Release 1.134.0

See release notes.

.coveragerc

@@ -1,7 +1,7 @@
 [run]
 plugins = Cython.Coverage
 source = nautilus_trader
-omit = nautilus_trader/examples/*
+omit = nautilus_trader/adapters/binance*,nautilus_trader/adapters/ftx*,nautilus_trader/adapters/ib*,nautilus_trader/examples*
 
 [report]
 fail_under = 0

.gitignore

@@ -42,4 +42,5 @@ PERF.JSON
 *dask-worker-space*
 output.json
 .ipynb_checkpoints
-examples/backtest/notebooks/catalog
+examples/backtest/notebooks/catalog
+nautilus_trader/**/.gitignore

.pre-commit-config.yaml

@@ -31,22 +31,22 @@ repos:
         exclude: "nautilus_trader/adapters/betfair/parsing.py|nautilus_trader/adapters/betfair/execution.py|tests/integration_tests/adapters/betfair/test_kit.py"
 
   - repo: https://github.com/hadialqattan/pycln
-    rev: v1.0.3
+    rev: v1.1.0
     hooks:
       - id: pycln
         name: pycln (Python unused imports)
         exclude: "nautilus_trader/live/node.py|nautilus_trader/adapters/betfair/execution.py"
 
   - repo: https://github.com/psf/black
-    rev: 21.10b0
+    rev: 21.11b0
     hooks:
       - id: black
         args: [
             --line-length=100,
         ]
 
   - repo: https://github.com/pycqa/isort
-    rev: 5.10.0
+    rev: 5.10.1
     hooks:
       - id: isort
         args: [

README.md

@@ -43,7 +43,7 @@ including FX, Equities, Futures, Options, CFDs, Crypto and Betting - across mult
 - **Reliable:** Type safety through Cython. Redis backed performant state persistence.
 - **Flexible:** OS independent, runs on Linux, macOS, Windows. Deploy using Docker.
 - **Integrated:** Modular adapters mean any REST/FIX/WebSocket API can be integrated.
-- **Advanced:** Time-in-force options `GTD`, `IOC`, `FOK` etc, advanced order types and triggers, `post-only`, `reduce-only`, `hidden`. Contingency order lists including `OCO`, `OTO` etc.
+- **Advanced:** Time-in-force options `GTD`, `IOC`, `FOK` etc, advanced order types and triggers, `post-only`, `reduce-only`, and icebergs. Contingency order lists including `OCO`, `OTO` etc.
 - **Backtesting:** Run with multiple venues, instruments and strategies simultaneously using historical quote tick, trade tick, bar, order book and custom data with nanosecond resolution.
 - **Multi-venue:** Multiple venue capabilities facilitate market making and statistical arbitrage strategies.
 - **AI Agent Training:** Backtest engine fast enough to be used to train AI trading agents (RL/ES).

RELEASES.md

@@ -1,3 +1,24 @@
+# NautilusTrader 1.134.0 Beta - Release Notes
+
+Released on 22nd, November 2021
+
+## Breaking Changes
+- Changed `hidden` order option to `display_qty` to support iceberg orders.
+- Renamed `Trader.component_ids()` to `Trader.actor_ids()`.
+- Renamed `Trader.component_states()` to `Trader.actor_states()`.
+- Renamed `Trader.add_component()` to `Trader.add_actor()`.
+- Renamed `Trader.add_components()` to `Trader.add_actors()`.
+- Renamed `Trader.clear_components()` to `Trader.clear_actors()`.
+
+## Enhancements
+- Added initial implementation of Binance SPOT integration (beta stage testing).
+- Added support for display quantity/iceberg orders.
+
+## Fixes
+- Fixed `Actor` clock time advancement in backtest engine.
+
+---
+
 # NautilusTrader 1.133.0 Beta - Release Notes
 
 Released on 8th, November 2021

examples/live/binance_example.py → examples/live/binance_example_ema_cross.py

@@ -31,8 +31,8 @@
 # Configure the trading node
 config_node = TradingNodeConfig(
     trader_id="TESTER-001",
-    log_level="DEBUG",
-    cache_database=None,
+    log_level="INFO",
+    # cache_database=CacheDatabaseConfig(),
     data_clients={
         "BINANCE": {
             # "api_key": "YOUR_BINANCE_API_KEY",
@@ -61,10 +61,10 @@
 # Configure your strategy
 strat_config = EMACrossConfig(
     instrument_id="ETHUSDT.BINANCE",
-    bar_type="ETHUSDT.BINANCE-100-TICK-LAST-INTERNAL",
+    bar_type="ETHUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL",
     fast_ema_period=10,
     slow_ema_period=20,
-    trade_size=Decimal("0.01"),
+    trade_size=Decimal("0.005"),
     order_id_tag="001",
 )
 # Instantiate your strategy

examples/live/binance_example_market_maker.py

@@ -0,0 +1,85 @@
+#!/usr/bin/env python3
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2021 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------
+
+from decimal import Decimal
+
+from nautilus_trader.adapters.binance.factories import BinanceLiveDataClientFactory
+from nautilus_trader.adapters.binance.factories import BinanceLiveExecutionClientFactory
+from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMaker
+from nautilus_trader.examples.strategies.volatility_market_maker import VolatilityMarketMakerConfig
+from nautilus_trader.live.node import TradingNode
+from nautilus_trader.live.node import TradingNodeConfig
+
+
+# *** THIS IS A TEST STRATEGY WITH NO ALPHA ADVANTAGE WHATSOEVER. ***
+# *** IT IS NOT INTENDED TO BE USED TO TRADE LIVE WITH REAL MONEY. ***
+
+# Configure the trading node
+config_node = TradingNodeConfig(
+    trader_id="TESTER-001",
+    log_level="INFO",
+    # cache_database=CacheDatabaseConfig(),
+    data_clients={
+        "BINANCE": {
+            # "api_key": "YOUR_BINANCE_API_KEY",
+            # "api_secret": "YOUR_BINANCE_API_SECRET",
+            # "account_id": "YOUR_BINANCE_ACCOUNT_ID", (optional)
+            "sandbox_mode": False,  # If client uses the testnet
+        },
+    },
+    exec_clients={
+        "BINANCE": {
+            # "api_key": "YOUR_BINANCE_API_KEY",
+            # "api_secret": "YOUR_BINANCE_API_SECRET",
+            # "account_id": "YOUR_BINANCE_ACCOUNT_ID", (optional)
+            "sandbox_mode": False,  # If client uses the testnet,
+        },
+    },
+    timeout_connection=5.0,
+    timeout_reconciliation=5.0,
+    timeout_portfolio=5.0,
+    timeout_disconnection=5.0,
+    check_residuals_delay=2.0,
+)
+# Instantiate the node with a configuration
+node = TradingNode(config=config_node)
+
+# Configure your strategy
+strat_config = VolatilityMarketMakerConfig(
+    instrument_id="ETHUSDT.BINANCE",
+    bar_type="ETHUSDT.BINANCE-1-MINUTE-LAST-EXTERNAL",
+    atr_period=20,
+    atr_multiple=6.0,
+    trade_size=Decimal("0.01"),
+)
+# Instantiate your strategy
+strategy = VolatilityMarketMaker(config=strat_config)
+
+# Add your strategies and modules
+node.trader.add_strategy(strategy)
+
+# Register your client factories with the node (can take user defined factories)
+node.add_data_client_factory("BINANCE", BinanceLiveDataClientFactory)
+node.add_exec_client_factory("BINANCE", BinanceLiveExecutionClientFactory)
+node.build()
+
+
+# Stop and dispose of the node with SIGINT/CTRL+C
+if __name__ == "__main__":
+    try:
+        node.start()
+    finally:
+        node.dispose()

nautilus_trader/accounting/accounts/base.pxd

@@ -67,7 +67,7 @@ cdef class Account:
 # -- COMMANDS --------------------------------------------------------------------------------------
 
     cpdef void apply(self, AccountState event) except *
-    cpdef void update_balances(self, list balances) except *
+    cpdef void update_balances(self, list balances, bint allow_zero=*) except *
     cpdef void update_commissions(self, Money commission) except *
 
 # -- CALCULATIONS ----------------------------------------------------------------------------------

nautilus_trader/accounting/accounts/base.pyx

@@ -381,7 +381,7 @@ cdef class Account:
         self._events.append(event)
         self.update_balances(event.balances)
 
-    cpdef void update_balances(self, list balances) except *:
+    cpdef void update_balances(self, list balances, bint allow_zero=True) except *:
         """
         Update the account balances.
 
@@ -391,6 +391,9 @@ cdef class Account:
         Parameters
         ----------
         balances : list[AccountBalance]
+            The balances for the update.
+        allow_zero : bool, default True
+            If zero balances are allowed (will then just clear the assets balance).
 
         Raises
         ------
@@ -402,8 +405,19 @@ cdef class Account:
 
         cdef AccountBalance balance
         for balance in balances:
-            if balance.total.as_decimal() <= 0:
-                raise RuntimeError("account blow up (balance zero).")
+            total: Decimal = balance.total.as_decimal()
+            if total <= 0:
+                if total < 0:
+                    raise RuntimeError(
+                        f"account blow up (balance was {balance.total}).",
+                    )
+                if total == 0 and not allow_zero:
+                    raise RuntimeError(
+                        f"account blow up (balance was {balance.total}).",
+                    )
+                else:
+                    # Clear asset balance
+                    self._balances.pop(balance.currency, None)
             self._balances[balance.currency] = balance
 
     cpdef void update_commissions(self, Money commission) except *: