Release 1.185.0

RELEASES.md

@@ -1,3 +1,24 @@
+# NautilusTrader 1.185.0 Beta
+
+Released on 26th January 2024 (UTC).
+
+### Enhancements
+- Add warning log when `bypass_logging` is set true for a `LIVE` context
+- Improved `register_serializable object` to also add type to internal `_EXTERNAL_PUBLIHSABLE_TYPES`
+- Improved Interactive Brokers expiration contract parsing, thanks @fhill2
+
+### Breaking Changes
+- Changed `StreamingConfig.include_types` type from `tuple[str]` to `list[type]` (better alignment with other type filters)
+- Consolidated `clock` module into `component` module (reduce binary wheel size)
+- Consolidated `logging` module into `component` module (reduce binary wheel size)
+
+### Fixes
+- Fixed Arrow serialization of `OrderUpdated` (`trigger_price` type was incorrect), thanks @benjaminsingleton
+- Fixed `StreamingConfig.include_types` behavior (was not being honored for instrument writers), thanks for reporting @doublier1
+- Fixed `ImportableStrategyConfig` type assignment in `StrategyFactory` (#1470), thanks @rsmb7z
+
+---
+
 # NautilusTrader 1.184.0 Beta
 
 Released on 22nd January 2024 (UTC).
@@ -478,7 +499,7 @@ Released on 30th April 2023 (UTC).
 - Defined public API for instruments, can now import directly from `nautilus_trader.model.instruments` (denest namespace)
 - Defined public API for orders, can now import directly from `nautilus_trader.model.orders` (denest namespace)
 - Defined public API for order book, can now import directly from `nautilus_trader.model.orderbook` (denest namespace)
-- Now stripping debug symbols after build (reduced binary sizes)
+- Now stripping debug symbols after build (reduced binary wheel size)
 - Refined build and added additional `debug` Makefile convenience targets
 
 ### Fixes

docs/api_reference/common.md

@@ -12,16 +12,6 @@
    :member-order: bysource
 ```
 
-## Clock
-
-```{eval-rst}
-.. automodule:: nautilus_trader.common.clock
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
 ## Component
 
 ```{eval-rst}
@@ -60,16 +50,6 @@
    :member-order: bysource
 ```
 
-## Logging
-
-```{eval-rst}
-.. automodule:: nautilus_trader.common.logging
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-```
-
 ```{eval-rst}
 .. automodule:: nautilus_trader.common.providers
    :show-inheritance:

docs/concepts/adapters.md

@@ -27,7 +27,7 @@ Here is an example of discovering the current instruments for the Binance Future
 from nautilus_trader.adapters.binance.common.enums import BinanceAccountType
 from nautilus_trader.adapters.binance.factories import get_cached_binance_http_client
 from nautilus_trader.adapters.binance.futures.providers import BinanceFuturesInstrumentProvider
-from nautilus_trader.common.clock import LiveClock
+from nautilus_trader.common.component import LiveClock
 
 
 clock = LiveClock()

docs/concepts/execution.md

@@ -109,8 +109,8 @@ determine how a primary order is split into a series of spawned orders.
 ```python
 # 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("0.05"),
     fast_ema_period=10,
     slow_ema_period=20,

docs/concepts/logging.md

@@ -106,8 +106,8 @@ It's possible to use `Logger` objects directly, and these can be initialized any
 If you ***aren't*** using an object which already initializes a `NautilusKernel` (and logging) such as `BacktestEngine` or `TradingNode`, 
 then you can initialize a logging in the following way:
 ```python
-from nautilus_trader.common.logging import init_logging
-from nautilus_trader.common.logging import Logger
+from nautilus_trader.common.component import init_logging
+from nautilus_trader.common.component import Logger
 
 init_logging()
 logger = Logger("MyLogger")

docs/concepts/message_bus.md

@@ -77,11 +77,14 @@ your `TradingNodeConfig`. Each of these config options will be described below.
 message_bus=MessageBusConfig(
     database=DatabaseConfig(),
     encoding="json",
-    stream="streams",
-    use_instance_id=False,
     timestamps_as_iso8601=True,
-    types_filter=[QuoteTick, TradeTick],
+    buffer_interval_ms=100,
     autotrim_mins=30,
+    use_trader_prefix=True,
+    use_trader_id=True,
+    use_instance_id=False,
+    streams_prefix="streams",
+    types_filter=[QuoteTick, TradeTick],
 )
 ...
 ```
@@ -90,27 +93,6 @@ message_bus=MessageBusConfig(
 A `DatabaseConfig` must be provided, for a default Redis setup on the local
 loopback you can pass a `DatabaseConfig()`, which will use defaults to match.
 
-### Trader keys
-
-Trader keys are essential for identifying individual trader nodes and organizing messages within streams.
-They can be tailored to meet your specific requirements and use cases. In the context of message bus streams, a trader key is typically structured as follows:
-
-```
-{stream}:{trader_id}:{instance_id}
-```
-
-The following options are available for configuring trader keys:
-
-#### Stream
-The `stream` string allows you to group all streams for a single trader instance, or organize messages related to a group of trader instances.
-By configuring this grouping behavior, pass a string to the `stream` configuration option.
-
-#### Instance ID
-
-Each trader node is assigned a unique 'instance ID,' which is a UUIDv4. This instance ID helps distinguish individual traders when messages 
-are distributed across multiple streams. You can include the instance ID in the trader key by setting the `use_instance_id` configuration option to `True`.
-This is particularly useful when you need to track and identify traders across various streams in a multi-node trading system.
-
 ### Encoding
 
 Two encodings are currently supported by the built-in `Serializer` used by the `MessageBus`:
@@ -129,6 +111,36 @@ It's recommended to use `json` encoding for human readability when performance i
 By default timestamps are formatted as UNIX epoch nanosecond integers. Alternatively you can
 configure ISO 8601 string formatting by setting the `timestamps_as_iso8601` to `True`.
 
+### Message stream keys
+
+Message stream keys are essential for identifying individual trader nodes and organizing messages within streams.
+They can be tailored to meet your specific requirements and use cases. In the context of message bus streams, a trader key is typically structured as follows:
+
+```
+trader:{trader_id}:{instance_id}:{streams_prefix}
+```
+
+The following options are available for configuring message stream keys:
+
+#### Trader prefix
+
+If the key should begin with the `trader` string.
+
+#### Trader ID
+
+If the key should include the trader ID for the node.
+
+#### Instance ID
+
+Each trader node is assigned a unique 'instance ID,' which is a UUIDv4. This instance ID helps distinguish individual traders when messages 
+are distributed across multiple streams. You can include the instance ID in the trader key by setting the `use_instance_id` configuration option to `True`.
+This is particularly useful when you need to track and identify traders across various streams in a multi-node trading system.
+
+#### Streams prefix
+
+The `streams_prefix` string allows you to group all streams for a single trader instance, or organize messages related to a group of trader instances.
+By configuring this grouping behavior, pass a string to the `streams_prefix` configuration option (with other prefixes false).
+
 ### Types filtering
 
 When messages are published on the message bus, they are serialized and written to a stream, provided that a backing for the message bus has been configured and enabled.

docs/tutorials/backtest_low_level.md

@@ -29,6 +29,7 @@ from nautilus_trader.model.currencies import ETH
 from nautilus_trader.model.currencies import USDT
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
+from nautilus_trader.model.identifiers import TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import TradeTickDataWrangler
@@ -72,7 +73,7 @@ to show the general configuration pattern:
 
 ```python
 # Configure backtest engine
-config = BacktestEngineConfig(trader_id="BACKTESTER-001")
+config = BacktestEngineConfig(trader_id=TraderId("BACKTESTER-001"))
 
 # Build the backtest engine
 engine = BacktestEngine(config=config)
@@ -135,8 +136,8 @@ Firstly, initialize a strategy configuration, then use this to initialize a stra
 
 # Configure your strategy
 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/betfair_backtest_orderbook_imbalance.py

@@ -30,14 +30,15 @@
 from nautilus_trader.model.enums import BookType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import ClientId
+from nautilus_trader.model.identifiers import TraderId
 from nautilus_trader.model.objects import Money
 from tests.integration_tests.adapters.betfair.test_kit import BetfairDataProvider
 from tests.integration_tests.adapters.betfair.test_kit import betting_instrument
 
 
 if __name__ == "__main__":
     # Configure backtest engine
-    config = BacktestEngineConfig(trader_id="BACKTESTER-001")
+    config = BacktestEngineConfig(trader_id=TraderId("BACKTESTER-001"))
 
     # Build the backtest engine
     engine = BacktestEngine(config=config)

examples/backtest/crypto_ema_cross_ethusdt_trailing_stop.py

@@ -28,6 +28,7 @@
 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 TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import TradeTickDataWrangler
@@ -37,7 +38,7 @@
 
 if __name__ == "__main__":
     # Configure backtest engine
-    config = BacktestEngineConfig(trader_id="BACKTESTER-001")
+    config = BacktestEngineConfig(trader_id=TraderId("BACKTESTER-001"))
 
     # Build the backtest engine
     engine = BacktestEngine(config=config)

examples/backtest/crypto_ema_cross_with_binance_provider.py

@@ -25,7 +25,7 @@
 from nautilus_trader.adapters.binance.futures.providers import BinanceFuturesInstrumentProvider
 from nautilus_trader.backtest.engine import BacktestEngine
 from nautilus_trader.backtest.engine import BacktestEngineConfig
-from nautilus_trader.common.clock import LiveClock
+from nautilus_trader.common.component import LiveClock
 from nautilus_trader.config import InstrumentProviderConfig
 from nautilus_trader.config import LoggingConfig
 from nautilus_trader.examples.strategies.ema_cross_trailing_stop import EMACrossTrailingStop
@@ -35,6 +35,7 @@
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import InstrumentId
 from nautilus_trader.model.identifiers import Symbol
+from nautilus_trader.model.identifiers import TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
@@ -66,7 +67,7 @@ async def create_provider():
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
         logging=LoggingConfig(log_level="INFO"),
     )
 

examples/backtest/crypto_orderbook_imbalance.py

@@ -30,6 +30,7 @@
 from nautilus_trader.model.enums import BookType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.enums import book_type_to_str
+from nautilus_trader.model.identifiers import TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.loaders import BinanceOrderBookDeltaDataLoader
@@ -40,7 +41,7 @@
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
         # logging=LoggingConfig(log_level="DEBUG"),
     )
 

examples/backtest/fx_ema_cross_audusd_bars_from_ticks.py

@@ -29,6 +29,7 @@
 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 TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
@@ -39,7 +40,7 @@
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
     )
 
     # Build the backtest engine

examples/backtest/fx_ema_cross_audusd_ticks.py

@@ -30,6 +30,7 @@
 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 TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
@@ -40,7 +41,7 @@
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
     )
 
     # Build the backtest engine

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_external.py

@@ -32,6 +32,7 @@
 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 TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import BarDataWrangler
@@ -42,7 +43,7 @@
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
         logging=LoggingConfig(log_level="INFO"),
         risk_engine=RiskEngineConfig(
             bypass=True,  # Example of bypassing pre-trade risk checks for backtests

examples/backtest/fx_ema_cross_bracket_gbpusd_bars_internal.py

@@ -32,6 +32,7 @@
 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 TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
@@ -42,7 +43,7 @@
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
         logging=LoggingConfig(log_level="INFO"),
         risk_engine=RiskEngineConfig(
             bypass=True,  # Example of bypassing pre-trade risk checks for backtests

examples/backtest/fx_market_maker_gbpusd_bars.py

@@ -31,6 +31,7 @@
 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 TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
@@ -41,7 +42,7 @@
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
     )
 
     # Build the backtest engine

examples/backtest/fx_talib_gbpusd_bars_internal.py

@@ -29,6 +29,7 @@
 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 TraderId
 from nautilus_trader.model.identifiers import Venue
 from nautilus_trader.model.objects import Money
 from nautilus_trader.persistence.wranglers import QuoteTickDataWrangler
@@ -39,7 +40,7 @@
 if __name__ == "__main__":
     # Configure backtest engine
     config = BacktestEngineConfig(
-        trader_id="BACKTESTER-001",
+        trader_id=TraderId("BACKTESTER-001"),
         logging=LoggingConfig(log_level="INFO"),
         risk_engine=RiskEngineConfig(
             bypass=True,  # Example of bypassing pre-trade risk checks for backtests

examples/live/betfair/betfair.py

@@ -25,8 +25,8 @@
 from nautilus_trader.adapters.betfair.factories import get_cached_betfair_client
 from nautilus_trader.adapters.betfair.factories import get_cached_betfair_instrument_provider
 from nautilus_trader.adapters.betfair.providers import BetfairInstrumentProviderConfig
-from nautilus_trader.common.logging import init_logging
-from nautilus_trader.common.logging import log_level_from_str
+from nautilus_trader.common.component import init_logging
+from nautilus_trader.common.component import log_level_from_str
 from nautilus_trader.config import LoggingConfig
 from nautilus_trader.config import TradingNodeConfig
 from nautilus_trader.examples.strategies.orderbook_imbalance import OrderBookImbalance