Release 1.136.0

See release notes.

.gitignore

@@ -1,3 +1,5 @@
+*.c
+*.h
 *.o
 *.so
 *.pyc

.pre-commit-config.yaml

@@ -1,7 +1,7 @@
 repos:
 
   - repo: https://github.com/pre-commit/pre-commit-hooks
-    rev: v4.0.1
+    rev: v4.1.0
     hooks:
       - id: forbid-new-submodules
       - id: fix-encoding-pragma
@@ -62,7 +62,7 @@ repos:
         ]
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v0.910-1
+    rev: v0.930
     hooks:
       - id: mypy
         args: [

Makefile

@@ -12,6 +12,7 @@ clean:
 	rm -rf .nox
 	rm -rf .pytest_cache
 	rm -rf build
+	rm -rf cython_debug
 	rm -rf dist
 	rm -rf docs/build
 	find . -name dask-worker-space -type d -exec rm -rf {} +

README.md

@@ -22,15 +22,16 @@
 
 - **Website:** https://nautilustrader.io
 - **Docs:** https://docs.nautilustrader.io
-- **Support:** info@nautechsystems.io
+- **Support:** [support@nautilustrader.io](mailto:support@nautilustrader.io)
+- **Discord:** https://discord.gg/VXv6byZZ
 
 ## Introduction
 
 NautilusTrader is an open-source, high-performance, production-grade algorithmic trading platform,
 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.
 
-The platform is AI-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.

RELEASES.md

@@ -1,3 +1,34 @@
+# NautilusTrader 1.136.0 Beta - Release Notes
+
+Released 29th, December 2021
+
+## Breaking Changes
+- Changed `subscribe_data(...)` method (`client_id` now optional).
+- Changed `unsubscribe_data(...)` method (`client_id` now optional).
+- Changed `publish_data(...)` method (added `data_type`).
+- Renamed `MessageBus.subscriptions` method param to `pattern`.
+- Renamed `MessageBus.has_subscribers` method param to `pattern`.`
+- Removed `subscribe_strategy_data(...)` method.
+- Removed `unsubscribe_strategy_data(...)` method.
+- Removed `publish_strategy_data(...)` method.
+- Renamed `CryptoSwap` to `CryptoPerpetual`.
+
+## Enhancements
+- Can now modify or cancel in-flight orders live and backtest.
+- Updated `CancelOrder` to allow None `venue_order_id`.
+- Updated `ModifyOrder` to allow None `venue_order_id`.
+- Updated `OrderPendingUpdate` to allow None `venue_order_id`.
+- Updated `OrderPendingCancel` to allow None `venue_order_id`.
+- Updated `OrderCancelRejected` to allow None `venue_order_id`.
+- Updated `OrderModifyRejected` to allow None `venue_order_id`.
+- Added `DataType.topic` string for improved message bus handling.
+
+## Fixes
+- Implemented comparisons for `DataType`, `BarSpecification` and `BarType`.
+- Fixed `QuoteTickDataWrangler.process_bar_data` with `random_seed`.
+
+---
+
 # NautilusTrader 1.135.0 Beta - Release Notes
 
 Released 13th, December 2021

build.py

@@ -18,10 +18,8 @@
 from setuptools import Extension
 
 
-# If DEBUG mode is enabled, skip compiler optimizations
+# If DEBUG mode is enabled, include traces necessary for coverage, profiling and skip optimizations
 DEBUG_MODE = bool(os.getenv("DEBUG_MODE", ""))
-# If PROFILING mode is enabled, include traces necessary for coverage and profiling
-PROFILING_MODE = bool(os.getenv("PROFILING_MODE", ""))
 # If ANNOTATION mode is enabled, generate an annotated HTML version of the input source files
 ANNOTATION_MODE = bool(os.getenv("ANNOTATION_MODE", ""))
 # If PARALLEL build is enabled, uses all CPUs for compile stage of build
@@ -48,8 +46,8 @@
     "language_level": "3",
     "cdivision": True,  # If division is as per C with no check for zero (35% speed up)
     "embedsignature": True,  # If docstrings should be embedded into C signatures
-    "profile": PROFILING_MODE,  # If we're profiling, turn on line tracing
-    "linetrace": PROFILING_MODE,
+    "profile": DEBUG_MODE,  # If we're debugging, turn on profiling
+    "linetrace": DEBUG_MODE,  # If we're debugging, turn on line tracing
     "warn.maybe_uninitialized": True,
 }
 
@@ -60,12 +58,12 @@ def _build_extensions() -> List[Extension]:
     # https://stackoverflow.com/questions/52749662/using-deprecated-numpy-api
     # From the Cython docs: "For the time being, it is just a warning that you can ignore."
     define_macros = [("NPY_NO_DEPRECATED_API", "NPY_1_7_API_VERSION")]
-    if PROFILING_MODE or ANNOTATION_MODE:
+    if DEBUG_MODE or ANNOTATION_MODE:
         # Profiling requires special macro directives
         define_macros.append(("CYTHON_TRACE", "1"))
 
     extra_compile_args = []
-    if platform.system() != "Windows":
+    if not DEBUG_MODE and platform.system() != "Windows":
         extra_compile_args.append("-O3")
         extra_compile_args.append("-pipe")
 
@@ -89,9 +87,9 @@ def _build_extensions() -> List[Extension]:
 def _build_distribution(extensions: List[Extension]) -> Distribution:
     # Build a Distribution using cythonize()
     # Determine the build output directory
-    if PROFILING_MODE:
-        # For subsequent annotation, the C source needs to be in
-        # the same tree as the Cython code.
+    if DEBUG_MODE:
+        # For subsequent debugging, the C source needs to be in
+        # the same tree as the Cython code (not in a separate build directory).
         build_dir = None
     elif ANNOTATION_MODE:
         build_dir = "build/annotated"
@@ -106,6 +104,7 @@ def _build_distribution(extensions: List[Extension]) -> Distribution:
                 compiler_directives=CYTHON_COMPILER_DIRECTIVES,
                 nthreads=os.cpu_count(),
                 build_dir=build_dir,
+                gdb_debug=DEBUG_MODE,
             ),
             zip_safe=False,
         )
@@ -130,7 +129,7 @@ def _copy_build_dir_to_project(cmd: build_ext) -> None:
     print("Copied all compiled '.so' dynamic library files into source")
 
 
-def build(setup_kwargs):
+def build() -> None:
     """Construct the extensions and distribution."""  # noqa
     # Create C Extensions to feed into cythonize()
     extensions = _build_extensions()
@@ -144,10 +143,9 @@ def build(setup_kwargs):
     cmd.ensure_finalized()
     cmd.run()
 
-    # Copy the build back into the project for packaging
-    _copy_build_dir_to_project(cmd)
-
-    return setup_kwargs
+    if not SKIP_BUILD_COPY:
+        # Copy the build back into the project for development and packaging
+        _copy_build_dir_to_project(cmd)
 
 
 if __name__ == "__main__":
@@ -156,7 +154,7 @@ def build(setup_kwargs):
     print("Nautilus Builder")
     print("=====================================================================\033[0m")
 
-    start_ts = datetime.utcnow()
+    ts_start = datetime.utcnow()
 
     # Work around a Cython problem in Python 3.8.x on macOS
     # https://github.com/cython/cython/issues/3262
@@ -184,12 +182,11 @@ def build(setup_kwargs):
 
     print("Starting build...")
     print(f"DEBUG_MODE={DEBUG_MODE}")
-    print(f"PROFILING_MODE={PROFILING_MODE}")
     print(f"ANNOTATION_MODE={ANNOTATION_MODE}")
     print(f"PARALLEL_BUILD={PARALLEL_BUILD}")
     print(f"SKIP_BUILD_COPY={SKIP_BUILD_COPY}")
     print("")
 
-    build({})
-    print(f"Build time: {datetime.utcnow() - start_ts}")
+    build()
+    print(f"Build time: {datetime.utcnow() - ts_start}")
     print("\033[32m" + "Build completed" + "\033[0m")

nautilus_trader/accounting/accounts/base.pyx

@@ -51,10 +51,12 @@ cdef class Account:
 
     def __repr__(self) -> str:
         cdef str base_str = self.base_currency.code if self.base_currency is not None else None
-        return (f"{type(self).__name__}("
-                f"id={self.id.value}, "
-                f"type={AccountTypeParser.to_str(self.type)}, "
-                f"base={base_str})")
+        return (
+            f"{type(self).__name__}("
+            f"id={self.id.value}, "
+            f"type={AccountTypeParser.to_str(self.type)}, "
+            f"base={base_str})"
+        )
 
 # -- QUERIES ---------------------------------------------------------------------------------------
 

nautilus_trader/adapters/betfair/client/exceptions.py

@@ -34,7 +34,7 @@ def __init__(self, code: str, message: str):
         self.kind = ERROR_CODES.get(message, {}).get("kind")
         self.reason = ERROR_CODES.get(message, {}).get("reason")
 
-    def __str__(self):
+    def __str__(self) -> str:
         return f"BetfairAPIError(code='{self.code}', message='{self.message}', kind='{self.kind}', reason='{self.reason}')"
 
 

nautilus_trader/adapters/ftx/common.py

@@ -16,4 +16,4 @@
 from nautilus_trader.model.identifiers import Venue
 
 
-FTX_VENUE = Venue("FTX_VENUE")
+FTX_VENUE = Venue("FTX")

nautilus_trader/adapters/ftx/http/client.py

@@ -162,7 +162,7 @@ async def get_trades(self, market: str) -> dict:
             url_path=f"markets/{market}/trades",
         )
 
-    async def get_account_info(self) -> dict:
+    async def get_account_info(self) -> Dict[str, Any]:
         return await self._sign_request(http_method="GET", url_path="account")
 
     async def get_open_orders(self, market: str = None) -> List[dict]: