1.114.0

See release notes.

RELEASES.md

@@ -1,3 +1,28 @@
+# NautilusTrader 1.114.0 Beta - Release Notes
+
+**This release includes substantial breaking changes.**
+
+Further standardization of naming conventions along with internal refinements
+and fixes.
+
+## Breaking Changes
+- Rename `AmendOrder` to `UpdateOrder`.
+- Rename `OrderAmended` to `OrderUpdated`.
+- Rename `amend` and `amended` related methods to `update` and `updated`.
+- Rename `OrderCancelReject` to `OrderCancelRejected` (standardize tense).
+
+## Enhancements
+- Improve efficiency of data wrangling.
+- Simplify `Logger` and general system logging.
+- Add `stdout` and `stderr` log streams with configuration.
+- Add `OrderBookData` base class.
+
+## Fixes
+- Backtest handling of `GenericData` and `OrderBook` related data.
+- Backtest `DataClient` creation logic prevented client registering.
+
+---
+
 # NautilusTrader 1.113.0 Beta - Release Notes
 
 **This release includes substantial breaking changes.**

examples/live/ccxt-binance_ema_cross.py

@@ -43,17 +43,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

examples/live/ccxt-binance_market_maker.py

@@ -43,17 +43,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

examples/live/ccxt-bitmex_ema_cross.py

@@ -43,17 +43,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

examples/live/ccxt-bitmex_ema_cross_stop_entry_with_trail.py

@@ -43,17 +43,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

examples/live/ccxt-bitmex_market_maker.py

@@ -43,17 +43,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

examples/live/ccxt-bitmex_testnet_market_maker.py

@@ -43,17 +43,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

examples/live/ccxt-multi_exchange_ema_cross_stop_entry_with_trail.py

@@ -44,17 +44,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

examples/live/oanda_ema_cross.py

@@ -45,17 +45,13 @@
         "id_tag": "001",  # Used to ensure orders are unique for this trader
     },
     "system": {
+        "loop_debug": False,  # The event loop debug mode
         "connection_timeout": 5.0,  # Timeout for successful connections for all engine clients
         "disconnection_timeout": 5.0,  # Timeout for successful disconnection for all engine clients
         "check_residuals_delay": 5.0,  # How long to wait after stopping for residual events (secs)
     },
     "logging": {
-        "log_level_console": "INF",
-        "log_level_file": "DBG",
-        "log_level_store": "WRN",
-        "log_thread_id": False,
-        "log_to_file": False,
-        "log_file_dir": "logs/",
+        "level_stdout": "INF",
     },
     "exec_database": {
         "type": "redis",

nautilus_trader/adapters/ccxt/execution.pyx

@@ -143,12 +143,12 @@ cdef class CCXTExecutionClient(LiveExecutionClient):
         for order in orders_all:
             if order.is_completed_c():
                 continue
-            if order.venue.first() == self.name:
+            if order.instrument_id.venue.first() == self.name:
                 self._cached_orders[order.id] = order
                 self._cached_filled[order.id] = order.filled_qty.as_decimal()
 
         if self._client.check_required_credentials():
-            self._log.info("API credentials validated.", LogColor.GREEN)
+            self._log.info("API credentials validated.", color=LogColor.GREEN)
         else:
             self._log.error("API credentials missing or invalid.")
             self._log.error(f"Required: {self._client.required_credentials()}.")
@@ -209,7 +209,7 @@ cdef class CCXTExecutionClient(LiveExecutionClient):
         try:
             response = await self._client.fetch_order(
                 id=order.id.value,
-                symbol=order.symbol.value,
+                symbol=order.instrument_id.symbol.value,
             )
             # self._log.info(str(response), LogColor.BLUE)  # TODO: Development
         except CCXTError as ex:
@@ -285,7 +285,7 @@ cdef class CCXTExecutionClient(LiveExecutionClient):
             return reports  # TODO: Is this necessary??
 
         cdef list fills = [fill for fill in response if fill["order"] == order_id.value]
-        self._log.info(str(fills), LogColor.GREEN)  # TODO: Development
+        self._log.info(str(fills), color=LogColor.GREEN)  # TODO: Development
 
         if not fills:
             return reports
@@ -510,7 +510,7 @@ cdef class CCXTExecutionClient(LiveExecutionClient):
         try:
             # Submit order and await response
             await self._client.create_order(
-                symbol=order.symbol.value,
+                symbol=order.instrument_id.symbol.value,
                 type=OrderTypeParser.to_str(order.type).lower(),
                 side=OrderSideParser.to_str(order.side).lower(),
                 amount=str(order.quantity),
@@ -537,7 +537,7 @@ cdef class CCXTExecutionClient(LiveExecutionClient):
         try:
             await self._client.cancel_order(
                 id=order.id.value,
-                symbol=order.symbol.value,
+                symbol=order.instrument_id.symbol.value,
             )
         except CCXTError as ex:
             self._log_ccxt_error(ex, self._cancel_order.__name__)
@@ -765,7 +765,7 @@ cdef class BinanceCCXTExecutionClient(CCXTExecutionClient):
         try:
             # Submit order and await response
             await self._client.create_order(
-                symbol=order.symbol.value,
+                symbol=order.instrument_id.symbol.value,
                 type=order_type,
                 side=OrderSideParser.to_str(order.side),
                 amount=str(order.quantity),
@@ -870,7 +870,7 @@ cdef class BitmexCCXTExecutionClient(CCXTExecutionClient):
         try:
             # Submit order and await response
             await self._client.create_order(
-                symbol=order.symbol.value,
+                symbol=order.instrument_id.symbol.value,
                 type=order_type,
                 side=OrderSideParser.to_str(order.side).capitalize(),
                 amount=str(order.quantity),

nautilus_trader/adapters/ccxt/factories.pyx

@@ -96,15 +96,15 @@ cdef class CCXTDataClientFactory(LiveDataClientFactory):
 
         # Check required CCXT methods are available
         if not client.has.get("fetchTrades", False):
-            raise RuntimeError(f"CCXT `fetch_trades` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `fetch_trades` not available for {client.name}")
         if not client.has.get("fetchOHLCV", False):
-            raise RuntimeError(f"CCXT `fetch_ohlcv` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `fetch_ohlcv` not available for {client.name}")
         if not client.has.get("watchOrderBook", False):
-            raise RuntimeError(f"CCXT `watch_order_book` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `watch_order_book` not available for {client.name}")
         if not client.has.get("watchTrades", False):
-            raise RuntimeError(f"CCXT `watch_trades` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `watch_trades` not available for {client.name}")
         if not client.has.get("watchOHLCV", False):
-            raise RuntimeError(f"CCXT `watch_ohlcv` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `watch_ohlcv` not available for {client.name}")
 
         # Create client
         return CCXTDataClient(
@@ -184,15 +184,15 @@ cdef class CCXTExecutionClientFactory(LiveExecutionClientFactory):
 
         # Check required CCXT methods are available
         if not client.has.get("fetchTrades", False):
-            raise RuntimeError(f"CCXT `fetch_trades` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `fetch_trades` not available for {client.name}")
         if not client.has.get("fetchOHLCV", False):
-            raise RuntimeError(f"CCXT `fetch_ohlcv` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `fetch_ohlcv` not available for {client.name}")
         if not client.has.get("watchOrderBook", False):
-            raise RuntimeError(f"CCXT `watch_order_book` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `watch_order_book` not available for {client.name}")
         if not client.has.get("watchTrades", False):
-            raise RuntimeError(f"CCXT `watch_trades` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `watch_trades` not available for {client.name}")
         if not client.has.get("watchOHLCV", False):
-            raise RuntimeError(f"CCXT `watch_ohlcv` not available for {client.name}.")
+            raise RuntimeError(f"CCXT `watch_ohlcv` not available for {client.name}")
 
         # Get account identifier env variable or set default
         account_id_env_var = os.getenv(config.get("account_id", ""), "001")

nautilus_trader/adapters/oanda/data.pyx

@@ -601,7 +601,7 @@ cdef class OandaDataClient(LiveMarketDataClient):
         cdef dict res
         try:
             req = InstrumentsCandles(
-                instrument=instrument.symbol.value.replace('/', '_'),
+                instrument=instrument.id.symbol.value.replace('/', '_'),
                 params=params,
             )
             res = self._client.request(req)

nautilus_trader/backtest/data_container.pxd

@@ -15,10 +15,11 @@
 
 
 cdef class BacktestDataContainer:
+    cdef set _added_instrument_ids
     cdef readonly dict clients
     cdef readonly list generic_data
-    cdef readonly list order_book_snapshots
-    cdef readonly list order_book_operations
+    cdef readonly list books
+    cdef readonly list order_book_data
     cdef readonly dict instruments
     cdef readonly dict quote_ticks
     cdef readonly dict trade_ticks