Interactive Brokers](https://www.interactivebrokers.com) | `INTERACTIVE_BROKERS` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://docs.nautilustrader.io/integrations/ib.html)        |
 
 Refer to the [Integrations](https://docs.nautilustrader.io/integrations/index.html) documentation for further details.
 

RELEASES.md

@@ -1,3 +1,33 @@
+# NautilusTrader 1.189.0 Beta
+
+Released on 15th March 2024 (UTC).
+
+### Enhancements
+- Implemented Binance order book snapshot rebuilds on websocket reconnect (see integration guide)
+- Added additional validations for `OrderMatchingEngine` (will now raise a `RuntimeError` when a price or size precision for `OrderFilled` does not match the instruments precisions)
+- Added `LoggingConfig.use_pyo3` option for pyo3 based logging initialization (worse performance but allows visibility into logs originating from Rust)
+- Added `exchange` field to `FuturesContract`, `FuturesSpread`, `OptionsContract` and `OptionsSpread` (optional)
+
+### Breaking Changes
+- Changed Arrow schema adding `exchange` field for `FuturesContract`, `FuturesSpread`, `OptionsContract` and `OptionsSpread`
+
+### Fixes
+- Fixed `MessageBus` handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)
+- Fixed `MessageBus` handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a `RuntimeError`)
+- Fixed `Throttler` handling of sending messages after messages have been dropped, thanks @davidsblom
+- Fixed `OrderBookDelta.to_pyo3_list` using zero precision from clear delta
+- Fixed `DataTransformer.pyo3_order_book_deltas_to_record_batch_bytes` using zero precision from clear delta
+- Fixed `OrderBookMbo` and `OrderBookMbp` integrity check when crossed book
+- Fixed `OrderBookMbp` error when attempting to add to a L1\_MBP book type (now raises `RuntimeError` rather than panicking)
+- Fixed Interactive Brokers connection error logging (#1524), thanks @benjaminsingleton
+- Fixed `SimulationModuleConfig` location and missing re-export from `config` subpackage
+- Fixed logging `StdoutWriter` from also writing error logs (writers were duplicating error logs)
+- Fixed `BinanceWebSocketClient` to [new specification](https://binance-docs.github.io/apidocs/futures/en/#websocket-market-streams) which requires responding to pings with a pong containing the pings payload
+- Fixed Binance Futures `AccountBalance` calculations based on wallet and available balance
+- Fixed `ExecAlgorithm` circular import issue for installed wheels (importing from `execution.algorithm` was a circular import)
+
+---
+
 # NautilusTrader 1.188.0 Beta
 
 Released on 25th February 2024 (UTC).

docs/api_reference/common.md

@@ -57,20 +57,3 @@
    :members:
    :member-order: bysource
 ```
-
-```{eval-rst}
-.. automodule:: nautilus_trader.common.throttler
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
-## Message Bus
-```{eval-rst}
-.. automodule:: nautilus_trader.common.msgbus
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```

docs/api_reference/index.md

@@ -16,7 +16,6 @@
    data.md
    execution.md
    indicators.md
-   infrastructure.md
    live.md
    model/index.md
    persistence.md

docs/concepts/data.md

@@ -5,10 +5,10 @@ a trading domain:
 
 - `OrderBookDelta` (L1/L2/L3) - Most granular order book updates
 - `OrderBookDeltas` (L1/L2/L3) - Bundles multiple order book deltas
+- `OrderBookDepth10` - Aggregated order book snapshot (10 levels per side)
 - `QuoteTick` - Top-of-book best bid and ask prices and sizes
 - `TradeTick` - A single trade/match event between counterparties
 - `Bar` - OHLCV 'bar' data, aggregated using a specific *method*
-- `Ticker` - General base class for a symbol ticker
 - `Instrument` - General base class for a tradable instrument
 - `VenueStatus` - A venue level status event
 - `InstrumentStatus` - An instrument level status event

docs/getting_started/index.md

@@ -12,7 +12,7 @@
 ```
 
 To get started with NautilusTrader you will need the following:
-- A Python environment with `nautilus_trader` installed
+- A Python environment with the `nautilus_trader` package installed
 - A way to launch Python scripts for backtesting and/or live trading (either from the command line, or jupyter notebook etc)
 
 ## [Installation](installation.md)

docs/getting_started/quickstart.md

@@ -37,7 +37,7 @@ First, download and load the data by running the next cell (this should take ~ 1
 
 ```bash
 !apt-get update && apt-get install curl -y
-!curl https://raw.githubusercontent.com/nautechsystems/nautilus_data/main/scripts/hist_data_to_catalog.py | python - 
+!curl https://raw.githubusercontent.com/nautechsystems/nautilus_data/main/nautilus_data/hist_data_to_catalog.py | python -
 ```
 
 ## Connecting to the ParquetDataCatalog
@@ -56,10 +56,10 @@ catalog.instruments()
 
 ## Writing a trading strategy
 
-NautilusTrader includes a handful of indicators built-in, in this example we will use a MACD indicator to 
-build a simple trading strategy. 
+NautilusTrader includes many indicators built-in, in this example we will use the MACD indicator to 
+build a simple trading strategy.
 
-You can read more about [MACD here](https://www.investopedia.com/terms/m/macd.asp), so this 
+You can read more about [MACD here](https://www.investopedia.com/terms/m/macd.asp), this 
 indicator merely serves as an example without any expected alpha. There is also a way of
 registering indicators to receive certain data types, however in this example we manually pass the received
 `QuoteTick` to the indicator in the `on_quote_tick` method.
@@ -167,9 +167,9 @@ class MACDStrategy(Strategy):
 
 ## Configuring Backtests
 
-Now that we have a trading strategy and data, we can begin to configure a backtest run! Nautilus uses a `BacktestNode` 
-to orchestrate backtest runs, which requires some setup. This may seem a little complex at first, 
-however this is necessary for the capabilities that Nautilus strives for.
+Now that we have a trading strategy and data, we can begin to configure a backtest run. 
+
+Nautilus uses a `BacktestNode` to orchestrate backtest runs, which requires some setup.
 
 To configure a `BacktestNode`, we first need to create an instance of a `BacktestRunConfig`, configuring the 
 following (minimal) aspects of the backtest:
@@ -178,7 +178,7 @@ following (minimal) aspects of the backtest:
 - `venues` - The simulated execution venues (exchanges or brokers) available in the backtest
 - `data` - The input data we would like to perform the backtest on
 
-There are many more configurable features which will be described later in the docs, for now this will get us up and running.
+There are many more configuration options which are described the docs, for now this will get us up and running.
 
 ## Venue
 
@@ -205,7 +205,7 @@ venue = BacktestVenueConfig(
 
 ## Instruments
 
-Second, we need to know about the instruments that we would like to load data for, we can use the `ParquetDataCatalog` for this:
+Second, we need to specify the instruments that we would like to load data for, we can use the `ParquetDataCatalog` for this:
 
 ```python
 instruments = catalog.instruments()
@@ -237,7 +237,7 @@ data = BacktestDataConfig(
 
 Then, we need a `BacktestEngineConfig` which represents the configuration of our core trading system.
 Here we need to pass our trading strategies, we can also adjust the log level 
-and configure many other components (however, it's also fine to use the defaults):
+and configure many other components (however, it's also fine to use the sensible defaults):
 
 Strategies are added via the `ImportableStrategyConfig`, which allows importing strategies from arbitrary files or 
 user packages. In this instance, our `MACDStrategy` is defined in the current module, which python refers to as `__main__`.