Release 1.135.0

See release notes.

.pre-commit-config.yaml

@@ -38,7 +38,7 @@ repos:
         exclude: "nautilus_trader/live/node.py|nautilus_trader/adapters/betfair/execution.py"
 
   - repo: https://github.com/psf/black
-    rev: 21.11b0
+    rev: 21.12b0
     hooks:
       - id: black
         args: [
@@ -134,7 +134,7 @@ repos:
       - id: pydocstyle
         files: ^nautilus_trader/
         args:
-        - "--ignore=D100,D102,D103,D104,D107,D105,D200,D203,D205,D212,D400,D415"
+        - "--ignore=D100,D102,D103,D104,D107,D105,D200,D203,D205,D212,D400,D413,D415"
         additional_dependencies:
           - toml
 
@@ -171,4 +171,5 @@ repos:
 # D205: 1 blank line required between summary line and description (optional style)
 # D212: Multi-line docstring summary should start at the first line (optional style)
 # D400: First line should end with a period (not always a first line)
+# D413: Missing blank line after last section ('Parameters')
 # D415: First line should end with a period, question mark, or exclamation point (not always a first line)

README.md

@@ -30,19 +30,25 @@ NautilusTrader is an open-source, high-performance, production-grade algorithmic
 providing quantitative traders with the ability to backtest portfolios of automated trading strategies
 on historical data with an event-driven engine, and also deploy those same strategies live.
 
-NautilusTrader is AI/ML first, designed to deploy models for algorithmic trading strategies developed
+The platform is AI-first, designed to deploy models for algorithmic trading strategies developed
 using the Python ecosystem - within a highly performant and robust Python native environment.
+This helps to address the challenge of keeping the research/backtest environment consistent with the production
+live trading environment.
 
-The platform aims to be universal - with any REST/WebSocket/FIX API able to be integrated via modular
-adapters. Thus the platform can handle high-frequency trading operations for any asset classes
+NautilusTraders design, architecture and implementation philosophy holds software correctness and safety at the
+highest level, with the aim of supporting Python native, mission-critical, trading system backtesting
+and live deployment workloads.
+
+The platform is also universal and asset class agnostic - with any REST, WebSocket or FIX API able to be integrated via modular
+adapters. Thus, it can handle high-frequency trading operations for any asset classes
 including FX, Equities, Futures, Options, CFDs, Crypto and Betting - across multiple venues simultaneously.
 
 ## Features
 
 - **Fast:** C-level speed through Cython. Asynchronous networking with `uvloop`.
 - **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.
+- **Integrated:** Modular adapters mean any REST, WebSocket, or FIX API can be integrated.
 - **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.
@@ -51,32 +57,25 @@ including FX, Equities, Futures, Options, CFDs, Crypto and Betting - across mult
 
 ## Why NautilusTrader?
 
-One of the key value propositions of NautilusTrader is that it addresses the challenge of keeping
-the research/backtest environment consistent with the production live trading environment.
-
-Normally research and backtesting may be conducted in Python (or other suitable language), with
-trading strategies traditionally then needing to be reimplemented in C++/C#/Java or other statically
-typed language(s). The reasoning here is to enjoy the performance a compiled language can offer,
-along with the tooling and support which has made these languages historically more suitable for
-large enterprise systems.
+Traditionally, trading strategy research and backtesting might be conducted in Python (or other suitable language), with
+the models and/or strategies then needing to be reimplemented in C, C++, C#, Java or other statically
+typed language(s). The reasoning here is to utilize the performance and type safety a compiled language can offer,
+which has historically made these languages more suitable for large trading systems.
 
-The value of NautilusTrader here is that this re-implementation step is circumvented, as the
-platform was designed from the ground up to hold its own in terms of performance and quality.
-
-Python has simply caught up in performance (via Cython offering C-level speed) and general tooling,
-making it a suitable language for building a large system such as this. The benefit being that a
-Python native environment can be offered, suitable for professional quantitative traders and trading
-firms.
+The value of NautilusTrader here is that this reimplementation step is circumvented - as the critical core components of the platform
+have all been written entirely in Cython. Because Cython can generate efficient C code (which then compiles to C extension modules as native binaries),
+Python can effectively be used as a high-performance systems programming language - with the benefit being that a Python native environment can be offered which is suitable for
+professional quantitative traders and trading firms.
 
 ## Why Python?
 
 Python was originally created decades ago as a simple scripting language with a clean straight
 forward syntax. It has since evolved into a fully fledged general purpose object-oriented
-programming language. Not only that, Python has become the _de facto lingua franca_ of data science,
-machine learning, and artificial intelligence.
+programming language. Based on the TIOBE index, Python is currently the most popular programming language in the world. 
+Not only that, Python has become the _de facto lingua franca_ of data science, machine learning, and artificial intelligence.
 
 The language out of the box is not without its drawbacks however, especially in the context of
-implementing large systems. Cython has addressed a lot of these issues, offering all the advantages
+implementing large performance-critical systems. Cython has addressed a lot of these issues, offering all the advantages
 of a statically typed language, embedded into Pythons rich ecosystem of software libraries and
 developer/user communities.
 
@@ -116,6 +115,9 @@ To install the latest binary wheel from PyPI:
 
     pip install -U nautilus_trader
 
+To install on ARM architectures such as MacBook Pro M1 / Apple Silicon, this stackoverflow thread is useful:
+https://stackoverflow.com/questions/65745683/how-to-install-scipy-on-apple-silicon-arm-m1
+
 Refer to the [Installation Guide](https://docs.nautilustrader.io/getting-started/installation) for other options and further details.
 
 ## Examples

RELEASES.md

@@ -1,3 +1,24 @@
+# NautilusTrader 1.135.0 Beta - Release Notes
+
+Released 13th, December 2021
+
+## Breaking Changes
+- Renamed `match_id` to `trade_id`.
+
+## Enhancements
+- Added bars method to `DataCatalog`.
+- Improved parsing of Binance historical bars data.
+- Added `CancelAllOrders` command.
+- Added bulk cancel capability to Binance integration.
+- Added bulk cancel capability to Betfair integration.
+
+## Fixes
+- Fixed handling of `cpu_freq` call in logging for ARM architecture.
+- Fixed market order fill edge case for bar data
+- Fixed handling of `GenericData` in backtests.
+
+---
+
 # NautilusTrader 1.134.0 Beta - Release Notes
 
 Released on 22nd, November 2021

build.py

@@ -82,10 +82,7 @@ def _build_extensions() -> List[Extension]:
             language="c",
             extra_compile_args=extra_compile_args,
         )
-        for pyx in itertools.chain(
-            Path("examples").rglob("*.pyx"),
-            Path("nautilus_trader").rglob("*.pyx"),
-        )
+        for pyx in itertools.chain(Path("nautilus_trader").rglob("*.pyx"))
     ]
 
 

docs/source/api_reference/backtest.rst

@@ -3,6 +3,42 @@ Backtest
 
 .. automodule:: nautilus_trader.backtest
 
+Loaders
+-------
+
+.. automodule:: nautilus_trader.backtest.data.loaders
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Providers
+---------
+
+.. automodule:: nautilus_trader.backtest.data.providers
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Wranglers
+---------
+
+.. automodule:: nautilus_trader.backtest.data.wranglers
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
+Config
+------
+
+.. automodule:: nautilus_trader.backtest.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Data Client
 -----------
 
@@ -39,15 +75,6 @@ Execution
    :members:
    :member-order: bysource
 
-Loaders
--------
-
-.. automodule:: nautilus_trader.backtest.data.loaders
-   :show-inheritance:
-   :inherited-members:
-   :members:
-   :member-order: bysource
-
 Models
 ------
 
@@ -66,11 +93,20 @@ Modules
    :members:
    :member-order: bysource
 
-Wranglers
----------
+Backtest Node
+-------------
 
-.. automodule:: nautilus_trader.data.wranglers
+.. automodule:: nautilus_trader.backtest.node
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
+
+Results
+-------
+
+.. automodule:: nautilus_trader.backtest.results
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource

docs/source/api_reference/cache.rst

@@ -21,6 +21,15 @@ Cache
    :members:
    :member-order: bysource
 
+Config
+------
+
+.. automodule:: nautilus_trader.cache.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Database
 --------
 

docs/source/api_reference/common.rst

@@ -30,6 +30,15 @@ Component
    :members:
    :member-order: bysource
 
+Config
+------
+
+.. automodule:: nautilus_trader.common.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Factories
 ---------
 

docs/source/api_reference/data.rst

@@ -22,6 +22,15 @@ Client
    :members:
    :member-order: bysource
 
+Config
+------
+
+.. automodule:: nautilus_trader.data.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Engine
 ------
 

docs/source/api_reference/execution.rst

@@ -13,6 +13,15 @@ Client
    :members:
    :member-order: bysource
 
+Config
+------
+
+.. automodule:: nautilus_trader.execution.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Engine
 ------
 

docs/source/api_reference/infrastructure.rst

@@ -11,3 +11,12 @@ Cache
    :inherited-members:
    :members:
    :member-order: bysource
+
+Config
+------
+
+.. automodule:: nautilus_trader.infrastructure.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource

docs/source/api_reference/live.rst

@@ -4,6 +4,15 @@ Live
 .. automodule:: nautilus_trader.live
 
 
+Config
+------
+
+.. automodule:: nautilus_trader.live.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Data Client
 -----------
 

docs/source/api_reference/network.rst

@@ -7,7 +7,7 @@ Network
 HTTP Client
 -----------
 
-.. automodule:: nautilus_trader.network.http_client
+.. automodule:: nautilus_trader.network.http
    :show-inheritance:
    :inherited-members:
    :members:
@@ -25,7 +25,7 @@ Socket
 WebSocket Client
 ----------------
 
-.. automodule:: nautilus_trader.network.ws_client
+.. automodule:: nautilus_trader.network.websocket
    :show-inheritance:
    :inherited-members:
    :members:

docs/source/api_reference/risk.rst

@@ -4,6 +4,15 @@ Risk
 .. automodule:: nautilus_trader.risk
 
 
+Config
+------
+
+.. automodule:: nautilus_trader.risk.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Engine
 ------
 

docs/source/api_reference/trading.rst

@@ -4,6 +4,15 @@ Trading
 .. automodule:: nautilus_trader.trading
 
 
+Config
+------
+
+.. automodule:: nautilus_trader.trading.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Filters
 -------
 

docs/source/conf.py

@@ -78,13 +78,3 @@
 html_static_path = ["_static"]
 html_style = "css/nautilus.css"
 html_logo = "_static/img/nautilus-black.png"
-
-
-def skip(app, what, name, obj, would_skip, options):  # noqa
-    if name == "__init__":
-        return False
-    return would_skip
-
-
-def setup(app):  # noqa
-    app.connect("autodoc-skip-member", skip)