Release 1.182.0

See release notes.

.github/workflows/build.yml

@@ -71,6 +71,12 @@ jobs:
       - name: Install build dependencies
         run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec
 
+      - name: Install TA-Lib (Linux)
+        if: runner.os == 'Linux'
+        run: |
+          make install-talib
+          poetry run pip install ta-lib
+
       - name: Setup cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v3

.github/workflows/coverage.yml

@@ -30,7 +30,6 @@ jobs:
         working-directory: ${{ github.workspace }}
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
-        if: (runner.os == 'Linux') || (runner.os == 'Windows')
         uses: actions-rust-lang/[email protected]
         with:
           toolchain: ${{ env.RUST_VERSION }}
@@ -54,6 +53,11 @@ jobs:
       - name: Install build dependencies
         run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec
 
+      - name: Install TA-Lib (Linux)
+        run: |
+          make install-talib
+          poetry run pip install ta-lib
+
       - name: Setup cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v3

.github/workflows/docker.yml

@@ -45,7 +45,7 @@ jobs:
 
       - name: Get branch name
         id: branch-name
-        uses: tj-actions/branch-names@v6
+        uses: tj-actions/branch-names@v7.0.7
 
       - name: Build nautilus_trader image (develop)
         if: ${{ steps.branch-name.outputs.current_branch == 'develop' }}

.github/workflows/docs.yml

@@ -59,7 +59,7 @@ jobs:
 
       - name: Get branch name
         id: branch-name
-        uses: tj-actions/branch-names@v6
+        uses: tj-actions/branch-names@v7.0.7
 
       - name: Build Python docs
         run: make docs-python

.gitignore

@@ -15,6 +15,8 @@
 *.key_secret
 *.sqlite
 *.env
+*.tar.gz*
+*.zip
 
 .benchmarks*
 .coverage*
@@ -41,6 +43,7 @@ env/
 log/
 logs/
 secrets/
+ta-lib/
 *temp/
 *target/
 venv*/

.pre-commit-config.yaml

@@ -73,7 +73,7 @@ repos:
         types: [python]
 
   - repo: https://github.com/psf/black
-    rev: 23.11.0
+    rev: 23.12.0
     hooks:
       - id: black
         types_or: [python, pyi]
@@ -82,13 +82,13 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.1.6
+    rev: v0.1.9
     hooks:
       - id: ruff
         args: ["--fix"]
 
   - repo: https://github.com/pycqa/isort
-    rev: 5.12.0
+    rev: 5.13.2
     hooks:
       - id: isort
         name: isort (cython)
@@ -111,7 +111,7 @@ repos:
         ]
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.7.1
+    rev: v1.8.0
     hooks:
       - id: mypy
         args: [

Makefile

@@ -130,6 +130,10 @@ pytest-coverage:
 test-examples:
 	bash scripts/test-examples.sh
 
+.PHONY: install-talib
+install-talib:
+	bash scripts/install-talib.sh
+
 .PHONY: init-db
 init-db:
 	(cd nautilus_core && cargo run --bin init-db)

README.md

@@ -14,10 +14,10 @@
 
 | Platform           | Rust    | Python |
 | :----------------- | :------ | :----- |
-| `Linux (x86_64)`   | 1.74.0+ | 3.10+  |
-| `macOS (x86_64)`   | 1.74.0+ | 3.10+  |
-| `macOS (arm64)`    | 1.74.0+ | 3.10+  |
-| `Windows (x86_64)` | 1.74.0+ | 3.10+  |
+| `Linux (x86_64)`   | 1.74.1+ | 3.10+  |
+| `macOS (x86_64)`   | 1.74.1+ | 3.10+  |
+| `macOS (arm64)`    | 1.74.1+ | 3.10+  |
+| `Windows (x86_64)` | 1.74.1+ | 3.10+  |
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io

RELEASES.md

@@ -1,3 +1,43 @@
+# NautilusTrader 1.182.0 Beta
+
+Released on 23rd December 2023 (UTC).
+
+### Enhancements
+- Added `CacheDatabaseFacade` and `CacheDatabaseAdapter` to abstract backing technology from Python codebase
+- Added `RedisCacheDatabase` implemented in Rust with separate MPSC channel thread for insert, update and delete operations
+- Added TA-Lib integration, thanks @rsmb7z
+- Added `OrderBookDelta` and `OrderBookDeltas` to serializable and publishable types
+- Moved `PortfolioFacade` to `Actor`
+- Improved `Actor` and `Strategy` usability to be more lenient to mistaken calls to `clock` and `logger` from the constructor (warnings also added to docs)
+- Removed `redis` and `hiredis` dependencies from Python codebase
+
+### Breaking Changes
+- Changed configuration objects to take stronger types as these are now serializable when registered (rather than primitives)
+- Changed `NautilusKernelConfig.trader_id` to type `TraderId`
+- Changed `BacktestDataConfig.instrument_id` to type `InstrumentId`
+- Changed `ActorConfig.component_id` to type `ComponentId | None`
+- Changed `StrategyConfig.strategy_id` to type `StrategyId | None`
+- Changed `Instrument`, `OrderFilled` and `AccountState` `info` field serialization due below fix (you'll need to flush your cache)
+- Changed `CacheConfig` to take a `DatabaseConfig` (better symmetry with `MessageBusConfig`)
+- Changed `RedisCacheDatabase` data structure for currencies from hashset to simpler key-value (you'll need to clear cache or delete all curreny keys)
+- Changed `Actor` state loading to now use the standard `Serializer`
+- Renamed `register_json_encoding` to `register_config_encoding`
+- Renamed `register_json_decoding` to `register_config_decoding`
+- Removed `CacheDatabaseConfig` (due above config change)
+- Removed `infrastructure` subpackage (now redundant with new Rust implementation)
+
+### Fixes
+- Fixed `json` encoding for `CacheDatabaseAdapter` from `info` field serialization fix below
+- Fixed `Instrument`, `OrderFilled` and `AccountState` `info` field serialization to retain JSON serializable dicts (rather than double encoding and losing information)
+- Fixed Binance Futures `good_till_date` value when `time_in_force` not GTD, such as when strategy is managing the GTD (was incorrectly passing through UNIX milliseconds)
+- Fixed `Executor` handling of queued task IDs (was not discarding from queued tasks on completion)
+- Fixed `DataEngine` handling of order book snapshots with very small intervals (now handles as short as 20 milliseconds)
+- Fixed `BacktestEngine.clear_actors()`, `BacktestEngine.clear_strategies()` and `BacktestEngine.clear_exec_algorithms()`, thanks for reporting @davidsblom
+- Fixed `BacktestEngine` OrderEmulator reset, thanks @davidsblom
+- Fixed `Throttler.reset` and reset of `RiskEngine` throttlers, thanks @davidsblom
+
+---
+
 # NautilusTrader 1.181.0 Beta
 
 Released on 2nd December (UTC).

build.py

@@ -277,15 +277,14 @@ def _strip_unneeded_symbols() -> None:
         print("Stripping unneeded symbols from binaries...")
         for so in itertools.chain(Path("nautilus_trader").rglob("*.so")):
             if platform.system() == "Linux":
-                strip_cmd = f"strip --strip-unneeded {so}"
+                strip_cmd = ["strip", "--strip-unneeded", so]
             elif platform.system() == "Darwin":
-                strip_cmd = f"strip -x {so}"
+                strip_cmd = ["strip", "-x", so]
             else:
                 raise RuntimeError(f"Cannot strip symbols for platform {platform.system()}")
             subprocess.run(
-                strip_cmd,
+                strip_cmd,  # type: ignore [arg-type] # noqa
                 check=True,
-                shell=True,  # noqa
                 capture_output=True,
             )
     except subprocess.CalledProcessError as e:

docs/api_reference/model/book.md

@@ -2,4 +2,8 @@
 
 ```{eval-rst}
 .. automodule:: nautilus_trader.model.book
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
 ```

docs/api_reference/model/data.md

@@ -2,4 +2,8 @@
 
 ```{eval-rst}
 .. automodule:: nautilus_trader.model.data
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
 ```

docs/concepts/message_bus.md

@@ -88,7 +88,7 @@ message_bus=MessageBusConfig(
 
 ### Database config
 A `DatabaseConfig` must be provided, for a default Redis setup on the local
-loopback, you can simple pass a `DatabaseConfig()` which will use defaults to match.
+loopback you can pass a `DatabaseConfig()`, which will use defaults to match.
 
 ### Trader keys
 

docs/concepts/strategies.md

@@ -39,6 +39,11 @@ class MyStrategy(Strategy):
         super().__init__()  # <-- the super class must be called to initialize the strategy
 ```
 
+```{warning}
+Do not call components such as `clock` and `logger` in the `__init__` constructor (which is prior to registration).
+This is because the systems clock and MPSC channel thread for logging have not yet been setup on initialization.
+```
+
 From here, you can implement handlers as necessary to perform actions based on state transitions
 and events.
 

docs/getting_started/installation.md

@@ -24,11 +24,10 @@ Install optional dependencies as 'extras' for specific integrations:
 - `betfair`: Betfair adapter
 - `docker`: Needed for Docker when using the IB gateway
 - `ib`: Interactive Brokers adapter
-- `redis`: Use Redis as a cache database
 
 To install with specific extras using _pip_:
 
-    pip install -U "nautilus_trader[docker,ib,redis]"
+    pip install -U "nautilus_trader[docker,ib]"
 
 ## From Source
 Installation from source requires the `Python.h` header file, which is included in development releases such as `python-dev`. 
@@ -75,4 +74,4 @@ To install a binary wheel from GitHub, first navigate to the [latest release](ht
 Download the appropriate `.whl` for your operating system and Python version, then run:
 
     pip install <file-name>.whl
-    
+

examples/backtest/betfair_backtest_orderbook_imbalance.py

@@ -78,7 +78,7 @@
     strategies = [
         OrderBookImbalance(
             config=OrderBookImbalanceConfig(
-                instrument_id=instrument.id.value,
+                instrument_id=instrument.id,
                 max_trade_size=Decimal(10),
                 order_id_tag=instrument.selection_id,
             ),

examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py

@@ -27,6 +27,7 @@
 from nautilus_trader.examples.strategies.ema_cross_twap import EMACrossTWAPConfig
 from nautilus_trader.model.currencies import ETH
 from nautilus_trader.model.currencies import USDT
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import Venue
@@ -71,8 +72,8 @@
 
     # Configure your strategy
     config = EMACrossTWAPConfig(
-        instrument_id=str(ETHUSDT_BINANCE.id),
-        bar_type="ETHUSDT.BINANCE-250-TICK-LAST-INTERNAL",
+        instrument_id=ETHUSDT_BINANCE.id,
+        bar_type=BarType.from_str("ETHUSDT.BINANCE-250-TICK-LAST-INTERNAL"),
         trade_size=Decimal("0.10"),
         fast_ema_period=10,
         slow_ema_period=20,

examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py

@@ -25,6 +25,7 @@
 from nautilus_trader.examples.strategies.ema_cross_trailing_stop import EMACrossTrailingStopConfig
 from nautilus_trader.model.currencies import ETH
 from nautilus_trader.model.currencies import USDT
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import Venue
@@ -63,8 +64,8 @@
 
     # Configure your strategy
     config = EMACrossTrailingStopConfig(
-        instrument_id=str(ETHUSDT_BINANCE.id),
-        bar_type="ETHUSDT.BINANCE-100-TICK-LAST-INTERNAL",
+        instrument_id=ETHUSDT_BINANCE.id,
+        bar_type=BarType.from_str("ETHUSDT.BINANCE-100-TICK-LAST-INTERNAL"),
         trade_size=Decimal("0.10"),
         fast_ema_period=10,
         slow_ema_period=20,

examples/backtest/crypto_ema_cross_with_binance_provider.py

@@ -31,6 +31,7 @@
 from nautilus_trader.config import LoggingConfig
 from nautilus_trader.examples.strategies.ema_cross_trailing_stop import EMACrossTrailingStop
 from nautilus_trader.examples.strategies.ema_cross_trailing_stop import EMACrossTrailingStopConfig
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import InstrumentId
@@ -97,7 +98,7 @@ async def create_provider():
 
     engine.add_instrument(instrument)
 
-    bar_type = f"{instrument_id.value}-1-MINUTE-BID-INTERNAL"
+    bar_type = BarType.from_str(f"{instrument_id.value}-1-MINUTE-BID-INTERNAL")
     wrangler = QuoteTickDataWrangler(instrument=instrument)
     ticks = wrangler.process_bar_data(
         bid_data=TestDataProvider().read_csv_bars("btc-perp-20211231-20220201_1m.csv"),
@@ -108,7 +109,7 @@ async def create_provider():
 
     # Configure your strategy
     config = EMACrossTrailingStopConfig(
-        instrument_id=str(instrument.id),
+        instrument_id=instrument.id,
         bar_type=bar_type,
         trade_size=Decimal("1"),
         fast_ema_period=10,

examples/backtest/crypto_orderbook_imbalance.py

@@ -88,7 +88,7 @@
 
     # Configure your strategy
     config = OrderBookImbalanceConfig(
-        instrument_id=str(BTCUSDT_BINANCE.id),
+        instrument_id=BTCUSDT_BINANCE.id,
         max_trade_size=Decimal("1.000"),
         min_seconds_between_triggers=1.0,
         book_type=book_type_to_str(book_type),

examples/backtest/fx_ema_cross_audusd_bars_from_ticks.py

@@ -26,6 +26,7 @@
 from nautilus_trader.examples.strategies.ema_cross import EMACross
 from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
 from nautilus_trader.model.currencies import USD
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import Venue
@@ -73,8 +74,8 @@
 
     # Configure your strategy
     config = EMACrossConfig(
-        instrument_id=str(AUDUSD_SIM.id),
-        bar_type="AUD/USD.SIM-1-MINUTE-MID-INTERNAL",
+        instrument_id=AUDUSD_SIM.id,
+        bar_type=BarType.from_str("AUD/USD.SIM-1-MINUTE-MID-INTERNAL"),
         fast_ema_period=10,
         slow_ema_period=20,
         trade_size=Decimal(1_000_000),

examples/backtest/fx_ema_cross_audusd_ticks.py

@@ -27,6 +27,7 @@
 from nautilus_trader.examples.strategies.ema_cross import EMACross
 from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
 from nautilus_trader.model.currencies import USD
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import Venue
@@ -84,8 +85,8 @@
 
     # Configure your strategy
     config = EMACrossConfig(
-        instrument_id=str(AUDUSD_SIM.id),
-        bar_type="AUD/USD.SIM-100-TICK-MID-INTERNAL",
+        instrument_id=AUDUSD_SIM.id,
+        bar_type=BarType.from_str("AUD/USD.SIM-100-TICK-MID-INTERNAL"),
         trade_size=Decimal(1_000_000),
         fast_ema_period=10,
         slow_ema_period=20,

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_external.py

@@ -106,8 +106,8 @@
 
     # Configure your strategy
     config = EMACrossBracketConfig(
-        instrument_id=str(GBPUSD_SIM.id),
-        bar_type="GBP/USD.SIM-1-MINUTE-BID-EXTERNAL",
+        instrument_id=GBPUSD_SIM.id,
+        bar_type=BarType.from_str("GBP/USD.SIM-1-MINUTE-BID-EXTERNAL"),
         fast_ema_period=10,
         slow_ema_period=20,
         bracket_distance_atr=3.0,

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_internal.py

@@ -29,6 +29,7 @@
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracket
 from nautilus_trader.examples.strategies.ema_cross_bracket import EMACrossBracketConfig
 from nautilus_trader.model.currencies import USD
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import Venue
@@ -93,8 +94,8 @@
 
     # Configure your strategy
     config = EMACrossBracketConfig(
-        instrument_id=str(GBPUSD_SIM.id),
-        bar_type="GBP/USD.SIM-5-MINUTE-BID-INTERNAL",
+        instrument_id=GBPUSD_SIM.id,
+        bar_type=BarType.from_str("GBP/USD.SIM-5-MINUTE-BID-INTERNAL"),
         fast_ema_period=10,
         slow_ema_period=20,
         bracket_distance_atr=3.0,