Released on TBD (UTC).

Enhancements

Breaking Changes

Security

Fixes

Internal Improvements

• Upgraded flate2 crate to v1.1.10
• Upgraded indexmap crate to v2.14.1
• Upgraded rcgen crate to v0.14.10
• Upgraded linkify-it-py package to v2.1.1

Documentation Updates

Deprecations

---

NautilusTrader 2.0.0rc4

Released on 2nd September 2026 (UTC).

Enhancements

• Added error reporting for strategies left running after a backtest ends (#4803), thanks @folknor
• Added client order ID options to Python GridMarketMakerConfig (#4822), thanks @mameikagou
• Added custom Python fee model support to simulation configs (#4806), thanks for reporting @gtalknitin
• Added instrument-scoped order fill-voided event topics
• Added Rust model handles for custom backtest margin and latency implementations
• Added live socket state events and targeted reconnect controls across adapters
• Added warnings for open orders excluded by the reconciliation lookback window (#4847), thanks @folknor
• Added Serializable support to OrderBookDeltas (#4889), thanks @abhijeetvichare76
• Added Lighter support for Robinhood Chain with deployment-specific venues and credentials
• Added OKX instrument cache reconciliation and WebSocket instrument updates
• Added Polymarket market descriptions to instrument.info (#4840), thanks for reporting @mystic-io
• Added Polymarket quote ticks from best_bid_ask market events
• Added Polymarket RTDS crypto TWAP custom data (#4843), thanks @seungpyoson
• Added matching engine controls to sandbox execution configs (#4813), thanks @graceyangfan

Breaking Changes

• Removed BitmexExecFactoryConfig; pass BitmexExecutionClientConfig directly to the factory
• Removed DatabentoLiveClientConfig; pass DatabentoDataClientConfig directly to the factory
• Removed DeriveExecFactoryConfig; pass DeriveExecutionClientConfig directly to the factory
• Removed HyperliquidExecFactoryConfig; pass HyperliquidExecutionClientConfig directly to the factory
• Removed trader_id from adapter execution client configs and factory construction
• Removed backtest settlement_prices configuration and setters; use InstrumentClose expiry data
• Removed low-level Python WebSocket clients and their dedicated request, error, and channel-control types from adapters
• Replaced Rust HttpClient, WebSocketClient, and SocketClient constructor overloads with builder APIs
• Renamed ImportableExecAlgorithmConfig to ImportableExecutionAlgorithmConfig
• Renamed LiveDataClientConfig to DataClientConfig
• Renamed LiveExecClientConfig to ExecutionClientConfig
• Renamed LiveExecEngineConfig to LiveExecutionEngineConfig
• Renamed ExecFactoryExtractor to ExecutionFactoryExtractor
• Renamed SimExecFactoryExtractor to SimulatedExecutionFactoryExtractor
• Renamed *ExecClientConfig types to *ExecutionClientConfig
• Renamed BetfairDataConfig to BetfairDataClientConfig
• Renamed BetfairExecConfig to BetfairExecutionClientConfig
• Changed Rust OrderSide to BUY or SELL; removed OrderSideSpecified; use Option if needed
• Changed Rust PositionSide to FLAT, LONG, or SHORT; removed PositionSideSpecified; use Option if needed
• Changed Rust ContingencyType, TrailingOffsetType, and TriggerType to use Option for absence
• Changed Rust backtest margin parameters to MarginModelHandle
• Changed Rust backtest latency parameters to LatencyModelHandle
• Changed contract expiry to use InstrumentClose.close_price for futures, binary contracts, and option close legs
• Changed omitted backtest leverage to 10x for margin and 1x for cash; set default_leverage=1 for prior behavior
• Changed Rust MarginModel implementations to require Send + Sync and name()
• Changed ExecutionManager::new to validate lookback bounds and return ConfigResult (#4809), thanks @folknor
• Changed Strategy.cancel_all_orders to associated orders by default (#4470), thanks for reporting @zurpet
• Changed ExecutionClientFactory::create to receive the node's TraderId
• Changed SimulatedExecutionClientFactory::create to receive the node's TraderId
• Changed adapter execution account configs to use account_id instead of factory arguments
• Changed adapter execution factories to use no-argument constructors
• Changed Lighter client configs (Rust); complete struct literals must add deployment and venue or use builders
• Changed Polymarket Gamma models to expose resolution metadata (#4842), thanks @seungpyoson
• Changed Polymarket REST reconciliation to reject unbound or invalid reports (#4831), thanks @seungpyoson

Security

• Added fail-closed Cargo dependency cooldown checks and transactional repair for both lockfiles, with portable GNU and BSD date handling
• Fixed foreign-instrument fills corrupting cached position state (#4802), thanks @folknor

Fixes

• Fixed active-local order modifications bypassing their execution algorithm (#4793), thanks @folknor
• Fixed execution algorithms submitting spawned orders with live emulation triggers (#4881), thanks @folknor
• Fixed trigger-carrying order modifications bypassing the order emulator (#4848), thanks @folknor
• Fixed Efficiency Ratio windowing and invalid Python input handling (#4807), thanks for reporting @staffordjh
• Fixed indicator string representations reporting fields out of order (#4816), thanks @s1amese2003
• Fixed own order book audits removing active-local orders
• Fixed stale order slippage after fill-void corrections
• Fixed StrategyConfig.manage_contingent_orders for open, non-active-local OTO, OCO, and OUO orders
• Fixed native strategy timers bypassing managed time-event routing (#4888), thanks for reporting @silarin
• Fixed rate-limit requests consuming quota before all applicable limits were available
• Fixed reconnect-buffered socket messages stalling or being overtaken by newer messages
• Fixed Python factory re-entry through LiveNodeBuilder causing process aborts
• Fixed live order snapshots not being persisted to PostgreSQL
• Fixed live position snapshots not being persisted to PostgreSQL
• Fixed partial late fills reopening canceled orders
• Fixed cloned execution event emitters dropping events after sender initialization (#4874), thanks @folknor
• Fixed BacktestEngine delayed orders using unrelated instrument prices (#4891), thanks for reporting @mdou7
• Fixed generate_missing_orders=False creating synthetic orders and fills (#4739), thanks for reporting @hashtagdenis
• Fixed Betfair CancelAllOrders side filters and large batch cancellation
• Fixed Betfair order and fill reconciliation with more than 250 market IDs
• Fixed Betfair stream readiness, liveness, subscription replay, and reconnect reconciliation
• Fixed Betfair modify recovery after ambiguous REST outcomes and instruction failures
• Fixed Betfair terminal order identity across reconnects, late fills, void corrections, and replacements
• Fixed Binance Futures fill reconciliation treating history outside venue retention as complete
• Fixed Binance Futures hedge-mode position reconciliation across REST snapshots and partial WebSocket fills
• Fixed Binance Futures whole-position exits denied by placeholder bounds (#4746), thanks for reporting @hashtagdenis
• Fixed Binance Spot and Futures execution reconciliation when no data client is configured
• Fixed Bybit option batch limits and WebSocket batch amend payloads
• Fixed Bybit rate limiting causing expired requests, venue rejections, and inconsistent order state
• Fixed Bybit scoped SPOT position reports and wallet balance fan-out (#4844), thanks @folknor
• Fixed Bybit WebSocket order book depth validation (#4823), thanks @Centaur-pub
• Fixed Deribit lazy-load subscriptions racing instrument cache updates
• Fixed Derive CancelAllOrders to use cached orders without refreshing venue state
• Fixed Hyperliquid execution disconnect cleanup
• Fixed Hyperliquid market order prices in order list submits
• Fixed Interactive Brokers adaptive limit orders parsed as market orders (#4830), thanks @mameikagou
• Fixed Interactive Brokers restored-order cancel callback routing (#4852), thanks @gapurov
• Fixed L2/L3 matching against deleted book touches (#4819), thanks @SoYuCry
• Fixed Lighter Plus and Premium quota metadata to match deployed account-tier limits
• Fixed Lighter Testnet orders by omitting mainnet-only integrator attribution (#4834), thanks @Buff2out
• Fixed OKX WebSocket submissions omitting reduceOnly (#4827), thanks for reporting @silarin
• Fixed OKX ambiguous submissions, subscription recovery, and triggered child reconciliation
• Fixed OKX conditional order identity, replay deduplication, and post-trigger cancellation
• Fixed Polymarket user WebSocket subscriptions to cover all account orders and trades
• Fixed Polymarket CancelAllOrders handling for empty caches and cross-strategy, instrument, and side scopes
• Fixed Polymarket FAK no-match batch responses missing OrderRejected events
• Fixed Polymarket market WebSocket heartbeats before initial subscription (#4864), thanks for reporting @mystic-io
• Fixed Polymarket position pagination returning incomplete results at the offset limit (#4811), thanks @seungpyoson
• Fixed Polymarket stale tick refreshes and mixed price precision (#4896), thanks for reporting @mystic-io
• Fixed Tardis incremental L2 batches ending on exchange timestamps (#4872), thanks for reporting @szpony

Internal Improvements

• Added Python memory leak checks for backtest, live node, model, and persistence lifecycles
• Added strict Clippy audit tooling
• Allowed DataActor implementations without native Component state
• Improved model type boundary regression coverage
• Improved nightly Clippy compatibility across Rust workspace checks
• Improved OrderBook regression coverage
• Improved Python Position lifecycle validation to raise ValueError for invalid fills
• Improved Architect AX and Bybit initial WebSocket retries and cancellation (#4867), thanks @folknor
• Improved Betfair stream lifecycle test synchronization (#4849), thanks @folknor
• Improved dYdX retry timeout test coverage (#4835), thanks @folknor
• Improved Lighter async task ownership across execution and WebSocket reconnects
• Improved Polymarket auto-load and data task ownership across reconnects
• Improved Polymarket reconciliation regression coverage (#4855), thanks @seungpyoson
• Refined model fixed-point validation and wallet scaling
• Refined OrderBook validation, snapshots, quotes, and display paths
• Refined Python actor setup across runtime paths
• Standardized Rust blocking locks on parking_lot
• Optimized BacktestEngine processing when simulation modules and liquidation are disabled
• Optimized IdsGenerator trade ID formatting
• Optimized MatchingEngine L1 pending order queue scans
• Optimized OrderMatchingEngine queue tracking and liquidity consumption
• Optimized OrderBook L1 level reuse
• Optimized risk, execution, and portfolio processing for accounts and positions with long histories
• Optimized Betfair subscription test teardown (#4837), thanks @folknor
• Optimized Hyperliquid startup reconciliation to skip inactive dexes (#4861), thanks for reporting @nah294
• Optimized Polymarket quote parsing across WebSocket inputs
• Upgraded Rust (MSRV) to 1.98.0
• Upgraded Miri to nightly-2026-08-23
• Upgraded cargo-hawk to v0.1.13
• Upgraded shellcheck-py pre-commit hook to v0.11.0.1-1
• Upgraded alloy crate to v2.4.1
• Upgraded alloy-primitives crate to v1.7.1
• Upgraded arrow crate to v59.2.0
• Upgraded arrow-row crate to v59.2.0
• Upgraded blake3 crate to v1.8.7
• Upgraded databento crate to v0.60.0
• Upgraded datafusion crate to v55.0.0
• Upgraded either crate to v1.18.0
• Upgraded log crate to v0.4.34
• Upgraded parquet crate to v59.2.0
• Upgraded uuid crate to v1.26.0
• Upgraded maturin build backend and package (dev) to v1.15.0
• Upgraded ruff package (dev) and pre-commit hook to v0.16.4
• Upgraded simplejson package (visualization) to v4.1.1
• Upgraded ty package (dev) to v0.0.74
• Upgraded uvicorn package (dev) to v0.52.4

Documentation Updates

• Updated maintained examples and tutorials for current APIs and removed unsupported variants
• Documented behavioral model dispatch and native model extension boundaries
• Documented Lighter Testnet account and API key setup
• Documented OKX instrument cache reconciliation and WebSocket update behavior
• Documented Polymarket quote sources and order book feed interaction
• Documented Polymarket RTDS crypto TWAP delivery, reconnect, and conflict handling
• Fixed broken OMS configuration link (#4877), thanks for reporting @aarushkandukoori

---

NautilusTrader 2.0.0rc3

Released on 20th August 2026 (UTC).

Enhancements

• Added dead-peer detection to every transport with a configured heartbeat, reconnecting when the peer stops sending
• Added TCP keepalive and Linux TCP_USER_TIMEOUT to all outbound connections, detecting half-open sockets in ~1 min
• Added HTTP CONNECT proxy support to the Sockudo WebSocket backend
• Added WebSocketConfig.heartbeat_timeout_secs so every connect entry point can set a liveness window
• Added a one-second floor on flapping reconnect attempts, keeping clients under venue connection-rate limits
• Added WalletAccount for native and token balances with local reservations
• Added PositionOpened realized PnL
• Added AccountState venue metadata
• Added canonical Rust backtest results with normalized projections, content digests, and stable ordering
• Added full Rust config parity for the Python testkit ExecTesterConfig
• Added Sum iterator support for owned and borrowed Quantity values (#4720), thanks @faysou
• Added Python v2 Redis message bus backing for LiveNode (#4630), thanks for reporting @davidgreyme
• Added Python v2 cache database backing for LiveNode (#4634), thanks for reporting @AlphaTraderK
• Added Python v2 LiveNode.run_async(), LiveNodeHandle, and NodeState for caller-owned event loops
• Added direct message bus backing installation through RedisMessageBusConfig
• Added LiveNode.start() warning when external message bus ingress requires run()
• Added trader start warning when load_state or save_state is enabled without a cache database backing
• Added runtime external-order claim registration and removal to Rust LiveNode (#4620), thanks @folknor
• Added INFO logs for socket and WebSocket connection loss and recovery (#4621), thanks @folknor
• Added Rust and Python SocketStateChanged events for Binance Futures, Lighter, and Polymarket live clients
• Added Coinbase heartbeat counter gap warnings, resetting after reconnect
• Added Deribit book summaries as requestable custom data (#4576), thanks @graceyangfan
• Added Derive fixed-window rate limits for global and per-instrument matching requests
• Added Hyperliquid socket-state reporting and reconnect_socket on data and execution WebSockets
• Added Hyperliquid user TWAP history and slice fills as opt-in custom data (#4674), thanks @graceyangfan
• Added Interactive Brokers support for canonical 21-character OPRA option IDs (#4774), thanks @xxxxxx-oss
• Added Lighter inbound liveness timeout and socket-state reporting on data and execution WebSockets
• Added Polymarket compute_effective_deltas config option to emit net changes for book snapshots (default False)
• Added Polymarket series_ids instrument provider scoping for Gamma market families (#4650), thanks @mystic-io
• Added Polymarket instrument bootstrap from a filters map or a registered InstrumentFilter without load_all
• Added Polymarket backtest fee model with per-market taker fees and maker credits

Breaking Changes

• Removed legacy v1 Cython package and root build path; use the Rust + PyO3 package
• Removed nautilus_trader.core.is_pycapsule; use normal Python type checks on model objects
• Removed model as_pycapsule methods and OrderBookDeltas.from_pycapsule; pass typed model objects directly
• Removed FFI features and static libraries outside nautilus-core and nautilus-model; use Rust or PyO3 APIs
• Removed cython-compat, Cython cbindgen configs, and drop_cvec_pycapsule; use PyO3 APIs
• Removed generic Python clients and support APIs from nautilus_trader.network; use adapter APIs or nautilus-network
• Removed LiveNode.poll() and Python LiveNode.start(); use hosted run_with_mode(...) or run_async()
• Removed nautilus_trader.data.OptionChainManager; use subscribe_option_chain and handle OptionChainSlice
• Removed Cache.actor_ids(), which always returned an empty set; use Rust Trader::actor_ids()
• Removed WebSocketClient::connect_with_heartbeat_timeout; set WebSocketConfig.heartbeat_timeout_secs instead
• Removed duck-typed object conversion from BacktestEngine.add_data; pass model objects directly
• Removed unused Rust SocketClient and WebSocketClient connection callbacks; use message or epoch handlers
• Removed Rust nautilus_execution::matching_engine::adapter::OrderEngineAdapter; use OrderMatchingEngine
• Removed Rust from_pyobject constructors from nautilus_model data types; use Bound::extract for the target type
• Removed Rust nautilus_core::CleanDrop and its drop module; implement Drop directly
• Removed Databento load_*_as_pycapsule methods; use the corresponding load_* methods
• Removed the trailing heartbeat_timeout parameter from the epoch-handler connect; set it on the config
• Replaced Rust nautilus_model::python::data::data_to_pycapsule with data_to_pyobject
• Renamed Portfolio.margins_init to instrument_initial_margins
• Renamed Portfolio.margins_maint to instrument_maintenance_margins
• Renamed Portfolio.is_flat to is_net_flat
• Renamed Portfolio.is_completely_flat to is_completely_net_flat
• Renamed AggressorSide Buyer/Seller variants to Buy/Sell and BUYER/SELLER members to BUY/SELL
• Renamed Cap'n Proto AggressorSide symbols to buy/sell, preserving ordinals
• Renamed PostgreSQL AGGRESSOR_SIDE labels to BUY/SELL; migrate with ALTER TYPE ... RENAME VALUE
• Changed Rust OrderMatchingEngine import to nautilus_execution::matching_engine::OrderMatchingEngine
• Changed Rust QueryResult and DataQueryResult to iterate Result items carrying a new QueryError
• Changed DataQueryResult iteration to return Python object lists instead of DataFFI capsules
• Changed adapter callbacks to receive typed model objects instead of PyCapsule objects
• Changed cache actor APIs to ActorId from ComponentId, covering CacheDatabaseAdapter actor state methods
• Changed Interactive Brokers historical tick responses and Tardis batch streams to provide typed model objects
• Changed portfolio statistic calculate_from_positions to require Position objects instead of duck-typed ones
• Changed AggressorSide string output from BUYER/SELLER to BUY/SELL for display, serde, and SQL encoding
• Changed WebSocketConfig.heartbeat to heartbeat_interval_secs and heartbeat_msg to heartbeat_payload
• Changed WebSocketConfig.reconnect_timeout_ms to connect_timeout_ms, which also bounds the initial dial
• Changed SocketConfig.heartbeat from a tuple to Option<SocketHeartbeat> with interval_secs and payload
• Changed SocketConfig.idle_timeout_ms to heartbeat_timeout_secs, matching the inbound silence it always detected
• Changed a configured heartbeat to imply dead-peer detection, defaulting heartbeat_timeout_secs to three intervals
• Changed the Sockudo backend to tunnel through a configured proxy_url instead of silently falling back to Tungstenite
• Changed WebSocket and socket clients to validate config on connect, so an invalid config now fails at startup
• Changed custom cache database adapters to require index_order_clients for live orders (#4797), thanks @xxxxxx-oss
• Changed Betfair stream_heartbeat_ms to stream_heartbeat_secs, now seconds rather than milliseconds (default 5)
• Changed Betfair stream_idle_timeout_ms to stream_heartbeat_timeout_secs, now seconds (default 60)
• Changed Binance spot and futures WebSocket API trading clients to send a keepalive, which they previously omitted
• Changed Bybit bybit_bar_spec_to_interval to take a BarAggregation instead of an integer
• Changed Bybit execution heartbeat_interval_secs default from 5 to 20, matching the documented cadence
• Changed Hyperliquid subscribe_book_deltas and subscribe_book_snapshots to take a BookType instead of an integer
• Changed OKX and dYdX Python WebSocket clients to default heartbeat to the venue cadence instead of None
• Changed Polymarket HeartbeatResponse::Acknowledged to carry a required chained ID
• Changed Polymarket Gamma game_id to a string on GammaMarket, GammaEvent, and instrument info
• Changed Polymarket Gamma and CLOB tick size fields from f64 to Decimal
• Changed Polymarket strict allowance decoding to require the plural allowances map (#4760), thanks @seungpyoson

Security

• Hardened development wheel publishing to validate exact artifacts and fail closed
• Pinned the direct alloy crate dependency to v2.2.0 to limit its larger supply-chain risk surface
• Fixed Rust network and WebSocket adapter logs that could expose credentials and payload contents
• Removed OrderBookDeltas.from_pycapsule, which reinterpreted unvalidated pointers and risked invalid memory access
• Fixed Hyperliquid client configs leaking private keys in Debug output

Fixes

• Fixed overflowing order fill raw sums becoming undefined quantities or panicking
• Fixed MarginAccount total margin getters panicking on out-of-range raw sums
• Fixed clocks accepting oversized timer intervals and unrepresentable first event times
• Fixed live timers firing up to 1 ms before their nominal deadlines
• Fixed LiveClock::default() missing time-event senders initialized after clock construction
• Fixed Python on_historical_data to receive CustomData response batches as a single list
• Fixed Cache::get_xrate for instrument symbols that do not use the BASE/QUOTE format
• Fixed market order risk checks to use cached bars and deny orders without a usable price
• Fixed Position average open price (avg_px_open) for exact closes after partial fills
• Fixed order list OrderInitialized events to carry order_list_id through publication, persistence, and replay
• Fixed Postgres cache restore dropping order tags and exec_algorithm_params
• Fixed Cache venue order ID alias indexing and purging during mass-status reconciliation
• Fixed failed live strategy registrations leaving orphaned external-order claims (#4620), thanks @folknor
• Fixed network controllers treating aborted reconnects as completed reconnections (#4623), thanks @folknor
• Fixed WebSocket pongs held across a reconnect being enqueued on the replacement connection (#4613), thanks @folknor
• Fixed Python v2 FeeModel subclass constructors and concrete model inheritance (#4640), thanks @dfjmax
• Fixed fee model panics from invalid Python inputs and decimal overflow (#4640), thanks @dfjmax
• Fixed malformed external message topics aborting Python v2 LiveNode (#4630), thanks for reporting @davidgreyme
• Fixed macOS ARM64 PyArrow SIGSEGVs (#4633, #4642), thanks for reporting @ZhongxuanWang; thanks @alex09x
• Fixed macOS Python allocator TLS collisions by selecting mimalloc v2 (#4758), thanks @faysou
• Fixed CashAccount aborts when reserving negative-price buy orders (#4725), thanks @folknor
• Fixed OrderBookDeltas::new_checked accepting child instrument mismatches (#4710), thanks @folknor
• Fixed Python MessageBus endpoint panics from empty, whitespace, or wildcard addresses
• Fixed synthetic formula parser stack overflows from unbounded nesting (#4723), thanks @folknor
• Fixed f32 logarithm approximation on non-positive and non-finite inputs (#4740), thanks @folknor
• Fixed margin models reserving a negative requirement for negative-price orders (#4751), thanks @folknor
• Fixed DeltaNeutralVol aborting when a rehedge quantity rounds to zero (#4752), thanks @folknor
• Fixed strategy config accepting GTD market exits, which later aborted flattening (#4762), thanks @folknor
• Fixed backtest BorrowMutError aborts when use_message_queue is disabled (#4763), thanks @folknor
• Fixed AMA reset history retention and Rust FuzzyCandlesticks output retention (#4666), thanks @mkzung
• Fixed ChandeMomentumOscillator returning values outside [-100, 100] for a zero gain average (#4667), thanks @mkzung
• Fixed portfolio PnL and net exposure currency when convert_to_account_base_currency is disabled
• Fixed portfolio realized PnL mixing snapshot and position exchange rates with use_mark_xrates enabled
• Fixed account state log throttling for events carrying an earlier ts_init
• Fixed catalog and session queries treating DataFusion decode failures as exhausted; Python now raises RuntimeError
• Fixed default execution mass status generation to compose granular reports (#4669), thanks @folknor
• Fixed Parquet custom data queries for Vec<u8> fields (#4670), thanks @TheoBabilon
• Fixed WebSocket pongs replaying on replacements via connection epoch binding (#4683), thanks @folknor
• Fixed backtest windows dropping boundary data and empty runs advancing time (#4685), thanks @folknor
• Fixed BetPosition average price and PnL after stake increases (#4684), thanks @folknor
• Fixed option expiry settlement dispatching partial legs and failing to retry missing prices (#4618), thanks @folknor
• Fixed simulated exchange order queries returning all orders for unknown instruments (#4687), thanks @folknor
• Fixed FixedRiskSizer omitting instrument contract multipliers (#4699), thanks @dfjmax
• Fixed cache resets retaining stale OptionGreeks values (#4701), thanks @folknor
• Fixed f32 exponential approximation outside its normal exponent range (#4709), thanks @folknor
• Fixed orderless position cache indexes and replayed flips (#4688), thanks @pengpengyi92
• Fixed event-store verify reporting a timeout when a large corrupt report filled the worker pipes
• Fixed event-store writer treating a zero channel capacity as a rendezvous that fail-stopped the run
• Fixed portfolio Greeks failing on closed positions (#4700), thanks @folknor
• Fixed AverageTrueRange ignoring its configured ma_type and always using a simple moving average
• Fixed Python MessageBus accepting empty or whitespace-only subscription patterns
• Fixed the OptionSeriesId Python constructor panicking on an invalid venue; it now raises ValueError
• Fixed Python BarSpecification panicking on oversized time intervals; construction now raises ValueError
• Fixed stale venue book snapshots logging one out-of-order warning per delta
• Fixed backtest timer callbacks inheriting the next data event's timestamp (#4747), thanks @faysou
• Fixed AverageTrueRange.reset() leaving the inner moving average populated (#4749), thanks @mkzung
• Fixed HTTP query parameters being dropped when the URL already has a fragment (#4750), thanks @folknor
• Fixed option constructors accepting a zero or negative strike price (#4745), thanks @folknor
• Fixed cache position updates applying the index change before the value write (#4767), thanks @folknor
• Fixed DeFi pool positions dropping fees when fee-growth counters wrap (#4768), thanks @folknor
• Fixed MovingAverageConvergenceDivergence input counting (#4779), thanks @mkzung
• Fixed WebSocket text heartbeats being replayed on the replacement connection
• Fixed startup reconciliation losing the source execution client for external orders (#4781), thanks @xxxxxx-oss
• Fixed cache order and position adds leaving partial indexes when persistence failed (#4783), thanks @folknor
• Fixed cache position updates recreating a partial entry for an unknown or purged ID (#4785), thanks @folknor
• Fixed purge retention minutes overflowing nanoseconds and panicking in timer callbacks (#4784), thanks @folknor
• Fixed stopped TWAP execution schedules never resuming their remaining slices (#4786), thanks @folknor
• Fixed purge timer setup panicking on oversized intervals (#4804), thanks @folknor
• Fixed Betfair stream reauthentication and subscription replay after session replacement
• Fixed Betfair rounding a sub-second stream heartbeat interval up instead of down
• Fixed Binance Spot HTTP submissions to use private-stream order events across reconnects
• Fixed Binance Futures hedge-mode positionSide for close_position exits (#4732), thanks @hashtagdenis
• Fixed Bybit REST and WebSocket order smpGroup string decoding (#4655), thanks for reporting @a-green-hand-jack
• Fixed Bybit open_only reports missing recently closed orders (#4765), thanks @NoiceHax
• Fixed Databento MBO snapshots advancing the incremental sequence (#4686), thanks @faysou
• Fixed Databento parent book-delta responses splitting by child instrument
• Fixed Deribit losing its set_heartbeat contract after reconnecting, disabling venue test_request for the session
• Fixed Derive cancel-only replacements and reused labels during order reconciliation
• Fixed Derive WebSocket recovery, subscription replay, and silent connection detection
• Fixed Derive fill commissions to construct exactly from wire decimals and error on unrepresentable fees
• Fixed Derive account state reporting collateral credit as locked and net health as margin requirements
• Fixed Derive denying unsupported orders only after OrderSubmitted
• Fixed Derive historical trade aggressor side and forward-price event times
• Fixed Hyperliquid historical candle timestamps and unfinished candle filtering (#4727), thanks @HKOWL
• Fixed Hyperliquid order and position reconciliation across standard and HIP-3 dexes
• Fixed Hyperliquid WebSocket reconnect events being swallowed after resubscription
• Fixed Hyperliquid oid queries dropping the known client order ID
• Fixed Hyperliquid REST user fills dropping venue tid and builderFee
• Fixed Hyperliquid historical order and order-status parsing for FrontendMarket and LiquidationMarket TIF
• Fixed Interactive Brokers continuous futures historical bar requests (#4664), thanks @dfjmax
• Fixed Interactive Brokers deactivated open-order processing
• Fixed Interactive Brokers delayed market data not emitting QuoteTick values (#4719), thanks @faysou
• Fixed Interactive Brokers local modify and cancel rejection event emission (#4564), thanks for reporting @davidgreyme
• Fixed Lighter startup reconciliation for bounded fill history, incomplete coverage, and restored fills
• Fixed Lighter acknowledged creates, position snapshot versus incremental updates
• Fixed OKX margin reconciliation omitting SPOT orders and fills (#4743), thanks @silarin
• Fixed OKX QueryOrder routing for algo and regular orders (#4731), thanks @silarin
• Fixed OKX algo child dispatch and triggered conditional query recovery
• Fixed OKX retryable and timeout command failures being treated as venue rejections
• Fixed Polymarket commissions to preserve exact decimal values in Money construction
• Fixed Polymarket maker fill ownership and reported mass-status trade drops (#4662), thanks @seungpyoson
• Fixed Polymarket WebSocket asset and discovery subscription replay across reconnects
• Fixed Polymarket market subscriptions to explicitly request initial book snapshots
• Fixed Polymarket buffered fills after terminal status leaving orders PartiallyFilled and dropping expiry fills
• Fixed Polymarket HTTP rejection reasons carrying the raw JSON body instead of the venue message
• Fixed Polymarket WebSocket FAK and FOK BUY sizes reported as the signed pUSD maker amount
• Fixed Polymarket order-safety heartbeat routing, ID chaining, rate-limit retries, and safety deadlines
• Fixed Polymarket order book snapshots accepting divergent data with invalid venue hashes
• Fixed Polymarket compact book snapshots being dropped when hash preimage fields are absent
• Fixed Polymarket open markets being removed from live state after endDate (#4706), thanks @mystic-io
• Fixed Polymarket Gamma pagination for composite gameId sports markets (#4771), thanks for reporting @jamesjklin
• Fixed Polymarket treating HTTP 425 and non-CLOB 429 submit failures as definitive rejections
• Fixed Polymarket WebSocket application heartbeat liveness
• Fixed Polymarket terminal condition retirement repeating every poll cycle
• Fixed Polymarket auto-load dropping open markets omitted from the default Gamma lookup (#4728), thanks @mystic-io
• Fixed Polymarket allowance decoding accepting duplicate spender keys (#4760), thanks @seungpyoson
• Fixed Polymarket FIFO replay evicting still-active order identity and fill state
• Fixed Polymarket unsent and rejected cancels remaining in flight
• Fixed Polymarket user channel dropping batched messages on unknown event types (#4794), thanks @yashwardhan-gautam
• Fixed Polymarket partial GTC fills not reaching a terminal order status (#4795), thanks @yashwardhan-gautam
• Fixed Polymarket pagination accepting stalled or repeated cursors (#4800), thanks @seungpyoson
• Fixed Tardis CSV funding rates dropping next_funding_ns without a predicted rate
• Fixed Tardis Machine funding rates omitting next_funding_ns
• Fixed Tardis Machine heartbeats continuing after the stream ended

Internal Improvements

• Added From conversions from ActorId, ExecAlgorithmId, and StrategyId to ComponentId
• Improved native backtest workload coverage for canonical result checks
• Improved indicator test tolerances across floating-point magnitudes (#4718, #4742), thanks @mkzung
• Improved published-registry verifier tests to ignore fork metadata (#4715), thanks @xxxxxx-oss
• Improved Coinbase request tests by removing redundant waits (#4637), thanks @pengpengyi92
• Improved WebSocket reconnect replay to drop Ping, Pong, and Close frames instead of resending them
• Improved network crate tests for retries, rate limits, mutual TLS, HTTP, socket reconnects, and WebSocket messages
• Improved Polymarket order response tests for the tradeIDs matched shape and batch submission legs
• Improved Polymarket on-chain approval-plan sharing and test coverage (#4773), thanks @seungpyoson
• Improved Tardis tests with OKX X-Perp and USDC index migration fixtures
• Refactored the Redis cache adapter to delegate deletions and custom data writes to RedisCacheDatabase (Rust)
• Refined CI, build, and dependency configuration after the v1 removal
• Replaced Chrono and Chrono-TZ with Jiff and bundled TZDB data (#4639), thanks @sunlei
• Standardized remaining risk engine order-denied reasons to coded values (#4744), thanks @folknor
• Standardized order command failure classification with shared CommandFailure for Architect AX, Bybit, and Kraken
• Standardized OKX order command failure classification with the shared CommandFailure type
• Standardized Polymarket submit and cancel HTTP failures with CommandFailure
• Standardized Polymarket local order denials to coded OrderDeniedReason values
• Optimized pre-commit and local validation by reusing build artifacts and skipping unchanged checks, thanks @faysou
• Optimized Hyperliquid allMids projection to update on subscribe instead of every message
• Optimized Polymarket interleaved price-change dispatch and timestamp parsing
• Updated concept and tutorial docs to describe current Rust and PyO3 behavior after the v1 removal
• Upgraded Python and workflow tools: uv v0.12.5, pypi-attestations v0.0.30, and zizmor v1.29.0
• Upgraded Python lockfile dependencies: numpy v2.5.2, platformdirs v4.11.2, librt v0.15.0, and soupsieve v2.9.2
• Upgraded Rust development tools: cargo-hawk v0.1.12, cargo-nextest v0.9.143, and Miri nightly-2026-08-14
• Upgraded cargo-llvm-cov to v0.9.0
• Upgraded flamegraph to v0.6.14
• Upgraded prek to v0.4.14 and osv-scanner to v2.5.1
• Upgraded async-trait crate to v0.1.92
• Upgraded aws-lc-rs crate to v1.18.0
• Upgraded base64 crate to v0.23.1 with only its safe std feature enabled
• Upgraded blake3 crate to v1.8.6
• Upgraded bollard crate to v0.21.1
• Upgraded capnp and capnpc crates to v0.27.0 and regenerated schema bindings
• Upgraded clap crate to v4.6.6
• Upgraded databento crate to v0.58.0
• Upgraded futures and futures-util crates to v0.3.34
• Upgraded http crate to v1.5.0
• Upgraded ibapi crate to v3.3.0
• Upgraded pem crate to v4.0.0 to align with the current Base64 API
• Upgraded pyo3 crate to v0.29.2 for object-lifetime, free-threading, and compatibility fixes
• Upgraded rcgen crate to v0.14.9
• Upgraded redb crate to v4.2.0
• Upgraded redis crate to v1.6.0
• Upgraded thiserror crate to v2.0.20
• Upgraded time crate to v0.3.55
• Upgraded toml crate to v1.1.4
• Upgraded uuid crate to v1.24.1

Documentation Updates

• Added Python concept guidance for runtime ownership, public APIs, and hosted live execution
• Added thousands separators to adapter config-table quantity values
• Consolidated Python v2 integration guides and examples on canonical paths
• Corrected the Rust DataTester book depth support note in the data testing spec
• Documented external Redis message fields and Python custom-data registration
• Documented order book out-of-order update and stale snapshot reporting behavior
• Documented Polymarket command-failure classes and coded local denial reasons
• Documented Hyperliquid reconnect event forwarding, dead-peer timeout, and socket-state endpoints
• Documented the transient startup position-check race in the Lighter integration guide
• Fixed broken README links on PyPI (#4644, #4648), thanks for reporting @ZhongxuanWang; thanks @xxxjqm

Deprecations

• Deprecated BUYER/SELLER serialization input for AggressorSide; use BUY/SELL (removal in a future release)

---

NautilusTrader 1.231.0 Beta

Released on 2nd August 2026 (UTC).

NautilusTrader v2 transition notice

This release is intended to be the final NautilusTrader 1.x release with support for the legacy Cython v1 core. If final validation finds a serious blocker, maintainers may take another 1.x release rather than force the cutover.

The v2 Rust + PyO3 runtime has reached the release-candidate stage for the supported workflows: Python strategy authoring, backtesting, live operation, core risk and execution, portfolio/accounting, data catalog usage, and the current adapter set. Some lower-use and newer surfaces remain deferred, and those are tracked in the v2 roadmap rather than treated as blockers for the cutover.

After this release, develop will move to v2-only. The legacy v1 core will move to a develop_v1 branch, where maintainers will accept critical security backports for approximately three months after the v2 cutover. New feature work will target v2.

The paired 2.0.0rc2 wheels are being released alongside 1.231.0 for community testing with normal --pre installation. Follow-up 2.0.0rcN wheels are likely to ship at a higher cadence than normal releases as feedback arrives, before the final 2.0.0 release.

Migration contracts

The v2 cutover makes the Rust + PyO3 package the primary path for new installs and source builds. In the current checkout it lives under python/ and uses python/.venv; the root package and root .venv still provide the legacy v1 Cython environment. Both packages import as nautilus_trader, so test the migration in a separate virtual environment. See Migrate from v1 to v2 for the current imports and build commands.

The accepted v2 contract differences are native CustomData without v1 wrapper semantics, OptionGreeks cache writes, no Python Bar.is_revision, and a cross-zero Position.apply entry price that resets to the flipping fill. V2 also prefers mark prices by default. Catalog order-event data written before activation_price and OrderFilled.info were added is not readable with the new schema and must be regenerated or migrated before an in-place upgrade. OrderFillVoided replay requires the referenced fill locally before reopening and treats VOIDED as terminal. Regenerate v2 order streams that contain a reopened correction before its referenced fill, or a cancel or update after VOIDED.

The migration guide includes the v1-to-v2 identifier, collection, lifecycle, callback, subscription, historical-batch, and removed-hook mappings. Typed historical requests use batch callbacks; generic custom data continues through on_historical_data.

Cutover limits

The supported cutover workflows cover Python strategies, actors, backtests, live nodes, core risk and execution, portfolio/accounting, data catalogs, reports, tearsheets, and the current Rust-backed adapter set. The following limits remain deferred:

• Python request callbacks omit v1 joined-response, pending cleanup, and late or duplicate delivery conveniences.
• PostgreSQL cache position and synthetic loads, actor and strategy state persistence, and heartbeat.
• External message-bus publication of serialized order and position snapshots.
• V1 StreamingConfig and DataCatalogConfig iterator wiring on the v2 BacktestNode.
• V1 adapter instrument-provider filters; Hyperliquid v2 loads the configured universe.
• Published tutorials still use v1; generated v2 stubs and the Rust-native adapter examples show the current API.
• Static typing does not cover three Kraken batch methods or adapter wire DTO runtime attributes.

Enhancements

• Added v2 OrderFillVoided, OrderStatus.VOIDED, terminal voiding, and strategy and algorithm callbacks
• Added v2 Decimal order fill pricing; Order.avg_px and Order.slippage no longer round through f64
• Added v2 info fill metadata to OrderFilled
• Added v2 order-event activation_price persistence through event and dictionary reconstruction
• Added v2 Cap'n Proto and SQL persistence for order-event activation prices and fill info
• Added v2 trailing stops that activate at market and set prices from the first update
• Added v2 replay state carryover across NETTING close/reopen cycles (#4546), thanks @HungNgo4444
• Added v2 actor and strategy state persistence across live and backtest lifecycles
• Added v2 OrderBookDepth10 subscriptions and callbacks for Rust and Python actors and strategies (#4439)
• Added Rust and Python v2 cache introspection for market-data histories (#4586), thanks @Kenneth-zh
• Added make_qty_from_decimal / make_price_from_decimal on the Instrument trait
• Added LiveNodeBuilder.with_controller for runtime controller configuration (#4427), thanks @bebop23
• Added returns skewness and kurtosis portfolio statistics (#4334), thanks @Martingale42
• Added Up/Down Capture ratio portfolio statistics (#4354), thanks @mahimn01
• Added Ulcer Index, Omega Ratio, VaR, and Expected Shortfall portfolio statistics (#4352), thanks @Martingale42
• Added Tail Ratio portfolio statistic (#4341), thanks @Martingale42
• Added Python v2 historical book-delta and depth batch callbacks for actors and strategies
• Added Python v2 subclassable execution algorithms for routed orders
• Added Python v2 execution algorithm config subclassing and importable config export
• Added Python v2 ExecutionAlgorithm.deny_order with terminal denial of invalid TWAP inputs
• Added Python v2 ExecutionAlgorithm portfolio, lifecycle, signals, and constructed live registration
• Added Python v2 controller subclassing and importable controller configs for backtest/live
• Added Python v2 BacktestNode post-run cache, portfolio, statistics, and report inspection
• Added Python v2 tearsheet support for BacktestResult input (#4563), thanks @faysou
• Added Python v2 FeeModel and FillModel subclass support for custom backtest models
• Added Python v2 nautilus_trader.config convenience imports for core configuration types
• Added Python v2 Strategy.shutdown_system() and LiveNode.dispose() bindings
• Added Python v2 LiveNode cache and portfolio inspection with bounded host-loop polling
• Added Python v2 LiveNode.add_strategy for constructed strategy instances (#4487), thanks @dfjmax
• Added Python v2 PositionSizer and FixedRiskSizer bindings (#4573), thanks @dfjmax
• Added Python v2 EfficiencyRatio and RelativeStrengthIndex methods (#4420), thanks @a1zb2yc3z
• Added Python v2 portfolio snapshot access with base-currency equity and stale/unpriced metadata
• Added Python v2 ExecTesterConfig controls for UUID order IDs, quote quantity, and stop-time cancels
• Added Python v2 ExecTesterConfig.close_positions_qty_precision for venue-fillable stop-time closes
• Added Rust LiveNode runner metrics snapshots
• Added opt-in mimalloc allocator feature, enabled by default for Python wheels (#4358), thanks @ivannp
• Added v2 MessageBusConfig.autotrim_maxlen for Redis stream count retention (#4433), thanks for reporting @gtalknitin
• Added WebSocket transport backend selection for Python and PyO3 configs (#4342), thanks @graceyangfan
• Added adapter config readback in Python v2 while keeping credentials and nested configs private
• Added Architect AX dated futures parsing and configurable WebSocket heartbeat and disconnect cancellation
• Added Architect AX funding-slot schedule requests via GET /funding-slots
• Added Architect AX Python v2 data and execution client factory bindings
• Added Binance Futures and OKX trailing-stop activation prices to v2 execution reports
• Added Binance GTD expiry support for USD-M and local expiry mapping for Spot and COIN-M
• Added Binance v2 extended bars, bounded history, snapshots, tickers, estimated settlement prices, and L1 books
• Added Binance USD-M (monthly and quarterly) and COIN-M (quarterly) delivery futures support
• Added Binance v2 USD-M TradFi perpetual instrument support (#4488), thanks @M4n5ter
• Added Binance v2 instrument filters, fees, scheduled refresh, proxy, and receive-window configuration
• Added Binance US Spot JSON data and HMAC execution to the Rust-backed v2 adapter
• Added Binance Python v2 constants, instrument loading, order book CSV loading, and client-order-ID decoders
• Added Binance Spot WebSocket trading setup timeout configuration (#4538), thanks @folknor
• Added Blockchain pool analysis to build exact checkpoint snapshots without storing full swap history
• Added Bybit spot margin_trading instrument info field (#4540), thanks @dxwil
• Added Bybit v2 automatic SPOT margin borrow repayment (#4543), thanks @dxwil
• Added DeFi pool CurrencyPair caching and publication with pool IDs, token-derived precision, and taker_fee
• Added Hyperliquid fast-cancel payloads for non-trigger order cancels (#4414), thanks for reporting @magnified103
• Added Hyperliquid market data stream health warnings for stalled Deltas, Depth10, and Quote subscriptions (#4298)
• Added Hyperliquid opt-in stale stream recovery with targeted resubscribe and reconnect escalation (#4298)
• Added Hyperliquid persistable HyperliquidPublicTrade custom data (#4468), thanks @graceyangfan
• Added Interactive Brokers PyO3 type stub annotations (#4350), thanks @dfjmax
• Added OKX RPI market data and order execution support
• Added PancakeSwap V3 protocol-fee replay accounting; run make init-db for schema changes
• Added Polymarket v2 market WebSocket sharding that enforces ws_max_subscriptions per connection pool
• Added Polymarket v2 instrument definition subscriptions through live publishers with generic capability contracts
• Added Polymarket v2 GTD expiry and idempotent already-canceled execution test contracts
• Added Polymarket v2 HTTP and WebSocket proxy support for every live client transport
• Added Polymarket v2 opt-in authenticated order-safety heartbeats
• Added Polymarket v2 fill info metadata carrying the raw venue trade fields
• Added Polymarket v2 fills at MATCHED with corrections for failed settlement
• Added Polymarket v2 WS hash and transaction_hash field decoding (#4377), thanks for reporting @SebastianPartarrieu
• Added Polymarket v2 PolymarketDataLoader for public discovery and historical trades
• Added Tardis MEXC spot and futures market data support

Breaking Changes

• Changed Rust mins_to_secs and mins_to_nanos to panic on overflow; use the checked_* variants
• Changed L3 books to move IDs re-added at a new price on the same side, fixing ghost levels
• Changed L3 books to derive price-based order IDs for orders with a zero order ID
• Changed unstable Cap'n Proto BarSpec.step from UInt32 to UInt64
• Changed Rust BookIntegrityError to add AmbiguousOrderSide; update exhaustive matches
• Changed Rust encoding errors to add MixedMetadata and ReservedValue; update exhaustive matches
• Changed Rust SendError to add WriteTimeout; update exhaustive matches (#4572), thanks @folknor
• Changed Rust Cache::snapshot_position to return (); use snapshot_position_encoded for the frame
• Changed Rust time-event channels to TimeEventMessage; callbacks are no longer Send + Sync (#4496), thanks @folknor
• Changed Rust DataQueryResult.chunk to private; use the borrow returned by set_chunk (#4499), thanks @folknor
• Changed Rust FFI functions accessing CVec data to unsafe; wrap calls in unsafe blocks (#4499), thanks @folknor
• Changed Rust OrderStatusReport::with_avg_px to take a Decimal and return Self; it no longer returns a Result
• Changed Rust calculate_fixed_risk_position_size to return Result<Quantity>; callers must handle errors
• Changed Rust CLI parser fields to crate-private; use nautilus_cli::cli_command and run
• Changed v2 PortfolioConfig.use_mark_prices to prefer marks by default; set false to skip marks
• Changed v2 portfolios to record daily equity snapshots by default; set equity_curve=False to opt out
• Changed v2 order-event schemas to persist activation prices and fill info; old catalogs must be migrated
• Changed v2 trailing-stop and order-event constructors to accept activation prices and fill info
• Changed v2 OrderPendingUpdate and OrderPendingCancel account_id to optional (AccountId | None), matching v1
• Changed v2 order average and slippage prices to Decimal in Rust and decimal.Decimal in Python
• Changed v2 SQL order average and slippage prices to NUMERIC; run nautilus database init
• Changed v2 OrderSnapshot average and slippage prices to strings; migrate mixed-schema catalogs
• Changed v2 instrument Arrow schemas to persist all constraints; old catalogs must be migrated
• Changed index option settlement to require IndexPriceUpdate for underlying levels (#4430, #4431), thanks @taozle
• Changed DeFi Pool instrument conversion to preserve pool IDs; update callers keyed by token-pair symbols
• Changed Architect AX request models and low-level APIs to current schemas; unverified stop-limit orders are rejected
• Changed BitMEX quanto multipliers from raw to settlement-currency units (#4507), thanks for reporting @4px4d9cdby-star
• Changed Blockchain fee-protocol update and snapshot storage to use INTEGER protocol-fee shares; run make init-db
• Changed Bybit repay result status fields from String to BybitRepayStatus
• Changed Lighter LighterHttpError to add HistoryIncomplete; update exhaustive matches
• Changed OKX algo order state filters from OKXOrderStatus to OKXAlgoOrderStatus
• Removed DataActor order fill/cancel callbacks and subscription methods; use the message bus
• Removed Copy and Clone from Rust CVec; move values instead (#4499), thanks @folknor
• Removed Rust CANCELLABLE_ORDER_STATUSES and cancellable status set functions; use OrderStatus::is_cancellable()
• Removed Rust last_day_of_month and is_leap_year helpers from nautilus_core::datetime; use chrono equivalents
• Removed Polymarket v2 ack_timeout_secs; submit buffering no longer waits for acknowledgments
• Renamed Python v2 RedisMessageBusDatabase to RedisMessageBusBacking (documenting a previous break)
• Renamed Interactive Brokers PyO3 enum variants to uppercase names (e.g. MarketDataType.DELAYED) (#4350)

Security

• Fixed CVec ownership and FFI reconstruction issues that could cause undefined behavior (#4499), thanks @folknor
• Fixed cross-thread RustLocal callback access that could cause undefined behavior (#4496), thanks @folknor
• Fixed time-event callback teardown aborting during thread-local destruction (#4516), thanks @folknor
• Fixed float time conversions saturating and real-time AtomicTime returning placeholder timestamps or aborting
• Fixed underflow and currency-mismatch panics from out-of-order fill events (#4483), thanks @folknor
• Fixed fixed-risk position sizing panics from invalid inputs, overflow, and quantity conversion (#4573), thanks @dfjmax
• Fixed v2 CompetitionAwareFillModel and VolumeSensitiveFillModel panics on invalid or overflowing liquidity
• Fixed Arrow batch encoders silently re-labeling mixed metadata and leading clear deltas
• Fixed SBE FundingRateUpdate maximum optional values encoding as absent
• Fixed Cap'n Proto Price and Quantity decoding panicking on malformed precision
• Fixed Cap'n Proto BarSpec.step truncating values above u32::MAX
• Fixed DeFi SwapTradeInfo calculations panicking on a zero prior spot price
• Fixed DeFi spot and execution prices panicking or silently wrapping on high ratios and unsupported token decimals
• Fixed malformed Binance client order IDs aborting live adapters during report parsing
• Fixed out-of-range Binance timestamps aborting live adapters or silently wrapping; streams warn and use receive time
• Fixed Kraken data and execution config debug output exposing API credentials

Fixes

• Fixed execution engine and Binance minute intervals and lookbacks overflowing u64 nanoseconds
• Fixed order book NoOrderSide deltas mutating the bid side when the ID is on both book sides
• Fixed Rust OwnBookLevel::update panicking on a missing order
• Fixed own-book filtering using wall time without a supplied timestamp (#4597), thanks @folknor
• Fixed cache venue order ID collisions rebinding orders (#4595), thanks @folknor
• Fixed backtest venue registration rollback and non-positive leverage validation (#4596), thanks @folknor
• Fixed backtest generated ID collisions after instrument re-registration (#4580), thanks @folknor
• Fixed simulated venue multi-currency liquidation, FX rollover, and reset sequencing (#4612), thanks @folknor
• Fixed DataType deserialization trusting stale cached hashes (#4592), thanks @folknor
• Fixed stop-market updates clearing existing protection_price values when omitted (#4578), thanks @folknor
• Fixed completed data response handlers persisting after dispatch (#4583), thanks @xxxxxx-oss
• Fixed Throttler stranding buffered messages after a rejected try_reserve (Rust), breaking drain order
• Fixed network client reconnect stalls and stale-session frame delivery (#4572), thanks @folknor
• Fixed nautilus database init panicking instead of skipping existing schema objects on re-run
• Fixed nautilus database init leaving schema objects owned by the bootstrap administrator
• Fixed the v2 SQL schema loader splitting dollar-quoted ($$) statement bodies on their inner semicolons
• Fixed Parquet catalog queries panicking in the Rust live runtime (#4526), thanks @TheoBabilon
• Fixed CAGR and CalmarRatio reporting undefined results as zero
• Fixed v2 clock set_time_alert and set_timer panicking on pre-epoch or out-of-range DateTime inputs
• Fixed v2 clock past-alert warning logging the adjusted time instead of the original alert time
• Fixed v2 LiveTimer panicking in the timer task instead of at start for senderless Rust callbacks
• Fixed v2 cache orders stuck pending-cancel-local after a cancel rejection, blocking later cancels
• Fixed v2 cache cold loads losing forward venue order ID lookups until the next order event
• Fixed v2 cache exchange rates picking an arbitrary bar type instead of the latest bar per side
• Fixed v2 sandbox execution retaining matching engines and cache state for expired quote-only instruments
• Fixed v2 NETTING backtest growth from replay logs in snapshots and fill clones (#4546), thanks @HungNgo4444
• Fixed v2 result tearsheets to reject disposed node state
• Fixed v2 result tearsheets reporting the backtest range instead of the wall-clock run duration
• Fixed v2 result tearsheets to filter PnL and account balances by currency
• Fixed v2 PortfolioAnalyzer account returns failing after empty balance snapshots
• Fixed v2 PortfolioAnalyzer native position ingestion and statistic registration
• Fixed v2 BettingInstrument catalog round trips corrupting raw symbols, increments, and precisions
• Fixed v2 instrument catalog round trips dropping constraints, margins, and fees
• Fixed v2 realized PnL returning zero for missing rates or range errors and panicking on overflow
• Fixed v2 realized PnL counting only the newest snapshot for NETTING positions with three or more cycles (v1 parity)
• Fixed v2 realized PnL miscounting archived NETTING cycles whose boundaries a prior-cycle fill void moved
• Fixed v2 duplicate replayed fills reopening a flat position and panicking on a later fill void replay
• Fixed v2 portfolio snapshots retaining stale-price flags after the affected position side closed
• Fixed v2 portfolio snapshots dropping temporarily unpriced positions and hiding stale valuations
• Fixed v2 equity curves omitting unrealized PnL between fills (#3899), thanks for reporting @q-learning-trader
• Fixed v2 account-scoped valuations clearing other accounts' missing-price flags on shared venues
• Fixed v2 portfolio net exposure ignoring position side, so hedged books reported gross instead of net (v1 parity)
• Fixed v2 account locks and margins using settlement currency instead of each calculated currency
• Fixed v2 portfolio pending recovery discarding initial margin after recalculating maintenance margin
• Fixed v2 portfolio initialization materializing account balance currencies in a nondeterministic order
• Fixed v2 margin accounts adding zero balances for unreported currencies and denying unified-account orders
• Fixed v2 invalid or out-of-range notional and PnL valuations panicking or falling back to zero
• Fixed v2 multi-currency cash equity double-counting assets already credited to account balances
• Fixed v2 quanto position notionals using quote currency instead of settlement currency
• Fixed v2 portfolio valuations labeling and converting cost-currency amounts as settlement currency
• Fixed v2 composite bar aggregation (@ source) to deliver aggregated bars to subscribed actors and strategies
• Fixed v2 tick-family aggregators to emit the standard bar type for composite subscriptions
• Fixed v2 volume-runs and value-runs aggregators dropping volume across bar boundaries
• Fixed v2 value-based aggregators dropping fractional volume after size-precision rounding
• Fixed v2 BarType.new_composite to validate specifications during construction
• Fixed v2 Bar and BarSpecification deserialization to validate OHLC ordering and step periodicity
• Fixed v2 Bar.from_pyobject and bar type parsing at the Python boundary to raise ValueError instead of panicking
• Fixed v2 catalog writes re-labeling mixed instruments or bar types; writes now group or reject them
• Fixed v2 bar-type conversion corrupting -INTERNAL symbols and composite bar types
• Fixed v2 SQL bar decoding to reject invalid rows and composite bar inserts without panicking
• Fixed v2 external bar unsubscribe detaching the venue stream while other actors remained subscribed
• Fixed v2 continuous future bar unsubscribe tearing down the chain while other actors remained subscribed
• Fixed v2 continuous future bar requests emitting synthetic last-close bars across roll gaps (v1 parity)
• Fixed v2 orphaned composite source aggregator teardown leaking the underlying client tick subscription
• Fixed v2 subscribed_bars to include internally aggregated subscriptions (v1 parity)
• Fixed v2 request_bars to reject composite bar types (v1 parity)
• Fixed v2 skip_first_non_full_bar per-command override for bar subscriptions and aggregation requests (v1 parity)
• Fixed v2 matching engine uncanceled part-fill INITIALIZED IOC market orders (#4626), thanks for reporting @linimin
• Fixed v2 matching engine stop and touch orders to honor last-price triggers (#4481), thanks for reporting @mgd134
• Fixed v2 matching engine quote-bar execution to honor bar_adaptive_high_low_ordering (v1 parity)
• Fixed v2 matching engine reset to clear cached bid/ask bars, preventing stale pairs across runs
• Fixed v2 order emulation leaving immediately matched submissions and modifications pending
• Fixed v2 order emulation retaining stale trigger and limit prices after modification (v1 parity)
• Fixed v2 volume aggregation step thresholds to use exact integer arithmetic instead of floating-point conversion
• Fixed v2 ValueBarAggregator to accumulate value in Decimal matching the v1 implementation
• Fixed v2 internal bar aggregation dropping the first tick in backtests
• Fixed v2 quote extraction and quote-fed indicators panicking for a Last price type
• Fixed v2 wranglers to detect raw fixed-point overflow before Arrow conversion (#4372), thanks @MandalorianBatman
• Fixed v2 hedging phantom positions (#4424), thanks for reporting @luckykefu and for the patch @akashchakrabortymsc-cmd
• Fixed v2 matching engine queue position for per-order deltas in L3 books (#4370), thanks for reporting @warmi024
• Fixed v2 own order book sizes to track remaining quantity after partial fills
• Fixed v2 order-book average prices losing precision during weighted accumulation
• Fixed v2 order-book raw exposure and crossed level sizes losing precision through floating-point conversion
• Fixed v2 option-chain strike selection and rebalance thresholds losing precision
• Fixed v2 value-based bars emitting early and distorting volume through floating-point splitting
• Fixed v2 order average prices losing precision through floating-point weighted accumulation
• Fixed v2 Price, Quantity, and Money conversions to Decimal panicking for large high-precision values
• Fixed v2 Quantity multiplication falsely overflowing before fixed-point scaling
• Fixed v2 interval book snapshots blocking order submission from on_book handlers
• Fixed v2 position reconciliation grace to measure on the monotonic clock (#4366), thanks @folknor
• Fixed v2 cross-zero reconciliation stranding synthetic orders after a failed leg (#4521), thanks @folknor
• Fixed v2 continuous position reconciliation emitting fills from stale in-flight reports (#4517), thanks @folknor
• Fixed v2 missing-order resolution and failed-report handling in live reconciliation (#4479), thanks @folknor
• Fixed v2 batch-cancel inflight coverage, tracking leaks, and stale cancel-replace grace (#4523), thanks @folknor
• Fixed v2 live fill deduplication suppressing reports after rejected fills (#4522), thanks @folknor
• Fixed v2 startup reconciliation fill-key deduplication and retention (#4518), thanks @folknor
• Fixed v2 startup reconciliation reapplying retained fills to position and PnL state
• Fixed v2 continuous reconciliation stalling indefinitely on a hung client report task (#4529), thanks @folknor
• Fixed v2 live reconciliation dropping hedge-mode venue reports (#4535), thanks @faysou
• Fixed v2 reconciliation booking negative inferred fill prices on instruments that disallow them
• Fixed v2 reconciliation dropping inferred fills and voids when the venue average was unusable
• Fixed v2 execution algorithm subscriptions not restoring after cache-backed restarts (#4590), thanks @xxxxxx-oss
• Fixed v2 order event application committing the state transition before validating the update (#4530), thanks @folknor
• Fixed v2 pending-update orders rejecting delayed submission acknowledgments (#4549), thanks @folknor
• Fixed v2 execution client deregistration blocking registration of a replacement default client (v1 parity)
• Fixed v2 execution algorithms dropping submit parameters for spawned orders (#4524), thanks @dxwil
• Fixed v2 TWAP sizing at instrument precision and interval validation (#4544), thanks @folknor
• Fixed v2 live node connect and disconnect awaits escaping lifecycle timeouts (#4528), thanks @folknor
• Fixed v2 live node connection timeouts reporting the node as running (#4528), thanks @folknor
• Fixed v2 live nodes to apply configured default and venue client routing (#4408), thanks @dfjmax
• Fixed v2 strategy orders bypassing risk checks in live and backtest runners
• Fixed v2 RiskEngine balance checks for non-reducing multi-currency cash sells when the asset balance was absent
• Fixed v2 RiskEngine skipping cash and betting account balance checks for reduce-only buy orders
• Fixed v2 RiskEngine rate-limit modify-order rejections omitting the order account_id
• Fixed v2 matching engine filling triggered stop-limit orders beyond their limit price
• Fixed v2 matching engine dropping taker liquidity when a triggered stop-limit or LIT order was amended into the market
• Fixed v2 matching engine charging FixedFeeModel commission per book level instead of once per order
• Fixed v2 matching engine emitting OrderTriggered for stop orders already canceled in the same iteration
• Fixed v2 order emulator ignoring trailing-stop activation_price and trailing before activation
• Fixed v2 order emulator panicking on reentrant commands issued from order-event handlers
• Fixed v2 order emulator dropping OCO and OUO contingency actions for events published while handling
• Fixed v2 order emulator reversing released order event history so init_event was not first
• Fixed v2 order emulator reactivating emulated child orders of closed position-less parents on start
• Fixed v2 execution engine re-applying duplicate leg fills instead of fully skipping them
• Fixed v2 execution engine applying portfolio economics for projected reconciliation fills on cash accounts
• Fixed v2 order manager syncing quantities for OCO instead of OUO contingent orders
• Fixed v2 reconciliation fill voids never voiding the proportional commissions
• Fixed v2 reconciliation position matching always passing for negative venue average prices
• Fixed v2 reconciliation inferred fills misclassifying liquidity for market-to-limit and post-only orders
• Fixed v2 execution algorithms retaining submit params for denied orders
• Fixed v2 DeltaNeutralVol example strategy not rehedging after a hedge order rejection, denial, or expiration
• Fixed v2 LiveNode startup to restore cache databases and honor flush_on_start
• Fixed v2 LiveNode startup continuing after reconciliation failures (#4406), thanks @TheoBabilon
• Fixed v2 LiveExecEngineConfig accepting invalid or sub-nanosecond interval seconds
• Fixed v2 LiveNode external order claims bypassing the execution engine (#4347), thanks for reporting @linimin
• Fixed v2 LiveNode.dispose() before start to release the trader idempotently
• Fixed v2 LiveNode startup failures to propagate errors and clean up components
• Fixed v2 LiveNode losing stop requests received during startup
• Fixed v2 zero-duration waits to recognize already-ready engines
• Fixed Python v2 API coverage and exception handling
• Fixed Python v2 backtests rejecting CustomData injection (#4582), thanks @xxxxxx-oss
• Fixed Python v2 order, event, balance, position, instrument, indicator, and config inspection
• Fixed Python v2 Price, Quantity, and Money integer conversion and Money debug output losing precision
• Fixed Python v2 cached OrderList fields and concrete cache return types (#4453), thanks @JiajunWan
• Fixed Python v2 indicators matching Rust semantics (#4421), thanks @a1zb2yc3z
• Fixed Python v2 config stub/readback drift for DataActorConfig, StrategyConfig, and ExecutionAlgorithmConfig
• Fixed Python v2 OrderFactory identity readback while keeping ID-format options on Strategy.config
• Fixed Python v2 migration gaps for core.datetime, Clock.set_time, and Strategy data APIs
• Fixed Python v2 subclassable PyO3 stubs marked as final (#4384), thanks @bebop23
• Fixed Python v2 Strategy close-position and close-all-position commands to accept and forward params
• Fixed Python v2 DataActor.shutdown_system() unregistered calls to raise RuntimeError
• Fixed Python v2 LiveNode.stop() to complete shutdown instead of only signaling the handle
• Fixed Python v2 boundary error handling to raise exceptions instead of panicking on invalid inputs
• Fixed Python v2 DeFi comparisons to return NotImplemented for unsupported ordering instead of panicking
• Fixed OrderFactory.bracket tp_post_only docs (#4437), thanks for reporting @jh171717 and @chang-pro for the patch
• Fixed PerContractFeeModel spread fees per leg (#4360), thanks @faysou and @pjlegato
• Fixed HEDGING reduce-only orders without cached position IDs (#4312), thanks for reporting @luckykefu
• Fixed LiveTimer firing past its stop_time_ns bound (#4401), thanks @folknor
• Fixed Clock.timer_exists to exclude expired timers (#4400), thanks @folknor
• Fixed expired clock timers and alert replacement on invalid input (#4477), thanks @folknor
• Fixed TestTimer panicking after firing at the maximum timestamp
• Fixed backtest simulated exchange panicking on order and account status queries (#4545), thanks @folknor
• Fixed catalog consolidation dropping single-file windows (#4435), thanks @Functionhx and @shanezilla
• Fixed catalog runtime teardown blocking in PyO3 deallocation (#4493), thanks @faysou and @mystic-io
• Fixed global logger initialization races and reuse after guard teardown (#4520), thanks @folknor
• Fixed high-precision builds using mismatched model and serializer widths (#4550), thanks @folknor
• Fixed SBE and Cap'n Proto decoding when model precision differs from serializer features (#4567), thanks @folknor
• Fixed order purges leaving stale cache index entries that could panic queries (#4569), thanks @folknor
• Fixed indicator rolling-window bounds and averages past capacity (#4351), thanks @Martingale42
• Fixed legacy Equity catalogs dropping quantity constraints (#4461), thanks @chang-pro and @baturytalk
• Fixed live fill deduplication when trade IDs collide across accounts or instruments
• Fixed live reconciliation real-time gates to use the monotonic clock (#4376), thanks @folknor
• Fixed live missing-order reconciliation to use monotonic receipt time (#4387), thanks @folknor
• Fixed live execution engine position activity to stamp receipt time instead of venue ts_event
• Fixed Rust v2 log_trace! rejecting the documented color and component argument forms
• Fixed an edge case where same-millisecond log rotation could delete the active log file
• Fixed rotated log file names using a colon reserved on Windows, which could prevent log files being written
• Fixed backtest funding, replay order, streaming book state, error policy, duplicate venues, and FX rollover validation
• Fixed mixed-instrument backtest order-list fills using the wrong book (#4392), thanks for reporting @gtalknitin
• Fixed nondeterministic event ordering in backtests (#4480), thanks @folknor
• Fixed nondeterministic emulator unsubscribe, WebSocket replay, and instrument publication ordering
• Fixed portfolio PnL and account-state resolution for broker-routed instruments (#4451), thanks @dfjmax
• Fixed reverse exchange rates using the wrong spread side and nondeterministic routes (#4568), thanks @folknor
• Fixed FX session boundary drift across daylight-saving transitions (#4584), thanks @folknor
• Fixed routing-client position reconciliation tolerance lookup (#4490), thanks @folknor
• Fixed Redis message bus startup with Python v2 configs (#4356), thanks for reporting @davidgreyme
• Fixed Rust RSI moving-average selection and max-value regression (#4382), thanks @bebop23
• Fixed VWAP nanosecond day rollover (#4428), thanks @akashchakrabortymsc-cmd and @a1zb2yc3z
• Fixed Architect AX data and execution clients not refreshing authentication tokens
• Fixed Architect AX market data streams emitting unrequested trade and ticker events
• Fixed Architect AX /transactions requests omitting the required bounded time range
• Fixed Architect AX REST ticker, order, transaction models, and query parameters (#4402)
• Fixed Architect AX simulated market orders using venue rather than instrument price precision
• Fixed Architect AX order book snapshots omitting the snapshot record flag
• Fixed Architect AX order book snapshots falling back to venue-precision prices when conversion failed
• Fixed Architect AX REST trade and book-snapshot timestamps wrapping instead of rejecting negative seconds
• Fixed Architect AX GET /whoami model not matching the venue schema, which made the response undeserializable
• Fixed Architect AX instruments always reporting zero maker and taker fees
• Fixed Architect AX REST and WebSocket assigning different trade IDs to the same market data trade
• Fixed Architect AX market data trade IDs colliding when one aggressor swept several book levels
• Fixed Architect AX market data subscription tracking, unsubscribes, book-level changes, and failed-subscription replay
• Fixed Architect AX startup reconciliation omitting filled and canceled orders from mass status
• Fixed Architect AX startup reconciliation failing when venue reports referenced an uncached instrument
• Fixed Architect AX data requests remaining active after disconnect, stop, reset, or dispose
• Fixed Architect AX instrument, risk, fill, order routing, and pagination for current REST schemas
• Fixed Architect AX Python instrument-list and order-book snapshot data requests
• Fixed Architect AX depth quote delivery and regular fill reconciliation with optional classification
• Fixed Architect AX submitting unsupported reduce-only, quote-quantity, and display-quantity orders
• Fixed Architect AX local modify rejections, replacement ID races, and Python reconciliation identity
• Fixed Architect AX Python reconciliation emitting duplicate order acceptance events
• Fixed Architect AX client order ID bounds, query correlation, and rejection when market previews fail
• Fixed Betfair v2 live stream ts_init timestamps to use local receipt time
• Fixed Betfair v2 matched sizes and mass-status fill IDs, commissions, and gaps
• Fixed Betfair v2 voids without reversing unapplied exposure from reconnect snapshots
• Fixed Binance Futures hedge-mode tracking with configurable oms_type (#4422), thanks for reporting @luckykefu
• Fixed Binance Futures algo reports omitting fill quantity and average price
• Fixed Binance Futures filled market reconciliation prices (#4441), thanks @KaizynX
• Fixed Binance Futures external order reports omitting limit prices (#4346), thanks for reporting @linimin
• Fixed Binance Futures external algo order materialization (#4348), thanks for reporting @linimin
• Fixed Binance Futures algo orders missing USD-M order-count limits (#4395), thanks for reporting @cjdsellers
• Fixed Binance Futures COIN-M quotas and shared USD-M/COIN-M REST rate-limit state (#4301)
• Fixed Binance Futures COIN-M private user stream URL routing in Rust and Python
• Fixed Binance Futures inflight queries rejecting untriggered algo orders (#4411), thanks @reijz
• Fixed Binance Futures historical algo order queries (#4449), thanks @KaizynX
• Fixed Binance Futures startup reconciliation omitting and truncating fill history
• Fixed Binance Spot startup reconciliation omitting and truncating fill history
• Fixed Binance Spot instrument loading after the SBE schema 3:5 rollout (#4407), thanks @learnerLj
• Fixed Binance Spot SBE ts_init using venue time instead of the adapter clock (#4474), thanks @seungpyoson
• Fixed Binance WebSocket trading signatures to sign parameters sorted by key (#4416), thanks @reijz
• Fixed BitMEX cancel-all responses emitting sparse cancellation rejections as external orders
• Fixed BitMEX sparse order updates losing cached order state (#4508), thanks for reporting @4px4d9cdby-star
• Fixed BitMEX UTF-8 JSON binary WebSocket frames being dropped (#4509), thanks for reporting @4px4d9cdby-star
• Fixed BitMEX WebSocket auth rejections waiting for the login timeout (#4541), thanks @folknor
• Fixed Blockchain U256 price and quantity decoding losing exact raw units above the f64 integer limit
• Fixed Blockchain HyperSync live pool-event streams overreaching the tip window
• Fixed Blockchain pool-event sync to backfill missing protocol-fee history; run make init-db for schema changes
• Fixed Blockchain pool-event unsubscribe leaving internally owned block feeds active
• Fixed Blockchain RPC pool snapshots panicking on incomplete topology
• Fixed Bybit post-only rejections omitting the due_post_only flag (#4500), thanks @dxwil
• Fixed Bybit spot instruments missing min_notional and the newer lot-size fields (#4527), thanks @dxwil
• Fixed Bybit v2 spot margin auto-repayment quantities, MNT fees, and result handling
• Fixed Bybit WebSocket fills hardcoding the commission currency to the quote currency (#4536), thanks @dxwil
• Fixed Bybit REST and WebSocket corporate-action executions failing deserialization
• Fixed Databento OPRA option contract multipliers (#4388), thanks for reporting @pjlegato
• Fixed Databento MBO fill/no-action decoding and replay gating (#4446), thanks @taozle
• Fixed Deribit tracked fill and amendment routing while preserving external-order reports
• Fixed Derive execution WebSocket connect and reconnect handling
• Fixed Derive perpetual quote and settlement currency to USDC
• Fixed Derive option scheduled_activation parsing as UNIX seconds
• Fixed Derive unknown enum decoding and recovery of malformed trade rows
• Fixed Derive historical trades and funding order
• Fixed Derive historical bar timestamps and forming-bucket filtering
• Fixed Derive instrument loading for absent product types and malformed rows
• Fixed Derive fill reconciliation dropping fills on retry
• Fixed Derive mass status flattening held positions when quantity conversion fails
• Fixed Derive null cancel acknowledgements being reported as failures
• Fixed Derive zero-match cancel-by-label requests not emitting OrderCancelRejected
• Fixed Derive cancel, replace, nonce failures, and non-positive max_fee_per_contract configs
• Fixed Derive shared channel ownership, unsubscribe races, and stale quote caches
• Fixed Derive request pacing, write expiry, null IDs, and handler blocking during reconnects
• Fixed dYdX instrument parsing panicking on invalid tick sizes (#4562), thanks @sbOogway
• Fixed Hyperliquid l2Book resubscribe options and shared stream teardown (#4298)
• Fixed Hyperliquid resting brackets, filled-order reconciliation, and venue rejection metadata
• Fixed Hyperliquid PyO3 order book depth subscriptions (#4381), thanks @graceyangfan
• Fixed Hyperliquid Rust public trade responses dropping instrument identifiers
• Fixed Hyperliquid order modification to use cached CLOIDs with an OID fallback
• Fixed Hyperliquid chained modifications dropping in-flight cancel suppression
• Fixed Interactive Brokers bar timestamps to use bar closes (#4579), thanks @dfjmax
• Fixed Interactive Brokers execution timestamps for non-UTC zones (#4396), thanks @dfjmax
• Fixed Interactive Brokers market order update price normalization (#4383), thanks @faysou
• Fixed Interactive Brokers v2 tracked fill lifecycle and terminal fill identity
• Fixed Interactive Brokers IneligibilityReason serialization (#4380), thanks @xxxxxx-oss
• Fixed Interactive Brokers Docker gateway startup with non-default Docker contexts
• Fixed Interactive Brokers startup loading all configured instruments (#4519), thanks @mahimn01
• Fixed Interactive Brokers v2 crypto market data for PAXOS and ZeroHash venue routing (#4389), thanks @bebop23
• Fixed Interactive Brokers treating transient data-farm flaps as full connectivity loss (#4412), thanks @dinana
• Fixed Interactive Brokers Rust adapter conflating socket connectivity with data-farm health (#4457), thanks @faysou
• Fixed Interactive Brokers data feeds waiting for every farm before recovery (#4469), thanks @faysou
• Fixed Kraken Futures batch order order_tag serialization (#4459), thanks @Andreas197510
• Fixed Kraken Futures fill parsing for all documented fillType values (#4591), thanks for reporting @Andreas197510
• Fixed Kraken financial values losing precision through floating-point parsing and arithmetic
• Fixed Lighter batch orders to use correlated sequential WebSocket transactions
• Fixed Lighter bar and funding-rate requests returning page-capped partial history as success
• Fixed Lighter live funding updates exposing funding_timestamp as next_funding_ns
• Fixed Lighter reconciliation cursor loops, fill deduplication, and trailing fill identity
• Fixed Lighter instrument parsing, gap candle filtering, and spot quote currencies
• Fixed Lighter modify validation, conditional acks, nonce recovery, auth refresh, and WS timeouts
• Fixed Lighter ambiguous sends, response attribution, live order identity binding, index collisions, and GTD expiry
• Fixed Lighter zero-quantity rows in account_all_positions snapshots remaining in cached position reports
• Fixed Lighter reconnect auth rotation not reaching the venue (#4603), thanks @folknor
• Fixed OKX price-limit metadata parsing and public limit-price requests (#4413)
• Fixed OKX v2 yearly candle bar validation and round trips
• Fixed OKX algo order status report state filtering and single-order lookups
• Fixed OKX ambiguous submit failures to await reconciliation instead of rejecting
• Fixed OKX repeated reconciliation reports for replayed post-only rejections
• Fixed OKX public mark-price requests missing the required instrument type
• Fixed Polymarket v1 and v2 allowances for the current Neg Risk adapter
• Fixed Polymarket auto-loaded instruments not reaching WebSocket subscription (#4574), thanks for reporting @nietoga
• Fixed Polymarket RTDS retained-subscription recovery after reconnects (#4353), thanks @graceyangfan
• Fixed Polymarket Gamma market and event keyset filters, validation, and repeated query encoding
• Fixed Polymarket Gamma discovery to use keyset pagination beyond the legacy offset cap
• Fixed Polymarket Gamma pagination looping on repeated cursors (#4605), thanks for reporting @mystic-io
• Fixed Polymarket v2 fee schedules and RTDS equity snapshot handling
• Fixed Polymarket v2 order cancellation during shutdown so accepted venue orders are not left open
• Fixed Polymarket v2 book delta atomicity and local limit-price range validation
• Fixed Polymarket v2 market WebSocket batches dropped by unknown event_type (#4604), thanks for reporting @mystic-io
• Fixed Polymarket v2 execution races, ambiguous submissions, trade finality, fill IDs, and proxy funder validation
• Fixed Polymarket v2 SELL sizing, terminal IOC remainders, and sub-cent reconciliation synthetic fills
• Fixed Polymarket v2 exec tester close-on-stop requesting SELL quantities finer than venue signing permits
• Fixed Polymarket v2 limit IOC/FOK BUY orders submitting invalid fractional-cent maker amounts
• Fixed Polymarket v2 instrument price bounds to match the current tick-relative venue range instead of static limits
• Fixed Polymarket v2 instrument parsing and tick-size changes panicking (#4534), thanks @mystic-io
• Fixed Polymarket v2 batch cancellations exceeding venue ID and signer burst limits
• Fixed Tardis replay trades directory to trades/ for catalog compatibility (#4373), thanks @AdvancedUno
• Fixed Tardis replay bars directory to bars/ for catalog compatibility (#4378), thanks @AdvancedUno

Internal Improvements

• Added Cache Criterion bench for get_xrate quote and bar fallback paths (Rust)
• Aligned Rust event and own-book ordering with equality (#4598), thanks @folknor
• Aligned Rust subscription ordering with equality while preserving delivery order (#4611), thanks @folknor
• Improved Params::get_usize to return None for values outside the target usize range
• Improved core decimal deserialization to round fractional scales above 28 digits instead of erroring
• Improved v2 NETTING backtest throughput by ~17% by encoding position snapshot frames only when a consumer reads them
• Improved live reconciliation recency tracking with RecencyMap (#4386), thanks @folknor
• Improved portfolio statistics test coverage with canonical worked examples
• Improved Quantity tests across feature-conditional precision modes (#4556), thanks @folknor
• Improved infrastructure tests to fail fast without Redis or PostgreSQL (#4587), thanks @folknor
• Improved Clippy compatibility for nightly and all-feature Rust builds (#4505), thanks @folknor
• Improved pre-commit checks for DST, Python errors, and Cargo dependency groups (#4506), thanks @folknor
• Improved DST coverage for nautilus-backtest run timestamps and convention enforcement
• Improved test fixture selection to follow the model's precision (#4609), thanks @folknor
• Improved Architect AX, BitMEX, and Bybit test runtime (#4553, #4554, #4555), thanks @folknor
• Improved Betfair, dYdX, OKX, and Polymarket test waits (#4531, #4532, #4539, #4547), thanks @folknor
• Improved dYdX fallback URL tests to avoid network-dependent outcomes (#4627), thanks @xxxxxx-oss
• Improved Hyperliquid stale-quote recovery tests to avoid load-sensitive timing (#4610), thanks @folknor
• Improved Lighter signing latency through faster quintic field multiplication and squaring
• Improved Lighter signing and execution coverage for conditional, IOC, cancel-all, and leverage transactions
• Made portfolio reference-count clones explicit (#4364), thanks @ChrisAB
• Optimized Polymarket WebSocket parsing and authenticated request signing
• Prepared Binance SAPI base URL and path constants for upcoming margin support (#4447), thanks @akashchakrabortymsc-cmd
• Standardized Rust adapter task storage with TaskHandles and client-local lifecycle policies
• Upgraded Binance Spot SBE REST and WebSocket API requests to schema 3:5 (Rust)
• Upgraded Rust (MSRV) to 1.97.1
• Upgraded Cython to v3.2.9
• Upgraded Cap'n Proto to v1.5.0
• Upgraded capnp crate to v0.26.2
• Upgraded databento crate to v0.55.0
• Upgraded datafusion crate to v54.1.0
• Upgraded ed25519-dalek crate to v3.0.0
• Upgraded futures crate to v0.3.33
• Upgraded redis crate to v1.4.1
• Upgraded rustls crate to v0.23.43
• Upgraded sockudo-ws crate to v2.0.1
• Upgraded tokio crate to v1.53.1
• Upgraded tokio-tungstenite crate to v0.30.0
• Upgraded pyarrow to v25.0.0

Documentation Updates

• Added the v1-to-v2 property, method, and callback migration matrix
• Added v2 BacktestResult tearsheet lifecycle and currency filter guidance
• Added managed parameter docs for DataActor book subscriptions (#4589), thanks @sbOogway
• Added canonical references and doc comments for portfolio statistics
• Added SinoPac Securities community adapter listing (#4324), thanks @Martingale42
• Added Binance Futures /fapi/v1/algoOrder order-count rate limit docs
• Updated authored comments and documentation to use ASCII punctuation (#4504), thanks @folknor
• Updated Polymarket v2 examples and integration docs for current markets, order modes, and configuration
• Updated Architect AX integration docs for current market-data, REST schema, and funding-rate behavior
• Updated Bybit v2 spot margin auto-repayment behavior and configuration
• Updated Lighter integration docs for sequential order fanout and reconciliation limits
• Fixed Lighter get-started Python v2 development wheel link
• Fixed PyO3 docstring generation for attributes with trailing comments

---

NautilusTrader 1.230.0 Beta

Released on 29th June 2026 (UTC).

Enhancements

• Added v2 Python visualization (tearsheet) support with a visualization extra
• Added non-compounding returns option for monthly and yearly tearsheet charts via compounding
• Added spread quote vega-pricing fallback controls for missing greeks (#4328), thanks @faysou
• Added Unix SIGTERM handling to the v2 LiveNode shutdown path (Rust)
• Added with_clock_factory for Rust live and sandbox nodes (#4331), thanks @folknor
• Added Betfair cricket match stream data subscriptions (Rust and Python)
• Added Bybit instrument subscription support via instrument-info polling (#4305), thanks @dxwil
• Added OKX region support for global, EEA, and US endpoints (#4318), thanks @dxwil

Breaking Changes

• Changed event_store format; beta v1.227-v1.229 stores must be regenerated (#4330), thanks @folknor
• Changed Throttler rate limit fields to non-zero accessors instead of public fields (Rust)
• Renamed Bybit data config instrument_status_poll_secs to instrument_poll_interval_secs

Security

• Fixed unbounded HTTP response buffering that could exhaust memory (#4332), thanks @AlaeddineMessadi
• Removed direct bincode use from event_store on-disk envelopes (#4330), thanks @folknor

Fixes

• Fixed LiveTimer tasks leaking after clock drop or component teardown (#4322), thanks @filipmacek
• Fixed Strategy order-list cache visibility for live handlers (Rust)
• Fixed Rust strategy oms_type registration for custom HEDGING position IDs (#4327), thanks for reporting @dxwil
• Fixed duplicate realized PnLs in post-run analysis (#4344), thanks for reporting @a1zb2yc3z
• Fixed RateOfChange period window and log calculation (#4326), thanks @Martingale42
• Fixed VerticalHorizontalFilter and OnBalanceVolume period windows (#4333), thanks @Martingale42
• Fixed Architect AX execution reconciliation for open positions and fills
• Fixed Architect AX to deny unsupported order types and times in force locally
• Fixed Architect AX to report unfilled IOC/FOK orders as canceled and flag post-only rejections
• Fixed Architect AX market data for null ticker prices and order book snapshot requests
• Fixed Databento adapter historical request edge cases and live state cleanup (Rust and Python)
• Fixed Binance Futures TRADING_HALT contract status handling (Rust and Python) (#4320), thanks @YeeTsai
• Fixed Bybit submit rejection classification and batch amend/cancel request builders (Rust)
• Fixed Databento OPRA option expirations stamped at midnight UTC (#4321), thanks for reporting @pjlegato
• Fixed Hyperliquid fill report decoding for new venue fill directions (#4325), thanks for reporting @magnified103
• Fixed Interactive Brokers stock contract resolution for non-USD and cross-listed symbols (#4337), thanks @dfjmax
• Fixed Interactive Brokers crypto quote-quantity SELL order sizing (#4309), thanks @bebop23
• Fixed Lighter stop-market and market-if-touched order modification rejected for a missing price
• Fixed Polymarket reconciliation producing out-of-range fill prices
• Fixed Polymarket RTDS duplicate snapshot replay and incremental batching (#4319), thanks @graceyangfan

Internal Improvements

• Expanded API facade surface coverage for Cache, Clock, Order, and Portfolio reads (Rust)
• Hardened plugin ABI surface to reject manifest ABI mismatches (Rust)
• Hardened CI release provenance checks with provenance refetch and transient 404 retries
• Improved default Rust builds to avoid abandoned proc-macro-error2 (#4315), thanks for reporting @folknor
• Standardized data subscription logging with a single canonical confirmation and reduced adapter log noise (Rust)
• Optimized OrderMatchingEngine post-match actions to avoid cloning resting orders (Rust)
• Optimized OrderMatchingEngine no-match GTD and trailing-order paths (Rust)
• Optimized Databento adapter decode and loader paths (Rust)
• Optimized Throttler hot paths and added Criterion benches (Rust)
• Upgraded Cython to v3.2.6

Documentation Updates

• Added a Lighter Rust quickstart and get-started guide
• Standardized the request_bars callback pattern for live bar warmup (#4311), thanks @dfjmax
• Refined Databento dataset configuration docs for schema limits and symbology inference
• Refined event sourcing marker sidecar docs to match the shipped markers module
• Refined Polymarket integration guide for Rust config fields and order behavior

---

NautilusTrader 1.229.0 Beta

Released on 25th June 2026 (UTC).

This release includes many breaking changes across the user-facing Python and Rust v2 APIs.

Enhancements

• Added Cache::try_currency with CurrencyLookupError for typed missing-currency lookups (Rust)
• Added Cache::try_instrument with InstrumentLookupError for typed missing-instrument lookups (Rust)
• Added Cache::try_order with OrderLookupError for typed missing-order lookups (Rust)
• Added negative price support for Commodity instruments in risk checks (#2330), thanks for reporting @fabz1
• Added cache order index crash-recovery restore for Redis and Postgres adapters (Rust)
• Added capability-aware analyze-pool(s)/sync-dex validation that fails before sync for unsupported DEXes
• Added ProbabilityPriceFeeModel and configurable sandbox fee models (#4262), thanks @graceyangfan
• Added SEC1 EC private key support to socket TLS configuration (Rust)
• Added order_position_index Postgres table for the order-position index; run make init-db to migrate
• Added add_native_exec_algorithm and ExecutionAlgorithmConfig bindings to the Python v2 backtest engine
• Added Order::to_order_status_report conversion in Rust
• Added with_msgbus_publisher for Rust live-node and kernel builders
• Added benchmark-relative portfolio stats (#4251), thanks @mahimn01
• Added SBE and Cap'n Proto encodings for Rust-native message bus publishers
• Added SBE and Cap'n Proto support for OptionGreeks
• Added Postgres cache position event-log persistence and restart recovery (Rust)
• Added Redis cache adapter order, position, and order-index write persistence (Rust)
• Added RedisCacheConfig, PostgresCacheConfig, and RedisMessageBusConfig for Rust factories
• Added Python v2 Strategy.order_factory accessor and validating OrderFactory bindings
• Added PyO3 cache purge APIs (#4249), thanks @graceyangfan
• Added PyO3 instrument tick_scheme fields with Arrow persistence
• Added Binance Futures bnfcr_currency config for Credits Trading Mode
• Added Binance Futures funding-rate history support in Rust
• Added Binance Futures MIN_NOTIONAL parsing for min_notional (#4280), thanks @filipmacek
• Added Binance Futures ticker data support in Rust
• Added Binance order-list submission in Rust
• Added Binance market-data WebSocket fixtures for CM-UM st and ps fields (Python and Rust)
• Added BitmexInstrumentState::Unknown to tolerate unrecognized venue states without bootstrap failure
• Added BitMEX legacy futures, spreads, and reference basket instrument parsing
• Added Blockchain CLI help for discoverable and snapshot-capable DEXes per chain
• Added Databento venue_dataset_map to override the default venue-to-dataset mappings
• Added Hyperliquid builder attribution opt-out
• Added Hyperliquid historical trade requests
• Added Hyperliquid minimum notional handling
• Added Interactive Brokers trailing stop basis-point offset support (#4292), thanks @faysou
• Added Lighter NVDA composite market maker Python v2 example
• Added PancakeSwap V3 on-chain snapshot validation via the Uniswap V3 pool reads
• Added PancakeSwap V3 pool-event parsers on BSC, Base, Arbitrum, and Ethereum
• Added Polymarket RTDS custom data subscriptions (#4214), thanks @graceyangfan
• Added Tardis Lighter venue mapping
• Added Tardis options_chain CSV loading, streaming, and catalog conversion
• Added Uniswap V3 SetFeeProtocol indexing so replayed snapshots carry the correct fee_protocol; run make init-db
• Added Uniswap V3 CollectProtocol indexing so pool snapshots track protocol-fee balances; run make init-db

Breaking Changes

• Changed backtest config builders to validate on build() and return ConfigResult (Rust)
• Changed BacktestDataConfig to require an instrument_id, instrument_ids, or bar_types target
• Changed example strategy and actor configs to use bon builder() instead of new()/with_* (Rust)
• Changed Rust actor self.clock() to return ClockApi; call methods directly instead of borrowing
• Changed Rust actor/strategy core access; use macros or native traits instead of Deref
• Changed PyO3 DataActor/Strategy historical request start/end to require UTC datetimes
• Changed Python NautilusDataType enum order to put OptionGreeks before InstrumentStatus
• Changed cache database and message bus backing construction to use factory-owned config structs (Rust)
• Changed CacheDatabaseAdapter::load_index_order_position to return position IDs instead of positions (Rust)
• Changed default message bus/cache encoding to JSON; set encoding="msgpack" for MessagePack
• Changed Redis cache account/order/position storage to event logs; clear old typed state (Rust)
• Changed Rust message bus subscriber-count and presence queries to return invalid-topic errors instead of panicking
• Changed SerializationEncoding repr order to Json=0, MsgPack=1, Capnp=2, Sbe=3
• Changed Cap'n Proto DataAny ordinals to put OptionGreeks before instrument schemas
• Changed SBE DataAny variants and template IDs to put OptionGreeks before instrument schemas
• Changed Currency::from_str and Currency::is_* to return CurrencyLookupError instead of anyhow::Error (Rust)
• Changed InstrumentId and OptionSeriesId string constructors to return typed errors (Rust)
• Changed OrderAny::from_events to return OrderReplayError instead of anyhow::Error (Rust)
• Changed OrderList::validate to return OrderListValidationError instead of anyhow::Error (Rust)
• Changed SyntheticInstrument fallible methods to return SyntheticInstrumentError instead of anyhow::Error (Rust)
• Changed tick scheme constructors and parsing to return TickSchemeError instead of anyhow::Error (Rust)
• Changed Parquet catalog write APIs to take borrowed slices instead of owned Vec (Rust) (#4296), thanks @sunlei
• Changed WebSocket and socket reconnect_timeout_ms to bound only connection establishment (Rust)
• Changed plug-in loader to reject build mismatches by default; opt out with set_allow_build_mismatch (Rust)
• Changed Binance Spot SBE WebSocket API schema to version 3:4, matching generated codecs (Rust)
• Changed Blockchain PoolProfiler.price_sqrt_ratio_x96 to return int instead of str
• Changed Bybit BybitHttpClient::submit_order to take trailing native TP/SL params; PyO3 defaults to None
• Removed CacheConfig.database and MessageBusConfig.backing; pass adapters separately
• Removed common DatabaseConfig and MessageBusBackingConfig; use Redis/Postgres configs
• Renamed message bus database terminology to backing in Rust message bus APIs
• Renamed add_native_actor to add_builtin_actor for bundled example actors
• Renamed add_native_strategy to add_builtin_strategy for bundled example strategies
• Renamed Rust/PyO3 instrument tick_scheme_name to tick_scheme; Cython keeps tick_scheme_name
• Renamed BitmexInstrumentType::StockPerpetual to TradFiPerpetual (covers equities, FX, and commodities)

Security

• Hardened Docker toolchain pins
• Fixed instrument base quantity calculation panic on zero last price (Rust)
• Fixed tick scheme navigation panics on NaN, infinite, and out-of-range prices (Rust)
• Fixed domain value conversions to reject invalid numeric inputs instead of panicking (Rust)
• Fixed plug-in host callbacks to return Panic errors instead of aborting the node on engine panics (Rust)
• Fixed plug-in create, clone_handle, and drop_handle panics to recover instead of aborting the process (Rust)
• Fixed plug-in host thunks to validate UTF-8 on plug-in strings instead of assuming it (Rust)
• Fixed plug-in loader rejection paths to cap diagnostic reads and never dlclose initialized cdylibs (Rust)
• Fixed event-store replay panic on captured fills carrying an invalid order side (Rust)
• Fixed Interactive Brokers disconnect reconciliation corrupting position state (#4230), thanks @HKOWL

Fixes

• Fixed account-currency PnL stats for NETTING accounts reusing a PositionId across cycles (#4294), thanks @faysou
• Fixed account-currency trade PnL stats for foreign-currency instruments (#4211), thanks @faysou
• Fixed blocking Python HTTP functions holding the GIL for the full request duration
• Fixed custom DataType metadata ordering and shared custom-data unsubscribes (Rust)
• Fixed data option-chain delta warmup
• Fixed DataEngine synthetic bar subscriptions with multiple venue clients (#4279), thanks for reporting @HSGartley
• Fixed DeFi pool profiler swap replay diverging from on-chain state at MIN/MAX-tick boundary swaps (Rust)
• Fixed DeFi replay bootstrap gaps in PoolSwap payload exposure, block timestamp units, and actor IDs (Rust)
• Fixed DonchianChannel period window (#4239), thanks @KaizynX
• Fixed event-store boot recovery to repair hard-crashed run files and skip damaged ones instead of failing (Rust)
• Fixed event-store capture duplicating order events, commands, and account states across dispatch hops (Rust)
• Fixed event-store snapshot-anchor validation across the verifier, retention, and restore paths (Rust)
• Fixed event-store replay, scan, marker, and halt-signal edge cases around skipped events, gaps, and reruns (Rust)
• Fixed event-store capture duplicating DataCommand dispatches across the queue and execute endpoints (Rust)
• Fixed event-store capture losing a message when its encoder failed before the last dispatch hop (Rust)
• Fixed event-store MemoryBackend silently replacing a sealed run on a same-id reopen (Rust)
• Fixed event-store reads accepting entries whose embedded seq disagreed with the redb table key (Rust)
• Fixed event-store replay claiming a full apply when a fill's position could not open (Rust)
• Fixed event-store replay fill guard to mirror live duplicate-fill semantics for flat positions (Rust)
• Fixed event-store run listing and retention planning depending on filesystem order for equal start times (Rust)
• Fixed event-store verify dropping entry findings when the marker sidecar scan failed (Rust)
• Fixed event-store verifier aborting the whole scan on one undecodable entry instead of reporting it (Rust)
• Fixed event-store writer halt firing twice across stall and backend failures and accepting post-halt submits (Rust)
• Fixed HTTP client errors discarding the underlying cause from the reqwest source chain (Rust)
• Fixed HttpClient rejecting invalid response header keys instead of silently dropping them (Rust)
• Fixed Instrument rejecting negative min_price, preventing spread instruments from loading in Python
• Fixed Interactive Brokers crypto order sizing where inverse quote-quantity SELL orders were converted to cashQty (which IBKR accepts for BUY only) and fractional coin quantities were truncated to zero via int(), causing venue rejection ("size value cannot be zero"); the Python and Rust adapters now apply cashQty only for inverse quote-quantity BUYs and reject quote-quantity SELLs
• Fixed live external order claim registration in Rust
• Fixed live reconciliation logging below-cached fill mismatches as errors, halting shutdown_on_error nodes (Rust)
• Fixed live reconciliation logging transient venue report-query failures as errors (Rust)
• Fixed live reconciliation synthesizing phantom cancels on cancel-replace venues (#4288), thanks @filipmacek
• Fixed local catalog queries and backtests for non-ASCII instrument IDs (#4259), thanks for reporting @seungpyoson
• Fixed matching engine fill commission side in Rust
• Fixed portfolio account update scoping in Rust
• Fixed PyO3 domain from_raw methods panicking on invalid input instead of raising ValueError
• Fixed rate limiter arithmetic to saturate so extreme quotas deny instead of admitting every request (Rust)
• Fixed reconnect backoff jitter collapsing to zero at the maximum delay (Rust)
• Fixed reconnect timeout cancelling the writer swap and replaying buffered messages into a readerless connection (Rust)
• Fixed recoverable order, commission, and PnL conditions logging as errors, halting shutdown_on_error nodes (Rust)
• Fixed Postgres order-client index load panic on orders persisted without a client ID (Rust)
• Fixed Postgres cache writer runtime
• Fixed risk sizing without max quantity in Rust
• Fixed Redis order updates to persist events before index replay can fail (Rust)
• Fixed RiskEngine bypass to also skip modify-order risk checks (#2330), thanks for reporting @fabz1
• Fixed socket client close stalling on and regressing an already closed client (Rust)
• Fixed socket reconnect confirmation hanging when a stalled peer blocks the buffer drain (Rust)
• Fixed stream-mode WebSocket clients accepting a zero heartbeat interval (Rust)
• Fixed streaming index prices and PyO3 mark, index, and funding data paths
• Fixed per-instrument streaming paths for MarkPriceUpdate (#4267), thanks @graceyangfan
• Fixed TLS client authentication silently dropped for combined key and certificate PEM files (Rust)
• Fixed TwapAlgorithm rejecting primary orders already cached by the engine submit path (Rust)
• Fixed TwapAlgorithm time event and lifecycle dispatch so all scheduled slices execute (Rust)
• Fixed unbounded WebSocket initial connection wait against servers that never complete the upgrade (Rust)
• Fixed WebSocket and socket writer failure paths overwriting a concurrent disconnect with a reconnect (Rust)
• Fixed WebSocket auth and connection-state waiters missing wakeups from unregistered Notify futures (Rust)
• Fixed WebSocket idle timeout starvation under control-frame floods faster than the check interval (Rust)
• Fixed Docker image build missing the patches directory needed by pyo3-stub-gen
• Fixed nightly CI publish and Windows Harden-Runner checks
• Fixed Architect AX to deny invalid submits locally and defer ambiguous command failures to reconciliation
• Fixed Binance Futures empty algo order IDs
• Fixed Binance Futures hedge reduce-only orders in Rust
• Fixed Binance Futures leverage initialization aborting execution client connect (#4289), thanks @YeeTsai
• Fixed Binance Futures node panic on BNFCR Credits Trading Mode balances
• Fixed Binance Spot expired order handling
• Fixed Binance Spot/Futures WebSocket connection pool race (#4244), thanks @filipmacek
• Fixed Binance HTTP client handling of non-JSON success responses during demo/testnet reconciliation
• Fixed BitMEX instrument bootstrap aborting on any row deserialize failure (#4283), thanks for reporting @seungpyoson
• Fixed Blockchain snapshot bootstrap checks
• Fixed Blockchain pool-event replay to require durable timestamps before checkpoints
• Fixed Blockchain pool sync aborting on swaps with an unrepresentable spot price
• Fixed Blockchain pool profiler logging self-correcting tick and liquidity mismatches at error severity (now warn)
• Fixed Blockchain snapshot validation rejecting fee-protocol-only mismatches
• Fixed Bybit demo native TP/SL and option params routing through the create-order endpoint (Rust and Python)
• Fixed Deribit chart bar volume for inverse perpetuals (#4245), thanks @filipmacek
• Fixed dYdX Indexer WebSocket dropping subscriptions beyond the 32-per-channel cap (#4290), thanks @filipmacek
• Fixed dYdX to share one REST rate-limit bucket across data and execution clients (#4265), thanks @filipmacek
• Fixed dYdX to deny unsupported submits locally and emit rejections only for definitive CheckTx refusals
• Fixed Hyperliquid bracket-child statuses and atomic fills orphaning orders (#4160), thanks @sonnymai
• Fixed Hyperliquid cancel-replace fill stranding on a dropped ACCEPTED (#4270), thanks for reporting @AlphaTraderK
• Fixed Hyperliquid order status queries surfacing a stale cancel closing a live order mid-modify (Rust)
• Fixed Interactive Brokers reconnect startup handling (#4210), thanks @faysou
• Fixed Interactive Brokers PERM cancel/modify routing and pending commission parsing (#4281), thanks @faysou
• Fixed Interactive Brokers to use permId for stable order identity (#4276), thanks @faysou
• Fixed Interactive Brokers to deny not-ready submits locally and drop synthetic cancel/modify rejections
• Fixed Kraken spot WebSocket dead-connection detection with an idle timeout (#4275), thanks @folknor
• Fixed Kraken count-only bar requests returning oldest bars instead of latest (#4274), thanks @folknor
• Fixed Lighter AccountState to include perp-side margin balance (#4246), thanks @filipmacek
• Fixed Lighter cancel and modify rejections for local, venue, and acked no-op failures
• Fixed Lighter concurrent batch nonce-ordering race (#4263), thanks @filipmacek
• Fixed Lighter maker-only key lookup authentication (#4234), thanks @filipmacek
• Fixed Lighter positions falsely flattening on malformed snapshots
• Fixed Lighter WebSocket clients exceeding shared venue rate limits (#4282), thanks @filipmacek
• Fixed Lighter nonce exhaustion halting order flow after 16 transactions per connection
• Fixed Lighter nonce recovery after venue rejections wedging subsequent transactions
• Fixed OKX instrument parsing for malformed venue payloads
• Fixed OKX conditional and attached TP/SL algo amend fields (#4268), thanks @jhavie
• Fixed Polymarket batch submit node panic on a venue-rejected leg (empty order ID); now emits OrderRejected
• Fixed Polymarket instrument expiration precision for Gamma markets (#4278), thanks for reporting @OnlyC
• Fixed Polymarket expired instruments re-entering live data paths (#4272), thanks @graceyangfan
• Fixed Polymarket marketable BUY fills above nominal size dropped as overfills (Rust)
• Fixed Polymarket marketable fills orphaning when a WS trade beats the submit response (Rust)
• Fixed Polymarket post-only crossing rejections not setting due_post_only

Internal Improvements

• Added Cargo publish dry-run and nightly publish plan checks
• Added a Docker check that Python references match the base image tag and requires-python
• Added turmoil coverage for WebSocket heartbeats, server-initiated pings, and server close frames (Rust)
• Improved instrument validation to reject non-positive multiplier and lot size (Rust)
• Improved FixedTickScheme validation to reject non-finite tick sizes (Rust)
• Improved release verifier retries and manual-publish recovery checks
• Improved network crate property tests with window-budget, full-domain arithmetic, and jitter-spread checks (Rust)
• Improved retry budget-exceeded errors to include the last underlying error (Rust)
• Improved plug-in ABI-mismatch reporting with manifest diagnostics instead of a null-manifest error (Rust)
• Improved nautilus_plugin! macro errors for missing name or version fields (Rust)
• Improved event-store marker writer and capture diagnostics with logged fail-stop errors (Rust)
• Improved Postgres order-client index restore to pick the latest client ID per order (Rust)
• Improved OTO contingency position ID recovery to persist re-indexed assignments (Rust)
• Improved backtest expiration timers and TestClock advancement performance (#4307), thanks @faysou
• Improved sandbox expired-instrument retention to prune after open positions settle (#4293), thanks @graceyangfan
• Improved Polymarket data client module structure (#4260), thanks @graceyangfan
• Improved Polymarket execution lookup retention for expired instruments (#4287), thanks @graceyangfan
• Improved Polymarket execution module structure (#4271), thanks @graceyangfan
• Improved Polymarket resolution module structure (#4269), thanks @graceyangfan
• Optimized Cache query filtering to scale with open orders and positions (#4242), thanks for reporting @magnified103
• Refined common clock reference-counted clone calls (#4302), thanks @learnerLj
• Standardized Rust OrderDenied reason codes
• Standardized Betfair adapter to emit order events for own orders and reports for external orders only (Rust)
• Standardized Polymarket adapter to emit order events for own orders and reports for external orders only (Rust)
• Upgraded Interactive Brokers Rust adapter to ibapi 3.0.1 (#4209), thanks @faysou
• Upgraded pandas to v3.0 and widened the supported range to <4.0.0
• Upgraded capnp and capnpc crates to v0.26.0
• Upgraded redis crate to v1.2.4
• Upgraded pyo3 and pyo3-async-runtimes crates to v0.29.0

Documentation Updates

• Added developer-guide rate-limiting policy distinguishing data and execution paths
• Added Binance COIN-M/USD-M architecture docs for stream, REST, rate-limit, and position-mode changes
• Updated plugins concept guide for panic recovery, build pinning, and UTF-8 validation semantics
• Updated event sourcing guide for capture dedup, recovery resilience, and snapshot-anchor verification
• Updated message bus docs for publisher forwarding, payload encoding, and JSON defaults
• Updated message bus docs for backing terminology and inbound subscriber shape
• Updated cache and message bus docs for technology-owned config factories
• Updated commodity instrument and execution concept guides for negative price support
• Updated OKX integration docs with EEA endpoint override guidance (#4250), thanks for reporting @msnatm-code

---

NautilusTrader 1.228.0 Beta

Released on 8th June 2026 (UTC).

Enhancements

• Added BSC chain support to blockchain adapter with UniswapV3 and PancakeSwapV3 DEX registrations
• Added Aerodrome Slipstream pool-event signatures and parsers for bootstrap and replay on Base
• Added Blockchain adapter analyze-pools CLI for batch DeFi pool snapshot hydration
• Added structured PoolProfilerError carrying pool id, block, transaction/log index, and event kind
• Added DeFi data (DefiData) replay through the data and backtest engines as a first-class Data variant
• Added BacktestEngine.add_defi_data for replaying DeFi block, pool, and pool-event data in backtests
• Added funding-rate catalog replay and FundingSettlement handling for backtests (Rust)
• Added generic structured key-value fields to LogLine (#4090), thanks @filipmacek
• Added correlation_id field to trading and system command structs for request tracing (Rust)
• Added checked mantissa/exponent constructors for Price and Quantity (Rust)
• Added Cap'n Proto and adapter split propagation of trading command correlation_id
• Added nautilus-plugin crate for loading separately compiled Rust cdylibs at live-node startup (Rust)
• Added custom-data plug point via PluginCustomData trait and nautilus_plugin! macro (Rust)
• Added actor plug point via PluginActor trait with lifecycle and data callbacks (Rust)
• Added strategy plug point via PluginStrategy trait with HostVTable order-command surface (Rust)
• Added plug-in HostVTable callbacks for cache, subscriptions, msgbus, and timers (Rust)
• Added PluginActorAdapter and PluginStrategyAdapter wrapping plug-in cdylibs as host DataActor/Strategy (Rust)
• Added PluginLoader::with_host so the live node can install a custom HostVTable for order-command routing (Rust)
• Added host_vtable and plugin_loader helpers binding submit/cancel/modify order to the strategy adapter (Rust)
• Added register_custom_data_from_manifest to register plug-in custom data with DataRegistry at load time (Rust)
• Added config_json argument to plug-in create thunks and PluginActor::new/PluginStrategy::new (Rust)
• Added DataEngine continuous futures historical bar requests and live bar subscriptions (Rust)
• Added DataEngine response bounds-trim and request-pipeline fan-in with RequestJoin support (Rust)
• Added DataEngine catalog / client response-side request splitting (Rust)
• Added DataEngine catalog orchestration for funding rates, custom data, and instruments (Rust)
• Added DataEngine time-range pipeline support for long historical requests (Rust)
• Added DataEngine order book deltas request and response with catalog/client split (Rust)
• Added DataEngine historical order book snapshot replay at UTC day boundaries (Rust)
• Added support for mixed-instrument OrderLists at the same venue (e.g. pairs, calendar spreads, multi-leg legs)
• Added OrderList.is_uniform_instrument and OrderList.instrument_ids helpers (Python)
• Added deny guard for mixed-instrument order lists submitted with a position_id
• Added portfolio PyO3 bindings and Strategy.portfolio access (#4085), thanks @ms32035
• Added beta-weighted vega greeks against volatility index instruments (#4097), thanks @faysou
• Added native OptionGreeks persistence and backtest replay support (#4132), thanks @Jonah-Chan
• Added StrikeRange.delta(...) to select option-chain strikes by target delta
• Added deterministic liquidation engine for backtests (#4077), thanks @abhishektang
• Added configurable logging IO policies (#4158), thanks @sunlei
• Added Binance Futures liquidation custom data subscriptions (#4095), thanks @graceyangfan
• Added Binance Futures open interest request custom data (Rust) (#4109), thanks @graceyangfan
• Added Binance Spot JSON public market data mode (#4178), thanks @graceyangfan
• Added pending-resolution settlement pipeline for binary options (Rust) (#4101), thanks @graceyangfan
• Added Serialize/Deserialize derives for PositionEvent (#4199), thanks @filipmacek
• Added Coinbase WebSocket status channel subscription emitting InstrumentStatus events
• Added Coinbase Python v2 factory bindings and tester examples
• Added CryptoFuturesSpread and CryptoOptionSpread instrument types mirroring CryptoFuture/CryptoOption
• Added Deribit option_combo and future_combo parsing as CryptoOptionSpread/CryptoFuturesSpread instruments
• Added Deribit combo trade leg parsing (legs[], combo_id, combo_trade_id) on public trade messages
• Added Deribit get_last_trades_by_currency HTTP endpoint for combo trade backfill
• Added Deribit get_expirations HTTP endpoint for traded option-chain expirations
• Added Deribit public TradeId provenance prefix (RFQ-/BLK-/COMBO-) for block, RFQ, and combo trades
• Added Deribit subscribe_combo_legs opt-in for combo leg trade streams
• Added Derive initial adapter (on-chain spot, perps, options)
• Added Derive WebSocket trading API support for submit, cancel, modify, and cancel-all actions
• Added Hyperliquid WebSocket trading API support for submit, cancel, modify, and cancel-all actions
• Added Hyperliquid HIP-4 outcome BinaryOption.info with parsed venue description and question metadata
• Added Hyperliquid HYPERLIQUID_ACCOUNT_ADDRESS env var fallback for HyperliquidExecClientConfig.account_address
• Added Hyperliquid live open interest custom data from activeAssetCtx (Rust) (#4120), thanks @graceyangfan
• Added Hyperliquid allDexsAssetCtxs custom data subscriptions (#4136), thanks @graceyangfan
• Added Kraken WebSocket rate limiting (#4093), thanks @filipmacek
• Added Lighter initial adapter (DEX: spot, perps)
• Added OKX on_instrument write-through so data-client instrument updates refresh exec caches without restart
• Added OKX spread instrument discovery as CryptoFuturesSpread instruments (Rust)
• Added OKX Nitro spread order execution and reconciliation support (Rust)
• Added Polymarket adapter bounded-retry auto-load with auto_load_max_retries and exponential backoff with jitter (Rust)
• Added Polymarket condition-level resolution for expired markets (#4164), thanks @graceyangfan
• Added Polymarket new_market fetch dedupe and bounded concurrency (#4185), thanks @graceyangfan
• Added Polymarket POLY_1271 deposit-wallet signing support (#4053), thanks for reporting @sumuzhao and @sophyphilo
• Added shutdown_on_error to stop Rust backtests and live nodes after error logs
• Added Tardis option greeks ingestion to the catalog for backtest replay
• Added Tardis extract_bbo_as_quotes to emit QuoteTick from option_summary BBO fields

Breaking Changes

• Renamed custom-data field marker json to serde (#4133), thanks @faysou
• Removed live engine graceful_shutdown_on_error; use node-level shutdown_on_error instead
• Changed nautilus_pyo3.get_exchange_rate to return decimal.Decimal instead of float
• Changed DeFi pool-event and snapshot types to require ts_event/ts_init timestamps (was optional timestamp)
• Changed PoolProfiler::initialize and check_if_initialized to return Result rather than assert
• Changed command new constructors to accept correlation_id: Option<UUID4>, pass None for old behavior (Rust)
• Changed CVec to no longer implement Send; use typed wrappers for thread transfer (Rust)
• Changed Hyperliquid HIP-4 outcome InstrumentId to {outcome_index}-{YES|NO}-OUTCOME.HYPERLIQUID
• Changed Deribit DeribitWebSocketClient.with_credentials to accept api_key/api_secret after environment
• Changed order event reconciliation and due_post_only from u8 to bool (changes JSON/Arrow schemas)
• Changed Deribit combos to land as CryptoOptionSpread/CryptoFuturesSpread instead of OptionSpread/FuturesSpread; FuturesSpread/OptionSpread once again guarantee whole-contract sizing
• Changed NautilusKernelConfig.timeout_connection default from 120 to 60 seconds (#4179)

Security

• Added OpenSSF Scorecard workflow (#4187), thanks @pushkarm029
• Fixed DataFFI PyCapsules to reject mismatched types and prevent repeated CVec drops
• Fixed thread-local registry access to avoid exposing global-lifetime actor and component refs
• Fixed OrderBookDepth10 FFI constructor to avoid unwinding across C ABI boundaries
• Fixed StackStr::from_c_ptr_checked to return None for null C string pointers

Fixes

• Fixed matching engine panic on mark price bars in Rust (#4189), thanks @po4yka
• Fixed raw value boundary constants in Rust (#4188), thanks @po4yka
• Fixed unbounded Cache VecDeque memory leak (Rust) (#4107), thanks @filipmacek
• Fixed Throttler silently dropping buffered messages in buffer mode (Python v1) (#4221), thanks @santatic
• Fixed Cache.reset clearing FX rate lookup for retained instruments (#4159), thanks for reporting @dfjmax
• Fixed BacktestEngine option positions remaining open when data stops before expiry
• Fixed BacktestEngine losing latency-deferred commands at shutdown (Rust) (#4062), thanks for reporting @zhanghaoda
• Fixed BacktestEngine duplicate account state events on reset, thanks for reporting @dfjmax
• Fixed calculated account state flag for cash and margin accounts (#4218), thanks @faysou
• Fixed PortfolioStatistic.downsample_to_daily_bins to compound sub-daily returns (#4141), thanks @mahimn01
• Fixed missing PortfolioStatistic trait methods returning None (#4174), thanks @mahimn01
• Fixed matching engine not canceling unmatched IOC/FOK limit orders (Rust) (#4112), thanks for reporting @Jonah-Chan
• Fixed matching engine L1 slip-through for market orders exhausting top-of-book volume (Rust)
• Fixed multi-currency balance update violating total == locked + free (#4165), thanks for reporting @qaxayuan
• Fixed NETTING reconciliation opening phantom reduce-only positions (#4106), thanks for reporting @M-at-ti-a
• Fixed HEDGING margin scaling with fill count instead of net exposure (#4110), thanks for reporting @qaxayuan
• Fixed live reconciliation filtering for unclaimed external venue orders (Rust)
• Fixed ExecTester on_stop leaving INITIALIZED orders and bracket legs live across all cancel modes (Rust)
• Fixed Aerodrome Slipstream AmmType from StableSwap to CLAMM
• Fixed PoolProfiler::update_position to pre-validate active liquidity so failures leave pool state unchanged
• Fixed DefiDataEngine exposing zero-state pool profiler during snapshot bootstrap
• Fixed pool profiler AlreadyInitialized error when hypersync replay revisits Initialize after snapshot restore
• Fixed deterministic catalog directory registration order (#4208), thanks @faysou
• Fixed LiveNode signal handling during startup connection wait (#4102), thanks @filipmacek
• Fixed NautilusKernelConfig.timeout_connection default at 60 seconds (#4179), thanks for reporting @triyys
• Fixed quarter bar volume precision (#4201), thanks @HaakonFlaaronning
• Fixed Python ShutdownSystem dict serialization to round-trip correlation_id (was previously dropped)
• Fixed Python v2 live trading deadlocks from timer callbacks and kept Polymarket instrument refreshes Rust-only
• Fixed Python v2 order-book wranglers writing raw fixed-point bytes in big-endian (needed little-endian) (#4111), thanks for reporting @fabz1
• Fixed Python v2 type stub generation failing to locate libpython under uv-managed interpreters
• Fixed Betfair adapter snapshot book deltas emitting zero-volume Add entries (Rust)
• Fixed Betfair adapter traded volume cache to handle bet voids and non-runner adjustments (Rust)
• Fixed Betfair adapter RCM custom data ts_init parity between live and historical streams (Rust)
• Fixed Betfair adapter overfill checks for rounded stream matched sizes (Rust)
• Fixed Betfair adapter unsupported unsubscribe commands logging above debug (Rust)
• Fixed Binance Futures algo params for trailing stops/reduce-only (#4192), thanks for reporting @luckykefu
• Fixed Binance Futures execution symbol format (#4182), thanks for reporting @luckykefu
• Fixed Binance Futures full-depth book startup after snapshot retries
• Fixed Binance Spot full-depth book startup after snapshot retries (#4181), thanks for reporting @graceyangfan
• Fixed Binance Spot full-depth books to seed diffs from REST snapshots
• Fixed Binance Spot JSON full-depth books to use REST-synced diff streams (#4181), thanks @graceyangfan
• Fixed Binance Spot SBE numeric parsing to reject invalid price and quantity values
• Fixed Binance status-unknown submits emitting phantom rejections (#4215), thanks for reporting @Centaur-pub
• Fixed BitMEX startup handling for crypto futures spreads, duplicate subscriptions, USYC margins, and account ID discovery
• Fixed BitMEX order submission to deny unsupported GTD time-in-force locally
• Fixed BitMEX mark/index price updates on altcoin perps (#4147), thanks @filipmacek
• Fixed Blockchain adapter analyze-pool --to-block bounds during snapshot replay
• Fixed Blockchain adapter caching a half-initialized PoolProfiler when initialize returns InitialTickMismatch
• Fixed Blockchain adapter Multicall validation chunking and flash-event resume bounds
• Fixed Bybit linear/inverse minNotionalValue parsing (#4216), thanks @filipmacek
• Fixed Coinbase book snapshot deltas missing F_SNAPSHOT flag in REST and WebSocket parsers
• Fixed CurrencyPair.asset_class for crypto pairs (#4175), thanks @filipmacek
• Fixed Deribit DeribitExecutionClient not forwarding config credentials to the WebSocket client
• Fixed dYdX rate limiter being skipped due to missing keys (#4091), thanks @filipmacek
• Fixed Hyperliquid Alo limit order status reports being parsed as trigger orders
• Fixed Hyperliquid account balances for zeroed perp summaries (#4207), thanks @jungsooyun
• Fixed Hyperliquid balances preserving negative totalRawUsd (#4177), thanks for reporting @jzheng2017
• Fixed Hyperliquid cancel-replace modify overfill on an in-flight fill (#4154), thanks for reporting @AlphaTraderK
• Fixed Interactive Brokers order submit to guard on client readiness (#4100), thanks @honvl
• Fixed Interactive Brokers order requests to guard on client readiness (Rust) (#4125), thanks @faysou
• Fixed Interactive Brokers Python request_instruments cache leakage (#4099), thanks @mahimn01
• Fixed Interactive Brokers request_instruments returning cumulative cache (Rust) (#4114), thanks @faysou
• Fixed Interactive Brokers Rust orders routing to exchange MIC venues (#4129), thanks @faysou
• Fixed Interactive Brokers live bar reconnect tracking cleanup (#4169), thanks @faysou
• Fixed Interactive Brokers warmup last_disconnection_ns (#4173), thanks @HKOWL
• Fixed Kraken Futures feeScheduleUid deserialization to tolerate absence ahead of the 2026-06-22 Fee Schedules deprecation
• Fixed Kraken Spot L2 snapshots and subscribed-depth pruning
• Fixed OKX OKXExecutionClient not forwarding config credentials to WebSocket clients (#4115), thanks @pusteckiy
• Fixed OKX adapter to validate clOrdId rules before submission (#4116), thanks for reporting @pusteckiy
• Fixed Polymarket adapter dropping auto-load batches on Gamma chunk failures (Rust)
• Fixed Polymarket Gamma market lookups to send repeated list query params (Rust)
• Fixed Polymarket adapter treating encoded-empty clob_token_ids as terminal instead of transient (Rust)
• Fixed Polymarket PyO3 bootstrap to honor instrument_config (#4127), thanks @graceyangfan
• Fixed sandbox cached account config after initial AccountState (#4191), thanks @graceyangfan
• Fixed Tardis CSV delta loaders missing book resets between consecutive snapshots

Internal Improvements

• Added cargo machete pre-commit hook to detect unused workspace dependencies
• Added cargo conventions check for stale [package.metadata.cargo-machete] ignored entries
• Added default log color signature (#4202), thanks @HaakonFlaaronning
• Added try_liquidity_math_add returning structured LiquidityMathError alongside the panicking variant
• Added structured-error coverage tests for PoolProfiler overflow/underflow paths and Display formats
• Added round-trip tests for correlation_id in Cap'n Proto, Arrow, and msgpack serialization
• Added DEX event-signature/parser parity tests across all registered chains
• Added Derive fuzz targets
• Added option chain backtest replay tests for slice assembly and snapshot cadence
• Added Hyperliquid flatten binary that cancels working orders and closes perpetual positions
• Added Hyperliquid Criterion bench groups for inbound pipeline, exec pipeline, and dispatch (Rust)
• Added OKX Criterion bench groups for inbound pipeline, exec pipeline, dispatch, and HTTP signing (Rust)
• Added Polymarket auto_load_retry_delay helper with exponential backoff and jitter (Rust)
• Added Polymarket Criterion bench groups for inbound pipeline, exec pipeline, and signing (Rust)
• Enabled unreachable_pub rustc lint workspace-wide to prevent dead public surface
• Implemented OKX DataClient::unsubscribe_instrument override to silence missing-handler warning at teardown
• Improved Portfolio calculations with Decimal arithmetic (Rust)
• Improved RiskEngine per-order pre-trade checks to resolve each order's own instrument in mixed-instrument lists
• Improved ExecutionEngine to route own-order-book inserts per order for mixed-instrument lists
• Improved Binance Spot SBE missing credentials error message (#4092), thanks @filipmacek
• Improved Coinbase avg_price parsing to validate via Decimal before f64 conversion
• Aligned Derive and Lighter configs with workspace conventions (#4183), thanks @filipmacek
• Refined OptionSpread/FuturesSpread trait accessors to read size_precision/size_increment fields
• Refined Rust data engine to match Cython behavior (#4219), thanks @faysou
• Refined Hyperliquid adapter hot paths in WebSocket handler, parse, and signing modules
• Refined Interactive Brokers nautilus-execution/nautilus-network deps behind execution feature
• Refined OKX adapter hot paths in WebSocket frame deserializer, book10 parse, and fee currency lookup
• Removed dead Hyperliquid WebSocket codec module
• Removed unused async-stream and indexmap from nautilus-interactive-brokers dependencies
• Optimized common logging hot paths (#4150), thanks @sunlei
• Optimized datetime and UUID formatting (#4161), thanks @sunlei
• Optimized AtomicMap snapshot borrowing (#4162), thanks @sunlei
• Optimized Derive signing and hot paths with benchmark report
• Optimized Hyperliquid signing and hot paths with benchmark report
• Optimized OKX hot paths with benchmark report
• Optimized portfolio update_position to avoid per-event Position clones (#4197), thanks @po4yka
• Upgraded Rust (MSRV) to 1.96.0
• Upgraded Cython to v3.2.5
• Upgraded databento crate to v0.53.0
• Upgraded redis crate to v1.2.2
• Upgraded sqlx crate to v0.9.0

Documentation Updates

• Added plug-in concept guide covering the C-ABI boundary, manifest, lifecycle, and live-node integration
• Added event-sourcing concept guide covering capture, replay, snapshot recovery, and verifier behaviour
• Added concept-guide section on mixed-instrument order lists covering downstream caveats and OMS guards
• Added backtesting guide notes for funding settlement flows
• Added FFI and Rust unsafe-code guidance for PyCapsule ownership and scoped TLS access
• Added Polymarket integration guide notes for POLY_1271 deposit wallets
• Refined BacktestEngine shutdown notes with on_stop venue-latency ordering and pre-stop fill caveats
• Refined Coinbase integration guide for instrument-status, funding rate backlog, and order rejection wording
• Refined OKX integration guide with product capabilities and Nitro spread order notes
• Fixed NautilusKernelConfig state flag default docs (#4144), thanks for reporting @trikafi
• Fixed LatencyModelConfig base latency unit comment (1 second) (#4170), thanks for reporting @phx000
• Fixed Polymarket crate README labelling separate Gamma and Data API endpoints
• Fixed Polymarket integration guide inaccuracies (Gamma vs Data API split, determine_trade_id hash by adapter)

Deprecations

None

---

NautilusTrader 1.227.0 Beta

Released on 18th May 2026 (UTC).

Enhancements

• Added continuous futures support for aggregated bars (#3921), thanks @faysou
• Added purge_instrument cache method for trimming unused instruments (#3945), thanks for reporting @fedoraiver
• Added LoggerConfig.file_config and clear_log_file support to the Rust LiveNode runtime (#3955), thanks @filipmacek
• Added LoggerConfig Python constructor for direct construction without from_spec (#3955), thanks @filipmacek
• Added limit_aggressive and test_modify_rejected flags to ExecTesterConfig for marketable/modify-rejection tests
• Added CompositeMarketMaker example strategy with book-mid quoting and synthetic-signal skew (Rust)
• Added #[custom_data_field(json)] for JSON-backed Arrow Serde fields and PyO3 IndexMap/HashMap dict conversion (#4003), thanks @faysou
• Added priority parameter to DataActor.subscribe_signal for ordered dispatch between subscribers (Rust and PyO3)
• Added Cache::order_owned returning an owned OrderAny snapshot for boundary handover (Rust)
• Added Cache::account_mut, account_owned, account_for_venue_owned with AccountRefMut/AccountAny returns (Rust)
• Added Cache::position_mut and position_owned with PositionRefMut/Position returns (Rust)
• Added PortfolioSnapshot event for per-account mark-to-market emission, gated by snapshot_interval_ms (Rust)
• Added Portfolio::build_snapshot and Portfolio::snapshots accessors with a bounded per-account ring (Rust)
• Added subscribe_portfolio_snapshot and publish_portfolio_snapshot message bus API on events.portfolio (Rust)
• Added subscribe_positions message bus function (Rust)
• Added InstrumentId::parse_parent_components and InstrumentClass parent suffix conversion methods, exposed via PyO3 (Rust)
• Added serde Deserialize support for LiveNodeConfig and adapter client configs to enable loading from TOML
• Added Betfair Rust adapter post-reconnect mass-status reconciliation that halts submits via STREAM_RECONCILING
• Added Betfair Rust adapter stream_gap_recovery_lookback_mins config for the reconciliation lookback window
• Added Binance Spot expiryReason field capture on schema 3:4 SBE order responses (Rust)
• Added Binance Spot serverShutdown event handling on market-data and trading WebSocket streams (Rust)
• Added Binance USDM mark price moving average (ap) field on BinanceFuturesMarkPriceMsg (Rust)
• Added Bybit hedge-mode venue position IDs for order, position, and fill events
• Added Bybit BBO order support for linear and inverse limit-style orders
• Added Bybit flatten binary that cancels working orders and flattens Linear/Inverse positions
• Added Bybit instrument-info symbolId, symbolType (with xstocks/stock/forex/commodity), and spot xstockMultiplier fields (Rust)
• Added Bybit position openTime field on REST BybitPosition and WS BybitWsAccountPosition (Rust)
• Added Bybit execution.fast private WebSocket channel support with slim payload struct and FillReport dispatch (Rust)
• Added Coinbase liquidation/ADL warning on forced-close order events
• Added Coinbase CFM liquidation buffer warning when buffer drops below 20%
• Added Databento set_price_precision and get_price_precisions methods on the data loader and historical client
• Added Deribit auto_load_missing_instruments config flag to lazy-load uncached instruments on subscribe
• Added Deribit DVOL custom data subscriptions (#4069), thanks @graceyangfan
• Added dYdX historical funding rate requests via the request_funding_rates HTTP method and PyO3 binding
• Added Hyperliquid HIP-4 outcome instruments: +E/#E encoding, USDH settlement, and per-side BinaryOption modeling
• Added Hyperliquid HIP-4 outcome reconciliation via spot balances; outcomeMeta settlement dispatch on the Rust client
• Added Hyperliquid HIP-4 userOutcome actions (split, merge, mergeQuestion, negate) and venue Settlement fill parsing
• Added Hyperliquid allMids custom data subscriptions with optional dex metadata (#4067), thanks @graceyangfan
• Added Kraken Spot margin trading support (#3965), thanks @mcgrj
• Added Kraken Spot L3 order book support via WebSocket v2 (#4041), thanks @mcgrj
• Added Kraken Spot WebSocket v2 order submission (#4007), thanks @mcgrj
• Added OKX X-Perp (ruleType=xperp) futures support with funding-rate subscriptions
• Added OKX slippagePct parameter for market orders via the slippage_pct order param
• Added OKX event contracts support
• Added Polymarket OrderStatusReport.filled_qty dust snap at terminal Filled status to absorb venue truncation
• Added Polymarket PolymarketFeeModel backtest fee model with maker-rebate inference
• Added Polymarket PolymarketDataLoader.sanitize_info flag to strip resolution fields on resolved markets

Breaking Changes

• Removed legacy adapter environment flags per previous deprecation; use environment enum
• Removed From<OrderInitialized> for order types; use TryFrom to surface invariant errors via try_from/try_into
• Removed Polymarket SNAP_UNDERFILL_ULPS and SNAP_OVERFILL_ULPS; reverting to single DUST_SNAP_THRESHOLD constant
• Removed stale Tardis crypto-com-derivatives exchange variant
• Renamed Binance and Kraken environments from Mainnet/MAINNET to Live/LIVE
• Renamed time_bars_origins config param to time_bars_origin_offset in DataEngineConfig/LiveDataEngineConfig (Rust)
• Renamed Cache::mut_order to order_mut; takes &mut Cache and returns OrderRefMut<'_> (Rust)
• Changed Cache::order and orders_* to return OrderRef<'_> (newtype borrow, was &OrderAny) (Rust)
• Changed Cache::account, account_for_venue, accounts to return AccountRef<'_> (was &AccountAny) (Rust)
• Changed Cache::position, position_for_order, positions_* to return PositionRef<'_> (was &Position) (Rust)
• Changed Cache::take_account to move the account out of its cell and panic on alias instead of cloning (Rust)
• Changed to deny submit_order/submit_order_list with a custom position_id under NETTING OMS; use HEDGING for custom position IDs
• Changed JSON log file extension from .json to .jsonl; update log shippers watching .json (#3955), thanks @filipmacek
• Changed Python order create() methods to raise ValueError on invalid OrderInitialized instead of panicking
• Changed default TransportBackend to Sockudo; set backend = Tungstenite to keep the previous default
• Changed nautilus-network default Cargo features to include transport-sockudo
• Changed nautilus-model arrow to an optional feature; enable arrow (or python-arrow) for prior behavior (#4008), thanks @sunlei
• Changed OrderMatchingEngineConfig defaults to match the Cython per-engine constructor (Rust)
• Changed Strategy order methods to take Option<Params> to avoid unnecessary IndexMap allocations (Rust); use None or Some(params)
• Changed Strategy::cancel_order and modify_order to take ClientOrderId instead of OrderAny (Rust v2)
• Changed Strategy::cancel_orders to take Vec<ClientOrderId> instead of Vec<OrderAny> (Rust v2)
• Changed Rust strategy registration to append order_id_tag to explicit strategy IDs, matching Cython
• Changed Binance Futures to prefer DEMO endpoints for simulated trading
• Changed Databento data loaders to error on unresolved precision; pass price_precision or call set_price_precision
• Changed Kraken Spot to reject DEMO; demo remains Futures-only
• Changed nautilus_core::from_pydict from Py<PyDict> to &Py<PyDict> to avoid moving the input dict (Rust) (#4003), thanks @faysou
• Changed DataActor::subscribe_signal to take priority: Option<u32>; existing callers must pass None (Rust)
• Changed message bus subscription priority from u8 to u32 to match Cython int priority parity (Rust)
• Changed OrderFactory::bracket to a bon builder with per-leg entry_*/tp_*/sl_* setters; use factory.bracket()...call() (Rust)

Security

• Added Sigstore SBOM attestation for Docker container images at the published digest
• Added CI smoke tests verifying wheel, sdist, and Docker image signatures after publish
• Removed long-lived PACKAGES_TOKEN PAT in favor of per-job GHCR GITHUB_TOKEN
• Hardened CI release signing chain: pinned cosign tooling, harden-runner on merge jobs
• Hardened nightly-merge auth by storing token in git extraheader rather than remote URL
• Hardened PyPI publishing with OIDC trusted publishing, eliminating long-lived API tokens
• Hardened Python deps: pinned every third-party package in [tool.uv].no-build-package so lost wheels fail uv lock not build sdist
• Upgraded urllib3 to v2.7.0 (GHSA-mf9v-mfxr-j63j decompression-bomb bypass, GHSA-qccp-gfcp-xxvc cross-host proxy header leak)
• Fixed DatabaseConfig repr to fully redact passwords (#4028), thanks @faysou
• Documented Sigstore signature and SBOM verification commands in SECURITY.md

Fixes

• Fixed RefCell reentrancy panic in ExecutionEngine::handle_order_fill for OTO parent fills (#3981), thanks for reporting @GreatLandmark
• Fixed RefCell reentrancy in ExecutionEngine::load_cache nested borrow_mut calls
• Fixed RefCell double-borrow panic in Portfolio::update_position when calculate_account_state is true
• Fixed identifier deserialization inside #[serde(tag = "type")] enums and serde_json::Value via Cow<'de, str> owned-string support
• Fixed AccountsManager::update_balances discarding recalculated balances by mutating a dropped clone
• Fixed margin account balance not applying realized price PnL on close and reversal fills (#4056), thanks @faysou
• Fixed Rust portfolio account event clone overhead (#4004), thanks for reporting @magnified103
• Fixed margin AccountState events emitting empty balances when balances were populated
• Fixed allow_cash_borrowing not applied to cached cash accounts during simulated venue initialization
• Fixed cache venue order ID updates and own-book cleanup for cancel-replace flows (Rust)
• Fixed Cache::orders_for_exec_algorithm discarding query filters when applying intersection (Rust)
• Fixed OwnOrderBook tracking for reconciled external open orders (Rust)
• Fixed OrderAny::from_events panic on malformed OrderInitialized; reconciliation returns Err instead of crashing
• Fixed BacktestEngine not enabling calculate_account_state on accounts (#3988), thanks for reporting @magnified103
• Fixed BacktestEngine not settling on_stop commands before shutdown (#4062), thanks for reporting @zhanghaoda
• Fixed MessageBus late wildcard subscriptions missing events on already-cached topics (#3942), thanks for reporting @graceyangfan
• Fixed OrderMatchingEngine to propagate tick-size to MatchingCore (#3942), thanks for reporting @graceyangfan
• Fixed OrderMatchingEngine duplicate fills from closed matching-core orders (#4075)
• Fixed OrderMatchingEngine.reset leaking OrderBook.ts_last across resets (Python) (#3992), thanks @YeeTsai
• Fixed sandbox tick-size precision race that could panic on stale ticks (#3994), thanks @graceyangfan
• Fixed matching engine and sandbox handling of stale-precision quote and trade ticks (#4044), thanks @graceyangfan
• Fixed bracket SL/TP rejected by matching engine on submit (Rust) (#4040), thanks for reporting @maximsamsonov
• Fixed ExecutionEngine reconciliation skipping OrderUpdated when both report and order were already ACCEPTED
• Fixed ExecutionEngine subscribe_venue_instruments routing through the typed publisher so adapters receive instrument updates
• Fixed execution fill reconciliation account scoping and duplicate trade IDs (Rust)
• Fixed reconciliation drift when a venue snapshot carries both a fill mismatch and a quantity/price amendment (Rust)
• Fixed reconciliation premature OrderUpdated emission for pending venue states before venue confirmation (Rust)
• Fixed reconciliation missing MarketIfTouched/LimitIfTouched price and trigger drift detection (Rust)
• Fixed live position reconciliation conflating positions across accounts (#4029), thanks @faysou
• Fixed live position reconciliation retry/throttle leaking across accounts on the same instrument (Python and Rust)
• Fixed live position reconciliation collapsing multi-account positions on the same instrument (Rust)
• Fixed Strategy/Actor clock callback leak on dispose (#3967), thanks for reporting @frslvr
• Fixed Strategy pending cancel and pending update events before order commands (Rust)
• Fixed Strategy submit methods to publish OrderInitialized before cache updates (Rust)
• Fixed ExecTester LIT pricing direction so reconciled BUY/SELL LIT orders satisfy the trigger_price invariant
• Fixed wrangler v2 timestamp resolution to force nanoseconds before the int64 cast for pandas 3 compatibility (#3970), thanks @gzenz
• Fixed custom data parquet schema registration and multi-file query (#4021), thanks @faysou
• Fixed custom_data macro PyO3 stub generation: order gen_stub above pyo3 attributes and detect cfg_attr-wrapped invocations
• Fixed catalog consolidate_data_by_period cleanup for skipped targets (#4080), thanks @arpankapoor
• Fixed SQL ParserError for symbols containing ampersand (#4025), thanks @arpankapoor
• Fixed DataEngine to route subscribe/unsubscribe commands to the BACKTEST client when registered (Rust)
• Fixed DataEngine to apply validate_data_sequence to bars emitted by internal aggregators (Rust)
• Fixed emit_quotes_from_book and emit_quotes_from_book_depths config flags being silently ignored (Rust)
• Fixed DataEngine composite book subscriptions not routing per-underlying deltas/depth to per-underlying books (Rust)
• Fixed DataEngine composite + exact book subscription overlap double-applying to the shared cache book (Rust)
• Fixed DataEngine unsubscribe detaching the client while exact-topic subscribers remained (Rust)
• Fixed DataEngine bar aggregator quote/trade subscription priority (Rust)
• Fixed DataEngine::reset leaking book and option-chain state across resets (Rust)
• Fixed DataActor composite book delta subscriptions not receiving per-underlying publishes (Rust)
• Fixed Architect AX GET /order-status to use oid/cid per v14.0.1; legacy order_id/client_order_id now return HTTP 400
• Fixed Binance Futures reduce-only orders not reconciling venue-side quantity (Python and Rust) (#3983), thanks for reporting @KaizynX
• Fixed Binance Spot inflight REST polls for pruned IOC orders (#4072), thanks for reporting @marcelmdn
• Fixed Binance WebSocket pong unhandled RuntimeError blocking reconnect after server close (#4020), thanks for reporting @M-at-ti-a
• Fixed Bybit ambiguous submit failures to await reconciliation, thanks for reporting @shorino
• Fixed Bybit BBO orders not reconciling the venue-resolved price in cached order state (Rust and Python)
• Fixed Bybit funding rate parsing for dated futures on shared tickers.linear WS topic; gates to CryptoPerpetual only (#4084)
• Fixed Betfair Rust adapter dropped fills on reconnect by resyncing the fill tracker from cache
• Fixed Betfair Rust adapter panic on blank customerOrderRef/rfo by normalizing empty strings to None
• Fixed Betfair Rust adapter spurious OrderRejected after OCM already reported a terminal state
• Fixed Betfair Rust adapter ignore_external_orders to treat empty rfo strings the same as missing
• Fixed Databento market data price precision preservation (#4002), thanks @faysou
• Fixed Databento MBP10 panic on undefined depth levels (#4046), thanks for reporting @prajjwal23
• Fixed Databento decoder gaps on dbn 0.58 wire data: skip 'I' (Index) classes and map new stat types 14-20
• Fixed dYdX FOK and DAY time-in-force orders to reject pre-submission instead of failing at the venue or mapping to GTC
• Fixed dYdX MIT/LIT round-tripping on reconcile when the Indexer collapses both variants under TAKE_PROFIT
• Fixed dYdX GTD expiry to surface OrderExpired on both WS and HTTP reconciliation paths
• Fixed dYdX TriggerType default when condition_type is unset so reconciliation no longer rejects the report
• Fixed dYdX TAKE_PROFIT order type deserialization (the Indexer omits the _LIMIT suffix)
• Fixed dYdX reconciliation noise by dropping reports for orders already in a terminal state in the local cache
• Fixed dYdX Python _request_instrument(s) to pass the full _handle_data_response argument set
• Fixed dYdX Python _subscribe_order_book_depth to log a graceful warning instead of raising NotImplementedError
• Fixed Deribit StopMarket OrderRejected when the order response omits filled_amount (#3995), thanks for reporting @marco-rigoni
• Fixed Deribit cross-margin overcounting; reports equity for total and available_withdrawal_funds for free (#4009), thanks @filipmacek
• Fixed Deribit subscriptions silently dropping data for uncached instruments (#4035), thanks for reporting @linimin
• Fixed Deribit funding rate log spam from perpetual channel updates emitting info/debug on every tick (#4083)
• Fixed Deribit and Hyperliquid custom data builds without the arrow feature
• Fixed Hyperliquid modify-after-partial-fill sending absolute quantity to the cancel-replace leg, causing engine overfill (#3986)
• Fixed Hyperliquid testnet orders rejected with "Builder fee has not been approved" by omitting builder attribution like vault orders (#3989)
• Fixed Hyperliquid spurious OrderCanceled on concurrent modifies (Python and Rust) (#3971), thanks @M-Advis
• Fixed Hyperliquid cancel-replace fill race emitting OrderFilled against stale local order state (Python and Rust) (#3972)
• Fixed Hyperliquid dropping FillReport before order cached; fills now buffered and drained on OrderAccepted (#4076), thanks @M-Advis
• Fixed Hyperliquid terminal rejections on submit/cancel/modify failures; defers to WS reconciliation (Python and Rust), thanks @M-Advis
• Fixed Hyperliquid Rust data client reconnect leaving the consumption loop on a cancelled token after disconnect
• Fixed Interactive Brokers spread fill races (#3957), thanks @taozle
• Fixed Interactive Brokers callback ordering races (#3976), thanks @faysou
• Fixed Interactive Brokers market data farm reconnects not resubscribing feeds (#3968), thanks @onixenix
• Fixed Interactive Brokers market data dispatch on fractional tick sizes (#4022), thanks @faysou
• Fixed Interactive Brokers shutdown reader RuntimeError on stop and dispose (#4023), thanks @faysou
• Fixed Interactive Brokers reconnect before server version handshake (#4027), thanks @faysou
• Fixed Interactive Brokers SMART stock venue resolution (#4061), thanks @faysou
• Fixed Kraken Spot margin wallet balances for multi-asset collateral (#3997), thanks @mcgrj
• Fixed Kraken symbol normalization for WS v2 compatibility (#3961), thanks @mcgrj
• Fixed Kraken Spot WebSocket dispatch dropping delta-only execution frames that omit symbol (#4052), thanks @mcgrj
• Fixed Kraken Futures order-update batches failing to deserialize on venue-emitted "unknown" enum values
• Fixed OKX missing post_only instrument status (#3966), thanks @jhavie
• Fixed OKX missing rebase instrument status (#3998), thanks @jhavie
• Fixed OKX future instrument status parsing (#4005), thanks @cryptoSUN2049
• Fixed Polymarket V2 BUY overfill rejection via overfill-only last_qty snap on WS, REST, and buffered drain paths
• Fixed Polymarket REST fill paths bypassing dust normalization, causing engine state to diverge from venue across paths
• Fixed Polymarket residual ACCEPTED orders via trade-history recovery (#4024), thanks for reporting @fedoraiver
• Fixed Polymarket adapter book resync on tick_size_change (#3942), thanks for reporting @graceyangfan
• Fixed Polymarket no-op tick_size_change clearing local book and queuing a redundant snapshot (Python and Rust)
• Fixed Polymarket stale local book and last quote leaked across unsubscribe cycles (Python and Rust)
• Fixed Polymarket auto-loaded instrument subscriptions not receiving live data (#4050), thanks for reporting @d0dge
• Fixed Polymarket auto-load dropping subscriptions on CLOB transient 404 and empty token_id for newly-minted markets
• Fixed Polymarket market IOC orders submitting as FOK (#4006), thanks for reporting @fedoraiver
• Fixed Polymarket WS order parsing of venue cancellations with reason suffix (#3987), thanks for reporting @Javdu10
• Fixed Polymarket WebSocket parse-error logging raising a secondary exception on non-UTF8 payloads (#4038), thanks @graceyangfan
• Fixed Polymarket parse_trades TradeId collisions on multi-fill transactionHash (Python and Rust)
• Fixed Polymarket parse_trades ts_event collisions on same-second fills (Python and Rust)
• Fixed Polymarket fetch_trades aborting on historical-offset ceiling; warns and returns partial (Python and Rust)
• Fixed Polymarket load_trades non-deterministic same-second ordering across pages (Python and Rust)
• Fixed Polymarket Gamma instrument loading capped at 100 markets (#4086), thanks for reporting @haimgel
• Fixed Tardis instrument metadata parsing for numeric fields encoded as strings

Internal Improvements

• Added OrderMatchingCore::update_price_increment primitive for tick-size propagation parity (Rust)
• Added iter_* API on OrderMatchingCore for zero-allocation read-only iteration of resting orders (Rust)
• Added Criterion bench suite for OrderMatchingCore covering add/get/delete/iterate hot paths (Rust)
• Added OwnOrderBook property tests for Rust model invariants
• Added ContinuousFutureAdjustmentType enum and BarBuilder price adjustment pipeline (Rust)
• Added native is_externally_aggregated/is_internally_aggregated methods on BarType (Rust)
• Added live node stress harness with trade_burst and cancel_starvation scenarios (Rust)
• Added DataEngine and AsyncRunner per-stage benches for the trade-to-cache path (Rust)
• Added Python TradingNode parity stress harness for v1 vs v2 comparison
• Added cargo-flamegraph to workspace tools with pinned version
• Added simulation feature on nautilus-live so the stress harness runs under cfg(madsim) for DST validation
• Added NautilusKernel::with_cache_database builder setter and constructor variant for cache database adapter injection (Rust)
• Added nautilus-event-store snapshot capture/restore/replay via NautilusKernel for durable cache state across runs (Rust)
• Added automatic Tungstenite fallback when WebSocketConfig.proxy_url is set with Sockudo selected (Rust)
• Added typed publish_instrument() to message bus (#4081), thanks @filipmacek
• Added Binance Futures -4531 (UM/CM dualSidePosition sync) error classifier with hedge-mode hint (Rust)
• Added BinanceSpotUserDataEventType enum for typed Spot user-data event dispatch (Rust)
• Added Interactive Brokers PyO3 live client config support in TradingNodeConfig (#3964), thanks @faysou
• Added Interactive Brokers Rust adapter support for v2 live trading (#3974), thanks @faysou
• Added Interactive Brokers per-order exchange routing params (#4079), thanks @faysou
• Improved #[custom_data] to support live-only JSON types without Arrow registration
• Improved DataEngine.reset to clear book updaters, snapshotters, option chain managers, and timers (Rust)
• Improved DataEngine to create per-underlying books for composite-symbol book subscriptions (Rust)
• Improved object materialization in Rust stream Feather to parquet conversion (#3954), thanks @faysou
• Improved cache order storage to per-order Rc<RefCell<OrderAny>> cells, closing stale-clone bug class (Rust)
• Improved OwnBookLadder to defer error logging to callers, removing duplicate own-book error noise
• Improved DataEngine/DataActor bulky responses: summaries at debug, full at trace; same for raw WS frames in Bybit, OKX, BitMEX
• Improved OrderMatchingEngine trailing-stop activation to use the OrderMatchingCore iter_* API (Rust)
• Improved OrderMatchingEngine.iterate per-order loop to align trailing-stop and GTD timing with Cython (Rust)
• Improved OrderMatchingEngine queue-position fill gating to match Cython on cross-through trades (Rust)
• Improved OrderMatchingEngine.iterate bid/ask reset gate to honor in-flight trade overrides (Rust)
• Improved update_balance_multi_currency to delegate negative-balance enforcement to per-account update_balances
• Improved live exec clients to log ERROR with timeout_post_stop hint when cancel tasks abort on disconnect
• Improved ExecTester to refresh tracked orders from cache before modify/cancel-replace so they see venue acks
• Improved make build to leave the venv able to import nautilus_trader from any cwd via a local editable .pth
• Improved Betfair Rust adapter to suppress late HTTP acceptance at debug level
• Improved Betfair Rust adapter to suppress noisy instrument_close subscribe/unsubscribe warnings
• Improved Betfair Rust HTTP client connect() to short-circuit when authenticated and serialise concurrent callers
• Improved Betfair Rust HTTP client disconnect() to cancel in-flight retries and install a fresh cancellation token
• Improved Betfair Rust unsubscribe_book_deltas log level to warn to match Python visibility
• Improved Betfair Rust adapter with explicit info-level no-op overrides for unsupported unsubscribe methods
• Improved Betfair Rust integration test coverage to cover OCM, replace flow, batch ops, and session recovery
• Improved Hyperliquid data client to track spawned subscribe tasks for abort on disconnect/reset (Rust)
• Improved Interactive Brokers Python 3.14 installation and integration test coverage
• Regenerated Binance Spot SBE codecs against schema 3:4
• Refined data engine request workflow (#3928), thanks @faysou
• Refined Hyperliquid data client by extracting parse_l2_book_snapshot helper for direct unit testing (Rust)
• Optimized Cache order and position query methods to a single size-ordered intersection pass (Rust)
• Optimized Cache::*_count methods to count via index without materializing a sorted Vec (Rust)
• Optimized OrderMatchingCore storage to split BTreeMap limit/stop books per side for price-time priority (Rust)
• Optimized live node biased select to dispatch exec commands ahead of market data (Rust)
• Optimized live node loop by collapsing six maintenance timers into one shared maintenance dispatcher (Rust)
• Ported Interactive Brokers adapter hardening fixes to Rust (#4073)
• Upgraded alloy crate to v2.0.4
• Upgraded databento crate to v0.51.0
• Upgraded redis crate to v1.2.1
• Upgraded tokio crate to v1.52.3 (fixes a performance regression)

Documentation Updates

• Added DST docs caveats for process-global lazy state RNG consumption and CacheView factory blocker
• Added Bybit hedge-mode docs with official positionIdx API links
• Added Bybit BBO order docs with params and examples
• Added Databento docs for price precision precedence and publisher mappings
• Added Deribit DVOL and Hyperliquid allMids adapter docs
• Added Polymarket fill quantity normalization section explaining the dust snap, deferred dust, and commission semantics
• Added dYdX adapter notes for FOK deprecation, DAY rejection, equity-tier limit, and MIT/LIT round-tripping
• Added adapter timestamp conversion conventions covering ms-to-ns helpers and ts_event vs ts_init
• Added Rust shared-mutability storage guide with Rc<RefCell<T>> decision tree to the developer guide
• Improved Hyperliquid integration guide flagging Rust-only execution config options and scoped slippage note
• Added Shutdown semantics to the backtesting guide covering on_stop command settlement
• Updated adapter docs and examples to use environment enums instead of legacy test flags

Errata

• Seven 0.57.0 crates manually published via API token (not OIDC) due to a topo-sort bug in publish-cargo-crates.sh
• Affected: nautilus-{analysis,common,execution,network,portfolio,testkit,trading}; fixed for v1.228.0

---

NautilusTrader 1.226.0 Beta

Released on 29th April 2026 (UTC).

Enhancements

• Added Portfolio::mark_values, equity, and missing_price_instruments queries for Rust and Python
• Added instrument_status / instrument_statuses cache queries and auto-caching in the data engine (#3858)
• Added environment enum config for BitMEX, Deribit, dYdX, Hyperliquid, and OKX adapters
• Added BybitEnvironment to BybitDataClientConfig and BybitExecClientConfig
• Added missing config values to LiveExecEngineConfig (#3841), thanks @Javdu10
• Added calculate_commission to ExecutionClient for venue-specific reconciliation fills
• Added PyO3 bindings for DataEngineConfig, ExecutionEngineConfig, and OrderEmulatorConfig so they can be constructed from Python
• Added cache, msgbus, data_engine, exec_engine, and portfolio keyword arguments to BacktestEngineConfig Python constructor
• Added MarginAccount.margin_for_currency + margin_init/maint_for_currency helpers for cross-margin queries
• Added MarginAccount.total_margin_init(currency) / total_margin_maint(currency) summing both margin buckets
• Added MarginAccount.account_margins, account_margins_init/maint, and clear_account_margin accessors
• Added transport-sockudo feature with TransportBackend runtime selector for the WebSocket transport (Rust)
• Added TransportBackend PyO3 enum and WebSocketConfig.backend kwarg for backend selection from Python
• Added custom upgrade-header support on the sockudo backend so adapters carry the same User-Agent and per-venue headers on both backends (#3932), thanks @sunlei
• Added WebSocketConfig.proxy_url for HTTP CONNECT proxy tunneling with basic-auth support
• Added Betfair tiered tick scheme to BettingInstrument for ladder-snapped pricing
• Added Binance Futures use_trade_lite config to opt into low-latency TRADE_LITE fills (Rust, default False)
• Added Binance proxy_url plumbing for market and user-data WS streams (#3937), thanks for reporting @huangqingchi
• Added Bybit user-related endpoints (#3894), thanks @sunlei
• Added Bybit BybitPositionIdx enum and bybit_resolve_position_idx PyO3 helper
• Added Coinbase initial integration adapter (Rust)
• Added DydxNetwork re-export on the nautilus_trader.adapters.dydx package
• Added Hyperliquid historical funding rates via fundingHistory info endpoint
• Added Hyperliquid configurable MARKET slippage (market_order_slippage_bps) with per-order override
• Added Hyperliquid OrderBookDepth10 subscription backed by the l2Book feed
• Added Hyperliquid nSigFigs / mantissa L2 precision controls via subscribe_params
• Added Interactive Brokers Rust adapter with PyO3 compatibility layer (#3864), thanks @faysou
• Added Kraken xStocks tokenized asset support for spot market data, order submission, and futures instruments
• Added OKX option greeks support for both Black-Scholes and price-adjusted conventions on every tick
• Added OKX params["greeks_convention"] (string or list) to narrow option greeks subscriptions
• Added OKX transport_backend config to switch websockets between Tungstenite and Sockudo backends
• Added Polymarket game_id and fee_schedule to instrument info (#3811), thanks @Javdu10
• Added Polymarket batch SubmitOrderList via POST /orders for limit-order batches (Rust)
• Added Polymarket WebSocket idle_timeout_ms for zombie detection (#3908), thanks for reporting @camarigor
• Added Polymarket WebSocket proxy_url plumbing
• Added Polymarket pUSD collateral currency (Currency::pUSD() in Rust, pUSD in Python) for the CLOB V2 cutover
• Added configurable compression for Tardis Machine replay, defaulting to zstd
• Added ExecutionReport::OrderWithFills and send_order_with_fills emitter for bundled status + fill reconciliation
• Added ADL / liquidation detection and logging across Binance, Bybit, OKX, BitMEX, Hyperliquid, Deribit, and dYdX
• Added Binance Futures COIN-M delivery_autoclose- prefix recognition for expiring contract auto-close events
• Added Bybit adlRankIndicator warning log when an open position is ranked 4 or higher (next to deleverage)
• Added Hyperliquid liquidation metadata logging on fills and userEvents.liquidation routing
• Added Hyperliquid Auto-Deleveraging fill detection with warn logging on HTTP and WebSocket paths

Breaking Changes

• Added Option<&AccountId> to Rust Portfolio::unrealized_pnls, realized_pnls, total_pnls; pass None to keep prior behavior
• Added backend: TransportBackend to WebSocketConfig; struct-literal callers must add the field (Rust)
• Added proxy_url: Option<String> to WebSocketConfig; struct-literal callers must add the field (Rust)
• Migrated Polymarket adapter to CLOB V2: new EIP-712 domain, new exchange contracts, reshaped order fields, pUSD collateral, and py-clob-client-v2 on the Python side
• Consolidated adapter HTTP and WebSocket proxy plumbing onto a single proxy_url field, replacing the prior http_proxy_url / ws_proxy_url split across adapter Rust and Python configs
• Removed DockerizedIBGatewayConfig::from_env_or_defaults (Rust); use the bon builder or Default::default, which still falls back to TWS_USERNAME/TWS_PASSWORD
• Removed OrderMatchingEngineConfig::new and with_price_protection_points (Rust); use OrderMatchingEngineConfig::builder() instead
• Removed BlockchainDataClientConfig::new, BlockchainExecutionClientConfig::new, and DexPoolFilters::new (Rust); use the corresponding ::builder() instead
• Removed DeribitExecClientConfig::new and HyperliquidExecClientConfig::new convenience constructors (Rust); use the ::builder() instead
• Removed DataEngineConfig::new 12-arg positional constructor (Rust); use DataEngineConfig::builder() instead
• Removed synthetic ACCOUNT-* placeholders from margin adapters; MarginBalance emits with currency only
• Removed nautilus_system::factories module; import factory traits from nautilus_common::factories (Rust)
• Removed indicators from nautilus-common default features; enable with features = ["indicators"] (Rust)
• Renamed Python DatabaseConfig.timeout to connection_timeout and response_timeout to match the Redis/PyO3 wire schema
• Replaced is_sandbox: bool with environment: AxEnvironment on AxDataClientConfig and AxExecClientConfig (Rust and Python), aligning with the Binance/Bybit/Kraken adapter pattern. Default is Sandbox.
• Changed BacktestEngine::add_venue and SimulatedExchange::new (Rust) to take SimulatedVenueConfig (bon builder)
• Changed Interactive Brokers Rust configs to use bon builders: InteractiveBrokersDataClientConfig, InteractiveBrokersExecClientConfig, InteractiveBrokersInstrumentProviderConfig, and DockerizedIBGatewayConfig
• Changed get_cached_bybit_http_client signature: replaced demo/testnet bools with environment: BybitEnvironment
• Changed UnsubscribeBookSnapshots to require interval_ms for exact snapshot interval unsubscribe (Rust)
• Changed OrderError::Invariant variant to wrap CorrectnessError instead of anyhow::Error (Rust)
• Changed HyperliquidEip712Signer::new() to return Result and take &EvmPrivateKey (Rust)
• Changed HyperliquidExchangeRequest::new/with_vault to accept HyperliquidSignature directly (Rust)
• Changed Binance USD-M Futures WebSocket URLs from /ws to /market/ws and /private/ws
• Changed Cap'n Proto and SBE wire formats to preserve Option state (unstable, may change)
• Changed Python and Serde-backed Rust config decoding to reject unknown fields, so stale or misspelled keys now fail fast during config parsing
• Changed MarginBalance.instrument_id to optional; None marks account-wide (cross margin) entries keyed by currency
• Changed MarginAccount.margins_init/margins_maint to per-instrument only; use account_margins_* for cross margin
• Changed Binance Futures COIN-M to emit one MarginBalance per base coin (previously hardcoded USDT)
• Changed matching-engine TradeId format to T-{hash}-{count} from {venue}-{raw_id}-{count}; ts_init-keyed
• Changed use_random_ids to no longer govern TradeId; flag still affects VenueOrderId and PositionId
• Changed workspace nautilus-live to default-features = false; enable features = ["node"] for LiveNode (Rust)
• Changed adapter LiveNode examples to require --features examples to build (Rust)
• Changed ParquetDataCatalog::to_object_path and to_object_path_parsed to return anyhow::Result so cross-store URIs surface as errors instead of silently rewriting against the catalog bucket (Rust)
• Changed prefixed remote catalogs (s3://bucket/base/path) to read and write under their declared URI prefix; move data previously written to the bucket root into the prefix (#3930)

Security

• Hardened Binance Ed25519 credential detection so base64 HMAC secrets no longer pass as Ed25519 keys (Rust)
• Hardened Binance HTTP request signing by URL-encoding Ed25519 signatures in query strings (Rust)
• Replaced the third-party urlencoding crate with the in-tree nautilus_core::urlencoding to shrink the supply-chain surface (Rust)
• Bumped pinned SHAs for security-relevant GitHub Actions (harden-runner, codeql-action, setup-uv, setup-rust-toolchain) to current upstream releases
• Refreshed cargo-deny and osv-scanner advisory configuration; removed the stale pygments advisory ignore now that upstream is patched

Fixes

• Fixed sockudo WebSocket backend dropping handshake leftover bytes when the server piggybacks the first frame on the 101 response (#3932), thanks @sunlei
• Fixed account state regeneration dropping account-wide margins on every fill across live and backtest paths
• Fixed AccountState to accept empty balances and margins
• Fixed FillModel determinism via IndexMap in OrderMatchingEngine (#3914), thanks for reporting @timkoopmans
• Fixed quote midpoint raw arithmetic across precision modes (#3849), thanks @BurnOutTrader
• Fixed quote_quantity propagation in execution algorithm spawn orders (#3845), thanks @dxwil
• Fixed streaming backtest shutdown determinism on FORCE_STOP (#3920)
• Fixed mark_values/equity keying by base currency when conversion is off; now keys by settlement currency
• Fixed PortfolioAnalyzer AttributeError on MaxDrawdown/CAGR/CalmarRatio (#3941), thanks for reporting @a1zb2yc3z
• Fixed stop_timer in TimeBarAggregator (#3822), thanks @faysou
• Fixed RiskEngine applying base min_quantity/max_quantity bounds to quote-denominated orders
• Fixed backtest OrderMatchingEngine treating quote_quantity=True orders as base quantity; the quote notional is now converted to a base quantity before fill simulation (#3873), thanks for reporting @fedoraiver
• Fixed subscribe_option_chain hanging on bootstrap in backtest (#3938), thanks for reporting @aaurix
• Fixed backtest option expiry fills missing from cache and fills report (#3939), thanks for reporting @hotelmike
• Fixed backtest physical option assignment closing the option leg at the opening premium (#3948), thanks for reporting @hotelmike
• Fixed DataBackendSession GIL deadlock when streaming custom data types (#3847), thanks for reporting @GianC0
• Fixed BacktestNode streaming with mixed built-in and custom data types (#3853), thanks for reporting @GianC0
• Fixed DataBackendSession chunked streaming memory leak causing RSS growth (#3889), thanks for reporting @GianC0
• Fixed book snapshot subscriptions to preserve exact (instrument_id, interval_ms) semantics for shared intervals and exact unsubscribe handling (Rust) (#3823), thanks for reporting @dwolfesberger
• Fixed WebSocket auth state during reconnection for Bybit, OKX, and Deribit (#3820), thanks for reporting @KaizynX
• Fixed WebSocket idle_timeout_ms reset on Ping/Pong keep-alive frames (#3907), thanks for reporting @camarigor
• Fixed TradingNodeConfig.parse dropping importable live client config path and factory fields during raw config decoding
• Fixed OrderTriggered ValueError on market-style stop orders (#3812), thanks for reporting @jindrichsirucek
• Fixed consolidate_data_by_period pairwise merging on fragment-per-flush catalogs (#3857), thanks for reporting @M-Advis
• Fixed consolidate_data_by_period destroying data on repeat runs and when straddling files spanned the consolidation window, mirrored in the Rust catalog backend (#3883), thanks @M-Advis
• Fixed ParquetDataCatalog.get_intervals(identifier=None) on per-identifier data (#3903), thanks for reporting @GianC0
• Fixed ParquetDataCatalog.consolidate_data raising IndexError when the start/end range did not overlap any files, and consolidate_catalog_by_period aborting the loop on the first unrecognized directory rather than skipping it (#3910), thanks for reporting @M-Advis
• Fixed remote catalog object paths under URI prefix so writes and reads under s3://bucket/base/path (and other remote schemes) no longer collapse to the bucket root (#3930), thanks @fedoraiver
• Fixed S3-backed custom data queries and remote Feather discovery (#3931), thanks for reporting @fedoraiver
• Fixed FeatherWriter writing 0-precision metadata on leading CLEAR delta (#3913), thanks for reporting @fedoraiver
• Fixed empty error log on TradingNode clean shutdown from CancelledError (#3862), thanks for reporting @jxstanford
• Fixed Symbol and PositionId deserialize of non-ASCII escaped strings (#3893), thanks for reporting @volemont
• Fixed execution engine ignoring user-supplied position_id from submit_order (Rust)
• Fixed ExecutionEngine leg-fill position events not publishing to subscribers (#3939)
• Fixed cache load not repairing OTO contingent child position_id after a partial fill-time crash (Rust)
• Fixed TestDataGenerator.generate_trade_ticks using random UUID4; now sequences deterministic T-{idx} IDs
• Fixed reconciliation IDs non-deterministic across restarts (#3878), thanks for reporting @peanut-copilot
• Fixed reconciliation synthetic OrderStatusReport now propagates fill price to avg_px for downstream inferred fills
• Fixed reconcile_fill_report dropping fills for unknown orders; now bootstraps external orders for venue closures
• Fixed PyO3 InstrumentStatus persistence and backtest streaming through ParquetDataCatalog (#3855)
• Fixed PyO3 LiveNode request_bars() historical callbacks dropped during startup warmup (#3825), thanks @BurnOutTrader
• Fixed PyO3 DataActor missing on_historical_funding_rates and on_historical_data forwarding None
• Fixed PyO3 crypto instrument from_dict for unregistered base/underlying codes (#3882), thanks for reporting @volemont
• Fixed PyO3 catalog instruments() failing on unregistered currencies (#3898), thanks for reporting @volemont
• Fixed PyO3 from_dict on non-ASCII strings via ensure_ascii=False in json.dumps (#3895), thanks @costajohnt
• Fixed Betfair event order: Instrument now emits before InstrumentStatus/InstrumentClose within each MCM
• Fixed Betfair scratched runners (Removed/RemovedVacant) emitting close only at market close; now fire immediately
• Fixed Betfair non-snapshot book deltas emitting inline; now tailed after trades/tickers to match Python semantics
• Fixed Betfair BSP deltas emitting before book deltas; now tailed after book deltas within each MCM
• Fixed Betfair order rejection reason dropping instruction-level errorMessage detail
• Fixed Betfair query_order to emit status reports via customer_order_ref and bet_id lookups (Rust)
• Fixed Binance user data stream not recovering after keepalive failure (#3861), thanks for reporting @KaizynX
• Fixed Binance Futures user data stream event loss during listen key rotation (#3861), thanks for reporting @KaizynX
• Fixed Binance Futures WebSocket trades by forcing @aggTrade (#3861), thanks for reporting @KaizynX
• Fixed Binance Futures exchange-generated fills losing real trade_id and commission by bundling status + fill
• Fixed Binance Ed25519 detector silently accepting base64 HMAC secrets as Ed25519 keys (Rust)
• Fixed Binance HTTP request Ed25519 signature URL-encoding in query strings (Rust)
• Fixed Binance Futures USD-M cancel_all_orders silently failing; routes through HTTP (WS API does not support it)
• Fixed Binance Futures TRADE_LITE user data events logging "Unknown event type" warnings on every fill
• Fixed Binance USD-M Futures WebSocket routing for fstream-mm and fstream-auth hosts
• Fixed BitMEX trade ID fallback using random UUID4 when trdMatchID missing; now hashed from trade fields
• Fixed Bybit demo mode websocket data URLs (#3742), thanks for reporting @jindrichsirucek
• Fixed Bybit position deserialization for closed positions (#3836), thanks for reporting @pusteckiy
• Fixed Bybit perpetual instrument status to emit PreClose when scheduled for delisting (#3829), thanks @dxwil
• Fixed Bybit load_all_async dropping base_coin filter for options (#3865), thanks for reporting @Baerenstein
• Fixed Bybit InstrumentStatus messages silently dropped instead of forwarded to the data engine
• Fixed Bybit and Deribit option chain example subscribe_option_chain call (#3887), thanks @sunlei
• Fixed Bybit margin missing for accounts with orders but no positions (#3725), thanks for reporting @marco-rigoni
• Fixed Bybit JSON pong websocket frames not being skipped before classification (#3936), thanks @sunlei
• Fixed Bybit hedge mode positionIdx rejection when position_mode set (#3944), thanks for reporting @pusteckiy
• Fixed Bybit execution client not applying configured leverage, position mode, or margin mode on connect (Rust)
• Fixed Databento CMBP1 and TCBBO trade IDs using random UUID4 instead of deterministic hash of trade fields
• Fixed Databento dropping start_ns after session start; now logs error (#3877), thanks for reporting @jxstanford
• Fixed Deribit mark/index price subscriptions silently dropping data in Python (#3821), thanks for reporting @linimin
• Fixed Deribit StopMarket OrderRejected on market_price price field (#3925), thanks for reporting @marco-rigoni
• Fixed dYdX generate_order_status_report fetching only the first order and missing later matches in the response
• Fixed dYdX orderbook snapshots missing F_SNAPSHOT flag on deltas; empty-book Clear now emits F_SNAPSHOT | F_LAST
• Fixed dYdX crossed-book resolution stripping F_SNAPSHOT from synthetic uncrossing deltas and the terminator
• Fixed dYdX trade-tick pagination dedup missing non-adjacent duplicates across page boundaries
• Fixed dYdX trade-tick pagination overshooting target end block from fixed block-time estimate
• Fixed dYdX crossed-book size arithmetic using f64 subtraction; now uses Decimal at full precision
• Fixed dYdX position reports overriding venue side from size sign; venue side now preserved end-to-end
• Fixed dYdX DydxAdapterConfig defaulting to mainnet URLs regardless of network; added for_network helper
• Fixed Hyperliquid LiveNode bootstrap panic on HIP-3 instrument symbols containing */? (e.g. dex:STREAMABCD****-USD-PERP) by substituting wildcard bytes with x in InstrumentId.symbol while preserving the venue-official name on raw_symbol (#3896), thanks for reporting @daiwanwei
• Fixed Hyperliquid bracket order submission grouping (#3810), thanks for reporting @jindrichsirucek
• Fixed Hyperliquid modify cancel-replace emitting stale OrderCanceled (#3827), thanks for reporting @P1YU5H-50N1
• Fixed Hyperliquid order status query for closed orders (#3879), thanks for reporting @pusteckiy
• Fixed Hyperliquid batch cancel silently dropping per-item errors (#3879), thanks for reporting @pusteckiy
• Fixed Hyperliquid Rust query_order handler to emit status reports (#3879), thanks for reporting @pusteckiy
• Fixed Hyperliquid request_account_state discarding parsed margins (#3725), thanks for reporting @marco-rigoni
• Fixed Hyperliquid cancel_all_orders dropping per-order rejection events on partial or transport failure
• Fixed Hyperliquid request_trades silently returning empty; now bails explicitly
• Fixed Hyperliquid Auto-Deleveraging fill direction deserialization (#3922), thanks for reporting @AlphaTraderK
• Fixed IB Gateway Docker image failing on ARM64 hosts (#3813), thanks for reporting @Baki-0501
• Fixed Interactive Brokers rejecting negative average fill price on combo/spread net-credit fills (#3884), thanks @faysou
• Fixed Interactive Brokers position reconciliation TypeError when priceMagnifier is None (#3885), thanks @davidsblom
• Fixed Kraken Futures limit order OrderUpdated panic from wire stop_price: 0.0 treated as trigger price
• Fixed Kraken Futures fast-fill market orders resolving as rejected during order status reconciliation (#3870), thanks for reporting @Stamppot82
• Fixed Kraken Futures margin-account balance parse violating the AccountBalance invariant (total == locked + free) when Kraken's af field and the derived amount - af round independently at the currency precision
• Fixed Kraken Spot quote-quantity orders never reaching terminal state from base/quote size mismatch
• Fixed Kraken Spot ticker QuoteTick.ts_event using local init time instead of the exchange timestamp field (#3926), thanks @ptzafos
• Fixed Kraken trade dedup clearing the entire set at capacity instead of evicting the oldest entry
• Fixed Kraken Futures AccountBalance invariant panic on margin parse (#3868), thanks @Stamppot82
• Fixed Kraken Futures WebSocket re-authentication deadlock on reconnect (#3871), thanks for reporting @Stamppot82
• Fixed OKX option greeks not forwarded due to inaccessible Cython cdef subscription attribute
• Fixed OKX option greeks emitting BlackScholes convention regardless of subscribed greeks type
• Fixed OKX order identity registration race during concurrent order submission (Rust)
• Fixed OKX algo orders missing from order status reconciliation reports
• Fixed OKX spot margin position reconciliation preferring CurrencyPair with USDT/USDC/USD quote over alternatives
• Fixed OKX index-price subscription refcount leaking across reconnect and concurrent transitions
• Fixed OKX option summary subscription refcount not rolling back on subscribe failure
• Fixed OKX duplicate fills from empty trade_id using deterministic synthesized id instead of random UUID
• Fixed OKX panics on unmapped OrderStatus and empty OptionType values via TryFrom conversion (Rust)
• Fixed OKX InstrumentStatus messages logged as unhandled instead of forwarded to the data engine
• Fixed OKX query_order to emit status reports by merging regular and algo order lookups (Rust)
• Fixed Polymarket commission formula and fee source for fills (#3838), thanks for reporting @santivazq
• Fixed Polymarket reconciliation fills using incorrect commission (#3860), thanks for reporting @fedoraiver
• Fixed Polymarket instrument min_quantity denying market orders via limit-order shares rule (#3874), thanks for reporting @fedoraiver
• Fixed Polymarket request_instrument(s) dropping WS via stale token_meta (#3900), thanks for reporting @fedoraiver
• Fixed Polymarket parse_to_quote_ticks using changed level as top of book (#3905), thanks for reporting @camarigor
• Fixed Polymarket parse_to_snapshot missing F_SNAPSHOT flag on CLEAR and intermediate ADD deltas
• Fixed Polymarket parse_to_deltas flagging F_LAST on every delta instead of only the final one
• Fixed Polymarket parse_to_trade_tick using uuid.uuid4(), producing non-deterministic trade IDs
• Fixed Tardis replay handling of sparse book_snapshot_* levels (#3953), thanks for reporting @a1zb2yc3z
• Fixed Tardis trade ID fallback using random UUID4 when venue id missing/empty (CSV and WebSocket parsers)

Internal Improvements

• Added AccountBalance::from_total_and_locked and AccountBalance::from_total_and_free, and migrated adapter balance parsing to preserve the total == locked + free invariant at currency precision (Rust)
• Added typed CorrectnessError enum to replace anyhow::Error in correctness helpers (Rust)
• Added CorrectnessResultExt::expect_display for display-formatted panics on typed correctness errors (Rust)
• Added deterministic simulation testing (DST) re-export module gated behind simulation feature (Rust)
• Added wall_clock_now seam in nautilus-core for virtual time under simulation (Rust)
• Added biased to tokio::select! blocks in network and live crates for deterministic poll order
• Added nautilus_network::transport module with Message/TransportError/WsTransport for future backend swap (Rust)
• Added neutral Message/TransportError re-exports on nautilus_network to ease future backend swaps (Rust)
• Added engine config methods on PyO3 LiveNodeBuilder (#3848), thanks @BurnOutTrader
• Added read-only params() accessor to SubscribeCommand and TradingCommand (#3846), thanks @faysou
• Added ShutdownSystem handling via commands.system.shutdown pub/sub topic, wired to kernel, backtest, and live (Rust)
• Added PyO3 DataActor parity with v1 for publish_data, publish_signal, subscribe_signal, unsubscribe_signal, add_synthetic, and update_synthetic (Rust)
• Added per-currency account-wide margin storage to MarginAccount, routing event margins by instrument_id presence
• Added Architect AX unit and integration tests for execution, request filters, and WebSocket parsers
• Added dYdX debug logging to generate_order_status_report showing filter scope and page_full on None results
• Added Polymarket determine_trade_id helper with FNV-1a (Rust) and blake2b (Python) deterministic hashing
• Added Hyperliquid criterion benchmarks for L1 signing path
• Added Hyperliquid integration tests for funding rates, trades, cancel-all, and handle_l2_book routing
• Added Hyperliquid minTradeSpotNtlRejected order status and Unknown liquidation method fallback
• Added Binance unit tests for spot/futures dispatch dedup, post-only rejection, and value conversions
• Added derive_trade_id FNV-1a helpers in BitMEX and Tardis common parse modules for deterministic fallback
• Added derive_cmbp_trade_id in Databento decode for schemas without a native trade ID
• Added property-based tests for Databento trade ID derivation (stability and 16-hex format)
• Added Rust/Python parity tests pinning matching-engine TradeId format across language bindings
• Added node feature to nautilus-live gating builder, config, manager, and node modules (default on)
• Added support for user-provided Tokio runtime in live module (#3918), thanks @filipmacek
• Added continuous futures support for bar requests and subscriptions (#3921), thanks @faysou
• Improved nautilus-live/defi to no longer pull LiveNode orchestration deps
• Improved CI uv cache via setup-uv auto mode to skip GHA uploads on self-hosted runners (#3933), thanks @sunlei
• Cleaned up unused dependencies (#3886), thanks @sunlei
• Improved CI cache hygiene on self-hosted runners with uv prune, prek auto-gate, and footprint summary
• Migrated WebSocketClient onto the WsTransport trait, decoupling reconnect/auth from tungstenite types (Rust)
• Changed Polymarket PolymarketQuote.best_bid/best_ask to optional, matching the Rust Option<String> schema
• Ported Interactive Brokers Rust historical bar replay with Python parity fixes (#3892), thanks @faysou
• Standardized adapter example manifests and trading deps (#3891), thanks @sunlei
• Standardized margin emission convention across live derivatives adapters to use currency-keyed MarginBalance entries
• Refactored reconciliation module into types, ids, positions, and orders submodules (Rust)
• Refactored Binance Futures user data stream dispatch and listen key recovery into dedicated modules (Rust)
• Refactored Binance Futures value conversions into a new futures::conversions module (Rust)
• Replaced AHashMap/AHashSet with IndexMap/IndexSet in ExecutionManager for deterministic ordering in simulations (Rust)
• Refined nautilus-system to optional in adapter crates (gated by python); default builds drop heavy transitive deps
• Refined DST convention hook to enforce IndexMap in OrderMatchingEngine
• Refined make cargo-test to not include binaries for test harness builds (#3828), thanks @faysou
• Refined Interactive Brokers combo fill average price calculation (#3834), thanks @faysou
• Refined Kraken WebSocket execution dispatch to emit typed events for tracked orders via per-product modules
• Refined Kraken Spot WS auth via AuthTracker with is_authenticated/wait_until_authenticated Python APIs
• Optimized Hyperliquid L1 signing by caching PrivateKeySigner and EIP-712 domain (#3851)
• Optimized ClientOrderId generation with cached prefix buffer (#3935), thanks @sunlei
• Optimized OrderListId and PositionId generation with cached prefix buffers (Rust)
• Upgraded Rust (MSRV) to 1.95.0
• Upgraded Cap'n Proto to v1.4.0
• Upgraded alloy crate to v2.0.1
• Upgraded capnp crate to v0.25.4 (regenerated schemas with 4-space indents and version headers)
• Upgraded databento crate to v0.48.0
• Upgraded datafusion crate to v53.1.0
• Upgraded msgspec to v0.21.1
• Upgraded pyarrow to v24.0.0
• Upgraded tokio crate to v1.52.1

Documentation Updates

• Added Polymarket Python and Rust adapter config tables and updated rate limits
• Added ID determinism invariant to the reconciliation live and execution concept guides
• Added Trade ID derivation sections to Polymarket, Databento, BitMEX, and Tardis integration guides
• Added Trade ID derivation section to the backtesting concept guide
• Added "Equity and mark-to-market" section to the portfolio concept guide
• Added ADL / liquidation handling sections to the Binance, Bybit, OKX, BitMEX, Hyperliquid, Deribit, dYdX guides
• Added reconciliation reports section to the execution concept guide
• Refined docs to follow style guide for symbols and filler words (#3830), thanks @JKDasondee
• Refined Interactive Brokers documentation regarding UTC timestamps (#3826), thanks @faysou
• Refined dYdX integration guide config tables to match the Python API (environment, subaccount, base_url_grpc)
• Updated Hyperliquid integration guide with funding history, depth10, subscribe_params, and slippage
• Updated the configuration concept guide to define unknown-field rejection as the config standard in Python and Rust

Deprecations

• Deprecated demo/testnet bools on BybitDataClientConfig/BybitExecClientConfig - use environment
• Deprecated is_demo on OKXDataClientConfig/OKXExecClientConfig - use environment
• Deprecated testnet on HyperliquidDataClientConfig/HyperliquidExecClientConfig - use environment
• Deprecated is_testnet on DeribitDataClientConfig/DeribitExecClientConfig - use environment
• Deprecated is_testnet on DydxDataClientConfig/DydxExecClientConfig - use environment
• Deprecated testnet on BitmexDataClientConfig/BitmexExecClientConfig - use environment

---

NautilusTrader 1.225.0 Beta

Released on 6th April 2026 (UTC).

Enhancements

• Added option chains and greeks in Rust (#3637), thanks @filipmacek
• Added option chains and greeks in Python (#3677), thanks @filipmacek
• Added cached futures-spread support to GreeksCalculator (#3792), thanks @faysou
• Added custom data registration, persistence, and routing in Rust (#3542), thanks @faysou
• Added nautilus_actor! macro in nautilus_common for Deref/DerefMut boilerplate on actor types (Rust)
• Added nautilus_strategy! macro in nautilus_trading for Deref/DerefMut and Strategy trait boilerplate on strategy types, with optional block for hook overrides (Rust)
• Added cache.orders_active_local(...) function in Rust (#3716), thanks @Javdu10
• Added interval field to FundingRateUpdate (#3694), thanks @dxwil
• Added BookImbalanceActor example actor for order book quoted volume imbalance in Rust
• Added ExecTesterConfig.test_reject_post_only implicitly setting post_only on orders without requiring use_post_only (Python and Rust)
• Added TieredTickScheme and TickScheme::Tiered for price-dependent tick sizes (Rust)
• Added TokenizedAsset instrument type with configurable asset_class field for tokenized equities, ETFs, commodities, and other real-world assets
• Added Betfair backtest example streaming raw .gz data through BacktestEngine (Rust)
• Added Binance decode_binance_spot_client_order_id and decode_binance_futures_client_order_id utility functions for decoding Link & Trade encoded clientOrderId values from raw Binance API responses
• Added Binance Futures subscribe_funding_rates and unsubscribe_funding_rates with FundingRateUpdate emission via the mark price stream (Rust)
• Added Binance Futures exchange-generated order handling for liquidation, ADL, and settlement fills with client order ID prefix detection and FillReport/OrderStatusReport emission (Rust)
• Added Binance Futures use_position_ids config for hedging position IDs derived from instrument and position side on exchange-generated fills (Rust)
• Added Binance Futures default_taker_fee config with commission fallback estimation for exchange-generated fills when venue omits commission fields (Rust, USD-M only)
• Added Binance NewAdl, NewInsurance, and PendingNew variants to BinanceOrderStatus (Rust)
• Added Binance Rpi time-in-force, PreSettle/Settling/Close contract statuses, None/Decrement/Transfer STP modes, and income type variants (Rust)
• Added Binance instrument status polling in Rust
• Added Arrow schema support for BinanceBar and BinanceFuturesMarkPriceUpdate (#3749), thanks @twitu
• Added Binance Futures close_position parameter for algo stop orders to close an entire position at trigger price (Python and Rust) (#3751), thanks for reporting @dodge-basic
• Added Bybit native TP/SL params for order placement (#3754), thanks @jindrichsirucek
• Added Bybit instrument status polling and subscription (#3738), thanks @filipmacek
• Added Bybit options trade subscriptions using baseCoin topic with per-instrument filtering
• Added Bybit option instrument fee rate population from /v5/account/fee-rate
• Added Bybit submit_order_list via WebSocket batch API with TP/SL support and HTTP demo fallback (Rust)
• Added Bybit query_order via HTTP with open order and history fallback (Rust)
• Added Databento Arrow serialization for imbalance and statistics (#3689), thanks for reporting @GianC0
• Added Deribit LimitIfTouched and MarketIfTouched order type support (take_limit/take_market)
• Added Hyperliquid agent wallet support (#3668), thanks @oh92
• Added Hyperliquid product type config for live clients (#3783), thanks @lisiyuan656
• Added Kraken FOK, LimitIfTouched orders, and batch submit
• Added Kraken tokenized equity (xStocks) support via aclass_base=tokenized_asset with automatic dual-fetch on instrument loading (#3455), thanks for reporting @jilongjia
• Added Kraken request_book_snapshot for spot and futures via HTTP depth endpoints
• Added Kraken request_funding_rates for futures with client-side start/end/limit filtering
• Added Kraken subscribe_instrument_status for spot and futures (polling-based detection)
• Added Kraken spot trailing stop and trailing stop limit order submission with trailing_offset and limit_offset fields
• Added Kraken spot trigger parameter for conditional orders (last or index price reference)
• Added Kraken spot quote quantity orders via viqc order flag
• Added Kraken spot iceberg orders via displayvol parameter
• Added OKX submit_order_list via WebSocket batch endpoint for regular GTC orders
• Added OKX support for bracket order submission with attached TP/SL (#3701), thanks @Nickonomic
• Added OKX subscribe_option_greeks for venue-provided Greeks via the opt-summary WebSocket channel
• Added OKX configurable ws_auth_timeout_secs for WebSocket authentication (#3727), thanks for reporting @Stamppot82
• Added OKX fwdPx (forward price) to OKXOptionSummaryMsg and mapped to underlying_price on OptionGreeks for ATM tracking
• Added OKX request_orderbook_snapshot and request_funding_rates to Python data client via PyO3 bindings
• Added OKX options trading execution with limit orders, px_usd/px_vol pricing modes, OpFok order type, and MarketToLimit/conditional order rejection
• Added OKX options position-level Black-Scholes Greeks (delta_bs, gamma_bs, theta_bs, vega_bs) to position data
• Added OKX determine_order_type_with_alt for correct order type classification when options use alternative pricing fields
• Added DeltaNeutralVol strategy strangle entry via px_vol limit orders with configurable IV offset, time-in-force, and cache-based re-entry guard
• Added OKX missing WebSocket message fields across all channel structs
• Added Polymarket instrument provider and filters in Rust (#3708), thanks @filipmacek
• Added Polymarket strategy-driven data subscriptions (#3806), thanks @Javdu10
• Added Tardis MarkPriceUpdate and IndexPriceUpdate parsing from derivative_ticker messages in Rust
• Added Tardis DerivativeTickerCache for deduplicating unchanged funding rate, mark price, and index price updates
• Added Tardis TardisDataType enum for normalized Tardis Machine data type identifiers
• Added Tardis live streaming support via stream_options config with automatic reconnection and exponential backoff
• Added Tardis raw provider metadata to Instrument.info (#3730), thanks for reporting @volemont

Breaking Changes

• Removed deprecated convert_quote_qty_to_base from ExecEngineConfig and LiveExecEngineConfig; adapters now handle quote-to-base conversion directly
• Removed TARDIS_BASE_URL constant from nautilus_tardis::http - use nautilus_tardis::common::urls::TARDIS_HTTP_BASE_URL
• Removed Hyperliquid revoke_hyperliquid_builder_fee function and builder fee revoke scripts
• Removed DatabentoLiveClient.key property (Python)
• Renamed OrderEvent.kind() to type_name() in Rust
• Renamed instrument type_str PyO3 getter to type_name
• Renamed DatabentoHistoricalClient.key property to api_key (Python)
• Renamed ParquetDataCatalogV2 to ParquetDataCatalog and StreamingFeatherWriterV2 to StreamingFeatherWriter (PyO3 persistence classes)
• Changed Tardis HTTP client from reqwest::Client to nautilus_network::http::HttpClient with rate limiting
• Changed ExecutionEngine.register_client to error when a venue is already routed to another client (Rust)
• Changed ExecutionEngine.register_venue_routing to error when re-routing a venue to a different client (Rust)
• Changed collection-cloning PyO3 getters to methods: Position.events(), adjustments(), client_order_ids(), venue_order_ids(), trade_ids(); and events() on all order types
• Changed config structs to use bon::Builder defaults as single source of truth; Default impls now delegate to Self::builder().build()
• Changed config fields that always had a sensible default from Option<T> to plain T with #[builder(default)] across all adapter, live, and engine configs (Rust)
• Changed Option<T> fields retained only where None carries distinct meaning (feature disabled, unbounded, etc.)

Security

• Hardened Docker Compose to bind all ports to localhost and add no-new-privileges to all services
• Hardened CI egress policy to block by default and fall back to audit mode for fork pull requests
• Upgraded all nautilustrader.io URLs from HTTP to HTTPS (#3686), thanks @04cb
• Documented aws-lc-rs non-FIPS mode rationale (FIPS 140-3 module requires Go toolchain)

Fixes

• Fixed OrderBook L1 stale event mutation corrupting bid/ask (#3790), thanks for reporting @linimin
• Fixed position index blob pollution in update_position (#3791), thanks @YeeTsai
• Fixed purge_order KeyError for position/exec_algorithm index access (#3799)
• Fixed strategy receiving historical events during startup reconciliation (#3793), thanks @filipmacek
• Fixed Trader::add_exec_algorithm not registering the {id}.execute msgbus endpoint, causing orders with exec_algorithm_id to be silently dropped
• Fixed Trader::clear_exec_algorithms and dispose_components not deregistering {id}.execute msgbus endpoints for removed algorithms
• Fixed TopicRouter stale index cache panic when unsubscribing one pattern invalidated indices for unrelated cached topics (#3755), thanks for reporting @Javdu10
• Fixed PRICE_UNDEF panic in OrderBookDelta.to_pyo3_list Cython conversion (#3697), thanks @zshuang15
• Fixed ExecutionEngine silently dropping SubmitOrder and SubmitOrderList commands when no execution client can be resolved; now emits OrderDenied (Rust)
• Fixed RiskEngine RefCell re-entrancy panic on order denial (#3680), thanks @husariancom
• Fixed reconciliation when trigger_price is set for non-conditional orders (#3673), thanks @husariancom
• Fixed subscribe_instruments using exact topic instead of wildcard pattern, causing venue-level subscriptions to miss per-instrument publishes from DataEngine (Rust)
• Fixed spurious "Timer replaced" warnings for expired timers in LiveClock and TestClock (#3690), thanks @HaakonFlaaronning
• Fixed time bar historical event deferral (#3698), thanks @faysou
• Fixed DataActor and Strategy timer callbacks in live mode silently lost on shared clock
• Fixed DataActor::handle_time_event missing not_running() state guard
• Fixed SimulatedExchange account balance adjustment mutation (#3704), thanks for reporting @thaning0
• Fixed analyzer and tearsheet returns to prefer portfolio-level daily returns when they can be derived from account balances
• Fixed backtest analyzer to include position snapshots in Rust (#3710), thanks @necofx
• Fixed make_dict_serializer incompatible with instance-method to_dict for @customdataclass types (#3722), thanks for reporting @Lacleman-trading
• Fixed Sandbox RefCell re-entrancy panic when submitting orders through ExecutionEngine in async runner (#3732), thanks for reporting @linimin
• Fixed triggered stop orders remaining in matching core after full fill, causing repeated duplicate fill log messages (#3741), thanks for reporting @linimin
• Fixed matching engine L1_MBP stale bid/ask when backtesting with trade-only data (Rust and Cython)
• Fixed matching engine GTD order expiry running after fills, allowing expired orders to fill before being expired
• Fixed Order::calculate_overfill emitting false Quantity saturation warnings during normal partial fills (#3746), thanks for reporting @linimin
• Fixed Sandbox reconciliation missing account_id (#3705), thanks for reporting @eliotOrderson
• Fixed Rust Portfolio account-scoped net_exposure, net_exposures, and balance updates in multi-account mode
• Fixed RefCell borrow conflict in Portfolio::initialize_orders (#3787), thanks @filipmacek
• Fixed reported MarginAccount updates dropping initial and maintenance margins (#3725), thanks for reporting @marco-rigoni
• Fixed option chains emitting data after expiry (#3735), thanks @filipmacek
• Fixed BettingInstrument.selection_handicap PyO3 name
• Fixed adapter query_account panic from block_on inside async runtime across all adapters (Rust)
• Fixed Betfair order modify Quantity serialization for partial cancel size reduction
• Fixed Binance trailing stop params and testnet URLs (#3778), thanks @eliotOrderson
• Fixed Binance Spot SBE schema version mismatch after Binance upgraded to schema 3:3 (released 2026-03-25)
• Fixed Binance algo order update (#3665), thanks @qu1zzyboy
• Fixed Binance SBE price/quantity precision derivation (#3670), thanks @husariancom
• Fixed Binance Futures set_futures_hedge_mode sending GET instead of POST to positionSide/dual endpoint (#3745), thanks for reporting @dodge-basic
• Fixed Binance order update silently dropped when instrument not cached (#3775), thanks for reporting @M-at-ti-a
• Fixed Binance Futures OrderStatusReport missing avg_px from WS order updates (Python)
• Fixed Binance Spot post-only (LIMIT_MAKER) rejection not setting due_post_only on OrderRejected events (Python and Rust)
• Fixed Binance Rust WS trading API not decoding SBE error responses, losing error codes on rejection
• Fixed Binance Rust WS trading request-response race condition where fast rejections arrived before pending request registration
• Fixed Binance Rust WS trading OrderRejected DashMap deadlock when cleanup_terminal ran while holding a read guard
• Fixed Binance Spot Rust connect() not waiting for WS session authentication before signaling connected
• Fixed Binance Futures account state parsing failing on empty string balances from inactive accounts
• Fixed Bybit demo exec client failing with error 10001 when /v5/account/fee-rate is unavailable (#3742), thanks for reporting @jindrichsirucek
• Fixed Bybit HTTP client not retrying on 429 rate limit responses
• Fixed Bybit HTTP cancellation token not resettable after disconnect(), causing REST calls to short-circuit on reconnect
• Fixed Bybit WebSocket subscription ACKs confirming all pending topics instead of the acknowledged topic (via req_id correlation)
• Fixed Bybit WebSocket failed subscription ACKs (success=false) not triggering mark_failure recovery path
• Fixed Bybit spot market orders ignoring is_quote_quantity on the order, causing all spot market buys to default to quote currency quantity via the Bybit API
• Fixed Bybit demo mode submit_order ignoring is_leverage param, hardcoding false instead of reading from order params
• Fixed Bybit trigger_type ignored on conditional orders, always submitting as LastPrice (#3794), thanks for reporting @marco-rigoni
• Fixed Bybit TP/SL conditional orders misclassified as plain Market/Limit during reconciliation
• Fixed Bybit bulk order status reports silently missing conditional (stop/MIT) orders
• Fixed Bybit account state free balance underflowing when locked margin exceeds wallet total during liquidation
• Fixed Databento price precision truncation for fractional tick sizes (#3696), thanks @pandashark
• Fixed Deribit stop order submission missing trigger_price and trigger fields in Python exec client (#3794), thanks for reporting @marco-rigoni
• Fixed Deribit cancel event lost during WebSocket reconnection gap when user.orders subscription update never arrives
• Fixed Deribit duplicate OrderCanceled events when cancel RPC response and user.orders subscription both emit
• Fixed Deribit GenerateOrderStatusReport unable to find closed orders when only client_order_id is provided
• Fixed Deribit next_8_utc GTD expiry calculation panicking on edge-case timestamps outside nanosecond range
• Fixed Deribit historical trade pagination dropping trades when >1000 share a millisecond boundary
• Fixed Deribit late-listed instruments not propagating to HTTP and WebSocket handler caches
• Fixed Deribit request_book_snapshot silently using default 8/8 precision when instrument not in cache
• Fixed Deribit request_bars ignoring limit parameter
• Fixed Deribit request_forward_prices ignoring request client_id override
• Fixed Deribit reset() leaking stream tasks by replacing cancellation token without canceling the old one
• Fixed Deribit send_auth_request silently dropping serialization and channel send errors
• Fixed Deribit send_subscribe/send_unsubscribe leaving subscription state wedged on command send failure
• Fixed Deribit VenueOrderId comparison via unnecessary string conversion in fill report filtering
• Fixed Deribit OrderSide conversion using fragile string round-trip instead of order_side_to_pyo3 in _submit_order and _submit_order_list
• Fixed Deribit WebSocket connect() not clearing subscription state for manual disconnect/reconnect cycles
• Fixed dYdX WebSocket account state parsing failing on empty string balances from zero-equity accounts
• Fixed dYdX WebSocket handler repeatedly emitting NewInstrumentDiscovered for uncached instruments on every v4_markets update
• Fixed Hyperliquid _submit_order_list passing raw Cython orders to Rust, causing TypeError on bracket/batch orders (#3763), thanks for reporting @jindrichsirucek
• Fixed Hyperliquid _modify_order OrderSide conversion using fragile string round-trip instead of order_side_to_pyo3
• Fixed Hyperliquid vault orders rejected with "Builder fee has not been approved" when vault_address is configured (#3762), thanks for reporting @chester0
• Fixed Interactive Brokers docs request_ticks API and add contract example (#3699), thanks @faysou
• Fixed Interactive Brokers live-session synchronization and reconciliation (#3715), thanks @faysou
• Fixed Interactive Brokers shared historical request dedup for concurrent warmup (#3719), thanks @Johnkhk
• Fixed Interactive Brokers historical bar subscriptions not restored after daily gateway restart (#3733), thanks for reporting @bomber555
• Fixed Interactive Brokers inactive order status handling to prevent silent dropping (#3723), thanks @pandashark
• Fixed Interactive Brokers trailing stop order field parsing during reconciliation and open-order updates (#3771), thanks @faysou
• Fixed Interactive Brokers spread instrument not found on restart reconciliation (#3753), thanks @davidsblom
• Fixed Interactive Brokers adapter not reconnecting on error 326 during gateway restart (#3796), thanks @Johnkhk
• Fixed Kraken post-only order rejection not setting due_post_only on OrderRejected events (Spot and Futures)
• Fixed OKX option conditional order rejection emitting OrderSubmitted before anyhow::bail!, leaving orders stuck in Submitted state
• Fixed OKX MarketToLimit orders not rejected for options in HTTP and WebSocket clients
• Fixed OKX determine_order_type classifying IV/USD-priced option IOC orders as Market when primary px field is empty
• Fixed OKX BboTbt quote parsing spamming errors on empty bid/ask arrays for illiquid options by adding QuoteCache for partial quote merging
• Fixed OKX _subscribe_instrument_status raising NotImplementedError instead of being a no-op (status detected via polling)
• Fixed OKX batch_cancel_all_orders and batch_cancel_orders not emitting OrderCancelRejected events for regular (non-algo) batch cancel failures
• Fixed OKX batch_submit_orders not removing order_identities from dispatch state on batch submit failure
• Fixed OKX business WebSocket requiring API credentials for public-only candle data
• Fixed OKX parse_fill_report erroring on zero incremental fill quantity during reconnect replay instead of skipping gracefully
• Fixed OKX request_position_status_reports querying positions API for Spot/Margin instruments (unsupported by endpoint)
• Fixed OKX cancel_all_orders and batch_cancel_orders not seeding order_identities for reconciliation-loaded orders
• Fixed OKX pending_orders, pending_cancels, and pending_amends maps leaking entries on WebSocket send failure
• Fixed OKX duplicate fills after WebSocket reconnect when replayed messages have the same trade_id
• Fixed OKX HTTP algo order helpers ignoring per-item sCode, treating venue rejections as success
• Fixed OKX batch algo cancel not emitting OrderCancelRejected events for per-item or batch-level failures
• Fixed OKX spot margin short position quantity exceeding size_precision from quote-to-base division
• Fixed OKX parse_rfc3339_timestamp silently wrapping negative i64 nanoseconds to garbage u64
• Fixed OKX update_fee_fill_caches diverging from shared parse_fee_currency (missing non-zero fee warning)
• Fixed OKX duplicate fill early return skipping terminal cleanup for order_identities and order_state_cache
• Fixed OKX position status reports incorrectly filtered by start/end time, dropping unchanged open positions
• Fixed OKX connect() not passing instrument_families for OPTION instrument requests (HTTP 400 from OKX API)
• Fixed OKX base_url_ws ignored for private and business WebSocket channels (#3727), thanks for reporting @Stamppot82
• Fixed OKX exec client crash on empty account when OKX returns empty strings for numeric balance fields (#3772), thanks for reporting @ProfitChef
• Fixed Polymarket WebSocket initial vs incremental subscribe (#3717), thanks @Javdu10
• Fixed Polymarket cancel request silently dropped when venue_order_id not yet available, causing order to remain open until next reconciliation (Python and Rust)
• Fixed Polymarket market BUY quote-to-base quantity calculation using worst crossing price instead of per-level accumulation (#3747), thanks @filipmacek
• Fixed Polymarket FOK orders stuck in accepted state when WS terminal status update is missed; deferred REST status check resolves after 5s
• Fixed Polymarket fee rate cache serving stale values indefinitely; added 5-minute TTL with graceful fallback on refresh failure
• Fixed Polymarket calculate_market_price not bailing when all book levels have zero price or size
• Fixed Polymarket created_at timestamp conversion (#3785), thanks @filipmacek
• Fixed Polymarket ts_init timestamps on reports and reconciliation (#3786), thanks @filipmacek
• Fixed Polymarket position reconciliation dust cycling by filtering sub-threshold positions and implementing Data API position reports (#3774), thanks @filipmacek
• Fixed Polymarket duplicate inferred fill panic when order update races trade (#3770), thanks for reporting @Javdu10
• Fixed Polymarket query_order panic from block_on inside async runtime (#3803), thanks for reporting @Javdu10
• Fixed Polymarket order stuck in non-terminal state when fills race with cancel (#3797), thanks for reporting @Javdu10
• Fixed Tardis data client CTRL+C not responding due to signal starvation in LiveNode event loop
• Fixed Tardis data client stop()/disconnect() lifecycle leaving tasks alive or is_connected stale
• Fixed Tardis data client derivative_ticker not streaming unless manually added to data_types

Internal Improvements

• Added SpreadQuoteAggregator (#3698), thanks @faysou
• Added Params and dict field support for #[custom_data] and @customdataclass persistence (#3765), thanks @faysou
• Added BINANCE_GTX_ORDER_REJECT_CODE and BINANCE_SPOT_POST_ONLY_REJECT_MSG constants for reliable post-only rejection detection in Rust
• Added batch_submit_limit_pair to ExecTesterConfig for order list testing
• Added Python strategy support to v2 LiveNode with add_strategy_from_config
• Added Python exec algorithm support to v2 LiveNode with add_exec_algorithm_from_config
• Added LiveNode integration tests for actor, strategy, and exec algorithm registration
• Added LiveNode::add_exec_algorithm for registering execution algorithms on the Rust live trading node
• Added LiveNode stop-handle timeout test for shutdown reliability
• Added ExecutionEngine runtime external order creation from OrderStatusReport for exchange-generated orders (liquidation, ADL, settlement) not previously in cache (Rust)
• Added add_exec_algorithm_from_config PyO3 binding on LiveNode with ImportableExecAlgorithmConfig
• Added msgbus::has_endpoint for endpoint existence checks
• Added backtest margin models, FXRolloverInterestModule, PerContractFeeModel, and SimulationModule trait in Rust
• Added subscribe_option_greeks support to DataTester in Rust
• Added WebSocketClient.notify_closed() for stream-mode callers to signal reader EOF to the controller
• Added pending cancel/update to event emitter in Rust (#3739), thanks @Javdu10
• Added LimitIfTouched, MarketToLimit, TrailingStopMarket, and TrailingStopLimit to transform_order_to_pyo3 Cython-to-PyO3 order converter
• Added PyO3 type assertions to adapter submit-order tests (Hyperliquid, Bybit, Kraken, Architect AX) to catch Cython/PyO3 type boundary regressions
• Added Binance missing BinanceFilterType variants and RawRequests rate limit type for complete API enum coverage (Rust)
• Added Binance unit tests for liquidation, ADL, settlement, and insurance fill parsing with is_exchange_generated detection (Rust)
• Added Binance parametrized tests for resolve_commission fallback and make_venue_position_id (Rust)
• Added Binance Futures priceMatch (BBO) order support (Rust)
• Added Bybit BybitWsFrame enum separating wire-level deserialization from public BybitWsMessage API per adapter spec pattern
• Added Bybit frame classification and subscription correlation test coverage (25 handler tests)
• Added Databento feed handler integration tests with mock LSG server
• Added Databento MBO buffering unit tests and proptests
• Added OKX QuoteCache integration and option greeks subscription lifecycle tests
• Added OKX reconciliation pagination cap warnings when fetches hit the maximum page limit
• Added OKX trade-level fill dedup via emitted_trades DashSet with atomic insert for cross-stream safety
• Added OKX AlgoCancelContext and dispatch_algo_cancels to centralize algo cancel partitioning and rejection handling
• Added OKX options fill fields (fill_px_vol, fill_px_usd, fill_fwd_px) and order pricing fields (px_usd, px_vol) to WebSocket and HTTP models
• Added OKX execution client integration tests for trade dedup, algo cancel rejections, batch cancel failures, and concurrent dedup
• Added OKX HTTP mock test for place_algo_order sCode rejection path
• Added OKX OKXPriceType, OKXSettlementState, OKXQuickMarginType enums for type-safe field deserialization
• Added Tardis HTTP and WebSocket mock server integration tests
• Replaced Binance WsDispatchState DashSet dedup with FifoCache from nautilus_common for bounded FIFO eviction with proper remove() cleanup
• Replaced Bybit topic string constants with BybitWsPublicChannel and BybitWsPrivateChannel enum references
• Replaced AtomicMap and AtomicSet type aliases with newtypes wrapping ArcSwap for ergonomic read-heavy concurrent collections
• Replaced DashMap/DashSet with AtomicMap/AtomicSet for subscription tracking sets, instrument caches, and bar type caches across all adapters
• Refactored computation of greeks (#3691), thanks @faysou
• Refactored DataEngine instrument subscribers to message bus pattern, enabling execution clients to receive live instrument updates via on_instrument without polling (#3766), thanks @filipmacek
• Refactored data and execution client startup into two phases with a data event drain between them (#3773), thanks @filipmacek
• Refactored Deribit trade pagination into TradePaginator with dedup and cursor logic shared across public trades and fill reports
• Refactored Polymarket HTTP client and improved outcome enum (#3702), thanks @filipmacek
• Refactored Tardis adapter module organization to align with adapter spec (common/, machine/cache.rs)
• Refactored Tardis TardisDataClient with Credential::resolve(), centralized URL resolution, and AHashMap
• Regenerated Binance Spot SBE codecs from schema 3:3 XML using Real Logic SBE tool v1.37.1
• Moved cache purge timers to base ExecutionEngine in Python
• Improved socket clients reconnect and shutdown reliability
• Improved LiveNode event loop to use biased select! with pinned ctrl_c for reliable signal handling
• Improved Binance Spot SBE HTTP parsers to use block_length from the message header for end-of-block skip, making decoders forward-compatible with future schema additions
• Improved Databento live price precision handling with maps populated from instrument definitions
• Improved Polymarket Rust adapter (#3726), thanks @filipmacek
• Improved Polymarket execution client (#3734), thanks @filipmacek
• Improved Polymarket adapter in Rust (#3760), thanks @filipmacek
• Refined TimeEventHandler ordering and fixed spread quote timestamps (#3764), thanks @faysou
• Refined SpreadQuoteAggregator transition from historical to live mode (#3759), thanks @faysou
• Refined handling of instruments in catalog (#3761), thanks @faysou
• Refined AtomicTime mode switching and datetime panics
• Refined base catalog interface (#3703), thanks @faysou
• Refined IB option symbols to be OCC compliant (#3731), thanks @faysou
• Standardized type_name() across order events and instruments
• Wired ExecutionManager into live event loop with full inflight lifecycle (Rust) (#3798), thanks @filipmacek
• Optimized network client performance and add benchmarks
• Upgraded Interactive Brokers ibapi to 10.45 (#3804)
• Upgraded Rust (MSRV) to 1.94.1
• Upgraded capnp and capnpc crates to v0.25.3 (regenerated schemas with 4-space indents and version headers)
• Upgraded databento crate to v0.45.0
• Upgraded datafusion crate to v53.0.0
• Upgraded pyo3 crate to v0.28.3
• Upgraded redis crate to v1.2.0
• Upgraded tokio crate to v1.51.0
• Upgraded tokio-tungstenite crate to v0.29.0

Documentation

• Added Rust tutorial for Betfair book imbalance backtest with DataActor walkthrough
• Added Options concept guide with chain architecture, subscription API, strike filtering, and snapshot modes
• Added Greeks concept guide covering venue-provided and local calculator paths
• Added end-to-end data flow and execution flow sequence diagrams to architecture concepts
• Added Events concept guide with event catalog, handler dispatch, and fill-to-position chain
• Added Rust concept guide with capability matrix, project setup, and feature flags
• Added how_to/configure_live_trading.md extracted from concepts/live.md configuration content
• Added adapter developer guide sections for WS unit tests, close/stream patterns, and split-client architecture
• Added adapter developer guide sections for symbol normalization, status diffing, task management, data event emission, and AuthTracker
• Added adapter developer guide section on configuration best practices: builder defaults, T vs Option<T> rules, Default delegation pattern
• Added adapter developer guide section on block_on safety rules and spawn_task usage in sync trait methods
• Added OKX options trading section to integration guide with pricing modes, order types, restrictions, and configuration
• Added Group 10 (options trading) to execution testing spec with venue-agnostic test cases
• Added DeltaNeutralVol README updates for strangle entry flow, config fields, and usage examples
• Added Binance Link & Trade clientOrderId decoding section with usage examples to integration docs
• Added Bybit options support matrix and trading limitations to integration docs
• Added OKX to adapter support tables in Options and Greeks concept guides
• Added option greeks test cases (TC-D62, TC-D63) with config examples to the data testing spec
• Added test style guidance against log capture assertions in developer testing guide
• Rewrote Live Trading concept guide for accuracy (reconciliation, periodic timers, lookback windows)
• Rewrote Custom Data architecture docs for two-mode (Rust/Python) registration
• Improved Value Types concept guide with full arithmetic operator and unary operation docs
• Improved accuracy of Greeks and Options concept guides, thanks @faysou
• Improved concepts/live.md to focus on reconciliation explanation, linking to how-to for configuration
• Updated all API reference links to Sphinx HTML paths
• Migrated Python API reference from sphinx-markdown-builder to Sphinx HTML with Furo theme
• Fixed actors timer example referencing nonexistent on_timer and on_alert hooks

---

NautilusTrader 1.224.0 Beta

Released on 3rd March 2026 (UTC).

Enhancements

• Added matching engine L1 quote-based queue position tracking for backtests
• Added fill_limit_inside_spread to FillModel and MatchingCore for at-or-inside-spread limit fill control
• Added synthetic book support for binary markets (#3495), thanks @Javdu10
• Added get_target_px_for_quantity method on OrderBook (#3627), thanks @Javdu10
• Added Betfair batch submit and cancel order support
• Added BitMEX dead man's switch (cancelAllAfter) support (Rust and Python)
• Added BitMEX grid market maker example (Rust)
• Added BitMEX instrument status subscription support (Rust and Python)
• Added Bybit book snapshot and funding rate request support (Rust)
• Added Databento skip_on_error flag for load_instruments to skip unparsable definitions (#3657), thanks for reporting @davidsblom
• Added Deribit instrument status subscription support (Rust and Python)
• Added dYdX instrument status subscription support (Rust and Python)
• Added Hyperliquid order modify support (Rust and Python)
• Added OKX trailing stop market order support (Rust and Python)
• Added OKX algo order amend support (Rust and Python)
• Added OKX instrument status updates from WebSocket instruments channel (Rust)
• Added OKX index price subscriptions with base-pair remapping to derivatives (Rust)
• Added OKX book snapshot and funding rate request support (Rust)
• Removed Hyperliquid builder fee charges (builder-fee approval no longer required)

Breaking Changes

• Removed Coinbase International (COINBASE_INTX) adapter, see RFC (#3555)
• Removed Binance BINANCE_ED25519_* env vars for Spot/Margin (use BINANCE_API_KEY/BINANCE_API_SECRET; Futures deprecated with warning)
• Removed Hyperliquid builder_fee_refresh_mins config option (builder fees no longer charged)
• Removed Polymarket fetch_orderbook_history, load_orderbook_snapshots, fetch_price_history and related methods (endpoints decommissioned, #3635)

Security

• Added pip-audit to security audit pipeline
• Added Docker image cosign signing and SBOM generation
• Standardized credential zeroization across all adapters (Ustr replaced with Box<str> for API keys)
• Standardized secret redaction in Debug impls across all adapter credentials
• Updated SECURITY.md with expanded scope, reporting guidelines, and responsible disclosure policy
• Bumped all eligible GitHub Actions pinned SHAs to latest versions (2-week release policy)

Fixes

• Fixed matching engine applying order book deltas for L1 books (#3615), thanks @maksym-mikheienko
• Fixed streaming backtest producing dummy bars past batch data exhaustion (#3628), thanks for reporting @cauta
• Fixed OrderEmulator trailing stop activation ignoring LAST_PRICE trigger type (#3629), thanks for reporting @HaakonFlaaronning
• Fixed LiveExecEngine position reconciliation infinite loop when venue reports flat (#3622), thanks for reporting @mrbaron3
• Fixed CryptoOption instrument pyo3 transform for (#3626), thanks @davidsblom
• Fixed StreamingFeatherWriter duplicate events from multiple message bus topics (#3625), thanks for reporting @fomotoshi
• Fixed VolumeImbalanceBarAggregator and VolumeRunsBarAggregator integer overflow for step >= 923 in high-precision mode (#3658), thanks for reporting @honvl
• Fixed InstrumentProvider load_ids_async loading all instruments instead of filtering to requested IDs (affected dYdX, Kraken, AX, Hyperliquid)
• Fixed Python WS callbacks running off asyncio event-loop thread in Rust adapters (#3653), thanks for reporting @camilorodegheri
• Fixed Binance Futures algo order serde field renames for WS and HTTP parsing (#3624), thanks for reporting @qu1zzyboy
• Fixed Binance silent HMAC fallback when using encrypted Ed25519 PEM keys (now warns)
• Fixed BinanceSymbol COIN-M perpetual symbol conversion (#3641), thanks @YeeTsai
• Fixed Binance algo order cancellation parsing (#3646), thanks @qu1zzyboy
• Fixed Binance Spot testnet WebSocket API URL (#3661), thanks @penguinwokrs
• Fixed Hyperliquid stop/trigger order price derivation (#3611), thanks for reporting @h-tsun3
• Fixed Hyperliquid price normalization and inner error detection (#3612), thanks for reporting @h-tsun3
• Fixed Interactive Brokers BarType/str comparison in get_historical_bars (#3616), thanks @powerseed
• Fixed Interactive Brokers historical bar processing crash (#3619), thanks @shzhng
• Fixed Interactive Brokers contract details parsing (#3638), thanks @davidsblom
• Fixed Kraken Spot and Futures execution clients not loading instruments during connect (#3644), thanks for reporting @husariancom
• Fixed Kraken Spot execution client HTTP client created without credentials (#3650), thanks for reporting @husariancom
• Fixed Kraken sequential ClientOrderId exceeding cl_ord_id 18-char free-text limit (#3651), thanks for reporting @husariancom
• Fixed Kraken missing account state registration during connect (#3652), thanks for reporting @husariancom
• Fixed Polymarket Gamma API load_ids path skipping sibling tokens (#3654), thanks for reporting @likenji
• Fixed Polymarket loader to use Data API trades instead of decommissioned orderbook/price history endpoints (#3635), thanks for reporting @JSai23
• Fixed Binance Spot testnet WebSocket API URL (legacy URL removed by Binance in May 2025) (#3660)
• Fixed pre-commit hooks portability for Windows (#3617), thanks for reporting @powerseed
• Fixed LiveNode startup RefCell panic when execution reports arrive during connect()
• Fixed dYdX new instrument discovery flooding logs with inactive/delisted markets
• Fixed dYdX fills and orders API requests missing required marketType parameter

Internal Improvements

• Added catalog deduplication functionality (#3613), thanks @ms32035
• Extracted common SBE decoder to nautilus-serialization crate
• Implemented BacktestNode with catalog streaming in Rust
• Improved OrderBookImbalance example strategy
• Improved BestPriceFillModel to fill inside bid ask spread (#3428), thanks @faysou
• Standardized use of atomic clock across adapters
• Standardized adapter credentials handling and testing
• Refined build script for Windows (#3636), thanks @faysou
• Optimized matching engine _seed_trade_consumption to use range-bounded FFI queries for deep books
• Optimized backtest engine settle loop to avoid Python list allocation on idle ticks
• Optimized MatchingCore.iterate to avoid list concatenation on every call
• Upgraded databento crate to v0.42.0
• Upgraded datafusion crate to v52.2.0

Documentation Updates

• Added AX Exchange gold perps book imbalance tutorial
• Added AX Exchange spot FX bars mean reversion tutorial
• Added BitMEX grid market maker tutorial
• Added adapter data and execution testing specifications
• Added order book concepts documentation
• Improved backtesting mermaid diagram and tutorial formatting

---

NautilusTrader 1.223.0 Beta

Released on 21st February 2026 (UTC).

Enhancements

• Added bulk_read_batch_size option to CacheConfig for batched Redis bulk reads, thanks @shzhng
• Added sandbox execution adapter in Rust
• Added multi-account execution support (#3194), thanks @faysou
• Added Nasdaq ITCH 5.0 parser
• Added grid market maker example strategy in Rust
• Added OrderBookDeltas historical request support (#3438), thanks @faysou
• Added market_exit() method for Strategy with configurable market_exit_time_in_force and market_exit_reduce_only options (supports venues requiring IOC for market orders)
• Added manage_stop config option to StrategyConfig for automatic market exit on stop
• Added matching engine queue_position tracking heuristic for backtests
• Added matching engine trade consumption seeding for L2/L3 book backtests
• Added tracing subscriber for external Rust library logs (use_tracing=True in LoggingConfig, filter with RUST_LOG env var)
• Added use_market_order_acks venue config option to generate OrderAccepted events for market orders before filling (mimics behavior of venues like Binance)
• Added oto_trigger_mode venue config option to control whether OTO child orders activate on partial fills (PARTIAL) or only after full fill (FULL) (default PARTIAL) (#3454), thanks @godnight10061
• Added request_funding_rates and FundingRateUpdate Arrow serialization (#3467), thanks @dxwil
• Added optimize_file_loading as BacktestDataConfig parameter (#3518), thanks @faysou
• Added bulk_read_batch_size option to CacheConfig for batched Redis bulk reads (#3535), thanks @shzhng
• Added PerpetualContract instrument for asset-class agnostic perpetual swaps
• Added Ichimoku Cloud indicator (#3552), thanks @faysou
• Added Betfair RCM parsing for TPD race data
• Added Betfair race stream subscription via subscribe_race_data config
• Added Betfair market version price protection for orders
• Added Betfair BetfairOrderVoided custom data type for VAR voids
• Added BetfairOrderVoided custom data type for VAR voids
• Added Binance BinanceEnvironment enum with LIVE, TESTNET, DEMO variants for explicit environment selection
• Added Binance environment config field to BinanceDataClientConfig and BinanceExecClientConfig
• Added Binance Demo environment support with BINANCE_DEMO_API_KEY/BINANCE_DEMO_API_SECRET env vars
• Added BitMEX trailing stop support
• Added BitMEX pegged order (BBO) support via params
• Added Bybit mark price subscriptions support
• Added Bybit index price subscriptions support
• Added Databento bulk subscription and historical request support (#3490), thanks @shzhng
• Added Databento support for conversion of OPRA venues (#3605), thanks @faysou
• Added Interactive Brokers subscribe index price functionality (#3514), thanks @Murph24
• Added Interactive Brokers TotalCashValue to account summary info dict, exposing actual cash balance (#3567), thanks @shzhng
• Added Interactive Brokers request_timeout_secs config to InteractiveBrokersExecClientConfig and consolidated all IB request timeouts into a single configurable value (#3602), thanks @shzhng
• Added OKX batch cancel support for conditional (algo) orders
• Added Polymarket data loader event-level API support (#3484), thanks @jsemldonado
• Added Polymarket event_slug_builder support (#3501), thanks @jsemldonado
• Added Polymarket batch order support (#3506), thanks @loafer-19
• Added Tardis data client with factory in Rust
• Improved tearsheet with dynamic Nautilus version and refined run info table (#3396), thanks @KaulSe

Breaking Changes

• Removed dYdX v3 (legacy) Python adapter (the v3 exchange was decommissioned at end of 2024)
• Removed dydx optional install extra (the v4 Rust-backed adapter has no additional Python dependencies)
• Renamed nautilus_trader.adapters.dydx_v4 module to nautilus_trader.adapters.dydx and standardized class names to Dydx prefix (e.g. DydxDataClientConfig, DydxLiveDataClientFactory)
• Removed dead subscribe_order_book_snapshots and unsubscribe_order_book_snapshots methods from LiveMarketDataClient (were never called by the data engine)
• Removed OKX URL environment variable overrides (OKX_BASE_URL_HTTP, OKX_BASE_URL_WS_*, OKX_DEMO_BASE_URL_WS_*); use config base_url_* fields instead
• Removed deprecated get_ws_base_url function from OKX Rust adapter; use get_ws_base_url_private or get_ws_base_url_public instead
• Removed AddAssign, SubAssign, MulAssign trait implementations from Price, Quantity, and Money types (Rust); use x = x + y instead of x += y
• Removed add_assign and sub_assign cdef methods from Price, Quantity, and Money types (Cython); use x = x + y instead
• Renamed subscribed_order_book_snapshots to subscribed_order_book_depth for consistency with data engine routing
• Removed listen_key_ping_max_failures from BinanceExecClientConfig (listenKey flow replaced by WebSocket API)
• Changed Price, Quantity, and Money arithmetic to use max precision instead of panicking on precision mismatch
• Changed Quantity + Quantity, Quantity - Quantity, Price + Price, Price - Price, Money + Money, and Money - Money Python operators to return the same type instead of Decimal (Quantity - Quantity raises ValueError if result would be negative)
• Changed trade_execution default from False to True for consistency with bar_execution; users who want to isolate execution to L1 book data only must now explicitly set trade_execution=False
• Changed price-protected market orders to no longer emit OrderAccepted by default; set use_market_order_acks=True to restore previous behavior
• Changed adapter implementations should now override _subscribe_order_book_depth and _unsubscribe_order_book_depth for OrderBookDepth10 subscriptions
• Changed Binance execution clients now use WebSocket API authentication instead of listenKey REST API; both HMAC and Ed25519 keys are auto-detected from the api_secret format (no key_type config needed). Note: Futures with HMAC keys automatically fall back to REST listenKey management (Binance Futures WS API only supports Ed25519 for session.logon)
• Changed Binance execution clients now source credentials from the standard BINANCE_API_KEY/BINANCE_API_SECRET environment variables (or testnet equivalents)
• Changed Polymarket instrument provider config from instrument_provider to instrument_config on PolymarketDataClientConfig and PolymarketExecClientConfig; use PolymarketInstrumentProviderConfig instead of InstrumentProviderConfig

Security

• Upgraded arc-swap to 1.8.1 fixing potential use-after-free in debt mechanism (memory ordering fix)
• Fixed CVec::empty() to use dangling pointer instead of null, avoiding undefined behavior in Vec::from_raw_parts
• Fixed credential and auth header leaks in trace logging
• Masked Binance listen keys in execution client logs
• Refactored supply chain security checks and update dependencies
• Improved TLS cert loading and socket suffix validation
• Hardened Postgres SQL and credential security

Fixes

• Fixed matching engine liquidity consumption using cumulative book quantity
• Fixed matching engine liquidity consumption tracking for MAKER fills
• Fixed matching engine trade execution fills discarded with liquidity_consumption
• Fixed matching engine trade execution fill model and FOK/IOC handling
• Fixed matching engine trade ticks updating L1 book and triggering fills when trade_execution=False
• Fixed matching engine MAKER limit orders over-filling on L1 books when liquidity_consumption=True
• Fixed inverse instrument base_currency access across accounting
• Fixed logic and control flow bugs in core platform (#3585), thanks for reporting @pandashark
• Fixed cache reset and missing f-string prefixes (#3585), thanks for reporting @pandashark
• Fixed missing raise and divide-by-zero guards (#3598), thanks @pandashark
• Fixed account balance rounding mismatch for zero-precision currencies (#3579), thanks for reporting @penguinwokrs
• Fixed Position spot base currency commission sign (#3546), thanks for reporting @gaye746560359
• Fixed Position flat detection for floating-point edge cases
• Fixed UnsubscribeInstrumentClose message handler routing
• Fixed order cancel not releasing locked balance in backtest (#3525), thanks for reporting @dennisnissle
• Fixed remaining F_LAST flag checks to use proper bitmask comparison
• Fixed MarketIfTouchedOrder (MIT) filling at bar extremes instead of trigger price during backtesting (#3461, #3462), thanks @HaakonFlaaronning
• Fixed OTO child order sizing with rapid parent fills (#3435), thanks for reporting @dxwil
• Fixed ExecAlgorithm spawn quantity accounting (will now restore quantity from denied/rejected spawned orders)
• Fixed GreeksCalculator to use index price for index instruments (#3541), thanks @shzhng
• Fixed GreeksCalculator min->max DTE clamping (#3582), thanks @pandashark
• Fixed itm_prob calculation to use N(d2) instead of normalized delta (#3554), thanks @shzhng
• Fixed reconciliation venue_order_id indexing and validation
• Fixed analyzer epoch timestamp from empty shell positions
• Fixed backtest clock monotonicity with time alerts (#3384), thanks @draphi
• Fixed order updated panic during reconciliation (#3380), thanks for reporting @santivazq
• Fixed missing currency registration when adding instruments to cache (#3400), thanks @filipmacek
• Fixed trailing stops default price type (#3379), thanks @KaulSe
• Fixed typo in OrderBook.simulate_fills error message (#3405), thanks @Johnkhk
• Fixed registering msgbus with OptionExerciseModule (#3383), thanks @davidsblom
• Fixed directory URI handling in ParquetDataCatalog for S3 and cloud storage (#3378), thanks @KaulSe
• Fixed instrument cache race condition during LiveNode (Rust) startup (#3385), thanks @filipmacek
• Fixed quickstart MACD strategy logic (#3377), thanks for reporting @SisyphusCoin
• Fixed value bar aggregators emitting zero-volume bars (#3608), thanks for reporting @ggianfran
• Fixed reconciliation race condition where inferred fills were generated before real fills arrived, causing double-counting and overfill errors
• Fixed reconciliation timing (for v2 Rust) - process instruments before reconciliation (#3415), thanks @filipmacek
• Fixed request_order_book_snapshot and add Bybit support (#3416), thanks @dxwil
• Fixed Arrow serialization encoding for custom Nautilus types (#3515), thanks @dennisnissle
• Fixed cache loading when flush_on_start set to True (#3551), thanks @HaakonFlaaronning
• Fixed Redis cache buffer flushing during idle periods (#3426), thanks for reporting @santivazq
• Fixed Redis cache flush no-op and harden close lifecycle
• Fixed Betfair dropped fills from premature cache update
• Fixed Betfair duplicate cancel event race condition(s)
• Fixed Betfair stream batch handling and modify/cancel edge cases
• Fixed Betfair reconciliation with stale API fill data
• Fixed Binance Spot WebSocket subscription acknowledgment parsing (#3382), thanks @Johnkhk
• Fixed Binance Futures instrument parsing for margin requirements (#3420), thanks @linimin
• Fixed Binance algo order quantity AttributeError on _mem access
• Fixed Binance cancel_all_orders to route futures algo orders through correct cancel endpoint
• Fixed Binance Spot OrderStatusReport.avg_px always None (#3499), thanks for reporting @mrbaron3
• Fixed Binance Spot client_order_id replaced with UUID (#3500), thanks for reporting @mrbaron3
• Fixed Bybit demo trading by using HTTP REST API for order operations (Bybit demo does not support WebSocket Trade API)
• Fixed Bybit HOUR bars not triggering on_bar (#3474), thanks for reporting @88z
• Fixed Bybit historical requests to use ts_event as ts_init (#3502), thanks @dxwil
• Fixed Databento databento_data to fetch definitions for full date range (#3414), thanks @Johnkhk
• Fixed Databento zero-length interval at dataset boundary (#3429), thanks @shzhng
• Fixed Databento empty underlying for index-based derivatives (#3480), thanks for reporting @davidsblom
• Fixed Deribit auth token refresh race condition (#3402), thanks @filipmacek
• Fixed Deribit race condition between response and subscription (#3436), thanks @filipmacek
• Fixed Deribit grouped book channel parsing (#3473), thanks @filipmacek
• Fixed Deribit trades parsing for combo_trade_id field (#3520), thanks @davidsblom
• Fixed Interactive Brokers fetch_all_open_orders in client cache key preventing connection sharing (#3441), thanks @shzhng
• Fixed Interactive Brokers synthetic position order reconciliation causing filled_qty mismatch errors during periodic consistency checks (#3443), thanks @shzhng
• Fixed Interactive Brokers reconciliation error when account has no positions (#3459), thanks @shzhng
• Fixed Interactive Brokers venue determination when primaryExchange is empty (#3452), thanks @shzhng
• Fixed Interactive Brokers option symbol parsing to preserve OCC format with space padding (#3452), thanks @shzhng
• Fixed Interactive Brokers minor bugs with options (#3452), thanks @shzhng
• Fixed Interactive Brokers partial fill state transition errors where openOrder callbacks after fills caused invalid PARTIALLY_FILLED -> ACCEPTED transitions, thanks @shzhng
• Fixed Interactive Brokers OrderStatusReport filled_qty always being 0 for open orders causing reconciliation errors, thanks @shzhng
• Fixed Interactive Brokers external order ID collision where orders placed via TWS/other clients (orderId=0) could cause fills to be attributed to wrong orders (#3465), thanks @shzhng
• Fixed Interactive Brokers position reconciliation double-counting partial fills from open orders (#3476), thanks @shzhng
• Fixed Interactive Brokers future chain building for index instruments (#3483), thanks @davidsblom
• Fixed Interactive Brokers options missing ^ prefix on index underlying symbols with simplified symbology (#3540), thanks @shzhng
• Fixed Interactive Brokers contract for ESTX50 IND contract (#3556), thanks @davidsblom
• Fixed Interactive Brokers parsing options for Stoxx50 (#3562), thanks @davidsblom
• Fixed Interactive Brokers contract details for FESX futures (#3575), thanks @davidsblom
• Fixed Interactive Brokers ibapi 10.43 protobuf compatibility: IBContract.strike default and ContractDetails.underConId field typo (#3599), thanks @shzhng
• Fixed Interactive Brokers track_option_exercise_from_position_update not generating FLAT reports for expired options (zero-quantity position updates were silently skipped), thanks @shzhng
• Fixed Interactive Brokers bar unsubscribe (#3588), thanks for reporting @pandashark
• Fixed Kraken spot instrument fee/margin parsing where parameters were incorrectly swapped
• Fixed Kraken spot XBT to BTC symbol normalization (#3509), thanks for reporting @chester0
• Fixed OKX HTTP error messages missing rejection reason details (#3580), thanks @griffith-h
• Fixed Polymarket cancel-rejection loop for done orders
• Fixed Polymarket order state race condition where PLACEMENT events could arrive late
• Fixed Polymarket duplicate WebSocket subscriptions (#3403), thanks for reporting @santivazq
• Fixed Polymarket duplicate trade_id for multi-order fills (#3450), thanks for reporting @santivazq
• Fixed Polymarket load_all_async ignoring time-based filters (#3475), thanks @Coyote-Den
• Fixed Tardis deltas snapshot boundaries with CLEAR (#3530), thanks @Arandott

Internal Improvements

• Added Commodity, IndexInstrument, and Cfd instruments in Rust
• Added support for setting cache database adapter in cache and LiveNode (#3401), thanks @filipmacek
• Added ts_init normalization option to convert_stream_to_data (#3433), thanks @faysou
• Added Params type and catalog instrument persistence in Rust (#3539), thanks @faysou
• Added metadata validation for parquet file consolidation to improve handling of mixed precision instruments
• Added Binance listenKeyExpired event handling (#3387), thanks @Johnkhk
• Added Deribit data client (#3368), thanks @filipmacek
• Added Deribit order submission (#3408), thanks @filipmacek
• Added Deribit live reconciliation support (#3421), thanks @filipmacek
• Added Deribit rate limiting for HTTP and WebSocket clients (#3424), thanks @filipmacek
• Added Deribit side-specific order cancellation (#3442), thanks @filipmacek
• Added Deribit real-time portfolio WS subscription (#3444), thanks @filipmacek
• Added Deribit integration documentation (#3508), thanks @filipmacek
• Added OKX instIdCode support for WebSocket order operations (#3536), thanks @Add1ct1ve
• Added Polymarket data loader rate limiting
• Migrated Nautilus internal logging to log crate (external tracing available via use_tracing config)
• Renamed Deribit instrument kind enum to product type (#3512), thanks @filipmacek
• Refactored execution clients to use OrderEventEmitter in Rust (#3469), thanks @filipmacek
• Refactored computation of greeks (#3393), thanks @faysou
• Refactored instrument_greeks (#3587), thanks @faysou
• Refactored TearsheetConfig.charts to chart objects (removed chart_args) (#3398), thanks @KaulSe
• Refactored Betfair order matching to use rfo as primary key
• Refactored Deribit WS client to use standard Nautilus method names (#3418), thanks @filipmacek
• Refactored dYdX v4 execution client in Rust (#3477), thanks @filipmacek
• Refactored dYdX v4 adapter (#3521), thanks @filipmacek
• Refactored dYdX v4 data client (#3547), thanks @filipmacek
• Refactored dYdX v4 execution client (#3557), thanks @filipmacek
• Refactored Kraken spot quotes to use dedicated Ticker channel
• Refactored Polymarket WebSocket to multi-client pool pattern
• Improved cancel_all_orders to include inflight orders
• Improved pnl FX conversions in portfolio (#3335), thanks @faysou
• Improved live timers to use BTreeMap for storage (#3392), thanks @faysou
• Improved checks before writing data in catalog._write_chunk (#3411), thanks @faysou
• Improved ts_init monotonicity enforcement in convert_stream_to_data (#3600), thanks @faysou
• Improved OptionExerciseModule logging and fix cache reference (#3388), thanks @davidsblom
• Improved execution reports builder pattern in Rust (#3417), thanks @filipmacek
• Improved GridMarketMaker strategy and dYdX cancel handling (#3601), thanks @filipmacek
• Improved visualization to use fill report for create_bars_with_fills (#3466), thanks @faysou
• Improved Architect AX WebSocket data and order handling (#3577), thanks @andrew-cho-architect
• Improved Betfair adapter rate limiting and fill deduplication
• Improved Deribit with high-performance Decimal deserialization (#3510), thanks @filipmacek
• Improved precision-mode validation for Arrow data (#3511), thanks for reporting @2-5
• Improved dYdX v4 data client subscription handling (#3537), thanks @filipmacek
• Improved dYdX v4 rate limiting and cancel strategy (#3606), thanks @filipmacek
• Improved dYdX v4 docs and grid market making tutorial (#3607)
• Refined closing of streaming writer (#3394), thanks @faysou
• Refined handling of skip_first_non_full_bar in TimeBarAggregator (#3395), thanks @faysou
• Refined greeks safeguards and docs (#3407), thanks @faysou
• Refined processing of gaps in aggregated historical bars (#3412), thanks @faysou
• Refined exercise and settlement of expiring instruments (#3531), thanks @faysou
• Refined OptionExerciseModule (#3423), thanks @faysou
• Refined instrument is_spread() method (#3434), thanks @faysou
• Refined OrderBookDeltas.batch (#3437), thanks @faysou
• Refined conversion of feather files to parquet (#3590), thanks @faysou
• Refined Interactive Brokers adapter (#3195), thanks @faysou
• Refined Interactive Brokers query of option chains (#3481), thanks @faysou
• Refined Interactive Brokers parsing of alternative option symbol format (#3564), thanks @faysou
• Optimized Price::from_decimal with integer arithmetic
• Optimized Quantity::from_decimal with integer arithmetic
• Optimized Money::from_decimal with integer arithmetic
• Optimized message bus publish with thread-local SmallVec buffers in Rust
• Optimized message bus pattern matching with greedy algorithm
• Upgraded Interactive Brokers adapter to ibapi 10.43 (#3427, #3595), thanks @faysou
• Upgraded Rust (MSRV) to 1.93.1
• Upgraded Cap'n Proto to v1.3.0
• Upgraded Cython to v3.2.4
• Upgraded databento crate to v0.41.0
• Upgraded datafusion crate to v52.1.0
• Upgraded pyo3 crate to v0.28.2
• Upgraded pyo3-async-runtimes crate to v0.28.0
• Upgraded redis crate to v1.0.4
• Upgraded tokio crate to v1.49.0

Documentation Updates

• Added related guides sections to concepts
• Added developer guide for test dataset standards
• Added AX Exchange adapter integration guides
• Added Deribit adapter integration guides
• Split dYdX v3/v4 adapter integration guides

Deprecations

• Deprecated Betfair legacy customer_order_ref truncation (first 32 characters); the adapter now uses last 32 characters for better entropy. Legacy truncation support during startup reconciliation will be removed in a future version.
• Deprecated Binance key_type config field; key type is now auto-detected (only needed if explicitly using RSA keys)
• Deprecated Binance testnet config field; use environment=BinanceEnvironment.TESTNET instead
• Deprecated Binance BINANCE_ED25519_* and BINANCE_*_ED25519_* environment variables; migrate to the standard BINANCE_API_KEY/BINANCE_API_SECRET variables

---

NautilusTrader 1.222.0 Beta

Released on 1st January 2026 (UTC).

This release adds support for Python 3.14 with the following limitations:

• dYdX adapter extras ([dydx]) unavailable due to upstream coincurve compatibility (available on Python 3.12-3.13)
• Interactive Brokers adapter extras ([ib]) unavailable due to upstream nautilus-ibapi compatibility (available on Python 3.12-3.13)

Enhancements

• Added support for Python 3.14
• Added Kraken integration adapter
• Added Cap'n Proto (capnp) serialization for efficient zero-copy data interchange (opt-in via capnp feature flag in nautilus-serialization crate)
• Added initial backtest visualization tearsheets with plotly
• Added matching engine liquidity_consumption config option to track per-level consumption and prevent overfilling displayed book liquidity (default False to retain current behavior)
• Added matching engine trade consumption tracking (when liquidity_consumption=True and trade_execution=True) to prevent multiple orders matching the same trade tick from collectively overfilling
• Added theme support to bars_with_fills chart (#3329), thanks @faysou
• Added price protection support for market orders (#3065), thanks @Antifrajz
• Added Quantity.from_decimal constructor (#3189), thanks @faysou
• Added Price.from_decimal constructor
• Added Money.from_decimal constructor
• Added create_bars_with_fills to Tearsheet (#3137), thanks @faysou
• Added proxy_url support for HTTP clients
• Added CAGR portfolio statistic
• Added CalmarRatio portfolio statistic
• Added MaxDrawdown portfolio statistic
• Added quote_quantity parameter for close_position(...) and close_all_positions(...) strategy methods
• Added remaining bar aggregation methods: TICK_IMBALANCE, TICK_RUNS, VOLUME_IMBALANCE, VOLUME_RUNS, VALUE_IMBALANCE, VALUE_RUNS (#3217), thanks @nicolad
• Added ParquetDataCatalog.query_first_timestamp (#3253), thanks @MK27MK
• Added PolymarketDataLoader for loading historical data with docs and example
• Added Binance accurate commission rates per symbol (#3208), thanks @delusionpig
• Added Binance cross-margin info to AccountState
• Added BinanceInstrumentProviderConfig to support the query_commission_rates config option
• Added Bybit spot margin auto-borrow and auto-repay with auto_repay_spot_borrows config option
• Added Bybit spot margin manual operations (BybitMarginAction) for strategy-controlled borrow/repay via query_account
• Added Bybit HTTP request_tickers support (#3241), thanks @TaiShanQ
• Added Databento subscription acknowledgement handling (#3337), thanks @shzhng
• Added Databento historical client consolidated schema support (#3338), thanks @shzhng
• Added Interactive Brokers optional exchange param for spread contracts (#3319), thanks @faysou
• Added Polymarket Gamma API support for instrument loading (#3141), thanks @DeirhX
• Added OKX historical trades requests
• Added Tardis book_snapshot_output config option for tardis machine replays (default deltas to retain current behavior)
• Added allow_overfills config option to ExecEngineConfig (default False) to handle order fills exceeding order quantity with warning instead of raising
• Added overfill_qty field to orders for tracking fill quantities exceeding original order quantity
• Introduced PositionAdjusted events for tracking quantity/PnL changes outside normal order fills (base currency commissions, funding payments, manual adjustments)
• Upgraded continuous reconciliation for execution engine using position reports to detect missed fills

Breaking Changes

• Dropped support for Python 3.11

• Removed prob_fill_on_stop parameter from FillModel and FillModelConfig (stop orders have no queue position to simulate as triggers are deterministic when price reaches the trigger level)

• Removed use_ws_trade_api config option from Bybit execution client (using WebSocket trade API only); this inadvertently broke demo trading since Bybit demo does not support WebSocket Trade API

• Renamed parse_instrument to parse_polymarket_instrument in Polymarket adapter for clarity

• Renamed ExecTesterConfig.enable_buys to enable_limit_buys

• Renamed ExecTesterConfig.enable_sells to enable_limit_sells

• Changed ParquetDataCatalog.register_data to now treat files=[] as registering no files; pass files=None (default) to include all files

• Standardized data catalog directory naming: Order book data directory names now use plural forms to align with the Rust catalog and Tardis Machine conventions; this ensures data written by the Python StreamingFeatherWriter can be read by the Rust catalog

  • order_book_delta/ -> order_book_deltas/
  • order_book_depth10/ -> order_book_depths/

  Migration: Rename existing data directories to use plural forms:

  # If you have existing order book data, rename the directories:
  mv <your_data_path>/order_book_delta <your_data_path>/order_book_deltas
  mv <your_data_path>/order_book_depth10 <your_data_path>/order_book_depths
  

Security

• Added osv-scanner for Python dependency vulnerability scanning in pre-commit
• Added cargo-vet for Rust supply chain security auditing
• Hardened unsafe code with runtime checks and #![deny(unsafe_op_in_unsafe_fn)] lint
• Hardened datetime conversions with overflow protection
• Hardened CI workflows by pinning Docker images to SHA digests
• Improved actor/component registry safety with ActorRef guards and runtime borrow tracking
• Fixed code scanning security alerts

Fixes

• Fixed uint64_t truncation bug in determine_trade_fill_qty for trade execution with high-precision mode
• Fixed stop market order fill price in L1_MBP mode
• Fixed cache dropped same-timestamp market data on insert
• Fixed race condition in InstrumentProvider causing duplicate instrument initialization in shared providers
• Fixed portfolio statistics various bugs and edge cases
• Fixed SyntheticInstrument formula error during parsing with hyphened InstrumentId (#3257), thanks @Javdu10
• Fixed balance recalculation to use raw fixed-point (#3356), thanks @kirill-gr1
• Fixed matching engine GTD order expiry key mismatch (#3272), thanks for reporting @linimin
• Fixed matching engine order modification for partial fills
• Fixed matching engine L2/L3 partial fill quantity calculation on subsequent book updates
• Fixed NETTING position flip snapshots and cache index cleanup (#3081), thanks @SarunasSS
• Fixed incorrect handling of data responses in msgbus (#3310), thanks @filipmacek
• Fixed data engine to use separate aggregators for historical data (#3326), thanks @faysou
• Fixed bar execution generating fractional fill quantities (#3352), thanks @Johnkhk
• Fixed BacktestResult.total_positions to match tearsheet count (#3148), thanks for reporting @2-5
• Fixed risk engine negative price handling for spread instruments (#3136), thanks for reporting @q351941406
• Fixed risk engine trailing stop order risk validations (#3160), thanks for reporting @GianC0
• Fixed risk engine balance checks for cash borrowing
• Fixed risk engine balance checks for position-reducing SELL orders (#3256), thanks for reporting @GianC0
• Fixed spawned order client_id caching in ExecAlgorithm (#3122), thanks for reporting @kirill-gr1
• Fixed parse_dates parameter in CSV loaders (#3132), thanks @maomao9-0
• Fixed GreeksCalculator handling of missing price data (#3116), thanks for reporting @q351941406
• Fixed StreamingFeatherWriter _setup_streaming with replace_existing config (#3234), thanks @cauta
• Fixed conversion of streamed instruments to catalog (#3235), thanks @faysou
• Fixed active liquidity calculation Pool profiler simulation (#3165), thanks @filipmacek
• Fixed duplicate on_instrument callback in request flow for Python adapters (#3323), thanks @filipmacek
• Fixed Redis index key parsing with use_instance_id
• Fixed Betfair datetime encoding error in order status reports
• Fixed Betfair login race condition during concurrent connections
• Fixed Betfair parsing errors for undocumented codes
• Fixed Betfair duplicate fills on startup/reconnect
• Fixed Binance instrument info dict JSON serialization (#3128), thanks for reporting @woung717
• Fixed Binance ADL orders with TRADE execution type
• Fixed Binance Futures Algo Order API for conditional orders (#3287), thanks for reporting @KaizynX
• Fixed Bybit historical bars requests partial (unclosed) bar filtering
• Fixed Bybit WebSocket bars to respect timestamp_on_close config
• Fixed BybitHttpClient type stub pyi signatures (#3238), thanks @sunlei
• Fixed Databento historical client to support consolidated schemas (cmbp-1, cbbo-1s, cbbo-1m) in quote requests
• Fixed Databento MBO data decoding when PRICE_UNDEF appears with non-zero precision
• Fixed Databento Arrow serialization for PRICE_UNDEF (#3183), thanks for reporting @marloncalvo
• Fixed Databento quote decoding with undefined bid/ask prices
• Fixed Interactive Brokers quote tick subscriptions to use tick-by-tick data (#3135), thanks for reporting @genliusrocks
• Fixed Interactive Brokers serialization of IBContractDetails (#3181), thanks @faysou
• Fixed Interactive Brokers parsing of invalid prices (#3246), thanks @faysou
• Fixed OKX pre-open instrument parsing and standardize enum usage (#3134), thanks for reporting @3wtz
• Fixed OKX request_bars pagination halting prematurely in Range mode (#3145), thanks for reporting @3wtz
• Fixed OKX request_bars pagination using correct backwards API semantics (#3145), thanks for reporting @3wtz
• Fixed OKX FOK/IOC order type preservation across parsers (#3182), thanks @CuBeof
• Fixed OKX fee rate sign convention for backtesting (#3260), thanks @GhostLee
• Fixed Polymarket maker fill order side inversion (#3126), thanks for reporting @santivazq
• Fixed Polymarket instrument provider market filtering (#3133), thanks @MisterMM23
• Fixed Polymarket websocket client cancellation on concurrent subscriptions (#3169), thanks @DeirhX
• Fixed Polymarket maker fills parsing for cross-asset matching and multiple concurrent fills (#3172), thanks @petioptrv
• Fixed Polymarket account balance update timing issue (#3161), thanks for reporting @santivazq
• Fixed Polymarket handling of overfilled FOK orders using allow_overfills execution engine config option (#3221), thanks for reporting @Javdu10
• Fixed Polymarket match_time timestamp parsing (#3273), thanks for reporting @santivazq
• Fixed Polymarket timestamp conversions (#3291, #3292), thanks for reporting @santivazq
• Fixed Polymarket fill reports for cross-asset matches (#3345), thanks for reporting @santivazq
• Fixed Polymarket order side for cross-asset matches (#3357), thanks for reporting @santivazq
• Fixed Tardis book snapshot to deltas CLEAR prepending
• Fixed Tardis CSV parsing for mid-day snapshots

Internal Improvements

• Added BitMEX submit broadcaster
• Added Bybit start/end time filtering for order status reports (#3209), thanks @sunlei
• Added BybitRawHttpClient Python bindings (#3252), thanks @sunlei
• Added Databento subscription acknowledgement handling and logging
• Added non-mutating swap quote simulation for Pool tickmap profiling (#3123), thanks @filipmacek
• Added ERC20 token balance tracking to BlockchainExecutionClient (#3224), thanks @filipmacek
• Added DeFi pool discovery service with full Uniswap(V2/V3/V4) support (#3255), thanks @filipmacek
• Added Deribit HTTP client with instrument support (#3288), thanks @filipmacek
• Added Deribit account balance and credential management (#3295), thanks @filipmacek
• Added Deribit WebSocket client with market data support (#3297), thanks @filipmacek
• Added Deribit WebSocket auth and raw data stream support (#3304), thanks @filipmacek
• Added Deribit data client in Rust (#3311), thanks @filipmacek
• Added Deribit data client Python bindings (#3315), thanks @filipmacek
• Added Deribit data client WebSocket handling and request methods (#3340), thanks @filipmacek
• Added Deribit execution client scaffolding (#3350), thanks @filipmacek
• Added dYdX v4 crate (#3138), thanks @nicolad
• Added dYdX v4 WebSocket in Rust (#3158), thanks @nicolad
• Added dYdX v4 DataClient in Rust (#3162), thanks @nicolad
• Added dYdX v4 ExecutionClient in Rust (#3163), thanks @nicolad
• Added dYdX v4 execution reconciliation in Rust (#3171), thanks @nicolad
• Added dYdX v4 gRPC order execution (#3222), thanks @nicolad
• Added dYdX v4 order execution via gRPC with Python bindings (#3245), thanks @nicolad
• Added dYdX v4 conditional orders (#3259), thanks @nicolad
• Added dYdX v4 Python adapter layer (#3275), thanks @nicolad
• Added dYdX v4 batch cancel and expose missing Python bindings (#3282), thanks @nicolad
• Added dYdX v4 HTTP data, execution, and WebSocket tests (#3290), thanks @nicolad
• Added Kraken Futures demo support (#3262), thanks @nicolad
• Added check before creation of bars in IB adapter (#3348), thanks @PJPRoche and @faysou
• Added check for empty data in _handle_table_nautilus (#3248), thanks @faysou
• Integrated trade analytics across DeFi pools swaps and simulated quotes (#3174), thanks @filipmacek
• Implemented size for impact bps PoolProfiler simulation (#3186), thanks @filipmacek
• Implemented dual-parser architecture for DEX event parsing (#3228), thanks @filipmacek
• Implemented Bybit chunking support for batch cancel orders (#3244), thanks @sunlei
• Scaffolded blockchain execution client with native balance fetch (#3214), thanks @filipmacek
• Ported Bybit integration adapter to Rust
• Unified tokio runtime selection in Rust adapters (#3321), thanks @filipmacek
• Converted LatencyModel to trait with StaticLatencyModel impl (#3369), thanks @marcus-sa
• Refactored network crate to modularize http, socket, and websocket
• Refactored reading of feather files in catalog (#3114), thanks @faysou
• Refactored processing of historical data (#3038), thanks @faysou
• Refactored execution engine reconciliation (#3185), thanks @faysou
• Refactored risk engine initialization with shallow clone for portfolio (#3360), thanks @marcus-sa
• Refactored SpreadQuoteAggregator (#3312), thanks @faysou
• Refactored Polymarket instrument provider to use async HttpClient
• Refactored Interactive Brokers HistoricInteractiveBrokersClient (#3261), thanks @faysou
• Refactored IB Historical client (#3276), thanks @faysou
• Improved trade execution matching with transient bid/ask override for trade_execution=True mode, ensuring limit orders fill correctly when trades occur at the limit price
• Improved Stochastics indicator with additional parameters (#3296), thanks @mahmutf
• Improved None handling in equality and comparison methods
• Improved Actor.request_bars to enforce standard bar types (#3216), thanks @faysou
• Improved JSON-RPC non-standard rate limit error handling (#3227), thanks @filipmacek
• Improved Betfair execution error handling and edge cases
• Improved Betfair order rejection and duplicate fills handling
• Improved Binance data client with optional authentication
• Improved Bybit spot borrow repayments (#3223), thanks @vcraciun
• Improved Databento live connection stability and reconnects
• Improved Databento decoder sentinel value handling (#3361), thanks for reporting @davidsblom
• Improved dYdX v3 resilience and reliability (#3225), thanks @SarunasSS
• Improved dYdX v4 adapter test coverage (#3212), thanks @nicolad
• Improved dYdX v4 network, bars, and batch cancel (#3231), thanks @nicolad
• Improved dYdX v4 gRPC execution with edge cases and batch cancel (#3239), thanks @nicolad
• Improved dYdX v4 data/exec testers and fix GTT (#3254), thanks @nicolad
• Improved dYdX v4 WebSocket subscription state management (#3286), thanks @nicolad
• Improved dYdX v4 enums for type safety and improve WS tests (#3294), thanks @nicolad
• Improved dYdX v4 model type safety with enums (#3299), thanks @nicolad
• Improved dYdX v4 parse block height WebSocket feed and gate short-term order submission (#3320), thanks @nicolad
• Improved Polymarket position querying using Gamma API (#3142), thanks @DeirhX
• Improved Tardis adapter robustness and error handling
• Standardized dYdX WebSocket architecture (#3173), thanks @nicolad
• Standardized dYdX client integration tests (#3193), thanks @nicolad
• Standardized dYdX per adapter guide conventions (#3267), thanks @nicolad
• Changed Interactive Brokers default quote tick subscription to batch quotes (#3196), thanks @faysou
• Changed spread quote aggregation to opt-in (#3355), thanks @faysou
• Removed redundant debug code for reconcile execution (#3344), thanks @TaiShanQ
• Refined timer name validation to accept non-ASCII characters (common for foreign currencies) (#3154), thanks for reporting @woung717
• Refined spread support (#3284), thanks @faysou
• Refined support for monthly and yearly bars (#3166), thanks @faysou
• Refined bar aggregators in Rust (#3170), thanks @faysou
• Refined adding files to catalog session (#3215), thanks @faysou
• Refined loading of files in catalog (#3313), thanks @faysou
• Refined catalog file filter methods (#3318), thanks @faysou
• Refined HistoricInteractiveBrokersClient (#3187), thanks @faysou
• Refined BacktestDataIterator docstrings (#3264), thanks @faysou
• Refined BacktestDataConfig.query (#3266), thanks @faysou
• Refined Databento utils (#3268), thanks @faysou
• Refined Interactive Brokers historical data request methods (#3279), thanks @faysou
• Refined requests and aggregators (#3328), thanks @faysou
• Refined parsing of IB expiries (#3332), thanks @faysou
• Refined subscription to spread quotes (#3349), thanks @faysou
• Refined data query and subscription (#3353), thanks @faysou
• Refined response to join_request (#3366), thanks @faysou
• Refined adding instrument to cache after modifying it (#3372), thanks @faysou
• Optimized unnecessary string allocations and Ustr usage
• Optimized build to prefer sccache when available (#3243), thanks @sunlei
• Optimized execution reconciliation to avoid quadratic complexity (#3140), thanks @DeirhX
• Optimized network clients by enabling TCP_NODELAY (#3156), thanks @sunlei
• Optimized build by disabling Cargo incremental compilation when using sccache (#3157), thanks @sunlei
• Optimized BitMEX submit and cancel broadcasters by removing unnecessary lock on internal transport clients
• Optimized full math division for DeFi calculations (#3179), thanks @filipmacek
• Optimized parquet data filtering and streaming initialization performance (#3298), thanks @ReCodeLife
• Repaired OKX spot margin position reports for borrowing, thanks @sunlei
• Repaired Bybit docs links in comment (#3125), thanks @sunlei
• Repaired Bybit HTTP order place (#3127), thanks @sunlei
• Repaired Bybit AccountPosition message parsing (#3147), thanks @sunlei
• Repaired Bybit conditional order trigger semantics and type
• Repaired Bybit instruments pagination handling (#3210), thanks @sunlei
• Repaired Bybit batch place orders (#3211), thanks @sunlei
• Repaired Bybit get_account_details (#3219), thanks @sunlei
• Repaired Bybit set_position_mode (#3220), thanks @sunlei
• Upgraded implied-vol crate (#3115), thanks @faysou
• Upgraded Rust (MSRV) to 1.92.0
• Upgraded Cython to v3.2.3
• Upgraded databento crate to v0.37.0
• Upgraded datafusion crate to v51.0.0
• Upgraded msgspec to v0.20.0
• Upgraded pyo3 crate to v0.27.2
• Upgraded pyo3-async-runtimes crate to v0.27.0
• Upgraded redis crate to v1.0.2

Documentation Updates

• Added Polymarket historical data loading docs
• Added visualization docs for bars_with_fills tearsheet feature
• Added order state flow diagram with lifecycle documentation
• Added fee rate sign convention in instruments concept guide
• Added fill price determination to backtesting concept guide
• Improved concept docs with Mermaid diagrams replacing ASCII diagrams
• Improved execution concept guide with overfills explanation
• Improved backtesting concept guide to clarify bar execution behavior
• Improved documentation for uv-installed Python environments, thanks to @faysou for investigating and reporting
• Improved notebook path handling and fix quickstart data loading, thanks for reporting @semihtekten

Deprecations

None

---

NautilusTrader 1.221.0 Beta

Released on 26th October 2025 (UTC).

This will be the final release with support for Python 3.11.

Enhancements

• Added support for OrderBookDepth10 requests (#2955), thanks @faysou
• Added support for quotes from book depths (#2977), thanks @faysou
• Added support for quotes from order book deltas updates (#3106), thanks @faysou
• Added execution engine rate limiting for single-order reconciliation queries
• Added subscribe_order_fills(...) and unsubscribe_order_fills(...) for Actor allowing to subscribe to all fills for an instrument ID
• Added on_order_filled(...) for Actor
• Added Renko bar aggregator (#2941), thanks @faysou
• Added time_range_generator for on-the-fly data data subscriptions (#2952), thanks @faysou
• Added __repr__ to NewsEvent (#2958), thanks @MK27MK
• Added convert_quote_qty_to_base config option to ExecEngineConfig (default True to retain current behavior) allows adapters to keep quote-denominated sizes when needed
• Added contingent order fields parent_order_id and linked_order_ids for OrderStatusReport and reconciliation
• Added fs_rust_storage_options to Python catalog (#3008), thanks @faysou and @Johnkhk
• Added matching engine fallback to default order book for custom fill models (#3039), thanks @Hamish-Leahy
• Added filesystem parameter to parquet in the consolidate functions (#3097), thanks @huracosunah
• Added azure support for az protocol (#3102), thanks @huracosunah
• Added Binance BBO price_match parameter support for order submission
• Added BitMEX conditional orders support
• Added BitMEX batch cancel support
• Added BitMEX contingent orders support (OCO, OTO, brackets)
• Added BitMEX historical data requests (trades and bars)
• Added BitMEX configurable recv_window_ms for signed HTTP request expiration
• Added Bybit SPOT position reports with opt-in use_spot_position_reports config option for BybitExecClientConfig
• Added Bybit ignore_uncached_instrument_executions config option for BybitExecClientConfig (default False to retain current behavior)
• Added Databento CME sandbox example
• Added Interactive Brokers cache config support for historical provider (#2942), thanks @ms32035
• Added Interactive Brokers support for fetching orders from all clients (#2948), thanks @dinana
• Added Interactive Brokers order conditions (#2988), thanks @faysou
• Added Interactive Brokers generate_fill_reports implementation (#2989), thanks @faysou
• Added OKX conditional trigger orders support
• Added OKX trade mode per order via params using td_mode key
• Added OKX margin configuration and spot margin support
• Added OKX demo account support
• Added OKX batch cancel support
• Added Polymarket native market orders support

Breaking Changes

• Removed nautilus_trader.analysis.statistics subpackage - all statistics are now implemented in Rust and must be imported from nautilus_trader.analysis (e.g., from nautilus_trader.analysis import WinRate)
• Removed partial bar functionality from bar aggregators and subscription APIs (#3020), thanks @faysou
• Renamed nautilus-cli crate feature flag from hypersync to defi (gates blockchain/DeFi commands)
• Polymarket execution client no longer accepts market BUY orders unless quote_quantity=True

Security

• Fixed non-executable stack for Cython extensions to support hardened Linux systems
• Fixed divide-by-zero and overflow bugs in model crate that could cause crashes
• Fixed core arithmetic operations to reject NaN/Infinity values and improve overflow handling

Fixes

• Fixed reduce-only order panic when quantity exceeds position
• Fixed position purge logic to prevent purging re-opened position
• Fixed Position.purge_events_for_order to properly rebuild state from remaining order fills
• Fixed cache index cleanup bugs in purge_order operations
• Fixed order average price calculation that was double-counting current fill in weighted average
• Fixed own order book cleanup for terminal orders and inflight handling
• Fixed order book depth snapshot processing to avoid padding levels and metadata tracking for L1 top-of-book ticks
• Fixed crypto instruments PyO3 -> Cython conversion for lot_size where it was not being passed through
• Fixed serialization crate bugs and improve error handling
• Fixed PyO3 interpreter lifecycle for async shutdown preventing edge case "interpreter not initialized" panics during shutdown
• Fixed RiskEngine reduce-only cash exits (#2986), thanks for reporting @dennisnissle
• Fixed RiskEngine quote quantity validation
• Fixed BacktestEngine to retain instruments on reset (#3096), thanks for reporting @woung717
• Fixed overflow in NautilusKernel build time calculation due to negative duration (#2998), thanks for reporting @HaakonFlaaronning
• Fixed handling of asyncio.CancelledError in execution reconciliation (#3073), thanks @dinana
• Fixed edge case where rejected orders can remain in own order book
• Fixed Currency registration to synchronize between Cython and PyO3 runtimes via new register_currency() helper
• Fixed Databento CMBP-1/CBBO/TBBO symbology resolution
• Fixed on_load called before strategy added bug (#2953), thanks @lisiyuan656
• Fixed filesystem usage in catalog for isfile and isdir (#2954), thanks @limx0
• Fixed ParquetDataCatalog.from_uri to support Windows paths (#3283), thanks @nikitium
• Fixed SandboxExecutionClient instrument data handling
• Fixed AccountState Arrow serialization (#3005), thanks for reporting @nikzasel
• Fixed CryptoOption Arrow schema option_kind field to accept string values
• Fixed FuturesSpread Arrow schema missing max/min quantity and price fields
• Fixed OptionSpread Arrow schema missing max/min quantity and price fields
• Fixed Commodity Arrow schema to match from_dict requirements
• Fixed safe encoded symbols (#2964), thanks @ms32035
• Fixed msgspec encoding for type objects with qualified names
• Fixed nautilus CLI macOS compatibility with regex unicode-perl feature (#2969), thanks @learnerLj
• Fixed fuzzy candlesticks indicator bugs (#3021), thanks @benhaben
• Fixed return type annotation for ArrowSerializer.deserialize (#3076), thanks @MK27MK
• Fixed initializing of sqrt price setting flow when Pool profiling (#3100), thanks @filipmacek
• Fixed Redis multi-stream consumer skipping messages (#3094), thanks for reporting @kirill-gr1
• Fixed Binance duplicate OrderSubmitted event generation for order lists (#2994), thanks @sunlei
• Fixed Binance websocket fill message parsing for Binance US with extra fields (#3006), thanks for reporting @bmlquant
• Fixed Binance order status parsing for external orders (#3006), thanks for reporting @bmlquant
• Fixed Binance execution handling for self-trade prevention and liquidations (#3006), thanks for reporting @bmlquant
• Fixed Binance trailing stop to use server-side activation price (#3056), thanks for reporting @hope2see
• Fixed Binance Futures reconciliation duplicated position bug (#3067), thanks @lisiyuan656
• Fixed Binance price_match order price synchronization (#3074)
• Fixed Binance Futures position risk query to use v3 API returning only symbols with positions or open orders (#3062), thanks for reporting @woung717
• Fixed Binance Futures liquidation and ADL fill handling
• Fixed BitMEX testnet support
• Fixed BitMEX instrument parsing of lot size
• Fixed BitMEX order rejection handling and response parsing
• Fixed Blockchain adapter out of gas RPC error in Multicall for problematic contracts (#3086), thanks @filipmacek
• Fixed Bybit currency parsing from venue resulting in incorrectly low precision (e.g., USDT precision 4 rather than 8)
• Fixed Bybit handling of OrderModifyRejected events from pending updates
• Fixed Bybit account endpoint pagination handling
• Fixed Coinbase Intx API credentials handling to allow passing explicitly
• Fixed Databento MBO Clear actions and improve docs
• Fixed Hyperliquid L1 signing with direct MessagePack serialization (#3087), thanks @nicolad
• Fixed Interactive Brokers tick level historical data downloading (#2956), thanks @DracheShiki
• Fixed Interactive Brokers instrument provider TypeError when load_ids/contracts are None, thanks for reporting @FGU1
• Fixed Interactive Brokers modify bracket order (#2979), thanks @faysou
• Fixed Interactive Brokers historical bars resubscription failure after connection loss (#3002), thanks @Johnkhk
• Fixed Interactive Brokers flat position reconciliation and instrument loading (#3023), thanks @idobz
• Fixed Interactive Brokers bars response handling by removing partial bar (#3040), thanks @sunlei
• Fixed Interactive Brokers account summary handling (#3052), thanks @shinhwasbiz02
• Fixed Interactive Brokers account balance calculation (#3064), thanks @sunlei
• Fixed OKX spot margin quote quantity order handling
• Fixed OKX API credentials handling to allow passing explicitly
• Fixed OKX fee calculations to account for negative fees
• Fixed OKX parsing for tick_sz across instrument types
• Fixed OKX parsing for instruments multiplier field
• Fixed OKX WebSocket heartbeat and standardize logging
• Fixed Polymarket handling of one-sided quotes (#2950), thanks for reporting @thefabus
• Fixed Polymarket websocket message handling (#2963, #2968), thanks @thefabus
• Fixed Polymarket tick size change handling for quotes (#2980), thanks for reporting @santivazq
• Fixed Polymarket market order submission to use native CLOB market orders (#2984), thanks for reporting @njkds
• Fixed Polymarket maker fill order side inversion (#3077), thanks for reporting @DarioHett
• Fixed Polymarket neg_risk order parameter handling
• Fixed Tardis instruments lot_size mapping
• Fixed Tardis adapter error handling and connection robustness
• Fixed Tardis replay to use catalog-compatible filenames

Internal Improvements

• Added ARM64 support to Docker builds
• Added BitMEX adapter integration tests
• Added OKX adapter integration tests
• Added turmoil network simulation testing to network crate
• Added liquidity utilization rate to AMM pool profiler (#3107), thanks @filipmacek
• Added filter_sec_types config to skip unsupported IB instrument types (#3108), thanks @sunlei
• Ported PortfolioAnalyzer and all portfolio statistics to Rust
• Introduced AMM Pool profiler with tickmaps and Uniswapv3 support (#3000, #3010, #3019, #3036), thanks @filipmacek
• Introduced snapshot, analytics, and PSQL schema for PoolProfiler (#3048), thanks @filipmacek
• Implemented consistency checking for AMM pool profiler with RPC state (#3030), thanks @filipmacek
• Implemented PoolFlash event in blockchain adapter (#3055, #3058), thanks @filipmacek
• Implemented Blockchain adapter pool profiler snapshot integration (#3090), thanks @filipmacek
• Implemented BitMEX robust ping/pong handling
• Implemented Hyperliquid adapter HTTP client (#2939), thanks @nicolad
• Implemented Hyperliquid adapter scaffolding and examples (#2957), thanks @nicolad
• Implemented Hyperliquid weighted rate limiter for REST API (#2960), thanks @nicolad
• Implemented Hyperliquid L2 order book with tick-based pricing (#2967), thanks @nicolad
• Implemented Hyperliquid data client and fix dependencies (#2975), thanks @nicolad
• Implemented Hyperliquid REST API models for execution (#2983), thanks @nicolad
• Implemented Hyperliquid InstrumentProvider / definitions parsing (#2992), thanks @nicolad
• Implemented Hyperliquid DataClient in Python (#2996), thanks @nicolad
• Implemented Hyperliquid DataClient in Rust (#2999), thanks @nicolad
• Implemented Hyperliquid ExecutionClient in Python (#3003), thanks @nicolad
• Implemented Hyperliquid ExecutionClient in Rust (#3013), thanks @nicolad
• Implemented Hyperliquid websocket tester for streaming market data (#3018), thanks @nicolad
• Implemented Hyperliquid basic market and limit orders (#3022), thanks @nicolad
• Implemented Hyperliquid conditional / advanced orders (#3035), thanks @nicolad
• Implemented Hyperliquid execution reconciliation (#3041), thanks @nicolad
• Implemented Hyperliquid execution client order submission (#3050), thanks @nicolad
• Implemented Hyperliquid LiveExecutionClientExt trait (#3075), thanks @nicolad
• Implemented Hyperliquid typed enums and optimize WebSocket lookups (#3089), thanks @nicolad
• Refactored Hyperliquid adapter to push complexity to Rust layer (#3063), thanks @nicolad
• Refactored streaming writer to support per-bar-type persistence (#3078), thanks @faysou
• Changed Symbol, Currency, and InstrumentId string validation from ASCII to UTF-8, fixing Binance compatibility with Chinese symbols
• Changed PositionId validation check from ASCII to UTF-8, fixing Binance compatibility with Chinese symbols (#3105), thanks @Osub
• Improved clock and timer thread safety and validations
• Improved live timer lifecycle management by canceling existing timers with the same name
• Improved ActorExecutor lifecycle and concurrency handling
• Improved order book error handling, state integrity, and pprint/display
• Improved order book handling of NoOrderSide deltas
• Improved websocket reconnection sequence protections in stream mode
• Improved socket reconnect sequence and tighten client setup and testing
• Improved socket client URL parsing
• Improved compatibility of Makefile for Windows git-bash (#3066), thanks @faysou
• Improved Blockchain adapter shutdown with cancellation token
• Improved Blockchain adapter node_test script (#3092), thanks @filipmacek
• Improved and optimize AMM pool profiling (#3098), thanks @filipmacek
• Improved Hyperliquid adapter patterns (#2972), thanks @nicolad
• Improved BitMEX spot instruments quantity handling by scaling to correct fractional units
• Improved BitMEX REST rate limits configuration
• Improved BitMEX instrument cache error logging
• Improved Binance, Bybit, OKX, BitMEX, and Coinbase International HTTP rate limiting to enforce documented per-endpoint quotas
• Improved Binance fill handling when instrument not cached with clearer error log
• Improved dYdX v4 websocket lifecycle and add fixture-based tests (#3285), thanks @nicolad
• Improved OKX trade mode detection and fee currency parsing
• Improved OKX client connection reliability
• Improved OKX liquidation and ADL fill handling and logging
• Improved Tardis instrument requests to filter options by default
• Standardized Binance order validations with proper order denied events to avoid "hanging" orders
• Refined Renko bar aggregator and add tests (#2961), thanks @faysou
• Refined setting of flags in Makefile (#3060), thanks @faysou
• Refined Bybit balance parsing to use Money.from_str to ensure no rounding errors
• Refined Interactive Brokers execution flows (#2993), thanks @faysou
• Refined Interactive Brokers filtering of bars in IB adapter after disconnection (#3011), thanks @faysou and @Johnkhk
• Refined Interactive Brokers account summary log to debug level (#3084), thanks @sunlei
• Refined catalog reset_data_file_names method (#3071), thanks @adrianbeer and @faysou
• Optimized ExecutionEngine hot path with topic caching and reduced cache lookups
• Optimized rate limiter quota keys with string interning to avoid repeated allocations
• Upgraded Rust (MSRV) to 1.90.0
• Upgraded Cython to v3.1.6
• Upgraded databento crate to v0.35.0
• Upgraded datafusion crate to v50.3.0
• Upgraded pyo3 and pyo3-async-runtimes crates to v0.26.0
• Upgraded redis crate to v0.32.7
• Upgraded tokio crate to v1.48.0
• Upgraded uvloop to v0.22.1 (upgrades libuv to v1.49.0)

Documentation Updates

• Added quick-reference rate limit tables with links to official docs for Binance, Bybit, OKX, BitMEX, and Coinbase International
• Updated cache concept guide with purging ops
• Improved dark and light themes for readability
• Improved clarity of implemented bar aggregations
• Standardized consistent styling per docs style guide
• Fixed some broken links

Deprecations

• Deprecated convert_quote_qty_to_base; disable (False) to maintain consistent behaviour going forwards. Automatic conversion will be removed in a future version.

---

NautilusTrader 1.220.0 Beta

Released on 9th September 2025 (UTC).

Enhancements

• Added initial BitMEX integration adapter
• Added FundingRateUpdate data type with caching support through data engine
• Added subscribe_funding_rates(...) and unsubscribe_funding_rates(...) methods for actors
• Added on_funding_rate(...) handler for actors
• Added funding_rate(...) and add_funding_rate(...) for Cache
• Added due_post_only field for OrderRejected event, only properly populated for Binance and Bybit for now
• Added log_rejected_due_post_only_as_warning config option for StrategyConfig (default True to retain current behavior)
• Added log_rejected_due_post_only_as_warning config option for BinanceExecClientConfig (default True to retain current behavior)
• Added log_components_only config option for Logger (#2931), thanks @faysou
• Added support for additional Databento schemas: CMBP_1, CBBO_1S, CBBO_1M, TCBBO, and OHLCV_EOD
• Added configurable schema parameters for Databento quote and trade subscriptions, allowing TBBO/TCBBO for efficient combined data feeds
• Added support for option combos for Interactive Brokers (#2812), thanks @faysou
• Added support for execution of option spreads in backtesting (#2853), thanks @faysou
• Added support for option spread quotes in backtest (#2845), thanks @faysou
• Added loading of options chain from request_instruments for Interactive Brokers (#2809), thanks @faysou
• Added OptionExerciseModule (#2907), thanks @faysou
• Added MarginModel concept, base models, config, and factory for backtesting (#2794), thanks @faysou and @stefansimik
• Added additional built-in backtest fill models (#2795), thanks @faysou and @stefansimik
• Added OrderBookDepth10DataWrangler (#2801), thanks @trylovetom
• Added group_size parameter for PyO3 OrderBook.pprint(...) and OwnOrderBook.pprint(...)
• Added custom error logging function support for RetryManager
• Added Bybit options support (#2821), thanks @Baerenstein
• Added Bybit is_leverage order parameter support
• Added persist_account_events config option for CacheConfig (default True to retain current behavior)
• Added query_account method for Strategy
• Added QueryAccount execution message
• Added streaming methods for TardisCSVDataLoader
• Added stream iterators support for BacktestEngine low-level streaming API
• Added YEAR aggregation and improved bar specification validation (#2771), thanks @stastnypremysl
• Added support for requesting any number of historical bars for dYdX (#2766, #2777), thanks @DeirhX
• Added use_hyphens_in_client_order_ids config option for StrategyConfig
• Added greeks_filter function to portfolio_greeks (#2756), thanks @faysou
• Added time weighted and percent vega for GreeksCalculator (#2817), thanks @faysou
• Added VERBOSE option to common make targets (#2759), thanks @faysou
• Added bulk key loading capability for Redis cache database adapter
• Added multiplier field for CurrencyPair instrument (required for some crypto pairs)
• Added tick_scheme_name field for instrument dictionary conversions
• Added default FixedTickScheme(s) for all valid precisions
• Added PancakeSwapV3 pool parsing (#2829), thanks @filipmacek
• Added PortfolioConfig.min_account_state_logging_interval_ms config option for throttling account state logging
• Added allow_cash_borrowing config option for BacktestVenueConfig to enable negative balances in cash accounts
• Added borrowing support for Bybit SPOT accounts, enabling margin trading with negative balances
• Added initial DEX Pool filtering configuration (#2842, #2887), thanks @filipmacek
• Added Arbitrum FluidDEX pool parsing (#2897), thanks @filipmacek
• Added a complete .env.example template to guide environment configuration (#2877), thanks @nicolad
• Added Interactive Brokers OCA setting to order groups (#2899), thanks @faysou
• Added Interactive Brokers subscriptions for position updates (#2887), thanks @faysou
• Added avg_px_open field to PositionStatusReport for IB adapter (#2925), thanks @dinana
• Added support for running separate live and paper IB Gateway containers simultaneously (#2937), thanks @Bshara23
• Added support for data deduplication on catalog consolidation (#2934), thanks @ms32035

Breaking Changes

• Added multiplier field for CurrencyPair Arrow schema
• Changed start parameter to required for Actor data request methods
• Reverted implementation of delete_account_event from cache database that was too inefficient and is now a no-op pending redesign
• Renamed ParquetDataCatalog.reset_catalog_file_names to reset_all_file_names
• Renamed BinanceAccountType.USDT_FUTURE to USDT_FUTURES for more conventional terminology
• Renamed BinanceAccountType.COIN_FUTURE to COIN_FUTURES for more conventional terminology
• Renamed InstrumentMiniInfo to TardisInstrumentMiniInfo to standardize adapter naming conventions
• Removed the generic cvec_drop FFI function, as it was unused and prone to misuse, potentially causing memory leaks
• Removed redundant managed parameter for Actor.subscribe_book_at_interval (the book must be managed by the DataEngine to provide snapshots at intervals)
• Consolidated OwnBook group_bids and group_asks methods into bid_quantity and ask_quantity with optional depth and group_size parameters
• Consolidated ~40 individual indicator modules into 6 files to reduce binary size
• Consolidated backtest.exchange into backtest.engine to reduce binary size
• Consolidated backtest.matching_engine into backtest.engine to reduce binary size
• Changed indicator imports from nested modules to flat structure (e.g., from nautilus_trader.indicators.atr import AverageTrueRange becomes from nautilus_trader.indicators import AverageTrueRange)
• Changed NAUTILUS_CATALOG_PATH to NAUTILUS_PATH for Tardis adapter (#2850), thanks @nicolad
• Simplified Binance environment variables for API credentials: removed separate variables for RSA/Ed25519 keys and consolidated mainnet spot/futures credentials
• Moved Indicator base class from nautilus_trader.indicators.base.indicator to nautilus_trader.indicators.base

Internal Improvements

• Refactored OKX adapter to Rust API clients
• Refactored BacktestDataIterator (#2791) to consolidate data generator usage, thanks @faysou
• Implemented LogGuard reference counting for proper thread lifecycle management, ensuring all logs flushed before termination
• Implemented live subscriptions for blockchain data client (#2832), thanks @filipmacek
• Implemented initial Hyperliquid adapter (#2912, #2916, #2922, #2935), thanks @nicolad
• Introduced SharedCell / WeakCell wrappers for ergonomic and safer handling of Rc<RefCell<T>> / Weak<RefCell<T>> pairs
• Introduced efficient block syncing command in the nautilus-cli (#2861), thanks @filipmacek
• Introduced pool events syncing command in blockchain data client (#2920), thanks @filipmacek
• Added stream iterators support BacktestDataIterator
• Added serialization support for execution reports
• Added serialization support for execution report commands
• Added DataTester standardized data testing actor for integration adapters
• Added start and stop to response data (#2748), thanks @stastnypremysl
• Added integration test service management targets (#2765), thanks @stastnypremysl
• Added integration tests for dYdX bar-partitioning and large-history handling (#2773), thanks @nicolad
• Added make build-debug-pyo3 (#2802), thanks @faysou
• Added pytest timer (#2834), thanks @faysou
• Added support for several instrument versions with request_instrument (#2835), thanks @faysou
• Added _send_position_status_report to base execution client (#2926), thanks @faysou
• Added passthrough_bar_type to TimeBarAggregator (#2929), thanks @faysou
• Added matching engine check to return early if last_qty is non-positive (#2930), thanks @GhostLee
• Added avg_px population in order filled events for Interactive Brokers adapter (#2938), thanks @dinana
• Optimized identifiers hashing to avoid frequent recomputations using C strings
• Optimized data engine topic string caching for message bus publishing to avoid frequent f-string constructions
• Optimized Redis key scans to improve efficiency over a network
• Completed bar request implementation for OKX (#2789), thanks @nicolad
• Continued ExecutionEngine and testing in Rust (#2886), thanks @dakshbtc
• Enabled parallel pytest tests with pytest-xdist (#2808), thanks @stastnypremysl
• Standardized DeFi chain name validation for InstrumentId (#2826), thanks @filipmacek
• Standardized NAUTILUS_PATH env var across Tardis integration (#2850), thanks @nicolad
• Standardized zero PnL as Money instead of None when exchange rate missing (#2880), thanks @nicolad
• Refactored SpreadQuoteAggregator (#2905), thanks @faysou
• Refactored bar aggregators to use ts_init instead of ts_event (#2924), thanks @faysuo
• Improved typing for all the DEX IDs with DexType and add validation (#2827), thanks @filipmacek
• Improved reconciliation handling of internally generated orders to align positions (now uses the INTERNAL-DIFF strategy ID)
• Improved data client for blockchain adapter (#2787), thanks @filipmacek
• Improved DEX pool sync process in the blockchain adapter (#2796), thanks @filipmacek
• Improved efficiency of message bus external streams buffer flushing
• Improved databento_test_request_bars example (#2762), thanks @faysou
• Improved zero-sized trades handling for Tardis CSV loader (will log a warning)
• Improved ergonomics of TardisInstrumentProvider datetime filter params (can be either pd.Timestamp or Unix nanos int)
• Improved handling of Tardis Machine websocket connection errors
• Improved positions report to mark snapshots (#2840), thanks @stastnypremysl
• Improved ERC20 token metadata handling and error recovery (#2847), thanks @filipmacek
• Improved Docker configuration (#2868), thanks @nicolad
• Improved security for Credential struct (#2882), thanks @nicolad
• Improved DeFi pool event parsing and integrate Arbitrum Camelotv3 new pools signature (#2889), thanks @filipmacek
• Improved Databento multiplier decoding to prevent precision loss (#2895), thanks @nicolad
• Improved Bybit balance precision by avoiding float conversion (#2903), thanks @scoriiu
• Improved dYdX message parsing robustness to allow unknown fields (#2911), thanks @davidsblom
• Improved Polymarket instrument provider bulk loading (#2913), thanks @DeirhX
• Improved Polymarket binary options parsing with no endDate (#2919), thanks @DeirhX
• Refined Rust catalog path handling (#2743), thanks @faysou
• Refined Rust GreeksCalculator (#2760), thanks @faysou
• Refined Databento bars timestamp decoding and backtest execution usage (#2800), thanks @faysou
• Refined allowed queries for bars from BacktestDataConfig (#2838), thanks @faysou
• Refined FillModel (#2795), thanks @faysou and @stefansimik
• Refined request of instruments (#2822), thanks @faysou
• Refined subscribe_bars in IB adapter (#2852), thanks @faysou
• Refined get_start_time in TimeBarAggregator (#2866), thanks @faysou
• Refined option spread execution (#2859), thanks @faysou
• Refined subscribe_historical_bars in IB adapter (#2870), thanks @faysou
• Relaxed conditions on start and end of instrument requests in adapters (#2867), thanks @faysou
• Updated request_aggregated_bars example (#2815), thanks @faysou
• Updated PostgreSQL connection parameters to use 'nautilus' user (#2805), thanks @stastnypremysl
• Upgraded Rust (MSRV) to 1.89.0
• Upgraded Cython to v3.1.3
• Upgraded web3 for Polymarket allowances script (#2814), thanks @DeirhX
• Upgraded databento crate to v0.33.1
• Upgraded datafusion crate to v49.0.1
• Upgraded redis crate to v0.32.5
• Upgraded tokio crate to v1.47.1

Fixes

• Fixed Rust-Python reference cycles by replacing Arc<PyObject> with plain PyObject in callback-holding structs, eliminating memory leaks
• Fixed TimeEventHandler memory leaks with Python callback references in FFI layer
• Fixed PyCapsule memory leaks by adding destructors to enable proper Rust value cleanup
• Fixed multiple circular-dependency memory leaks for network and bar Python callbacks using new SharedCell/WeakCell helpers
• Fixed precision preservation for value types (Price, Quantity, Money)
• Fixed incorrect raw price type for matching engine in high-precision mode that could overflow during trades processing (#2810), thanks for reporting @Frzgunr1 and @happysammy
• Fixed incorrect currency used for cash account SELL orders pre-trade risk check
• Fixed accounting for locked balance with multiple currencies (#2918), thanks @GhostLee
• Fixed portfolio realized PnL for NETTING OMS position snapshot cycles (#2856), thanks for reporting @idobz and analysis @paulbir
• Fixed decoding zero-sized trades for Databento MBO data
• Fixed purging of contingent orders where open linked orders would still be purged
• Fixed backtest bracket order quantity independence, preventing child orders from incorrectly syncing to net position size
• Fixed Tardis Machine replay processing and Parquet file writing
• Fixed Tardis exchange-venue mapping for Kraken Futures (should map to cryptofacilities)
• Fixed Tardis CSV loader for book snapshots with interleaved bid/ask columns
• Fixed Polymarket reconciliation for signature type 2 trades where wallet address differs from funder address
• Fixed catalog query of multiple instruments of same type (#2772), thanks @faysou
• Fixed modification of contingent orders in backtest (#2761), thanks faysou
• Fixed balance calculations on order fill to allow operating at near account balance capacity (#2752), thanks @petioptrv
• Fixed cash account locked balance calculations for sell orders (#2906), thanks for reporting @GhostLee
• Fixed time range end in some databento request functions (#2755), thanks @faysou
• Fixed skip_first_non_full_bar tolerance for near-boundary starts (#2605), thanks for reporting @stastnypremysl
• Fixed EOD bar for Interactive Brokers (#2764), thanks @faysou
• Fixed dYdX Take Profit order type mapping error (#2758), thanks @nicolad
• Fixed dYdX logging typo (#2790), thanks @DeirhX
• Fixed dYdX order and fill message schemas (#2824), thanks @davidsblom
• Fixed dYdX message schemas (#2910), thanks @davidsblom
• Fixed Binance Spot testnet streaming URL, thanks for reporting @Frzgunr1
• Fixed Binance US trading fee endpoint URL (#2914), thanks for reporting @bmlquant
• Fixed Binance Ed25519 key handling
• Fixed Bybit execution fee handling where the execFee field was not used when available as well as incorrect fee currency
• Fixed Bybit instrument provider fee rate handling during parsing
• Fixed Bybit SPOT commission currency for makers
• Fixed Bybit positions pagination to handle more than 20 positions (#2879), thanks @scoriiu
• Fixed Bybit REST model parsing balance precision errors for high-value tokens (#2898), thanks @scoriiu
• Fixed Bybit WebSocket message parsing balance precision errors for high-value tokens (#2904), thanks @scoriiu
• Fixed OKX bars request pagination logic (#2798, #2825), thanks @nicolad
• Fixed RPC client content type header (#2828), thanks @filipmacek
• Fixed venue_order_id handling for Polymarket order status request (#2848), thanks @DeirhX
• Fixed race-condition on node shutdown in async InteractiveBrokersDataClient._disconnect() (#2865), thanks @ruvr
• Fixed AttributeError when loading cached IBContract objects (#2862), thanks @ruvr
• Fixed PolymarketUserTrade.bucket_index field type that changed from str to int (#2872), thanks for reporting @thefabus
• Fixed Polymarket websocket 500 tokens per connection limitation (#2915), thanks @odobias and @DeirhX
• Fixed Interactive Brokers submit_order_list rejection (#2892), thanks @faysou
• Fixed Interactive Brokers bars query for indices (#2921), thanks @ms32035
• Fixed missing funding_rates for Cache Debug impl (#2894), thanks @MK27MK
• Fixed missing log_component_levels for PyO3 logging initialization
• Fixed catalog consolidation name clash for an overlapping edge case (#2933), thanks @ms32035
• Fixed historical data request race condition in DataEngine (#2946), thanks @lisiyuan656
• Fixed catalog metadata retention on deduplication (#2943), thanks @ms32035

Documentation Updates

• Added Positions concept guide
• Added Reports concept guide
• Added FFI Memory Contract developer guide
• Added Windows signal handling guidance
• Added mixed debugging instructions and example (#2806), thanks @faysou
• Improved dYdX integration guide (#2751), thanks @nicolad
• Updated IB documentation for option spreads (#2839), thanks @faysou
• Moved rust-python debugging documentation to testing.md (#2928), thanks @faysou

Deprecations

None

---

NautilusTrader 1.219.0 Beta

Released on 5th July 2025 (UTC).

Enhancements

• Added graceful_shutdown_on_exception config option for live engines (default False to retain intended hard crash on unexpected system exceptions)
• Added purge_from_database config option for LiveExecEngineConfig to support cache backing database management
• Added support for data download during backtest (#2652), thanks @faysou
• Added delete data range to catalog (#2744), thanks @faysou
• Added consolidate catalog by period (#2727), thanks @faysou
• Added fire_immediately flag parameter for timers where a time event will be fired at the start instant and then every interval thereafter (default False to retain current behavior) (#2600), thanks for the idea @stastnypremysl
• Added time_bars_build_delay config option for DataEngineConfig (#2676), thanks @faysou
• Added immediate firing capability for time alerts and corresponding test (#2745), thanks @stastnypremysl
• Added missing serialization mappings for some instruments (#2702), thanks @faysou
• Added support for DEX swaps for blockchain adapter (#2683), thanks @filipmacek
• Added support for Pool liquidity updates for blockchain adapter (#2692), thanks @filipmacek
• Added fill report reconciliation warning when discrepancy with existing fill (#2706), thanks @faysou
• Added optional metadata function for custom data query (#2724), thanks @faysou
• Added support for order-list submission in the sandbox execution client (#2714), thanks @petioptrv
• Added hidden order support for IBKR (#2739), thanks @sunlei
• Added subscribe_order_book_deltas support for IBKR (#2749), thanks @sunlei
• Added bid_levels and ask_levels for OrderBook.pprint
• Added accepted_buffer_ns filter param for Cache.own_bid_orders(...) and Cache.own_ask_orders(...)
• Added trailing stop orders activation_price support in Rust (#2750), thanks @nicolad

Breaking Changes

• Changed timer allow_past=False behavior: now validates the next_event_time instead of the start_time. This allows timers with past start times as long as their next scheduled event is still in the future
• Changed behavior of timers allow_past=False to permit start times in the past if the next event time is still in the future
• Changed Databento DBN upgrade policy to default v3
• Removed basename_template from ParquetDataCatalog.write_data(...), run catalog.reset_all_file_names() to update file names to the new convention
• Removed problematic negative balance check for margin accounts (cash account negative balance check remains unchanged)
• Removed support for Databento DBN v1 schemas (migrate to DBN v2 or v3, see DBN Changelog)

Internal Improvements

• Added logging macros for custom component and color in Rust
• Added Cython-level parameter validation for timer operations to prevent Rust panics and provide clearer Python error messages
• Added property-based testing for Price, Quantity, Money value types in Rust
• Added property-based testing for UnixNanos in Rust
• Added property-based testing for OrderBook in Rust
• Added property-based testing for TestTimer in Rust
• Added property-based testing for network crate in Rust
• Added chaos testing with turmoil for socket clients in Rust
• Added check_positive_decimal correctness function and use for instrument validations (#2736), thanks @nicolad
• Added check_positive_money correctness function and use for instrument validations (#2738), thanks @nicolad
• Ported data catalog refactor to Rust (#2681, #2720), thanks @faysou
• Optimized TardisCSVDataLoader performance (~90% memory usage reduction, ~60-70% faster)
• Consolidated the clocks and timers v2 feature from @twitu
• Consolidated on pure Rust cryptography crates with no dependencies on native certs or openssl
• Consolidated on aws-lc-rs cryptography for FIPS compliance
• Confirmed parity between Cython and Rust indicators (#2700, #2710, #2713), thanks @nicolad
• Implemented From<Pool> -> CurrencyPair & InstrumentAny (#2693), thanks @nicolad
• Updated Makefile to use new docker compose syntax (#2746), thanks @stastnypremysl
• Updated Tardis exchange mappings
• Improved live engine message processing to ensure unexpected exceptions result in an immediate hard crash rather than continuing without the queue processing messages
• Improved live reconciliation robustness and testing
• Improved listen key error handling and recovery for Binance
• Improved handling of negative balances in backtests (#2730), thanks @ms32035
• Improved robustness of cash and margin account locked balance calculations to avoid negative free balance
• Improved robustness of fill price parsing for Betfair
• Improved implementation, validations and testing for Rust instruments (#2723, #2733), thanks @nicolad
• Improved Currency equality to use strcmp to avoid C pointer comparison issues with ustr string interning
• Improved unsubscribe cleanup(s) for Bybit adapter
• Improved Makefile to be self-documenting (#2741), thanks @sunlei
• Refactored IB adapter (#2647), thanks @faysou
• Refactored data catalog (#2652, #2740), thanks @faysou
• Refined Rust data catalog (#2734), thanks @faysou
• Refined logging subsystem lifecycle management and introduce global log sender
• Refined signal serialization and tests (#2705), thanks @faysou
• Refined CI/CD and build system (#2707), thanks @stastnypremysl
• Upgraded Rust (MSRV) to 1.88.0
• Upgraded Cython to v3.1.2
• Upgraded databento crate to v0.28.0
• Upgraded datafusion crate to v48.0.0
• Upgraded pyo3 and pyo3-async-runtimes crates to v0.25.1
• Upgraded redis crate to v0.32.3
• Upgraded tokio crate to v1.46.1
• Upgraded tokio-tungstenite crate to v0.27.0

Fixes

• Fixed AccountBalance mutation in AccountState events (#2701), thanks for reporting @DeirhX
• Fixed order book cache consistency in update and remove operations (found through property-based testing)
• Fixed order status report generation for Polymarket where venue_order_id was unbounded
• Fixed data request identifier attribute access for LiveDataClient
• Fixed generate_order_modify_rejected typo in Binance execution client (#2682), thanks for reporting @etiennepar
• Fixed order book depth handling in subscriptions for Binance
• Fixed potential IndexError with empty bars requests for Binance
• Fixed GTD-GTC time in force conversion for Binance
• Fixed incorrect logging of trigger type for Binance
• Fixed trade ticks unsubscribe for Binance which was not differentiating aggregated trades
• Fixed pending update hot cache cleanup for Betfair execution client
• Fixed invalid session information on account update for Betfair execution client
• Fixed order book snapshots unsubscribe for Tardis data client
• Fixed Arrow schema registration for BinanceBar
• Fixed gRPC server shutdown warning when running dYdX integration tests
• Fixed registration of encoder and decoder for BinanceBar, thanks for reporting @miller-moore
• Fixed spot and futures sandbox for Binance (#2687), thanks @petioptrv
• Fixed clean and distclean make targets entering .venv and corrupting the Python virtual env, thanks @faysou
• Fixed catalog identifier matching to exact match (#2732), thanks @faysou
• Fixed last value updating for RSI indicator (#2703), thanks @bartlaw
• Fixed gateway/TWS reconnect process for IBKR (#2710), thanks @bartlaw
• Fixed Interactive Brokers options chain issue (#2711), thanks @FGU1
• Fixed Partially filled bracket order and SL triggered for IBKR (#2704, #2717), thanks @bartlaw
• Fixed instrument message decoding when no exchange value for Databento US equities
• Fixed fetching single-instrument trading fees for Binance, thanks @petioptrv
• Fixed IB-TWS connection issue with international languages (#2726), thanks @DracheShiki
• Fixed bar requests for Bybit where pagination was incorrect which limited bars being returned
• Fixed Bybit Unknown Error (#2742), thanks @DeevsDeevs
• Fixed margin balance parsing for Bybit
• Restored task error logs for IBKR (#2716), thanks @bartlaw

Documentation Updates

• Updated IB adapter documentation (#2729), thanks @faysou
• Improved reconciliation docs in live concept guide

Deprecations

• Deprecated Portfolio.set_specific_venue(...), to be removed in a future release; use Cache.set_specific_venue(...) instead

---

NautilusTrader 1.218.0 Beta

Released on 31st May 2025 (UTC).

Enhancements

• Added convenient re-exports for Betfair adapter (constants, configs, factories, types)
• Added convenient re-exports for Binance adapter (constants, configs, factories, loaders, types)
• Added convenient re-exports for Bybit adapter (constants, configs, factories, loaders, types)
• Added convenient re-exports for Coinbase International adapter (constants, configs, factories)
• Added convenient re-exports for Databento adapter (constants, configs, factories, loaders, types)
• Added convenient re-exports for dYdX adapter (constants, configs, factories)
• Added convenient re-exports for Polymarket adapter (constants, configs, factories)
• Added convenient re-exports for Tardis adapter (constants, configs, factories, loaders)
• Added support for FillModel, LatencyModel and FeeModel in BacktestNode (#2601), thanks @faysou
• Added bars caching from request_aggregated_bars (#2649), thanks @faysou
• Added BacktestDataIterator to backtest engine to provide on-the-fly data loading (#2545), thanks @faysou
• Added support for MarkPriceUpdate streaming from catalog (#2582), thanks @bartolootrit
• Added support for Binance Futures margin type (#2660), thanks @bartolootrit
• Added support for Binances mark price stream across all markets (#2670), thanks @sunlei
• Added bars_timestamp_on_close config option for Databento which defaults to True to consistently align with Nautilus conventions
• Added activation_price support for trailing stop orders (#2610), thanks @hope2see
• Added trailing stops for OrderFactory bracket orders (#2654), thanks @hope2see
• Added raise_exception config option for BacktestRunConfig (default False to retain current behavior) which will raise exceptions to interrupt a nodes run process
• Added UnixNanos::is_zero() convenience method to check for a zero/epoch value
• Added SQL schema, model, and query for OrderCancelRejected
• Added SQL schema, model, and query for OrderModifyRejected
• Added HyperSync client to blockchain adapter (#2606), thanks @filipmacek
• Added support for DEXs, pools, and tokens to blockchain adapter (#2638), thanks @filipmacek

Breaking Changes

• Changed trailing stops to use activation_price rather than trigger_price for Binance to more closely match the Binance API conventions

Internal Improvements

• Added activation_price str and repr tests for trailing stop orders (#2620), thanks @hope2see
• Added condition check for order contingency_type and linked_order_ids where a contingency should have associated linked order IDs
• Improved robustness of socket client reconnects and disconnects to avoid state race conditions
• Improved error handling for socket clients, will now raise Python exceptions on send errors rather than logging with tracing only
• Improved error handling for Databento adapter by changing many unwraps to instead log or raise Python exceptions (where applicable)
• Improved error handling for Tardis adapter by changing many unwraps to instead log or raise Python exceptions (where applicable)
• Improved fill behavior for limit orders in L1_MBP books, will now fill entire size when marketable as TAKER or market moves through limit as MAKER
• Improved account state event generation for margin accounts, avoiding the generation of redundant intermediate account states for the same execution event
• Improved ergonomics of messaging topics, patterns, and endpoints in Rust (#2658), thanks @twitu
• Improved development debug builds with cranelift backend for Rust (#2640), thanks @twitu
• Improved validations for LimitOrder in Rust (#2613), thanks @nicolad
• Improved validations for LimitIfTouchedOrder in Rust (#2533), thanks @nicolad
• Improved validations for MarketIfTouchedOrder in Rust (#2577), thanks @nicolad
• Improved validations for MarketToLimitOrder in Rust (#2584), thanks @nicolad
• Improved validations for StopLimitOrder in Rust (#2593), thanks @nicolad
• Improved validations for StopMarketOrder in Rust (#2596), thanks @nicolad
• Improved validations for TrailingStopMarketOrder in Rust (#2607), thanks @nicolad
• Improved orders initialize and display tests in Rust (#2617), thanks @nicolad
• Improved testing for Rust orders module (#2578), thanks @dakshbtc
• Improved Cython-Rust indicator parity for AdaptiveMovingAverage (AMA) (#2626), thanks @nicolad
• Improved Cython-Rust indicator parity for DoubleExponentialMovingAverage (DEMA) (#2633), thanks @nicolad
• Improved Cython-Rust indicator parity for ExponentialMovingAverage (EMA) (#2642), thanks @nicolad
• Improved Cython-Rust indicator parity for HullMovingAverage (HMA) (#2648), thanks @nicolad
• Improved Cython-Rust indicator parity for LinearRegression (#2651), thanks @nicolad
• Improved Cython-Rust indicator parity for WilderMovingAverage (RMA) (#2653), thanks @nicolad
• Improved Cython-Rust indicator parity for VariableIndexDynamicAverage (VIDYA) (#2659), thanks @nicolad
• Improved Cython-Rust indicator parity for SimpleMovingAverage (SMA) (#2655), thanks @nicolad
• Improved Cython-Rust indicator parity for VolumeWeightedAveragePrice (VWAP) (#2661), thanks @nicolad
• Improved Cython-Rust indicator parity for WeightedMovingAverage (WMA) (#2662), thanks @nicolad
• Improved Cython-Rust indicator parity for ArcherMovingAveragesTrends (AMAT) (#2669), thanks @nicolad
• Improved zero size trade logging for Binance Futures (#2588), thanks @bartolootrit
• Improved error handling on API key authentication errors for Polymarket
• Improved execution client debug logging for Polymarket
• Improved exception on deserializing order from cache database
• Improved None condition checks for value types, which now raise a TypeError instead of an obscure AttributeError
• Changed VecDeque for fixed-capacity ArrayDeque in SMA indicator (#2666), thanks @nicolad
• Changed VecDeque for fixed-capacity ArrayDeque in LinearRegression (#2667), thanks @nicolad
• Implemented remaining Display for orders in Rust (#2614), thanks @nicolad
• Implemented _subscribe_instrument for dYdX and Bybit (#2636), thanks @davidsblom
• Untangled ratelimiter quota from python flag (#2595), thanks @twitu
• Refined BacktestDataIterator correctness (#2591), thanks @faysou
• Refined formatting of IB adapter files (#2639), thanks @faysou
• Optimized message bus topic-matching logic in Rust by 100× (#2634), thanks @twitu
• Changed to faster message bus pattern matching logic from Rust (#2643), thanks @twitu
• Upgraded Rust (MSRV) to 1.87.0
• Upgraded Cython to v3.1.0 (now stable)
• Upgraded databento crate to v0.26.0
• Upgraded datafusion crate to v48.0.2
• Upgraded redis crate to v0.31.0
• Upgraded sqlx crate to v0.8.6
• Upgraded tokio crate to v1.45.1

Fixes

• Fixed portfolio account updates leading to incorrect balances (#2632, #2637), thanks for reporting @bartolootrit and @DeirhX
• Fixed portfolio handling of OrderExpired events not updating state (margin requirements may change)
• Fixed event handling for ExecutionEngine so it fully updates the Portfolio before to publishing execution events (#2513), thanks for reporting @stastnypremysl
• Fixed PnL calculation for margin account on position flip (#2657), thanks for reporting @Egisess
• Fixed notional value pre-trade risk check when order using quote quantity (#2628), thanks for reporting @DeevsDeevs
• Fixed position snapshot cache access for ExecutionEngine
• Fixed position snapshot SystemError calling copy.deepcopy() by simply using a pickle round trip to copy the position instance
• Fixed event purging edge cases for account and position where at least one event must be guaranteed
• Fixed authentication for Redis when password provided with no username
• Fixed various numpy and pandas FutureWarning(s)
• Fixed sockets exponential backoff immediate reconnect value on reset (this prevented immediate reconnects on the next reconnect sequence)
• Fixed message bus subscription matching logic in Rust (#2646), thanks @twitu
• Fixed trailing stop market fill behavior when top-level exhausted to align with market orders (#2540), thanks for reporting @stastnypremysl
• Fixed stop limit fill behavior on initial trigger where the limit order was continuing to fill as a taker beyond available liquidity, thanks for reporting @hope2see
• Fixed matching engine trade processing when aggressor side is NO_AGGRESSOR (we can still update the matching core)
• Fixed modifying and updating trailing stop orders (#2619), thanks @hope2see
• Fixed processing activated trailing stop update when no trigger price, thanks for reporting @hope2see
• Fixed terminating backtest on AccountError when streaming, the exception needed to be reraised to interrupt the streaming of chunks (#2546), thanks for reporting @stastnypremysl
• Fixed HTTP batch order operations for Bybit (#2627), thanks @sunlei
• Fixed reduce_only attribute access in batch place order for Bybit
• Fixed quote tick parsing for one-sided books on Polymarket
• Fixed order fill handling for limit orders with MAKER liquidity side on Polymarket
• Fixed currency parsing for BinaryOption on Polymarket to consistently use USDC.e (PoS USDC on Polygon)
• Fixed identity error handling during keep-alive for Betfair, will now reconnect
• Updated BinanceFuturesEventType enum with additional variants, thanks for reporting @miller-moore

Documentation Updates

• Added capability matrices for integration guides
• Added content to Architecture concept guide
• Added content to Live Trading concept guide
• Added content to Developer Guide
• Added errors and panics docs for most crates
• Added errors and panics docs for most crates
• Improved the clarity of various concept guides
• Fixed several errors in concept guides

Deprecations

• Deprecated support for Databento instrument definitions v1 data, v2 & v3 continue to be supported and v1 data can be migrated (see Databento documentation)

---

NautilusTrader 1.217.0 Beta

Released on 30th April 2025 (UTC).

Enhancements

• Added processing of OrderBookDepth10 for BacktestEngine and OrderMatchingEngine (#2542), thanks @limx0
• Added Actor.subscribe_order_book_depth(...) subscription method (#2555), thanks @limx0
• Added Actor.unsubscribe_order_book_depth(...) subscription method
• Added Actor.on_order_book_depth(...) handler method (#2555), thanks @limx0
• Added UnixNanos::max() convenience method for the maximum valid value
• Added available_offset filter parameter for TardisInstrumentProvider
• Added NAUTILUS_WORKER_THREADS environment variable for common tokio runtime builder
• Added Quantity::non_zero(...) method
• Added Quantity::non_zero_checked(...) method
• Added round_down param for Instrument.make_qty(...) that is False by default to maintain current behavior
• Added WebSocket batch order operations for Bybit (#2521), thanks @sunlei
• Added mark price subscription for Binance Futures (#2548), thanks @bartolootrit
• Added Chain struct to represent blockchain network (#2526), thanks @filipmacek
• Added Block primitive for blockchain domain model (#2535), thanks @filipmacek
• Added Transaction primitive for blockchain domain model (#2551), thanks @filipmacek
• Added initial blockchain adapter with live block subscription (#2557), thanks @filipmacek

Breaking Changes

• Removed fees from locked balance calculations for CASH accounts
• Removed fees from margin calculations for MARGIN accounts
• Renamed id constructor parameter to instrument_id across all PyO3 instruments, aligning with equivalent Cython instrument constructors

Internal Improvements

• Implemented exponential backoff and jitter for the RetryManager (#2518), thanks @davidsblom
• Simplified default locked balance and margin calculations to not include fees
• Improved handling of time range and effective date filters for TardisInstrumentProvider
• Improved reconnection robustness for Bybit private/trading channels (#2520), thanks @sunlei
• Improved logger buffers flushing post backtest
• Improved validations for Tardis trades data
• Improved correctness of client registration and deregistration for ExecutionEngine
• Improved build time by only compiling libraries (#2539), thanks @twitu
• Improved logging flush (#2568), thanks @faysou
• Improved clear_log_file to happen for each kernel initialization (#2569), thanks @faysou
• Refined Price and Quantity validations and correctness
• Filter fill events if order is already filled for dYdX (#2547), thanks @davidsblom
• Fixed some clippy lints (#2517), thanks @twitu
• Upgraded databento crate to v0.24.0
• Upgraded datafusion crate to v47.0.0
• Upgraded redis crate to v0.30.0
• Upgraded sqlx crate to v0.8.5
• Upgraded pyo3 crate to v0.24.2

Fixes

• Fixed consistent ordering of execution events (#2513, #2554), thanks for reporting @stastnypremysl
• Fixed type error when generating an elapsed time for backtests with no elapsed time
• Fixed memory leak in RetryManager by simplifying the acquire-release pattern, avoiding the asynchronous context manager protocol that led to state sharing, thanks for reporting @DeevsDeevs
• Fixed locked balance and initial margin calculations for reduce-only orders (#2505), thanks for reporting @stastnypremysl
• Fixed purging order events from position (these needed to be purged prior to removing cache index entry), thanks @DeevsDeevs
• Fixed TypeError when formatting backtest post run timestamps which were None (#2514), thanks for reporting @stastnypremysl
• Fixed handling of BetfairSequenceCompleted as custom data
• Fixed the instrument class of IndexInstrument, changing to SPOT to correctly represent a spot index of underlying constituents
• Fixed data range request end handling for DataEngine
• Fixed unsubscribe instrument close for DataEngine
• Fixed network clients authentication for OKX (#2553), thanks for reporting @S3toGreen
• Fixed account balance calculation for dYdX (#2563), thanks @davidsblom
• Fixed ts_init for databento historical data (#2566), thanks @faysou
• Fixed RequestInstrument in query_catalog (#2567), thanks @faysou
• Reverted removal of rotate log file on UTC date change (#2552), thanks @twitu

Documentation Updates

• Improved environment setup guide with recommended rust analyzer settings (#2538), thanks @twitu
• Fixed alignment with code for some ExecutionEngine docstrings

Deprecations

None

---

NautilusTrader 1.216.0 Beta

Released on 13th April 2025 (UTC).

This release adds support for Python 3.13 (not yet compatible with free-threading), and introduces support for Linux on ARM64 architecture.

Enhancements

• Added allow_past boolean flag for Clock.set_timer(...) to control behavior with start times in the past (default True to allow start times in the past)
• Added allow_past boolean flag for Clock.set_time_alert(...) to control behavior with alert times in the past (default True to fire immediate alert)
• Added risk engine check for GTD order expire time, which will deny if expire time is already in the past
• Added instrument updating for exchange and matching engine
• Added additional price and quantity precision validations for matching engine
• Added log file rotation with additional config options max_file_size and max_backup_count (#2468), thanks @xingyanan and @twitu
• Added bars_timestamp_on_close config option for BybitDataClientConfig (default True to match Nautilus conventions)
• Added BetfairSequenceCompleted custom data type for Betfair to mark the completion of a sequence of messages
• Added Arrow schema for MarkPriceUpdate in Rust
• Added Arrow schema for IndexPriceUpdate in Rust
• Added Arrow schema for InstrumentClose in Rust
• Added BookLevel.side property
• Added Position.closing_order_side() instance method
• Improved robustness of in-flight order check for LiveExecutionEngine, once exceeded query retries will resolve submitted orders as rejected and pending orders as canceled
• Improved logging for BacktestNode crashes with full stack trace and prettier config logging

Breaking Changes

• Changed external bar requests ts_event timestamping from on open to on close for Bybit

Internal Improvements

• Added handling and warning for Betfair zero-sized fills
• Improved WebSocket error handling for dYdX (#2499), thanks @davidsblom
• Ported GreeksCalculator to Rust (#2493, #2496), thanks @faysou
• Upgraded Cython to v3.1.0b1
• Upgraded redis crate to v0.29.5
• Upgraded tokio crate to v1.44.2

Fixes

• Fixed setting component clocks to backtest start time
• Fixed overflow error in trailing stop calculations
• Fixed missing SymbolFilterType enum member for Binance (#2495), thanks @sunlei
• Fixed ts_event for Bybit bars (#2502), thanks @davidsblom
• Fixed position ID handling for Binance Futures in hedging mode with execution algorithm order (#2504), thanks for reporting @Oxygen923

Documentation Updates

• Removed obsolete bar limitations in portfolio docs (#2501), thanks @stefansimik

Deprecations

None

---

NautilusTrader 1.215.0 Beta

Released on 5th April 2025 (UTC).

Enhancements

• Added Cache.purge_closed_order(...)
• Added Cache.purge_closed_orders(...)
• Added Cache.purge_closed_position(...)
• Added Cache.purge_closed_positions(...)
• Added Cache.purge_account_events(...)
• Added Account.purge_account_events(...)
• Added purge_closed_orders_interval_mins config option for LiveExecEngineConfig
• Added purge_closed_orders_buffer_mins config option for LiveExecEngineConfig
• Added purge_closed_positions_interval_mins config option for LiveExecEngineConfig
• Added purge_closed_positions_buffer_mins config option for LiveExecEngineConfig
• Added purge_account_events_interval_mins config option for LiveExecEngineConfig
• Added purge_account_events_lookback_mins config option for LiveExecEngineConfig
• Added Order.ts_closed property
• Added instrument_ids and bar_types for BacktestDataConfig to improve catalog query efficiency (#2478), thanks @faysou
• Added venue_dataset_map config option for DatabentoDataConfig to override the default dataset used for a venue (#2483, #2485), thanks @faysou

Breaking Changes

None

Internal Improvements

• Added Position.purge_events_for_order(...) for purging OrderFilled events and TradeIds associated with a client order ID
• Added Consumer for WebSocketClient (#2488), thanks @twitu
• Improved instrument parsing for Tardis with consistent effective timestamp filtering, settlement currency, increments and fees changes
• Improved error logging for Betfair update_account_state task by logging the full stack trace on error
• Improved logging for Redis cache database operations
• Standardized unexpected exception logging to include full stack trace
• Refined type handling for backtest configs
• Refined databento venue dataset mapping and configuration (#2483), thanks @faysou
• Refined usage of databento use_exchange_as_venue (#2487), thanks @faysou
• Refined time initialization of components in backtest (#2490), thanks @faysou
• Upgraded Rust (MSRV) to 1.86.0
• Upgraded pyo3 crate to v0.24.1

Fixes

• Fixed MBO feed handling for Databento where an initial snapshot was decoding a trade tick with zero size (#2476), thanks for reporting @JackWCollins
• Fixed position state snapshots for closed positions where these snapshots were being incorrectly filtered
• Fixed handling of PolymarketTickSizeChanged message
• Fixed parsing spot instruments for Tardis where size_increment was zero, now inferred from base currency
• Fixed default log colors for Rust (#2489), thanks @filipmacek
• Fixed sccache key for uv in CI (#2482), thanks @davidsblom

Documentation Updates

• Clarified partial fills in backtesting concept guide (#2481), thanks @stefansimik

Deprecations

• Deprecated strategies written in Cython and removed ema_cross_cython strategy example

---

NautilusTrader 1.214.0 Beta

Released on 28th March 2025 (UTC).

Enhancements

• Added Coinbase International Exchange initial integration adapter
• Added time_in_force parameter for Strategy.close_position(...)
• Added time_in_force parameter for Strategy.close_all_positions(...)
• Added MarkPriceUpdate data type
• Added IndexPriceUpdate data type
• Added Actor.subscribe_mark_prices(...)
• Added Actor.subscribe_index_prices(...)
• Added Actor.unsubscribe_mark_prices(...)
• Added Actor.unsubscribe_index_prices(...)
• Added Actor.on_mark_price(...)
• Added Actor.on_index_price(...)
• Added Cache.mark_price(...)
• Added Cache.index_price(...)
• Added Cache.mark_prices(...)
• Added Cache.index_prices(...)
• Added Cache.mark_price_count(...)
• Added Cache.index_price_count(...)
• Added Cache.has_mark_prices(...)
• Added Cache.has_index_prices(...)
• Added UnixNanos.to_rfc3339() for ISO 8601 (RFC 3339) strings
• Added recv_window_ms config for Bybit WebSocket order client (#2466), thanks @sunlei
• Enhanced UnixNanos string parsing to support YYYY-MM-DD date format (interpreted as midnight UTC)

Breaking Changes

• Changed Cache.add_mark_price(self, InstrumentId instrument_id, Price price) to add_mark_price(self, MarkPriceUpdate mark_price)

Internal Improvements

• Improved WebSocketClient and SocketClient design with dedicated writer task and message channel
• Completed global message bus design in Rust (#2460), thanks @filipmacek
• Refactored enum dispatch (#2461), thanks @filipmacek
• Refactored data interfaces to messages in Rust
• Refined catalog file operations in Rust (#2454), thanks @faysou
• Refined quote ticks and klines for Bybit (#2465), thanks @davidsblom
• Standardized use of anyhow::bail (#2459), thanks @faysou
• Ported add_venue for BacktestEngine in Rust (#2457), thanks @filipmacek
• Ported add_instrument for BacktestEngine in Rust (#2469), thanks @filipmacek
• Upgraded redis crate to v0.29.2

Fixes

• Fixed race condition on multiple reconnect attempts for WebSocketClient and SocketClient
• Fixed position state snapshot ts_snapshot value, which was always ts_last instead of timestamp when the snapshot was taken
• Fixed instrument parsing for Tardis, now correctly applies changes and filters by effective
• Fixed OrderStatusReport for conditional orders of dYdX (#2467), thanks @davidsblom
• Fixed submitting stop market orders for dYdX (#2471), thanks @davidsblom
• Fixed retrying HTTP calls on DecodeError for dYdX (#2472), thanks @davidsblom
• Fixed LIMIT_IF_TOUCHED order type enum parsing for Bybit
• Fixed MARKET order type enum parsing for Bybit
• Fixed quote ticks for Polymarket to only emit new quote ticks when the top-of-book changes
• Fixed error on cancel order for IB (#2475), thanks @FGU1

Documentation Updates

• Improved custom data documentation (#2470), thanks @faysou

Deprecations

None

---

NautilusTrader 1.213.0 Beta

Released on 16th March 2025 (UTC).

Enhancements

• Added CryptoOption instrument, supporting inverse and fractional sizes
• Added Cache.prices(...) to return a map of latest price per instrument for a price type
• Added use_uuid_client_order_ids config option for StrategyConfig
• Added catalog consolidation functions of several parquet files into one (#2421), thanks @faysou
• Added FDUSD (First Digital USD) crypto Currency constant
• Added initial leverage, margin_mode and position_mode config options for Bybit (#2441), thanks @sunlei
• Updated parquet catalog in Rust with recent features (#2442), thanks @faysou

Breaking Changes

None

Internal Improvements

• Added timeout_secs parameter to HttpClient for default timeouts
• Added additional precision validations for OrderMatchingEngine
• Added symmetric comparison impls between u64 and UnixNanos
• Improved InstrumentProvider error handling when loading (#2444), thanks @davidsblom
• Improved order denied reason message for balance impact
• Handle BybitErrors when updating instruments for ByBit (#2437), thanks @davidsblom
• Handle unexpected errors when fetching order books for dYdX (#2445), thanks @davidsblom
• Retry if HttpError is raised for dYdX (#2438), thanks @davidsblom
• Refactored some Rust logs to use named parameters in format strings (#2443), thanks @faysou
• Some minor performance optimizations for Bybit and dYdX adapters (#2448), thanks @sunlei
• Ported backtest engine and kernel to Rust (#2449), thanks @filipmacek
• Upgraded pyo3 and pyo3-async-runtimes crates to v0.24.0
• Upgraded tokio crate to v1.44.1

Fixes

• Fixed source distribution (sdist) packaging
• Fixed Clock.timer_names() memory issue resulting in an empty list
• Fixed underflow panic when setting a time alert in the past (#2446), thanks for reporting @uxbux
• Fixed logger name for Strategy custom strategy_ids
• Fixed unbound variable for Bybit (#2433), thanks @davidsblom

Documentation Updates

• Clarify docs for timestamp properties in Data (#2450), thanks @stefansimik
• Updated environment setup document (#2452), thanks @faysou

Deprecations

None

---

NautilusTrader 1.212.0 Beta

Released on 11th March 2025 (UTC).

This release introduces uv as the Python project and dependency management tool.

Enhancements

• Added OwnOrderBook and OwnBookOrder to track own orders and prevent self-trades in market making
• Added manage_own_order_books config option for ExecEngineConfig to enable own order tracking
• Added Cache.own_order_book(...), Cache.own_bid_orders(...) and Cache.own_ask_orders(...) for own order tracking
• Added optional beta weighting and percent option greeks (#2317), thanks @faysou
• Added pnl information to greeks data (#2378), thanks @faysou
• Added precision inference for TardisCSVDataLoader, where price_precision and size_precision are now optional
• Added Order.ts_accepted property
• Added Order.ts_submitted property
• Added UnixNanos::to_datetime_utc() in Rust
• Added Mark variant for PriceType enum
• Added mark price handling for Cache
• Added mark exchange rate handling for Cache
• Added PortfolioConfig for configuration settings specific to the Portfolio
• Added use_mark_prices, use_mark_xrates and convert_to_account_base_currency options for PortfolioConfig
• Added mark price calculations and xrate handling for Portfolio
• Added Rust debugging support and refined cargo nextest usage (#2335, #2339), thanks @faysou
• Added catalog write mode options (#2365), thanks @faysou
• Added BarSpecification to msgspec encoding and decoding hooks (#2373), thanks @pierianeagle
• Added ignore_external_orders config option for BetfairExecClientConfig, default False to retain current behavior
• Added requests for order book snapshots with HTTP for dYdX (#2393), thanks @davidsblom

Breaking Changes

• Removed talib subpackage (see deprecations for v1.211.0)
• Removed internal ExchangeRateCalculator, replaced with get_exchange_rate(...) function implemented in Rust
• Replaced ForexSession enum with equivalent from PyO3
• Replaced ForexSessionFilter with equivalent functions from PyO3
• Renamed InterestRateData to YieldCurveData
• Renamed Cache.add_interest_rate_curve to add_yield_curve
• Renamed Cache.interest_rate_curve to yield_curve
• Renamed OrderBook.count to update_count for clarity
• Moved ExecEngineConfig.portfolio_bar_updates config option to PortfolioConfig.bar_updates

Internal Improvements

• Added initial Cache benchmarking for orders (#2341), thanks @filipmacek
• Added support for CARGO_BUILD_TARGET environment variable in build.py (#2385), thanks @sunlei
• Added test for time-bar aggregation (#2391), thanks @stefansimik and @faysou
• Implemented actor framework and message bus v3 (#2402), thanks @twitu
• Implemented latency modeling for SimulatedExchange in Rust (#2423), thanks @filipmacek
• Implemented exchange rate calculations in Rust
• Improved handling of oms_type for StrategyConfig which now correctly handles the OmsType enum
• Improved Binance websocket connections management to allow more than 200 streams (#2369), thanks @lidarbtc
• Improved log event timestamping to avoid clock or time misalignments when events cross to the logging thread
• Improved error logging for live engines to now include stacktrace for easier debugging
• Improved logging initialization error handling to avoid panicking in Rust
• Improved Redis cache database queries, serialization, error handling and connection management (#2295, #2308, #2318), thanks @Pushkarm029
• Improved validation for OrderList to check all orders are for the same instrument ID
• Improved Controller functionality with ability to create actors and strategies from configs (#2322), thanks @faysou
• Improved Controller creation for more streamlined trader registration, and separate clock for timer namespacing (#2357), thanks @faysou
• Improved build by adding placeholders to avoid unnecessary rebuilds (#2336), thanks @bartolootrit
• Improved consistency of OrderMatchingEngine between Cython and Rust and fix issues (#2350), thanks @filipmacek
• Removed obsolete reconnect guard for dYdX (#2334), thanks @davidsblom
• Refactored data request interfaces into messages (#2260), thanks @faysou
• Refactored data subscribe interfaces into messages (#2280), thanks @faysou
• Refactored reconciliation interface into messages (#2375), thanks @faysou
• Refactored _handle_query_group to work with update_catalog (#2412), thanks @faysou
• Refactored execution message handling in Rust (#2291), thanks @filipmacek
• Refactored repetitive code in backtest examples (#2387, #2395), thanks @stefansimik
• Refined yield curve data (#2300), thanks @faysou
• Refined bar aggregators in Rust (#2311), thanks @faysou
• Refined greeks computation (#2312), thanks @faysou
• Refined underlying filtering in portfolio_greeks (#2382), thanks @faysou
• Refined request_instruments granularity for Databento (#2347), thanks @faysou
• Refined Rust date functions (#2356), thanks @faysou
• Refined parsing of IB symbols (#2388), thanks @faysou
• Refined base_template behaviour in parquet write_data (#2389), thanks @faysou
• Refined mixed catalog client requests (#2405), thanks @faysou
• Refined update catalog docstring (#2411), thanks @faysou
• Refined to use next_back instead of last for identifier tag functions (#2414), thanks @twitu
• Refined and optimized OrderBook in Rust
• Cleaned up PyO3 migration artifacts (#2326), thanks @twitu
• Ported StreamingFeatherWriter to Rust (#2292), thanks @twitu
• Ported update_limit_order for OrderMatchingEngine in Rust (#2301), thanks @filipmacek
• Ported update_stop_market_order for OrderMatchingEngine in Rust (#2310), thanks @filipmacek
• Ported update_stop_limit_order for OrderMatchingEngine in Rust (#2314), thanks @filipmacek
• Ported market-if-touched order handling for OrderMatchingEngine in Rust (#2329), thanks @filipmacek
• Ported limit-if-touched order handling for OrderMatchingEngine in Rust (#2333), thanks @filipmacek
• Ported market-to-limit order handling for OrderMatchingEngine in Rust (#2354), thanks @filipmacek
• Ported trailing stop order handling for OrderMatchingEngine in Rust (#2366, #2376), thanks @filipmacek
• Ported contingent orders handling for OrderMatchingEngine in Rust (#2404), thanks @filipmacek
• Updated Databento publishers.json mappings file(s)
• Upgraded nautilus-ibapi to 10.30.1 with necessary changes for Interactive Brokers (#2420), thanks @FGU1
• Upgraded Rust to 1.85.0 and 2024 edition
• Upgraded arrow and parquet crates to v54.2.1
• Upgraded databento crate to v0.20.0 (upgrades the dbn crate to v0.28.0)
• Upgraded datafusion crate to v46.0.0
• Upgraded pyo3 crate to v0.23.5
• Upgraded tokio crate to v1.44.0

Fixes

• Fixed large difference between Data enum variants (#2315), thanks @twitu
• Fixed start and end range filtering for TardisHttpClient to use API query params
• Fixed built-in data type Arrow schemas for StreamingFeatherWriter, thanks for reporting @netomenoci
• Fixed memory allocation performance issue for TardisCSVDataLoader
• Fixed effective timestamp filtering for TardisHttpClient to now only retain latest version at or before effective
• Fixed contract activation for Binance Futures, now based on the onboardDate field
• Fixed hardcoded signature type for PolymarketExecutionClient
• Fixed unsubscribing from quotes for dYdX (#2331), thanks @davidsblom
• Fixed docstrings for dYdX factories (#2415), thanks @davidsblom
• Fixed incorrect type annotations in _request_instrument signature (#2332), thanks @faysou
• Fixed composite bars subscription (#2337), thanks @faysou
• Fixed sub command issue in some adapters (#2343), thanks @faysou
• Fixed bypass_logging fixture to keep log guard alive for entire test session
• Fixed time parsing for IB adapter (#2360), thanks @faysou
• Fixed bad ts_init value in IB weekly and monthly bar (#2355), thanks @Endura2024
• Fixed bar timestamps for IB (#2380), thanks @Endura2024
• Fixed backtest example load bars from custom CSV (#2383), thanks @hanksuper
• Fixed subscribe composite bars (#2390), thanks @faysou
• Fixed invalid link in IB docs (#2401), thanks @stefansimik
• Fixed cache index loading to ensure persisted data remains available after startup, thanks for reporting @Saransh-28
• Fixed bars pagination, ordering and limit for Bybit
• Fixed update_bar aggregation function to guarantee high and low price invariants (#2430), thanks @hjander and @faysou

Documentation Updates

• Added documentation for messaging styles (#2410), thanks @stefansimik
• Added backtest clock and timers example (#2327), thanks @stefansimik
• Added backtest bar aggregation example (#2340), thanks @stefansimik
• Added backtest portfolio example (#2362), thanks @stefansimik
• Added backtest cache example (#2370), thanks @stefansimik
• Added backtest cascaded indicators example (#2398), thanks @stefansimik
• Added backtest custom event with msgbus example (#2400), thanks @stefansimik
• Added backtest messaging with msgbus example (#2406), thanks @stefansimik
• Added backtest messaging with actor & data example (#2407), thanks @stefansimik
• Added backtest messaging with actor & signal example (#2408), thanks @stefansimik
• Added indicators example (#2396), thanks @stefansimik
• Added documentation for debugging with Rust (#2325), thanks @faysou
• Added MRE strategy example (#2352), thanks @stefansimik
• Added data catalog example (#2353), thanks @stefansimik
• Improved and expandd bar aggregation docs (#2384), thanks @stefansimik
• Improved emulation_trigger parameter description in docstrings (#2313), thanks @stefansimik
• Improved docs for emulated orders (#2316), thanks @stefansimik
• Improved getting started doc for backtesting API levels (#2324), thanks @faysou
• Improved FSM example explanations for beginners (#2351), thanks @stefansimik
• Refined option greeks docstrings (#2320), thanks @faysou
• Refined adapters concept documentation (#2358), thanks @faysou
• Fixed typo in docs/concepts/actors.md (#2422), thanks @lsamaciel
• Fixed singular noun in docs/concepts/instruments.md (#2424), thanks @lsamaciel
• Fixed typo in docs/concepts/data.md (#2426), thanks @lsamaciel
• Fixed Limit-If-Touched example in docs/concepts/orders.md (#2429), thanks @lsamaciel

Deprecations

None

---

NautilusTrader 1.211.0 Beta

Released on 9th February 2025 (UTC).

This release introduces high-precision mode, where value types such as Price, Quantity and Money are now backed by 128-bit integers (instead of 64-bit), thereby increasing maximum precision to 16, and vastly expanding the allowable value ranges.

This will address precision and value range issues experienced by some crypto users, alleviate higher timeframe bar volume limitations, as well as future proofing the platform.

See the RFC for more details. For an explanation on compiling with or without high-precision mode, see the precision-mode section of the installation guide.

For migrating data catalogs due to the breaking changes, see the data migrations guide.

This release will be the final version that uses Poetry for package and dependency management.

Enhancements

• Added high-precision mode for 128-bit integer backed value types (#2072), thanks @twitu
• Added instrument definitions range requests for TardisHttpClient with optional start and end filter parameters
• Added quote_currency, base_currency, instrument_type, contract_type, active, start and end filters for TardisInstrumentProvider
• Added log_commands config option for ActorConfig, StrategyConfig, ExecAlgorithmConfig for more efficient log filtering
• Added additional limit parameters for BettingInstrument constructor
• Added venue_position_id parameter for OrderStatusReport
• Added bars update support for Portfolio PnLs (#2239), thanks @faysou
• Added optional params for Strategy order management methods (symmetry with Actor data methods) (#2251), thanks @faysou
• Added heartbeats for Betfair clients to keep streams alive (more robust when initial subscription delays)
• Added timeout_shutdown config option for NautilusKernelConfig
• Added IOC time in force mapping for Betfair orders
• Added min_market_start_time and max_market_start_time time range filtering for BetfairInstrumentProviderConfig
• Added default_min_notional config option for BetfairInstrumentProviderConfig
• Added stream_conflate_ms config option for BetfairDataClientConfig
• Added recv_window_ms config option for BybitDataClientConfig and BybitExecClientConfig
• Added open_check_open_only config option for LiveExecEngineConfig
• Added BetSide enum (to support Bet and BetPosition)
• Added Bet and BetPosition for betting market risk and PnL calculations
• Added total_pnl and total_pnls methods for Portfolio
• Added optional price parameter for Portfolio unrealized PnL and net exposure methods

Breaking Changes

• Renamed OptionsContract instrument to OptionContract for more technically correct terminology (singular)
• Renamed OptionsSpread instrument to OptionSpread for more technically correct terminology (singular)
• Renamed options_contract modules to option_contract (see above)
• Renamed options_spread modules to option_spread (see above)
• Renamed InstrumentClass.FUTURE_SPREAD to InstrumentClass.FUTURES_SPREAD for more technically correct terminology
• Renamed event_logging config option to log_events
• Renamed BetfairExecClientConfig.request_account_state_period to request_account_state_secs
• Moved SQL schema directory to schemas/sql (reinstall the Nautilus CLI with make install-cli)
• Changed OrderBookDelta Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed OrderBookDepth10 Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed QuoteTick Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed TradeTick Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed Bar Arrow schema to use FixedSizeBinary fields to support the new precision modes
• Changed BettingInstrument default min_notional to None
• Changed meaning of ws_connection_delay_secs for PolymarketDataClientConfig to be non-initial delay (#2271), thanks @ryantam626
• Changed GATEIO Tardis venue to GATE_IO for consistency with CRYPTO_COM and BLOCKCHAIN_COM
• Removed max_ws_reconnection_tries for dYdX configs (no longer applicable with infinite retries and exponential backoff)
• Removed max_ws_reconnection_tries for Bybit configs (no longer applicable with infinite retries and exponential backoff)
• Removed remaining max_ws_reconnection_tries for Bybit configs (#2290), thanks @sunlei

Internal Improvements

• Added ThrottledEnqueuer for more efficient and robust live engines queue management and logging
• Added OrderBookDeltaTestBuilder in Rust to improve testing (#2234), thanks @filipmacek
• Added custom certificate loading for SocketClient TLS
• Added check_nonempty_string for string validation in Rust
• Improved Polymarket WebSocket subscription handling by configurable delay (#2271), thanks @ryantam626
• Improved WebSocketClient with state management, error handling, timeouts and robust reconnects with exponential backoff
• Improved SocketClient with state management, error handling, timeouts and robust reconnects with exponential backoff
• Improved TradingNode shutdown when running with asyncio.run() (more orderly handling of event loop)
• Improved NautilusKernel pending tasks cancellation on shutdown
• Improved TardisHttpClient requests and error handling
• Improved log file writer to strip ANSI escape codes and unprintable chars
• Improved clean make target behavior and added distclean make target (#2286), @demonkoryu
• Refined Currency name to accept non-ASCII characters (common for foreign currencies)
• Refactored CI with composite actions (#2242), thanks @sunlei
• Refactored Option Greeks feature (#2266), thanks @faysou
• Changed validation to allow zero commission for PerContractFeeModel (#2282), thanks @stefansimik
• Changed to use mold as the linker in CI (#2254), thanks @sunlei
• Ported market order processing for OrderMatchingEngine in Rust (#2202), thanks @filipmacek
• Ported limit order processing for OrderMatchingEngine in Rust (#2212), thanks @filipmacek
• Ported stop limit order processing for OrderMatchingEngine in Rust (#2225), thanks @filipmacek
• Ported CancelOrder processing for OrderMatchingEngine in Rust (#2231), thanks @filipmacek
• Ported CancelAllOrders processing for OrderMatchingEngine in Rust (#2253), thanks @filipmacek
• Ported BatchCancelOrders processing for OrderMatchingEngine in Rust (#2256), thanks @filipmacek
• Ported expire order processing for OrderMatchingEngine in Rust (#2259), thanks @filipmacek
• Ported modify order processing for OrderMatchingEngine in Rust (#2261), thanks @filipmacek
• Ported generate fresh account state for SimulatedExchange in Rust (#2272), thanks @filipmacek
• Ported adjust account for SimulatedExchange in Rust (#2273), thanks @filipmacek
• Continued porting RiskEngine to Rust (#2210), thanks @Pushkarm029
• Continued porting ExecutionEngine to Rust (#2214), thanks @Pushkarm029
• Continued porting OrderEmulator to Rust (#2219, #2226), thanks @Pushkarm029
• Moved model crate stubs into defaults (#2235), thanks @fhill2
• Upgraded pyo3 crate to v0.23.4
• Upgraded pyo3-async-runtimes crate to v0.23.0

Fixes

• Fixed LiveTimer immediate fire when start time zero (#2270), thanks for reporting @bartolootrit
• Fixed order book action parsing for Tardis (ensures zero sizes in snapshots work with the tighter validation for action vs size)
• Fixed PnL calculations for betting instruments in Portfolio
• Fixed net exposure for betting instruments in Portfolio
• Fixed backtest start and end time validation assertion (#2203), thanks @davidsblom
• Fixed CustomData import in DataEngine (#2207), thanks @graceyangfan and @faysou
• Fixed databento helper function (#2208), thanks @faysou
• Fixed live reconciliation of generated order fills to use the venue_position_id (when provided), thanks for reporting @sdk451
• Fixed InstrumentProvider initialization behavior when reload flag True, thanks @ryantam626
• Fixed handling of Binance HTTP error messages (not always JSON-parsable, leading to msgspec.DecodeError)
• Fixed CARGO_TARGET_DIR environment variable for build script (#2228), thanks @sunlei
• Fixed typo in delta.rs doc comment (#2230), thanks @eltociear
• Fixed memory leak in network PyO3 layer caused by the gil-refs feature (#2229), thanks for reporting @davidsblom
• Fixed reconnect handling for Betfair (#2232, #2288, #2289), thanks @limx0
• Fixed instrument.id null dereferences in error logs (#2237), thanks for reporting @ryantam626
• Fixed schema for listing markets of dYdX (#2240), thanks @davidsblom
• Fixed realized pnl calculation in Portfolio where flat positions were not included in cumulative sum (#2243), thanks @faysou
• Fixed update order in Cache for Rust (#2248), thanks @filipmacek
• Fixed websocket schema for market updates of dYdX (#2258), thanks @davidsblom
• Fixed handling of empty book messages for Tardis (resulted in deltas cannot be empty panicking)
• Fixed Cache.bar_types aggregation_source filtering, was incorrectly using price_type (#2269), thanks @faysou
• Fixed missing combo instrument type for Tardis integration
• Fixed quote tick processing from bars in OrderMatchingEngine resulting in sizes below the minimum increment (#2275), thanks for reporting @miller-moore
• Fixed initialization of BinanceErrorCodes requiring int
• Fixed resolution of Tardis BINANCE_DELIVERY venue for COIN-margined contracts
• Fixed hang in rate limiter (#2285), thanks @WyldeCat
• Fixed typo in InstrumentProviderConfig docstring (#2284), thanks @ikeepo
• Fixed handling of tick_size_change message for Polymarket

Documentation Updates

• Added Databento overview tutorial (#2233, #2252), thanks @stefansimik
• Added docs for Actor (#2233), thanks @stefansimik
• Added docs for Portfolio limitations with bar data (#2233), thanks @stefansimik
• Added docs overview for example locations in repository (#2287), thanks @stefansimik
• Improved docstrings for Actor subscription and request methods
• Refined streaming parameter description (#2293), thanks @faysou and @stefansimik

Deprecations

• The talib subpackage for indicators is deprecated and will be removed in a future version, see RFC

---

NautilusTrader 1.210.0 Beta

Released on 10th January 2025 (UTC).

Enhancements

• Added PerContractFeeModel, thanks @stefansimik
• Added DYDXInternalError and DYDXOraclaPrice data types for dYdX (#2155), thanks @davidsblom
• Added proper OrderBookDeltas flags parsing for Betfair
• Added Binance TradeLite message support (#2156), thanks @DeevsDeevs
• Added DataEngineConfig.time_bars_skip_first_non_full_bar config option (#2160), thanks @faysou
• Added execution.fast support for Bybit (#2165), thanks @sunlei
• Added catalog helper functions to export data (#2135), thanks @twitu
• Added additional timestamp properties for NautilusKernel
• Added event_logging config option for StrategyConfig (#2183), thanks @sunlei
• Added bar_adaptive_high_low_ordering to BacktestVenueConfig (#2188), thanks @faysou and @stefansimik

Breaking Changes

• Removed optional value param from UUID4 (use UUID4.from_str(...) instead), aligns with Nautilus PyO3 API
• Changed unix_nanos_to_iso8601 to output an ISO 8601 (RFC 3339) format string with nanosecond precision
• Changed format_iso8601 to output ISO 8601 (RFC 3339) format string with nanosecond precision
• Changed format_iso8601 dt parameter to enforce pd.Timestamp (which has nanosecond precision)
• Changed TradingNode.is_built from a property to a method .is_built()
• Changed TradingNode.is_running from a property to a method .is_running()
• Changed OrderInitialized Arrow schema (linked_order_ids and tags data types changed from string to binary)
• Changed order dictionary representation field types for avg_px and slippage from str to float (as out of alignment with position events)
• Changed aggregation_source filter parameter for Cache.bar_types(...) to optional with default of None

Internal Improvements

• Improved market order handling when no size available in book (now explicitly rejects)
• Improved validation for TradeTick by ensuring size is always positive
• Improved validation for OrderBookDelta by ensuring order.size is positive when action is either ADD or UPDATE
• Improved validation for BarSpecification by ensuring step is always positive
• Standardized ISO 8601 timestamps to RFC 3339 spec with nanosecond precision
• Standardized flags for OrderBookDeltas parsing across adapters
• Refined parsing candles for dYdX (#2148), thanks @davidsblom
• Refined imports for type hints in Bybit (#2149), thanks @sunlei
• Refined private WebSocket message processing for Bybit (#2170), thanks @sunlei
• Refined WebSocket client re-subscribe log for Bybit (#2179), thanks @sunlei
• Refined margin balance report for dYdX (#2154), thanks @davidsblom
• Enhanced lotSizeFilter field for Bybit (#2166), thanks @sunlei
• Renamed WebSocket private client for Bybit (#2180), thanks @sunlei
• Added unit tests for custom dYdX types (#2163), thanks @davidsblom
• Allow bar aggregators to persist after request_aggregated_bars (#2144), thanks @faysou
• Handle directory and live streams to catalog (#2153), thanks @limx0
• Use timeout when initializing account for dYdX (#2169), thanks @davidsblom
• Use retry manager when sending websocket messages for dYdX (#2196), thanks @davidsblom
• Refined error logs when sending pong for dYdX (#2184), thanks @davidsblom
• Optimized message bus topic is_matching (#2151), thanks @ryantam626
• Added tests for bar_adaptive_high_low_ordering (#2197), thanks @faysou
• Ported OrderManager to Rust (#2161), thanks @Pushkarm029
• Ported trailing stop logic to Rust (#2174), thanks @DeevsDeevs
• Ported FeeModel to Rust (#2191), thanks @filipmacek
• Implemented IDs generator for OrderMatchingEngine in Rust (#2193), thanks @filipmacek
• Upgraded Cython to v3.1.0a1
• Upgraded tokio crate to v1.43.0
• Upgraded datafusion crate to v44.0.0

Fixes

• Fixed type check for DataClient on requests to support clients other than MarketDataClient
• Fixed processing trade ticks from bars in OrderMatchingEngine - that could result in zero-size trades, thanks for reporting @stefansimik
• Fixed instrument is None check flows for DataEngine and PolymarketExecutionClient
• Fixed instrument updates in BetfairDataClient (#2152), thanks @limx0
• Fixed processing of time events on backtest completion when they occur after the final data timestamp
• Fixed missing enum member CANCELED_MARKET_RESOLVED for PolymarketOrderStatus
• Fixed missing init_id field from some order .to_dict() representations
• Fixed writing DYDXOraclePrice to catalog (#2158), thanks @davidsblom
• Fixed account balance for dYdX (#2167), thanks @davidsblom
• Fixed markets schema for dYdX (#2190), thanks @davidsblom
• Fixed missing OrderEmulated and OrderReleased Arrow schemas
• Fixed websocket public channel reconnect for Bybit (#2176), thanks @sunlei
• Fixed execution report parsing for Binance Spot (client order ID empty string now becomes a UUID4 string)
• Fixed docs typo for fill_order function in OrderMatchingEngine (#2189), thanks @filipmacek

Documentation Updates

• Added docs for Cache, slippage and spread handling in backtesting (#2162), thanks @stefansimik
• Added docs for FillModel and bar based execution (#2187), thanks @stefansimik
• Added docs for choosing data (cost vs. accuracy) and bars OHLC processing (#2195), thanks @stefansimik
• Added docs for bar processing in backtests (#2198), thanks @stefansimik
• Added docs for timestamp and UUID specs

---

NautilusTrader 1.209.0 Beta

Released on 25th December 2024 (UTC).

Enhancements

• Added WebSocket API trading support for Bybit (#2129), thanks @sunlei
• Added BybitOrderBookDeltaDataLoader with tutorial for Bybit backtesting (#2131), thanks @DeevsDeevs
• Added margin and commission docs (#2128), thanks @stefansimik
• Added optional depth parameter for some OrderBook methods
• Added trade execution support where trades are processed by the matching engine (can be useful backtesting with throttled book and trades data)
• Refactored to use exchange MIC code as venue for instrument IDs with Databento GLBX dataset (#2108, #2121, #2124, #2126), thanks @faysou
• Refactored to use self.config attributes consistently (#2120), thanks @stefansimik

Internal Improvements

• Optimized UUID4::new() avoiding unnecessary string allocation, achieving a ~2.8x performance improvement (added benches)
• Upgraded v4-proto for dYdX (#2136), thanks @davidsblom
• Upgraded databento crate to v0.17.0

Breaking Changes

• Moved BinanceOrderBookDeltaDataLoader from nautilus_trader.persistence.loaders to nautilus_trader.adapters.binance.loaders

Fixes

• Fixed multi-threaded monotonicity for AtomicTime in real-time mode
• Fixed timeout error code for Bybit (#2130), thanks @sunlei
• Fixed instruments info retrieval for Bybit (#2134), thanks @sunlei
• Fixed request_aggregated_bars metadata handling (#2137), thanks @faysou
• Fixed demo notebook backtest_high_level.ipynb (#2142), thanks @stefansimik

---

NautilusTrader 1.208.0 Beta

Released on 15th December 2024 (UTC).

Enhancements

• Added specific params for data subscriptions and requests which supports Databento bbo-1s and bbo-1m quotes (#2083, #2094), thanks @faysou
• Added support for STOP_LIMIT entry order type for OrderFactory.bracket(...)
• Added .group_bids(...) and .group_asks(...) for OrderBook
• Added .bids_to_dict() and .asks_to_dict() for OrderBook
• Added ShutdownSystem command and shutdown_system(...) method for components (system-wide shutdown for backtest, sandbox, or live environments)
• Added max_ws_reconnection_tries to BybitDataClientConfig (#2100), thanks @sunlei
• Added additional API functionality for Bybit (#2102), thanks @sunlei
• Added position and execution.fast subscriptions for Bybit (#2104), thanks @sunlei
• Added max_ws_reconnection_tries to BybitExecClientConfig (#2109), thanks @sunlei
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for FuturesContract
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for FuturesSpread
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for OptionContract
• Added margin_init, margin_maint, maker_fee, taker_fee params and attributes for OptionSpread
• Improved Databento symbology support for Interactive Brokers (#2113), thanks @rsmb7z
• Improved support of STOP_MARKET and STOP_LIMIT orders for dYdX (#2069), thanks @Saransh-Bhandari
• Improved timer validation for interval_ns (avoids panicking from Rust)

Internal Improvements

• Added .bids_as_map() and .asks_as_map() for OrderBook in Rust
• Added type stubs for core subpackage
• Added type stubs for common and model enums
• Added type stubs for common.messages
• Added re-exports and module declarations to enhance code ergonomics and improve import discoverability
• Added subscriptions for block height websocket messages for dYdX (#2085), thanks @davidsblom
• Added sccache in CI (#2093), thanks @sunlei
• Refined BybitWebSocketClient private channel authentication (#2101), thanks @sunlei
• Refined BybitWebSocketClient subscribe and unsubscribe (#2105), thanks @sunlei
• Refined place order class definitions for Bybit (#2106), thanks @sunlei
• Refined BybitEnumParser (#2107), thanks @sunlei
• Refined batch cancel orders for Bybit (#2111), thanks @sunlei
• Upgraded tokio crate to v1.42.0

Breaking Changes

• Renamed Level to BookLevel (standardizes order book type naming conventions)
• Renamed Ladder to BookLadder (standardizes order book type naming conventions)
• Changed FuturesContract Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)
• Changed FuturesSpread Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)
• Changed OptionContract Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)
• Changed OptionSpread Arrow schema (added margin_init, margin_maint, maker_fee, taker_fee)

Fixes

• Fixed data requests when specifying end with no catalog registered (comparison between pd.Timestamp and NoneType)
• Fixed BEST_EFFORT_CANCELED order status report for dYdX (#2082), thanks @davidsblom
• Fixed order handling for BEST_EFFORT_CANCELED messages of dYdX (#2095), thanks @davidsblom
• Fixed specifying price for market orders on dYdX (#2088), thanks @davidsblom
• Fixed interest rate curve custom data and interpolation (#2090), thanks @gcheshkov
• Fixed BybitHttpClient error handling when not a JSON string (#2096), thanks @sunlei
• Fixed BybitWebSocketClient private channel reconnect (#2097), thanks @sunlei
• Fixed incorrect order side use in BybitExecutionClient (#2098), thanks @sunlei
• Fixed default http_base_url for Bybit (#2110), thanks @sunlei

---

NautilusTrader 1.207.0 Beta

Released on 29th November 2024 (UTC).

Enhancements

• Implemented mixed catalog data requests with catalog update (#2043), thanks @faysou
• Added Databento symbology support for Interactive Brokers (#2073), thanks @rsmb7z
• Added metadata parameter for data requests (#2043), thanks @faysou
• Added STOP_MARKET and STOP_LIMIT order support for dYdX (#2066), thanks @davidsblom
• Added max_reconnection_tries to data client config for dYdX (#2066), thanks @davidsblom
• Added wallet subscription for Bybit (#2076), thanks @sunlei
• Added docs clarity on loading historical bars (#2078), thanks @dodofarm
• Added price_precision optional parameter for DatabentoDataLoader methods
• Improved Cache behavior when adding more recent quotes, trades, or bars (now adds to cache)

Internal Improvements

• Ported Portfolio and AccountManager to Rust (#2058), thanks @Pushkarm029
• Implemented AsRef<str> for Price, Money, and Currency
• Improved expired timer cleanup in clocks (#2064), thanks @twitu
• Improved live engines error logging (will now log all exceptions rather than just RuntimeError)
• Improved symbol normalization for Tardis
• Improved historical bar request performance for Tardis
• Improved TradeId Debug implementation to display value as proper UTF-8 string
• Refined HttpClient for use directly from Rust
• Refined Databento decoder (removed currency hard coding and use of unsafe)
• Upgraded datafusion crate to v43.0.0 (#2056), thanks @twitu

Breaking Changes

• Renamed TriggerType.LAST_TRADE to LAST_PRICE (more conventional terminology)

Fixes

• Fixed missing venue -> exchange mappings for Tardis integration
• Fixed account balance and order status parsing for dYdX (#2067), thanks @davidsblom
• Fixed parsing best effort opened order status for dYdX (#2068), thanks @davidsblom
• Fixed occasionally incorrect price_precision, multiplier and lot_size decoding for Databento instruments
• Fixed missing Arrow schemas for instrument deserialization
• Reconcile order book for dYdX when inconsistent (#2077), thanks @davidsblom

---

NautilusTrader 1.206.0 Beta

Released on 17th November 2024 (UTC).

Enhancements

• Added TardisDataClient providing live data streams from a Tardis Machine WebSocket server
• Added TardisInstrumentProvider providing instrument definitions from Tardis through the HTTP instrument metadata API
• Added Portfolio.realized_pnl(...) method for per instrument realized PnL (based on positions)
• Added Portfolio.realized_pnls(...) method for per venue realized PnL (based on positions)
• Added configuration warning for InstrumentProvider (to warn when node starts with no instrument loading)
• Implemented Tardis optional symbol normalization
• Implemented WebSocketClient reconnection retries (#2044), thanks @davidsblom
• Implemented OrderCancelRejected event generation for Binance and Bybit
• Implemented OrderModifyRejected event generation for Binance and Bybit
• Improved OrderRejected handling of reason string (None is now allowed which will become the string 'None')
• Improved OrderCancelRejected handling of reason string (None is now allowed which will become the string 'None')
• Improved OrderModifyRejected handling of reason string (None is now allowed which will become the string 'None')

Internal Improvements

• Ported RiskEngine to Rust (#2035), thanks @Pushkarm029 and @twitu
• Ported ExecutionEngine to Rust (#2048), thanks @twitu
• Added globally shared data channels to send events from engines to Runner in Rust (#2042), thanks @twitu
• Added LRU caching for dYdX HTTP client (#2049), thanks @davidsblom
• Improved identifier constructors to take AsRef<str> for a cleaner more flexible API
• Refined identifiers From trait impls
• Refined InstrumentProvider initialization behavior and logging
• Refined LiveTimer cancel and performance testing
• Simplified LiveTimer cancellation model (#2046), thanks @twitu
• Refined Bybit HMAC authentication signatures (now using Rust implemented function)
• Refined Tardis instrument ID parsing
• Removed Bybit msgspec redundant import alias (#2050), thanks @sunlei
• Upgraded databento crate to v0.16.0

Breaking Changes

None

Fixes

• Fixed loading specific instrument IDs for InstrumentProviderConfig
• Fixed PyO3 instrument conversions for raw_symbol (was incorrectly using the normalized symbol)
• Fixed reconcile open orders and account websocket message for dYdX (#2039), thanks @davidsblom
• Fixed market order avg_px for Polymarket trade reports
• Fixed Betfair clients keepalive (#2040), thanks @limx0
• Fixed Betfair reconciliation (#2041), thanks @limx0
• Fixed Betfair customer order ref limit to 32 chars
• Fixed Bybit handling of PARTIALLY_FILLED_CANCELED status orders
• Fixed Polymarket size precision for BinaryOption instruments (precision 6 to match USDC.e)
• Fixed adapter instrument reloading (providers were not reloading instruments at the configured interval due to internal state flags)
• Fixed static time logging for BacktestEngine when running with use_pyo3 logging config
• Fixed in-flight orders check and improve error handling (#2053), thanks @davidsblom
• Fixed dYdX handling for liquidated fills (#2052), thanks @davidsblom
• Fixed BybitResponse.time field as optional int (#2051), thanks @sunlei
• Fixed single instrument requests for DatabentoDataClient (was incorrectly calling _handle_instruments instead of _handle_instrument), thanks for reporting @Emsu
• Fixed fsspec recursive globbing behavior to ensure only file paths are included, and bumped dependency to version 2024.10.0
• Fixed jupyterlab url typo (#2057), thanks @Alsheh

---

NautilusTrader 1.205.0 Beta

Released on 3rd November 2024 (UTC).

Enhancements

• Added Tardis Machine and HTTP API integration in Python and Rust
• Added LiveExecEngineConfig.open_check_interval_secs config option to actively reconcile open orders with the venue
• Added aggregation of bars from historical data (#2002), thanks @faysou
• Added monthly and weekly bar aggregations (#2025), thanks @faysou
• Added raise_exception optional parameter to TradingNode.run (#2021), thanks @faysou
• Added OrderBook.get_avg_px_qty_for_exposure in Rust (#1893), thanks @elementace
• Added timeouts to Interactive Brokers adapter configurations (#2026), thanks @rsmb7z
• Added optional time origins for time bar aggregation (#2028), thanks @faysou
• Added Polymarket position status reports and order status report generation based on fill reports
• Added USDC.e (PoS) currency (used by Polymarket) to internal currency map
• Upgraded Polymarket WebSocket API to new version

Internal Improvements

• Ported analysis subpackage to Rust (#2016), thanks @Pushkarm029
• Improved Postgres testing (#2018), thanks @filipmacek
• Improved Redis version parsing to support truncated versions (improves compatibility with Redis-compliant databases)
• Refined Arrow serialization (record batch functions now also available in Rust)
• Refined core Bar API to remove unnecessary unwraps
• Standardized network client logging
• Fixed all PyO3 deprecations for API breaking changes
• Fixed all clippy warning lints for PyO3 changes (#2030), thanks @Pushkarm029
• PyO3 upgrade refactor and repair catalog tests (#2032), thanks @twitu
• Upgraded pyo3 crate to v0.22.5
• Upgraded pyo3-async-runtimes crate to v0.22.0
• Upgraded tokio crate to v1.41.0

Breaking Changes

• Removed PyO3 DataTransformer (was being used for namespacing, so refactored to separate functions)
• Moved TEST_DATA_DIR constant from tests to nautilus_trader package (#2020), thanks @faysou

Fixes

• Fixed use of Redis KEYS command which, is unsupported in cluster environments (replaced with SCAN for compatibility)
• Fixed decoding fill HTTP messages for dYdX (#2022), thanks @davidsblom
• Fixed account balance report for dYdX (#2024), thanks @davidsblom
• Fixed Interactive Brokers market data client subscription log message (#2012), thanks @marcodambros
• Fixed Polymarket execution reconciliation (was not able to reconcile from closed orders)
• Fixed catalog query mem leak test (#2031), thanks @Pushkarm029
• Fixed OrderInitialized.to_dict() tags value type to list[str] (was a concatenated str)
• Fixed OrderInitialized.to_dict() linked_order_ids value type to list[str] (was a concatenated str)
• Fixed Betfair clients shutdown (#2037), thanks @limx0

---

NautilusTrader 1.204.0 Beta

Released on 22nd October 2024 (UTC).

Enhancements

• Added TardisCSVDataLoader for loading data from Tardis format CSV files as either legacy Cython or PyO3 objects
• Added Clock.timestamp_us() method for UNIX timestamps in microseconds (μs)
• Added support for bbo-1s and bbo-1m quote schemas for Databento adapter (#1990), thanks @faysou
• Added validation for venue book_type configuration vs data (prevents an issue where top-of-book data is used when order book data is expected)
• Added compute_effective_deltas config option for PolymarketDataClientConfig, reducing snapshot size (default False to retain current behavior)
• Added rate limiter for WebSocketClient (#1994), thanks @Pushkarm029
• Added in the money probability field to GreeksData (#1995), thanks @faysou
• Added on_signal(signal) handler for custom signal data
• Added nautilus_trader.common.events module with re-exports for TimeEvent and other system events
• Improved usability of OrderBookDepth10 by filling partial levels with null orders and zero counts
• Improved Postgres config (#2010), thanks @filipmacek
• Refined DatabentoInstrumentProvider handling of large bulks of instrument definitions (improved parent symbol support)
• Standardized Betfair symbology to use hyphens instead of periods (prevents Betfair symbols being treated as composite)
• Integration guide docs fixes (#1991), thanks @FarukhS52

Internal Improvements

• Ported Throttler to Rust (#1988), thanks @Pushkarm029 and @twitu
• Ported BettingInstrument to Rust
• Refined RateLimiter for WebSocketClient and add tests (#2000), thanks @Pushkarm029
• Refined WebSocketClient to close existing tasks on reconnect (#1986), thanks @davidsblom
• Removed mutable references in CacheDatabaseAdapter trait in Rust (#2015), thanks @filipmacek
• Use Rust rate limiter for dYdX websockets (#1996, #1999), thanks @davidsblom
• Improved error logs for dYdX websocket subscriptions (#1993), thanks @davidsblom
• Standardized log and error message syntax in Rust
• Continue porting SimulatedExchange and OrderMatchingEngine to Rust (#1997, #1998, #2001, #2003, #2004, #2006, #2007, #2009, #2014), thanks @filipmacek

Breaking Changes

• Removed legacy TardisQuoteDataLoader (now redundant with new Rust implemented loader)
• Removed legacy TardisTradeDataLoader (now redundant with new Rust implemented loader)
• Custom signals are now passed to on_signal(signal) instead of on_data(data)
• Changed Position.to_dict() commissions value type to list[str] (was an optional str of a list of strings)
• Changed Position.to_dict() avg_px_open value type to float
• Changed Position.to_dict() avg_px_close value type to float | None
• Changed Position.to_dict() realized_return value type to float | None
• Changed BettingInstrument Arrow schema fields event_open_date and market_start_time from string to uint64

Fixes

• Fixed SocketClient TLS implementation
• Fixed WebSocketClient error handling on writer close, thanks for reporting @davidsblom
• Fixed resubscribing to orderbook in batched mode for dYdX (#1985), thanks @davidsblom
• Fixed Betfair tests related to symbology (#1988), thanks @limx0
• Fixed check for OmsType in OrderMatchingEngine position ID processing (#2003), thanks @filipmacek
• Fixed TardisCSVDataLoader snapshot5 and snapshot25 parsing (#2005), thanks @Pushkarm029
• Fixed Binance clients venue assignment, we should use the client_id params (which match the custom client name) to communicate with the clients, and use the same 'BINANCE' venue identifiers
• Fixed OrderMatchingEngine incorrectly attempting to process monthly bars for execution (which will fail, as no reasonable timedelta is available), thanks for reporting @frostRed
• Fixed handling MONTH aggregation for cache.bar_types() (sorting required an internal call for the bar intervals timedelta), thanks for reporting @frostRed

---

NautilusTrader 1.203.0 Beta

Released on 5th October 2024 (UTC).

Enhancements

• Added mode parameter to ParquetDataCatalog.write_data to control data writing behavior (#1976), thanks @faysou
• Added batch cancel for short terms orders of dYdX (#1978), thanks @davidsblom
• Improved OKX configuration (#1966), thanks @miller-moore
• Improved option greeks (#1964), thanks @faysou

Internal Improvements

• Implemented order book delta processing for SimulatedExchange in Rust (#1975), thanks @filipmacek
• Implemented bar processing for SimulatedExchange in Rust (#1969), thanks @filipmacek
• Implemented remaining getter functions for SimulatedExchange in Rust (#1970), thanks @filipmacek
• Implemented rate limiting for dYdX websocket subscriptions (#1977), thanks @davidsblom
• Refactored reconnection handling for dYdX (#1983), thanks @davidsblom
• Refined DatabentoDataLoader internals to accommodate usage from Rust
• Added initial large test data files download and caching capability

Breaking Changes

None

Fixes

• Fixed out of order row groups in DataFusion filter query (#1974), thanks @twitu
• Fixed BacktestNode data sorting regression causing clock non-decreasing time assertion error
• Fixed circular imports for Actor, thanks @limx0
• Fixed OKX HTTP client signatures (#1966), thanks @miller-moore
• Fixed resubscribing to orderbooks for dYdX (#1973), thanks @davidsblom
• Fixed generating cancel rejections for dYdX (#1982), thanks @davidsblom
• Fixed WebSocketClient task cleanup on disconnect (#1981), thanks @twitu
• Fixed Condition method name collisions with C true and false macros, which occurred during compilation in profiling mode

---

NautilusTrader 1.202.0 Beta

Released on 27th September 2024 (UTC).

This will be the final release with support for Python 3.10.

The numpy version requirement has been relaxed to >= 1.26.4.

Enhancements

• Added Polymarket decentralized prediction market integration
• Added OKX crypto exchange integration (#1951), thanks @miller-moore
• Added BinaryOption instrument (supports Polymarket integration)
• Added LiveExecutionEngine.inflight_check_retries config option to limit in-flight order query attempts
• Added Symbol.root() method for obtaining the root of parent or composite symbols
• Added Symbol.topic() method for obtaining the subscription topic of parent or composite symbols
• Added Symbol.is_composite() method to determine if symbol is made up of parts with period (.) delimiters
• Added underlying filter parameter for Cache.instruments(...) method
• Added reduce_only parameter for Strategy.close_position(...) method (default True to retain current behavior)
• Added reduce_only parameter for Strategy.close_all_positions(...) method (default True to retain current behavior)
• Implemented flush with truncate Postgres function for PostgresCacheDatabase (#1928), thanks @filipmacek
• Implemented file rotation for StreamingFeatherWriter with internal improvements using Clock and Cache (#1954, #1961), thanks @graceyangfan
• Improved dYdX execution client to use RetryManager for HTTP requests (#1941), thanks @davidsblom
• Improved Interactive Brokers adapter to use a dynamic IB gateway container_image from config (#1940), thanks @rsmb7z
• Improved OrderBookDeltas streaming and batching based on the F_LAST flag
• Standardized underscore thousands separators for backtest logging
• Updated Databento publishers.json

Internal Improvements

• Implemented OrderTestBuilder to assist testing in Rust (#1952), thanks @filipmacek
• Implemented quote tick processing for SimulatedExchange in Rust (#1956), thanks @filipmacek
• Implemented trade tick processing for SimulatedExchange in Rust (#1956), thanks @filipmacek
• Refined Logger to use unbuffered stdout/stderr writers (#1960), thanks @twitu

Breaking Changes

• Renamed batch_size_bytes to chunk_size (more accurate naming for number of data points to process per chunk in backtest streaming mode)
• Standardized Stop-Loss (SL) and Take-Profit (TP) parameter ordering for OrderFactory.bracket(...) including: tp_time_in_force, tp_exec_algorithm_params, tp_tags, tp_client_order_id

Fixes

• Fixed LoggingConfig issue for level_file when used with use_pyo3=True (was not passing through the level_file setting), thanks for reporting @xt2014
• Fixed composite bar requests (#1923), thanks @faysou
• Fixed average price calculation for ValueBarAggregator (#1927), thanks @faysou
• Fixed breaking protobuf issue by pinning protobuf and grpcio for dYdX (#1929), thanks @davidsblom
• Fixed edge case where exceptions raised in BacktestNode prior to engine initialization would not produce logs, thanks for reporting @faysou
• Fixed handling of internal server error for dYdX (#1938), thanks @davidsblom
• Fixed BybitWebSocketClient private channel authentication on reconnect, thanks for reporting @miller-moore
• Fixed OrderFactory.bracket(...) parameter ordering for sl_time_in_force and tp_time_in_force, thanks for reporting @marcodambros
• Fixed Cfd instrument Arrow schema and serialization
• Fixed bar subscriptions on TWS/GW restart for Interactive Brokers (#1950), thanks @rsmb7z
• Fixed Databento parent and continuous contract subscriptions (using new symbol root)
• Fixed Databento FuturesSpread and OptionSpread instrument decoding (was not correctly handling price increments and empty underlyings)
• Fixed FuturesSpread serialization
• Fixed OptionSpread serialization

---

NautilusTrader 1.201.0 Beta

Released on 9th September 2024 (UTC).

Enhancements

• Added order book deltas triggering support for OrderEmulator
• Added OrderCancelRejected event generation for dYdX adapter (#1916), thanks @davidsblom
• Refined handling of Binance private key types (RSA, Ed25519) and integrated into configs
• Implemented cryptographic signing in Rust (replacing pycryptodome for Binance)
• Removed the vendored tokio-tungstenite crate (#1902), thanks @VioletSakura-7

Breaking Changes

None

Fixes

• Fixed BinanceFuturesEventType by adding new TRADE_LITE member, reflecting the Binance update on 2024-09-03 (UTC)

---

NautilusTrader 1.200.0 Beta

Released on 7th September 2024 (UTC).

Enhancements

• Added dYdX integration (#1861, #1868, #1873, #1874, #1875, #1877, #1879, #1880, #1882, #1886, #1887, #1890, #1891, #1896, #1901, #1903, #1907, #1910, #1911, #1913, #1915), thanks @davidsblom
• Added composite bar types, bars aggregated from other bar types (#1859, #1885, #1888, #1894, #1905), thanks @faysou
• Added OrderBookDeltas.batch for batching groups of deltas based on record flags (batch until F_LAST)
• Added OrderBookDeltas batching support for ParquetDataCatalog (use data_cls of OrderBookDeltas to batch with the same flags method as live adapters)
• Added RetryManagerPool to abstract common retry functionality for all adapters
• Added InstrumentClose functionality for OrderMatchingEngine, thanks @limx0
• Added BacktestRunConfig.dispose_on_completion config option to control post-run disposal behavior for each internal backtest engine (default True to retain current behavior)
• Added recv_window_ms config option for BinanceExecClientConfig
• Added sl_time_in_force and tp_time_in_force parameters to OrderFactory.bracket(...) method
• Added custom client_order_id parameters to OrderFactory methods
• Added support for Binance RSA and Ed25519 API key types (#1908), thanks @NextThread
• Added multiplier parameter for CryptoPerpetual (default 1)
• Implemented BybitExecutionClient retry logic for submit_order, modify_order, cancel_order and cancel_all_orders
• Improved error modeling and handling in Rust (#1866), thanks @twitu
• Improved HttpClient error handling and added HttpClientError exception for Python (#1872), thanks @twitu
• Improved WebSocketClient error handling and added WebSocketClientError exception for Python (#1876), thanks @twitu
• Improved WebSocketClient.send_text efficiency (now accepts UTF-8 encoded bytes, rather than a Python string)
• Improved @customdataclass decorator with date field and refined __repr__ (#1900, #1906, #1909), thanks @faysou
• Improved standardization of OrderBookDeltas parsing and records flags for crypto venues
• Refactored RedisMessageBusDatabase to tokio tasks
• Refactored RedisCacheDatabase to tokio tasks
• Upgraded tokio crate to v1.40.0

Breaking Changes

• Renamed heartbeat_interval to heartbeat_interval_secs (more explicitly indicates time units)
• Moved heartbeat_interval_secs config option to MessageBusConfig (the message bus handles external stream processing)
• Changed WebSocketClient.send_text(...) to take data as bytes rather than str
• Changed CryptoPerpetual Arrow schema to include multiplier field
• Changed CryptoFuture Arrow schema to include multiplier field

Fixes

• Fixed OrderBook memory deallocation in Python finalizer (memory was not being freed on object destruction), thanks for reporting @zeyuhuan
• Fixed Order tags serialization (was not concatenating to a single string), thanks for reporting @DevRoss
• Fixed types_filter serialization in MessageBusConfig during kernel setup
• Fixed InstrumentProvider handling of load_ids_on_start when elements are already InstrumentIds
• Fixed InstrumentProviderConfig hashing for filters field

---

NautilusTrader 1.199.0 Beta

Released on 19th August 2024 (UTC).

Enhancements

• Added LiveExecEngineConfig.generate_missing_orders reconciliation config option to align internal and external position states
• Added LogLevel::TRACE (only available in Rust for debug/development builds)
• Added Actor.subscribe_signal(...) method and Data.is_signal(...) class method (#1853), thanks @faysou
• Added Binance Futures support for HEDGE mode (#1846), thanks @DevRoss
• Overhauled and refined error modeling and handling in Rust (#1849, #1858), thanks @twitu
• Improved BinanceExecutionClient position report requests (can now filter by instrument and includes reporting for flat positions)
• Improved BybitExecutionClient position report requests (can now filter by instrument and includes reporting for flat positions)
• Improved LiveExecutionEngine reconciliation robustness and recovery when internal positions do not match external positions
• Improved @customdataclass decorator constructor to allow more positional arguments (#1850), thanks @faysou
• Improved @customdataclass documentation (#1854), thanks @faysou
• Upgraded datafusion crate to v41.0.0
• Upgraded tokio crate to v1.39.3
• Upgraded uvloop to v0.20.0 (upgrades libuv to v1.48.0)

Breaking Changes

• Changed VolumeWeightedAveragePrice calculation formula to use each bars "typical" price (#1842), thanks @evgenii-prusov
• Changed OptionContract constructor parameter ordering and Arrow schema (consistently group option kind and strike price)
• Renamed snapshot_positions_interval to snapshot_positions_interval_secs (more explicitly indicates time units)
• Moved snapshot_orders config option to ExecEngineConfig (can now be used for all environment contexts)
• Moved snapshot_positions config option to ExecEngineConfig (can now be used for all environment contexts)
• Moved snapshot_positions_interval_secs config option to ExecEngineConfig (can now be used for all environment contexts)

Fixes

• Fixed Position exception type on duplicate fill (should be KeyError to align with the same error for Order)
• Fixed Bybit position report parsing when position is flat (BybitPositionSide now correctly handles the empty string)

---

NautilusTrader 1.198.0 Beta

Released on 9th August 2024 (UTC).

Enhancements

• Added @customdataclass decorator to reduce need for boiler plate implementing custom data types (#1828), thanks @faysou
• Added timeout for HTTP client in Rust (#1835), thanks @davidsblom
• Added catalog conversion function of streamed data to backtest data (#1834), thanks @faysou
• Upgraded Cython to v3.0.11

Breaking Changes

None

Fixes

• Fixed creation of instrument_id folder when writing PyO3 bars in catalog (#1832), thanks @faysou
• Fixed StreamingFeatherWriter handling of include_types option (#1833), thanks @faysou
• Fixed BybitExecutionClient position reports error handling and logging
• Fixed BybitExecutionClient order report handling to correctly process external orders

---

NautilusTrader 1.197.0 Beta

Released on 2nd August 2024 (UTC).

Enhancements

• Added Databento Status schema support for loading and live trading
• Added options on futures support for Interactive Brokers (#1795), thanks @rsmb7z
• Added documentation for option greeks custom data example (#1788), thanks @faysou
• Added MarketStatusAction enum (support Databento status schema)
• Added ignore_quote_tick_size_updates config option for Interactive Brokers (#1799), thanks @sunlei
• Implemented MessageBus v2 in Rust (#1786), thanks @twitu
• Implemented DataEngine v2 in Rust (#1785), thanks @twitu
• Implemented FillModel in Rust (#1801), thanks @filipmacek
• Implemented FixedFeeModel in Rust (#1802), thanks @filipmacek
• Implemented MakerTakerFeeModel in Rust (#1803), thanks @filipmacek
• Implemented Postgres native enum mappings in Rust (#1797, #1806), thanks @filipmacek
• Refactored order submission error handling for Interactive Brokers (#1783), thanks @rsmb7z
• Improved live reconciliation robustness (will now generate inferred orders necessary to align external position state)
• Improved tests for Interactive Brokers (#1776), thanks @mylesgamez
• Upgraded tokio crate to v1.39.2
• Upgraded datafusion crate to v40.0.0

Breaking Changes

• Removed VenueStatus and all associated methods and schemas (redundant with InstrumentStatus)
• Renamed QuoteTick.extract_volume(...) to .extract_size(...) (more accurate terminology)
• Changed InstrumentStatus params (support Databento status schema)
• Changed InstrumentStatus Arrow schema
• Changed OrderBook FFI API to take data by reference instead of by value

Fixes

• Fixed rounding errors in accounting calculations for large values (using decimal.Decimal internally)
• Fixed multi-currency account commission handling with multiple PnL currencies (#1805), thanks for reporting @dpmabo
• Fixed DataEngine unsubscribing from order book deltas (#1814), thanks @davidsblom
• Fixed LiveExecutionEngine handling of adapter client execution report causing None mass status (#1789), thanks for reporting @faysou
• Fixed InteractiveBrokersExecutionClient handling of instruments not found when generating execution reports (#1789), thanks for reporting @faysou
• Fixed Bybit parsing of trade and quotes for websocket messages (#1794), thanks @davidsblom

---

NautilusTrader 1.196.0 Beta

Released on 5th July 2024 (UTC).

Enhancements

• Added request_order_book_snapshot method (#1745), thanks @graceyangfan
• Added order book data validation for BacktestNode when a venue book_type is L2_MBP or L3_MBO
• Added Bybit demo account support (set is_demo to True in configs)
• Added Bybit stop order types (STOP_MARKET, STOP_LIMIT, MARKET_IF_TOUCHED, LIMIT_IF_TOUCHED, TRAILING_STOP_MARKET)
• Added Binance venue option for adapter configurations (#1738), thanks @DevRoss
• Added Betfair amend order quantity support (#1687 and #1751), thanks @imemo88 and @limx0
• Added Postgres tests serial test group for nextest runner (#1753), thanks @filipmacek
• Added Postgres account persistence capability (#1768), thanks @filipmacek
• Refactored AccountAny pattern in Rust (#1755), thanks @filipmacek
• Changed DatabentoLiveClient to use new snapshot on subscribe feature
• Changed identifier generator time tag component to include seconds (affects new ClientOrderId, OrderId and PositionId generation)
• Changed <Arc<Mutex<bool>> to AtomicBool in Rust network crate, thanks @NextThread and @twitu
• Ported KlingerVolumeOscillator indicator to Rust (#1724), thanks @Pushkarm029
• Ported DirectionalMovement indicator to Rust (#1725), thanks @Pushkarm029
• Ported ArcherMovingAveragesTrends indicator to Rust (#1726), thanks @Pushkarm029
• Ported Swings indicator to Rust (#1731), thanks @Pushkarm029
• Ported BollingerBands indicator to Rust (#1734), thanks @Pushkarm029
• Ported VolatilityRatio indicator to Rust (#1735), thanks @Pushkarm029
• Ported Stochastics indicator to Rust (#1736), thanks @Pushkarm029
• Ported Pressure indicator to Rust (#1739), thanks @Pushkarm029
• Ported PsychologicalLine indicator to Rust (#1740), thanks @Pushkarm029
• Ported CommodityChannelIndex indicator to Rust (#1742), thanks @Pushkarm029
• Ported LinearRegression indicator to Rust (#1743), thanks @Pushkarm029
• Ported DonchianChannel indicator to Rust (#1744), thanks @Pushkarm029
• Ported KeltnerChannel indicator to Rust (#1746), thanks @Pushkarm029
• Ported RelativeVolatilityIndex indicator to Rust (#1748), thanks @Pushkarm029
• Ported RateOfChange indicator to Rust (#1750), thanks @Pushkarm029
• Ported MovingAverageConvergenceDivergence indicator to Rust (#1752), thanks @Pushkarm029
• Ported OnBalanceVolume indicator to Rust (#1756), thanks @Pushkarm029
• Ported SpreadAnalyzer indicator to Rust (#1762), thanks @Pushkarm029
• Ported KeltnerPosition indicator to Rust (#1763), thanks @Pushkarm029
• Ported FuzzyCandlesticks indicator to Rust (#1766), thanks @Pushkarm029

Breaking Changes

• Renamed Actor.subscribe_order_book_snapshots and unsubscribe_order_book_snapshots to subscribe_order_book_at_interval and unsubscribe_order_book_at_interval respectively (this clarifies the method behavior where the handler then receives OrderBook at a regular interval, distinct from a collection of deltas representing a snapshot)

Fixes

• Fixed LIMIT order fill behavior for L2_MBP and L3_MBO book types (was not honoring limit price as maker), thanks for reporting @dpmabo
• Fixed CashAccount PnL calculations when opening a position with multiple fills, thanks @Otlk
• Fixed msgspec encoding and decoding of Environment enum for NautilusKernelConfig
• Fixed OrderMatchingEngine processing by book type for quotes and deltas (#1754), thanks @davidsblom
• Fixed DatabentoDataLoader.from_dbn_file for OrderBookDeltas when as_legacy_cython=False
• Fixed DatabentoDataLoader OHLCV bar schema loading (incorrectly accounting for display factor), thanks for reporting @faysou
• Fixed DatabentoDataLoader multiplier and round lot size decoding, thanks for reporting @faysou
• Fixed Binance order report generation active_symbols type miss matching (#1729), thanks @DevRoss
• Fixed Binance trade data websocket schemas (Binance no longer publish b buyer and a seller order IDs)
• Fixed BinanceFuturesInstrumentProvider parsing of min notional, thanks for reporting @AnthonyVince
• Fixed BinanceSpotInstrumentProvider parsing of min and max notional
• Fixed Bybit order book deltas subscriptions for INVERSE product type
• Fixed Cache documentation for get (was the same as add), thanks for reporting @faysou

---

NautilusTrader 1.195.0 Beta

Released on 17th June 2024 (UTC).

Enhancements

• Added Bybit base coin for fee rate parsing (#1696), thanks @filipmacek
• Added IndexInstrument with support for Interactive Brokers (#1703), thanks @rsmb7z
• Refactored Interactive Brokers client and gateway configuration (#1692), thanks @rsmb7z
• Improved InteractiveBrokersInstrumentProvider contract loading (#1699), thanks @rsmb7z
• Improved InteractiveBrokersInstrumentProvider option chain loading (#1704), thanks @rsmb7z
• Improved Instrument.make_qty error clarity when a positive value is rounded to zero
• Updated installation from source docs for Clang dependency (#1690), thanks @Troubladore
• Updated DockerizedIBGatewayConfig docs (#1691), thanks @Troubladore

Breaking Changes

None

Fixes

• Fixed DataFusion streaming backend mem usage (now constant mem usage) (#1693), thanks @twitu
• Fixed OrderBookDeltaDataWrangler snapshot parsing (was not prepending a CLEAR action), thanks for reporting @VeraLyu
• Fixed Instrument.make_price and make_qty when increments have a lower precision (was not rounding to the minimum increment)
• Fixed EMACrossTrailingStop example strategy trailing stop logic (could submit multiple trailing stops on partial fills)
• Fixed Binance TRAILING_STOP_MARKET orders (callback rounding was incorrect, was also not handling updates)
• Fixed Interactive Brokers multiple gateway clients (incorrect port handling in factory) (#1702), thanks @dodofarm
• Fixed time alerts Python example in docs (#1713), thanks @davidsblom

---

NautilusTrader 1.194.0 Beta

Released on 31st May 2024 (UTC).

Enhancements

• Added DataEngine order book deltas buffering to F_LAST flag (#1673), thanks @davidsblom
• Added DataEngineConfig.buffer_deltas config option for the above (#1670), thanks @davidsblom
• Improved Bybit order book deltas parsing to set F_LAST flag (#1670), thanks @davidsblom
• Improved Bybit handling for top-of-book quotes and order book deltas (#1672), thanks @davidsblom
• Improved Interactive Brokers integration test mocks (#1669), thanks @rsmb7z
• Improved error message when no tick scheme initialized for an instrument, thanks for reporting @VeraLyu
• Improved SandboxExecutionClient instrument handling (instruments just need to be added to cache)
• Ported VolumeWeightedAveragePrice indicator to Rust (#1665), thanks @Pushkarm029
• Ported VerticalHorizontalFilter indicator to Rust (#1666), thanks @Pushkarm029

Breaking Changes

None

Fixes

• Fixed SimulatedExchange processing of commands in real-time for sandbox mode
• Fixed DataEngine unsubscribe handling (edge case would attempt to unsubscribe from the client multiple times)
• Fixed Bybit order book deltas parsing (was appending bid side twice) (#1668), thanks @davidsblom
• Fixed Binance instruments price and size precision parsing (was incorrectly stripping trailing zeros)
• Fixed BinanceBar streaming feather writing (was not setting up writer)
• Fixed backtest high-level tutorial documentation errors, thanks for reporting @Leonz5288

---

NautilusTrader 1.193.0 Beta

Released on 24th May 2024 (UTC).

Enhancements

• Added Interactive Brokers support for Market-on-Close (MOC) and Limit-on-Close (LOC) order types (#1663), thanks @rsmb7z
• Added Bybit sandbox example (#1659), thanks @davidsblom
• Added Binance sandbox example

Breaking Changes

• Overhauled SandboxExecutionClientConfig to more closely match BacktestVenueConfig (many changes and additions)

Fixes

• Fixed DataFusion backend data ordering by ts_init when streaming (#1656), thanks @twitu
• Fixed Interactive Brokers tick level historical data downloading (#1653), thanks @DracheShiki

---

NautilusTrader 1.192.0 Beta

Released on 18th May 2024 (UTC).

Enhancements

• Added Nautilus CLI (see docs) (#1602), many thanks @filipmacek
• Added Cfd and Commodity instruments with Interactive Brokers support (#1604), thanks @DracheShiki
• Added OrderMatchingEngine futures and option contract activation and expiration simulation
• Added Sandbox example with Interactive Brokers (#1618), thanks @rsmb7z
• Added ParquetDataCatalog S3 support (#1620), thanks @benjaminsingleton
• Added Bar.from_raw_arrays_to_list (#1623), thanks @rsmb7z
• Added SandboxExecutionClientConfig.bar_execution config option (#1646), thanks @davidsblom
• Improved venue order ID generation and assignment (it was previously possible for the OrderMatchingEngine to generate multiple IDs for the same order)
• Improved LiveTimer robustness and flexibility by not requiring positive intervals or stop times in the future (will immediately produce a time event), thanks for reporting @davidsblom

Breaking Changes

• Removed allow_cash_positions config (simplify to the most common use case, spot trading should track positions)
• Changed tags parameter and return type from str to list[str] (more naturally expresses multiple tags)
• Changed Order.to_dict() commission and linked_order_id fields to lists of strings rather than comma separated strings
• Changed OrderMatchingEngine to no longer process internally aggregated bars for execution (no tests failed, but still classifying as a behavior change), thanks for reporting @davidsblom

Fixes

• Fixed CashAccount PnL and balance calculations (was adjusting filled quantity based on open position quantity - causing a desync and incorrect balance values)
• Fixed from_str for Price, Quantity and Money when input string contains underscores in Rust, thanks for reporting @filipmacek
• Fixed Money string parsing where the value from str(money) can now be passed to Money.from_str
• Fixed TimeEvent equality (now based on the event id rather than the event name)
• Fixed ParquetDataCatalog bar queries by instrument_id which were no longer returning data (the intent is to use bar_type, however using instrument_id now returns all matching bars)
• Fixed venue order ID generation and application in sandbox mode (was previously generating additional venue order IDs), thanks for reporting @rsmb7z and @davidsblom
• Fixed multiple fills causing overfills in sandbox mode (OrderMatchingEngine now caching filled quantity to prevent this) (#1642), thanks @davidsblom
• Fixed leaves_qty exception message underflow (now correctly displays the projected negative leaves quantity)
• Fixed Interactive Brokers contract details parsing (#1615), thanks @rsmb7z
• Fixed Interactive Brokers portfolio registration (#1616), thanks @rsmb7z
• Fixed Interactive Brokers IBOrder attributes assignment (#1634), thanks @rsmb7z
• Fixed IBKR reconnection after gateway/TWS disconnection (#1622), thanks @benjaminsingleton
• Fixed Binance Futures account balance calculation (was over stating free balance with margin collateral, which could result in a negative locked balance)
• Fixed Betfair stream reconnection and avoid multiple reconnect attempts (#1644), thanks @imemo88

---

NautilusTrader 1.191.0 Beta

Released on 20th April 2024 (UTC).

Enhancements

• Implemented FeeModel including FixedFeeModel and MakerTakerFeeModel (#1584), thanks @rsmb7z
• Implemented TradeTickDataWrangler.process_bar_data (#1585), thanks @rsmb7z
• Implemented multiple timeframe bar execution (will use lowest timeframe per instrument)
• Optimized LiveTimer efficiency and accuracy with tokio timer under the hood
• Optimized QuoteTickDataWrangler and TradeTickDataWrangler (#1590), thanks @rsmb7z
• Standardized adapter client logging (handle more logging from client base classes)
• Simplified and consolidated Rust OrderBook design
• Improved CacheDatabaseAdapter graceful close and thread join
• Improved MessageBus graceful close and thread join
• Improved modify_order error logging when order values remain unchanged
• Added RecordFlag enum for Rust and Python
• Interactive Brokers further improvements and fixes, thanks @rsmb7z
• Ported Bias indicator to Rust, thanks @Pushkarm029

Breaking Changes

• Reordered OrderBookDelta params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
• Reordered OrderBook params flags and sequence and removed default 0 values (more explicit and less chance of mismatches)
• Added flags parameter to OrderBook.add
• Added flags parameter to OrderBook.update
• Added flags parameter to OrderBook.delete
• Changed Arrow schema for all instruments: added info binary field
• Changed Arrow schema for CryptoFuture: added is_inverse boolean field
• Renamed both OrderBookMbo and OrderBookMbp to OrderBook (consolidated)
• Renamed Indicator.handle_book_mbo and Indicator.handle_book_mbp to handle_book (consolidated)
• Renamed register_serializable_object to register_serializable_type (also renames first parameter from obj to cls)

Fixes

• Fixed MessageBus pattern resolving (fixes a performance regression where topics published with no subscribers would always re-resolve)
• Fixed BacktestNode streaming data management (was not clearing between chunks), thanks for reporting @dpmabo
• Fixed RiskEngine cumulative notional calculations for margin accounts (was incorrectly using base currency when selling)
• Fixed selling Equity instruments with CASH account and NETTING OMS incorrectly rejecting (should be able to reduce position)
• Fixed Databento bars decoding (was incorrectly applying display factor)
• Fixed BinanceBar (kline) to use close_time for ts_event was opentime (#1591), thanks for reporting @OnlyC
• Fixed AccountMarginExceeded error condition (margin must actually be exceeded now, and can be zero)
• Fixed ParquetDataCatalog path globbing which was including all paths with substrings of specified instrument IDs

---

NautilusTrader 1.190.0 Beta

Released on 22nd March 2024 (UTC).

Enhancements

• Added Databento adapter continuous, parent and instrument_id symbology support (will infer from symbols)
• Added DatabaseConfig.timeout config option for timeout seconds to wait for a new connection
• Added CSV tick and bar data loader params, thanks @rterbush
• Implemented LogGuard to ensure global logger is flushed on termination, thanks @ayush-sb and @twitu
• Improved Interactive Brokers client connectivity resilience and component lifecycle, thanks @benjaminsingleton
• Improved Binance execution client ping listen key error handling and logging
• Improved Redis cache adapter and message bus error handling and logging
• Improved Redis port parsing (DatabaseConfig.port can now be either a string or integer)
• Ported ChandeMomentumOscillator indicator to Rust, thanks @Pushkarm029
• Ported VIDYA indicator to Rust, thanks @Pushkarm029
• Refactored InteractiveBrokersEWrapper, thanks @rsmb7z
• Redact Redis passwords in strings and logs
• Upgraded redis crate to v0.25.2 which bumps up TLS dependencies, and turned on tls-rustls-webpki-roots feature flag

Breaking Changes

None

Fixes

• Fixed JSON format for log file output (was missing timestamp and trader\_id)
• Fixed DatabaseConfig port JSON parsing for Redis (was always defaulting to 6379)
• Fixed ChandeMomentumOscillator indicator divide by zero error (both Rust and Cython versions)

---

NautilusTrader 1.189.0 Beta

Released on 15th March 2024 (UTC).

Enhancements

• Implemented Binance order book snapshot rebuilds on websocket reconnect (see integration guide)
• Added additional validations for OrderMatchingEngine (will now raise a RuntimeError when a price or size precision for OrderFilled does not match the instruments precisions)
• Added LoggingConfig.use_pyo3 config option for PyO3 based logging initialization (worse performance but allows visibility into logs originating from Rust)
• Added exchange field to FuturesContract, FuturesSpread, OptionContract and OptionSpread (optional)

Breaking Changes

• Changed Arrow schema adding exchange field for FuturesContract, FuturesSpread, OptionContract and OptionSpread

Fixes

• Fixed MessageBus handling of subscriptions after a topic has been published on (was previously dropping messages for these late subscribers)
• Fixed MessageBus handling of subscriptions under certain edge cases (subscriptions list could be resized on iteration causing a RuntimeError)
• Fixed Throttler handling of sending messages after messages have been dropped, thanks @davidsblom
• Fixed OrderBookDelta.to_pyo3_list using zero precision from clear delta
• Fixed DataTransformer.pyo3_order_book_deltas_to_record_batch_bytes using zero precision from clear delta
• Fixed OrderBookMbo and OrderBookMbp integrity check when crossed book
• Fixed OrderBookMbp error when attempting to add to a L1_MBP book type (now raises RuntimeError rather than panicking)
• Fixed Interactive Brokers connection error logging (#1524), thanks @benjaminsingleton
• Fixed SimulationModuleConfig location and missing re-export from config subpackage
• Fixed logging StdoutWriter from also writing error logs (writers were duplicating error logs)
• Fixed BinanceWebSocketClient to new specification which requires responding to pings with a pong containing the pings payload
• Fixed Binance Futures AccountBalance calculations based on wallet and available balance
• Fixed ExecAlgorithm circular import issue for installed wheels (importing from execution.algorithm was a circular import)

---

NautilusTrader 1.188.0 Beta

Released on 25th February 2024 (UTC).

Enhancements

• Added FuturesSpread instrument type
• Added OptionSpread instrument type
• Added InstrumentClass.FUTURE_SPREAD
• Added InstrumentClass.OPTION_SPREAD
• Added managed parameter to subscribe_order_book_deltas, default True to retain current behavior (if false then the data engine will not automatically manage a book)
• Added managed parameter to subscribe_order_book_snapshots, default True to retain current behavior (if false then the data engine will not automatically manage a book)
• Added additional validations for OrderMatchingEngine (will now reject orders with incorrect price or quantity precisions)
• Removed interval_ms 20 millisecond limitation for subscribe_order_book_snapshots (i.e. just needs to be positive), although we recommend you consider subscribing to deltas below 100 milliseconds
• Ported LiveClock and LiveTimer implementations to Rust
• Implemented OrderBookDeltas pickling
• Implemented AverageTrueRange in Rust, thanks @rsmb7z

Breaking Changes

• Changed TradeId value maximum length to 36 characters (will raise a ValueError if value exceeds the maximum)

Fixes

• Fixed TradeId memory leak due assigning unique values to the Ustr global string cache (which are never freed for the lifetime of the program)
• Fixed TradeTick size precision for PyO3 conversion (size precision was incorrectly price precision)
• Fixed RiskEngine cash value check when selling (would previously divide quantity by price which is too much), thanks for reporting @AnthonyVince
• Fixed FOK time in force behavior (allows fills beyond the top level, will cancel if cannot fill full size)
• Fixed IOC time in force behavior (allows fills beyond the top level, will cancel any remaining after all fills are applied)
• Fixed LiveClock timer behavior for small intervals causing next time to be less than now (timer then would not run)
• Fixed log level filtering for log_level_file (bug introduced in v1.187.0), thanks @twitu
• Fixed logging print_config config option (was not being passed through to the logging subsystem)
• Fixed logging timestamps for backtesting (static clock was not being incrementally set to individual TimeEvent timestamps)
• Fixed account balance updates (fills from zero quantity NETTING positions will generate account balance updates)
• Fixed MessageBus publishable types collection type (needed to be tuple not set)
• Fixed Controller registration of components to ensure all active clocks are iterated correctly during backtests
• Fixed Equity short selling for CASH accounts (will now reject)
• Fixed ActorFactory.create JSON encoding (was missing the encoding hook)
• Fixed ImportableConfig.create JSON encoding (was missing the encoding hook)
• Fixed ImportableStrategyConfig.create JSON encoding (was missing the encoding hook)
• Fixed ExecAlgorithmFactory.create JSON encoding (was missing the encoding hook)
• Fixed ControllerConfig base class and docstring
• Fixed Interactive Brokers historical bar data bug, thanks @benjaminsingleton
• Fixed persistence freeze_dict function to handle fs_storage_options, thanks @dimitar-petrov

---

NautilusTrader 1.187.0 Beta

Released on 9th February 2024 (UTC).

Enhancements

• Refined logging subsystem module and writers in Rust, thanks @ayush-sb and @twitu
• Improved Interactive Brokers adapter symbology and parsing with a strict_symbology config option, thanks @rsmb7z and @fhill2

Breaking Changes

• Reorganized configuration objects (separated into a config module per subpackage, with re-exports from nautilus_trader.config)

Fixes

• Fixed BacktestEngine and Trader disposal (now properly releasing resources), thanks for reporting @davidsblom
• Fixed circular import issues from configuration objects, thanks for reporting @cuberone
• Fixed unnecessary creation of log files when file logging off

---

NautilusTrader 1.186.0 Beta

Released on 2nd February 2024 (UTC).

Enhancements

None

Breaking Changes

None

Fixes

• Fixed Interactive Brokers get account positions bug (#1475), thanks @benjaminsingleton
• Fixed TimeBarAggregator handling of interval types on build
• Fixed BinanceSpotExecutionClient non-existent method name, thanks @sunlei
• Fixed unused psutil import, thanks @sunlei

---

NautilusTrader 1.185.0 Beta

Released on 26th January 2024 (UTC).

Enhancements

• Added 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).

Enhancements

• Added LogLevel.OFF (matches the Rust tracing log levels)
• Added init_logging function with sensible defaults to initialize the Rust implemented logging subsystem
• Updated Binance Futures enum members for BinanceFuturesContractType and BinanceFuturesPositionUpdateReason
• Improved log header using the sysinfo crate (adds swap space metrics and a PID identifier)
• Removed Python dependency on psutil

Breaking Changes

• Removed clock parameter from Logger (no dependency on Clock anymore)
• Renamed LoggerAdapter to Logger (and removed old Logger class)
• Renamed Logger component_name parameter to name (matches Python built-in logging API)
• Renamed OptionKind kind parameter and property to option_kind (better clarity)
• Renamed OptionContract Arrow schema field kind to option_kind
• Changed level_file log level to OFF (file logging is off by default)

Fixes

• Fixed memory leak for catalog queries (#1430), thanks @twitu
• Fixed DataEngine order book snapshot timer names (could not parse instrument IDs with hyphens), thanks for reporting @x-zho14 and @dimitar-petrov
• Fixed LoggingConfig parsing of WARNING log level (was not being recognized), thanks for reporting @davidsblom
• Fixed Binance Futures QuoteTick parsing to capture event time for ts_event, thanks for reporting @x-zho14

---

NautilusTrader 1.183.0 Beta

Released on 12th January 2024 (UTC).

Enhancements

• Added NautilusConfig.json_primitives to convert object to Python dictionary with JSON primitive values
• Added InstrumentClass.BOND
• Added MessageBusConfig use_trader_prefix and use_trader_id config options (provides more control over stream names)
• Added CacheConfig.drop_instruments_on_reset (default True to retain current behavior)
• Implemented core logging interface via the log crate, thanks @twitu
• Implemented global atomic clock in Rust (improves performance and ensures properly monotonic timestamps in real-time), thanks @twitu
• Improved Interactive Brokers adapter raising docker RuntimeError only when needed (not when using TWS), thanks @rsmb7z
• Upgraded core HTTP client to latest hyper and reqwest, thanks @ayush-sb
• Optimized Arrow encoding (resulting in ~100x faster writes for the Parquet data catalog)

Breaking Changes

• Changed ParquetDataCatalog custom data prefix from geneticdata_ to custom_ (you will need to rename any catalog subdirs)
• Changed ComponentStateChanged Arrow schema for config from string to binary
• Changed OrderInitialized Arrow schema for options from string to binary
• Changed OrderBookDeltas dictionary representation of deltas field from JSON bytes to a list of dict (standardize with all other data types)
• Changed external message publishing stream name keys to be trader-{trader_id}-{instance_id}-streams (with options allows many traders to publish to the same streams)
• Renamed all version 2 data wrangler classes with a V2 suffix for clarity
• Renamed GenericData to CustomData (more accurately reflects the nature of the type)
• Renamed DataClient.subscribed_generic_data to .subscribed_custom_data
• Renamed MessageBusConfig.stream to .streams_prefix (more accurate)
• Renamed ParquetDataCatalog.generic_data to .custom_data
• Renamed TradeReport to FillReport (more conventional terminology, and more clearly separates market data from user execution reports)
• Renamed asset_type to instrument_class across the codebase (more conventional terminology)
• Renamed AssetType enum to InstrumentClass (more conventional terminology)
• Renamed AssetClass.BOND to AssetClass.DEBT (more conventional terminology)
• Removed AssetClass.METAL (not strictly an asset class, more a futures category)
• Removed AssetClass.ENERGY (not strictly an asset class, more a futures category)
• Removed multiplier parameter from Equity constructor (not applicable)
• Removed size_precision, size_increment, and multiplier fields from Equity dictionary representation (not applicable)
• Removed TracingConfig (now redundant with new logging implementation)
• Removed Ticker data type and associated methods (not a type which can be practically normalized and so becomes adapter specific generic data)
• Moved AssetClass.SPORTS_BETTING to InstrumentClass.SPORTS_BETTING

Fixes

• Fixed logger thread leak, thanks @twitu
• Fixed handling of configuration objects to work with StreamingFeatherWriter
• Fixed BinanceSpotInstrumentProvider fee loading key error for partial instruments load, thanks for reporting @doublier1
• Fixed Binance API key configuration parsing for testnet (was falling through to non-testnet env vars)
• Fixed TWAP execution algorithm scheduled size handling when first order should be for the entire size, thanks for reporting @pcgm-team
• Added BinanceErrorCode.SERVER_BUSY (-1008), also added to the retry error codes
• Added BinanceOrderStatus.EXPIRED_IN_MATCH which is when an order was canceled by the exchange due self-trade prevention (STP), thanks for reporting @doublier1

---

NautilusTrader 1.182.0 Beta

Released on 23rd December 2023 (UTC).

Enhancements

• Added CacheDatabaseFacade and CacheDatabaseAdapter to abstract backing technology from Python codebase
• Added RedisCacheDatabase implemented in Rust with separate MPSC channel thread for insert, update and delete operations
• Added TA-Lib integration, thanks @rsmb7z
• Added OrderBookDelta and OrderBookDeltas to serializable and publishable types
• Moved PortfolioFacade to Actor
• Improved Actor and Strategy usability to be more lenient to mistaken calls to clock and logger from the constructor (warnings also added to docs)
• Removed redis and hiredis dependencies from Python codebase

Breaking Changes

• Changed configuration objects to take stronger types as these are now serializable when registered (rather than primitives)
• Changed NautilusKernelConfig.trader_id to type TraderId
• Changed BacktestDataConfig.instrument_id to type InstrumentId
• Changed ActorConfig.component_id to type ComponentId | None
• Changed StrategyConfig.strategy_id to type StrategyId | None
• Changed Instrument, OrderFilled and AccountState info field serialization due below fix (you'll need to flush your cache)
• Changed CacheConfig to take a DatabaseConfig (better symmetry with MessageBusConfig)
• Changed RedisCacheDatabase data structure for currencies from hashset to simpler key-value (you'll need to clear cache or delete all currency keys)
• Changed Actor state loading to now use the standard Serializer
• Renamed register_json_encoding to register_config_encoding
• Renamed register_json_decoding to register_config_decoding
• Removed CacheDatabaseConfig (due above config change)
• Removed infrastructure subpackage (now redundant with new Rust implementation)

Fixes

• Fixed json encoding for CacheDatabaseAdapter from info field serialization fix below
• Fixed Instrument, OrderFilled and AccountState info field serialization to retain JSON serializable dicts (rather than double encoding and losing information)
• Fixed Binance Futures good_till_date value when time_in_force not GTD, such as when strategy is managing the GTD (was incorrectly passing through UNIX milliseconds)
• Fixed Executor handling of queued task IDs (was not discarding from queued tasks on completion)
• Fixed DataEngine handling of order book snapshots with very small intervals (now handles as short as 20 milliseconds)
• Fixed BacktestEngine.clear_actors(), BacktestEngine.clear_strategies() and BacktestEngine.clear_exec_algorithms(), thanks for reporting @davidsblom
• Fixed BacktestEngine OrderEmulator reset, thanks @davidsblom
• Fixed Throttler.reset and reset of RiskEngine throttlers, thanks @davidsblom

---

NautilusTrader 1.181.0 Beta

Released on 2nd December (UTC).

This release adds support for Python 3.12.

Enhancements

• Rewrote Interactive Brokers integration documentation, many thanks @benjaminsingleton
• Added Interactive Brokers adapter support for crypto instruments with cash quantity, thanks @benjaminsingleton
• Added HistoricInteractiveBrokerClient, thanks @benjaminsingleton and @limx0
• Added DataEngineConfig.time_bars_interval_type (determines the type of interval used for time aggregation left-open or right-open)
• Added LoggingConfig.log_colors to optionally use ANSI codes to produce colored logs (default True to retain current behavior)
• Added QuoteTickDataWrangler.process_bar_data options for offset_interval_ms and timestamp_is_close
• Added identifier generators in Rust, thanks @filipmacek
• Added OrderFactory in Rust, thanks @filipmacek
• Added WilderMovingAverage in Rust, thanks @ayush-sb
• Added HullMovingAverage in Rust, thanks @ayush-sb
• Added all common identifier generators in Rust, thanks @filipmacek
• Added generic SQL database support with sqlx in Rust, thanks @filipmacek

Breaking Changes

• Consolidated all data submodules into one data module (reduce binary wheel size)
• Moved OrderBook from model.orderbook.book to model.book (subpackage only had this single module)
• Moved Currency from model.currency to model.objects (consolidating modules to reduce binary wheel size)
• Moved MessageBus from common.msgbus to common.component (consolidating modules to reduce binary wheel size)
• Moved MsgSpecSerializer from serialization.msgpack.serializer to serialization.serializer
• Moved CacheConfig snapshot_orders, snapshot_positions, snapshot_positions_interval to NautilusKernelConfig (logical applicability)
• Renamed MsgPackSerializer to MsgSpecSeralizer (now handles both JSON and MsgPack formats)

Fixes

• Fixed missing trader_id in Position dictionary representation, thanks @filipmacek
• Fixed conversion of fixed-point integers to floats (should be dividing to avoid rounding errors), thanks for reporting @filipmacek
• Fixed daily timestamp parsing for Interactive Brokers, thanks @benjaminsingleton
• Fixed live reconciliation trade processing for partially filled then canceled orders
• Fixed RiskEngine cumulative notional risk check for CurrencyPair SELL orders on multi-currency cash accounts

---

NautilusTrader 1.180.0 Beta

Released on 3rd November 2023 (UTC).

Enhancements

• Improved internal latency for live engines by using loop.call_soon_threadsafe(...)
• Improved RedisCacheDatabase client connection error handling with retries
• Added WebSocketClient connection headers, thanks @ruthvik125 and @twitu
• Added support_contingent_orders config option for venues (to simulate venues which do not support contingent orders)
• Added StrategyConfig.manage_contingent_orders config option (to automatically manage open contingent orders)
• Added FuturesContract.activation_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added OptionContract.activation_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added CryptoFuture.activation_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added FuturesContract.expiration_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added OptionContract.expiration_utc property which returns a pd.Timestamp tz-aware (UTC)
• Added CryptoFuture.expiration_utc property which returns a pd.Timestamp tz-aware (UTC)

Breaking Changes

• Renamed FuturesContract.expiry_date to expiration_ns (and associated params) as uint64_t UNIX nanoseconds
• Renamed OptionContract.expiry_date to expiration_ns (and associated params) as uint64_t UNIX nanoseconds
• Renamed CryptoFuture.expiry_date to expiration_ns (and associated params) as uint64_t UNIX nanoseconds
• Changed FuturesContract Arrow schema
• Changed OptionContract Arrow schema
• Changed CryptoFuture Arrow schema
• Transformed orders will now retain the original ts_init timestamp
• Removed unimplemented batch_more option for Strategy.modify_order
• Removed InstrumentProvider.venue property (redundant as a provider may have many venues)
• Dropped support for Python 3.9

Fixes

• Fixed ParquetDataCatalog file writing template, thanks @limx0
• Fixed Binance all orders requests which would omit order reports when using a start param
• Fixed managed GTD orders past expiry cancellation on restart (orders were not being canceled)
• Fixed managed GTD orders cancel timer on order cancel (timers were not being canceled)
• Fixed BacktestEngine logging error with immediate stop (caused by certain timestamps being None)
• Fixed BacktestNode exceptions during backtest runs preventing next sequential run, thanks for reporting @cavan-black
• Fixed BinanceSpotPermission value error by relaxing typing for BinanceSpotSymbolInfo.permissions
• Interactive Brokers adapter various fixes, thanks @rsmb7z

---

NautilusTrader 1.179.0 Beta

Released on 22nd October 2023 (UTC).

A major feature of this release is the ParquetDataCatalog version 2, which represents months of collective effort thanks to contributions from Brad @limx0, @twitu, @ghill2 and @davidsblom.

This will be the final release with support for Python 3.9.

Enhancements

• Added ParquetDataCatalog v2 supporting built-in data types OrderBookDelta, QuoteTick, TradeTick and Bar
• Added Strategy specific order and position event handlers
• Added ExecAlgorithm specific order and position event handlers
• Added Cache.is_order_pending_cancel_local(...) (tracks local orders in cancel transition)
• Added BinanceTimeInForce.GTD enum member (futures only)
• Added Binance Futures support for GTD orders
• Added Binance internal bar aggregation inference from aggregated trades or 1-MINUTE bars (depending on lookback window)
• Added BinanceExecClientConfig.use_gtd config option (to remap to GTC and locally manage GTD orders)
• Added package version check for nautilus_ibapi, thanks @rsmb7z
• Added RiskEngine min/max instrument notional limit checks
• Added Controller for dynamically controlling actor and strategy instances for a Trader
• Added ReportProvider.generate_fills_report(...) which provides a row per individual fill event, thanks @r3k4mn14r
• Moved indicator registration and data handling down to Actor (now available for Actor)
• Implemented Binance WebSocketClient live subscribe and unsubscribe
• Implemented BinanceCommonDataClient retries for update_instruments
• Decythonized Trader

Breaking Changes

• Renamed BookType.L1_TBBO to BookType.L1_MBP (more accurate definition, as L1 is the top-level price either side)
• Renamed VenueStatusUpdate -> VenueStatus
• Renamed InstrumentStatusUpdate -> InstrumentStatus
• Renamed Actor.subscribe_venue_status_updates(...) to Actor.subscribe_venue_status(...)
• Renamed Actor.subscribe_instrument_status_updates(...) to Actor.subscribe_instrument_status(...)
• Renamed Actor.unsubscribe_venue_status_updates(...) to Actor.unsubscribe_venue_status(...)
• Renamed Actor.unsubscribe_instrument_status_updates(...) to Actor.unsubscribe_instrument_status(...)
• Renamed Actor.on_venue_status_update(...) to Actor.on_venue_status(...)
• Renamed Actor.on_instrument_status_update(...) to Actor.on_instrument_status(...)
• Changed InstrumentStatus fields/schema and constructor
• Moved manage_gtd_expiry from Strategy.submit_order(...) and Strategy.submit_order_list(...) to StrategyConfig (simpler and allows re-activating any GTD timers on start)

Fixes

• Fixed LimitIfTouchedOrder.create (exec_algorithm_params were not being passed in)
• Fixed OrderEmulator start-up processing of OTO contingent orders (when position from parent is open)
• Fixed SandboxExecutionClientConfig kw_only=True to allow importing without initializing
• Fixed OrderBook pickling (did not include all attributes), thanks @limx0
• Fixed open position snapshots race condition (added open_only flag)
• Fixed Strategy.cancel_order for orders in INITIALIZED state and with an emulation_trigger (was not sending command to OrderEmulator)
• Fixed BinanceWebSocketClient reconnect behavior (reconnect handler was not being called due event loop issue from Rust)
• Fixed Binance instruments missing max notional values, thanks for reporting @AnthonyVince and thanks for fixing @filipmacek
• Fixed Binance Futures fee rates for backtesting
• Fixed Timer missing condition check for non-positive intervals
• Fixed Condition checks involving integers, was previously defaulting to 32-bit and overflowing
• Fixed ReportProvider.generate_order_fills_report(...) which was missing partial fills for orders not in a final FILLED status, thanks @r3k4mn14r

---

NautilusTrader 1.178.0 Beta

Released on 2nd September 2023 (UTC).

Enhancements

None

Breaking Changes

None

Fixes

• Fixed OrderBookDelta.clear method (where the sequence field was swapped with flags causing an overflow)
• Fixed OrderManager OTO contingency handling on fills
• Fixed OrderManager duplicate order canceled events (race condition when processing contingencies)
• Fixed Cache loading of initialized emulated orders (were not being correctly indexed as emulated)
• Fixed Binance order book subscriptions for deltas at full depth (was not requesting initial snapshot), thanks for reporting @doublier1

---

NautilusTrader 1.177.0 Beta

Released on 26th August 2023 (UTC).

This release includes a large breaking change to quote tick bid and ask price property and parameter naming. This was done in the interest of maintaining our generally explicit naming standards, and has caused confusion for some users in the past. Data using 'bid' and 'ask' columns should still work with the legacy data wranglers, as columns are renamed under the hood to accommodate this change.

Enhancements

• Added ActorExecutor with Actor API for creating and running threaded tasks in live environments
• Added OrderEmulated event and associated OrderStatus.EMULATED enum variant
• Added OrderReleased event and associated OrderStatus.RELEASED enum variant
• Added BacktestVenueConfig.use_position_ids config option (default True to retain current behavior)
• Added Cache.exec_spawn_total_quantity(...) convenience method
• Added Cache.exec_spawn_total_filled_qty(...) convenience method
• Added Cache.exec_spawn_total_leaves_qty(...) convenience method
• Added WebSocketClient.send_text, thanks @twitu
• Implemented string interning for TimeEvent

Breaking Changes

• Renamed QuoteTick.bid to bid_price including all associated parameters (for explicit naming standards)
• Renamed QuoteTick.ask to ask_price including all associated parameters (for explicit naming standards)

Fixes

• Fixed execution algorithm position_id assignment in HEDGING mode
• Fixed OrderMatchingEngine processing of emulated orders
• Fixed OrderEmulator processing of exec algorithm orders
• Fixed ExecutionEngine processing of exec algorithm orders (exec spawn IDs)
• Fixed Cache emulated order indexing (were not being properly discarded from the set when closed)
• Fixed RedisCacheDatabase loading of transformed LIMIT orders
• Fixed a connection issue with the IB client, thanks @dkharrat and @rsmb7z

---

NautilusTrader 1.176.0 Beta

Released on 31st July 2023 (UTC).

Enhancements

• Implemented string interning with the ustr crate, thanks @twitu
• Added SyntheticInstrument capability, including dynamic derivation formulas
• Added Order.commissions() convenience method (also added to state snapshot dictionaries)
• Added Cache position and order state snapshots (configure via CacheConfig)
• Added CacheDatabaseConfig.timestamps_as_iso8601 to persist timestamps as ISO 8601 strings
• Added LiveExecEngineConfig.filter_position_reports to filter position reports from reconciliation
• Added Strategy.cancel_gtd_expiry to cancel managed GTD order expiration
• Added Binance Futures support for modifying LIMIT orders
• Added BinanceExecClientConfig.max_retries config option (for retrying order submit and cancel requests)
• Added BinanceExecClientConfig.retry_delay config option (the delay between retry attempts)
• Added BinanceExecClientConfig.use_reduce_only config option (default True to retain current behavior)
• Added BinanceExecClientConfig.use_position_ids config option (default True to retain current behavior)
• Added BinanceExecClientConfig.treat_expired_as_canceled option (default False to retain current behavior)
• Added BacktestVenueConfig.use_reduce_only config option (default True to retain current behavior)
• Added MessageBus.is_pending_request(...) method
• Added Level API for core OrderBook (exposes the bid and ask levels for the order book)
• Added Actor.is_pending_request(...) convenience method
• Added Actor.has_pending_requests() convenience method
• Added Actor.pending_requests() convenience method
• Added USDP (Pax Dollar) and TUSD (TrueUSD) stablecoins
• Improved OrderMatchingEngine handling when no fills (an error is now logged)
• Improved Binance live clients logging
• Upgraded Cython to v3.0.0 stable

Breaking Changes

• Moved filter_unclaimed_external_orders from ExecEngineConfig to LiveExecEngineConfig
• All Actor.request_* methods no longer take a request_id, but now return a UUID4 request ID
• Removed BinanceExecClientConfig.warn_gtd_to_gtd (now always an INFO level log)
• Renamed Instrument.native_symbol to raw_symbol (you must manually migrate or flush your cached instruments)
• Renamed Position.cost_currency to settlement_currency (standardize terminology)
• Renamed CacheDatabaseConfig.flush to flush_on_start (for clarity)
• Changed Order.ts_last to represent the UNIX nanoseconds timestamp of the last event (rather than fill)

Fixes

• Fixed Portfolio.net_position calculation to use Decimal rather than float to avoid rounding errors
• Fixed race condition on OrderFactory order identifiers generation
• Fixed dictionary representation of orders for venue_order_id (for three order types)
• Fixed Currency registration with core global map on creation
• Fixed serialization of OrderInitialized.exec_algorithm_params to spec (bytes rather than string)
• Fixed assignment of position IDs for contingent orders (when parent filled)
• Fixed PENDING_CANCEL -> EXPIRED as valid state transition (real world possibility)
• Fixed fill handling of reduce_only orders when partially filled
• Fixed Binance reconciliation which was requesting reports for the same symbol multiple times
• Fixed Binance Futures native symbol parsing (was actually Nautilus symbol values)
• Fixed Binance Futures PositionStatusReport parsing of position side
• Fixed Binance Futures TradeReport assignment of position ID (was hardcoded to hedging mode)
• Fixed Binance execution submitting of order lists
• Fixed Binance commission rates requests for InstrumentProvider
• Fixed Binance TriggerType parsing #1154, thanks for reporting @davidblom603
• Fixed Binance order parsing of invalid orders in execution reports #1157, thanks for reporting @graceyangfan
• Extended BinanceOrderType enum members to include undocumented INSURANCE_FUND, thanks for reporting @Tzumx
• Extended BinanceSpotPermissions enum members #1161, thanks for reporting @davidblom603

---

NautilusTrader 1.175.0 Beta

Released on 16th June 2023 (UTC).

The Betfair adapter is broken for this release pending integration with the new Rust order book. We recommend you do not upgrade to this version if you're using the Betfair adapter.

Enhancements

• Integrated Interactive Brokers adapter v2 into platform, thanks @rsmb7z
• Integrated core Rust OrderBook into platform
• Integrated core Rust OrderBookDelta data type
• Added core Rust HttpClient based on hyper, thanks @twitu
• Added core Rust WebSocketClient based on tokio-tungstenite, thanks @twitu
• Added core Rust SocketClient based on tokio TcpStream, thanks @twitu
• Added quote_quantity parameter to determine if order quantity is denominated in quote currency
• Added trigger_instrument_id parameter to trigger emulated orders from alternative instrument prices
• Added use_random_ids to add_venue(...) method, controls whether venue order, position and trade IDs will be random UUID4s (no change to current behavior)
• Added ExecEngineConfig.filter_unclaimed_external_orders config option, if unclaimed order events with an EXTERNAL strategy ID should be filtered/dropped
• Changed BinanceHttpClient to use new core HTTP client
• Defined public API for data, can now import directly from nautilus_trader.model.data (denest namespace)
• Defined public API for events, can now import directly from nautilus_trader.model.events (denest namespace)

Breaking Changes

• Upgraded pandas to v2
• Removed OrderBookSnapshot (redundant as can be represented as an initial CLEAR followed by deltas)
• Removed OrderBookData (redundant)
• Renamed Actor.handle_order_book_delta to handle_order_book_deltas (to more clearly reflect the OrderBookDeltas data type)
• Renamed Actor.on_order_book_delta to on_order_book_deltas (to more clearly reflect the OrderBookDeltas data type)
• Renamed inverse_as_quote to use_quote_for_inverse (ambiguous name, only applicable for notional calcs on inverse instruments)
• Changed Data contract (custom data), see docs
• Renamed core LogMessage to LogEvent to more clearly distinguish between the message field and the event struct itself (aligns with vector language)
• Renamed core LogEvent.timestamp_ns to LogEvent.timestamp (affects field name for JSON format)
• Renamed core LogEvent.msg to LogEvent.message (affects field name for JSON format)

Fixes

• Updated BinanceAccountType enum members and associated docs
• Fixed BinanceCommonExecutionClient iteration of OrderList orders
• Fixed heartbeats for BinanceWebSocketClient (new Rust client now responds with pong frames)
• Fixed Binance adapter typing for orderId, fromId, startTime and endTime (all are ints), thanks for reporting @davidsblom
• Fixed Currency equality to be based on the code field (avoiding equality issues over FFI), thanks for reporting @Otlk
• Fixed BinanceInstrumentProvider parsing of initial and maintenance margin values

---

NautilusTrader 1.174.0 Beta

Released on 19th May 2023 (UTC).

Breaking Changes

• Parquet schemas are now shifting towards catalog v2 (we recommend you don't upgrade if using legacy catalog)
• Moved order book data from model.orderbook.data into the model.data.book namespace

Enhancements

• Improved handling for backtest account blow-up scenarios (balance negative or margin exceeded)
• Added AccountMarginExceeded exception and refined AccountBalanceNegative
• Various improvements to Binance clients error handling and logging
• Improve Binance HTTP error messages

Fixes

• Fixed handling of emulated order contingencies (not based on status of spawned algorithm orders)
• Fixed sending execution algorithm commands from strategy
• Fixed OrderEmulator releasing of already closed orders
• Fixed MatchingEngine processing of reduce only for child contingent orders
• Fixed MatchingEngine position ID assignment for child contingent orders
• Fixed Actor handling of historical data from requests (will now call on_historical_data regardless of state), thanks for reporting @miller-moore
• Fixed pyarrow schema dictionary index keys being too narrow (int8 -> int16), thanks for reporting @rterbush

---

NautilusTrader 1.173.0 Beta

Released on 5th May 2023 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed BacktestEngine processing of venue(s) message queue based off time event ts_init
• Fixed Position.signed_decimal_qty (incorrect format precision in f-string), thanks for reporting @rsmb7z
• Fixed trailing stop type order updates for reduce_only instruction, thanks for reporting @Otlk
• Fixed updating of active execution algorithm orders (events weren't being cached)
• Fixed condition check for applying pending events (do not apply to orders at INITIALIZED status)

---

NautilusTrader 1.172.0 Beta

Released on 30th April 2023 (UTC).

Breaking Changes

• Removed legacy Rust parquet data catalog backend (based on arrow2)
• Removed Binance config for clock_sync_interval_secs (redundant/unused and should be handled at system level)
• Removed redundant rate limiting from Rust logger (and associated rate_limit config params)
• Renamed Future instrument to FuturesContract (avoids ambiguity)
• Renamed Option instrument to OptionContract (avoids ambiguity and naming conflicts in Rust)
• Reinstate hours and minutes time component for default order and position identifiers (easier debugging, less collisions)
• Setting time alerts for in the past or current time will generate an immediate TimeEvent (rather than being invalid)

Enhancements

• Added new DataFusion Rust parquet data catalog backend (yet to be integrated into Python)
• Added external_order_claims config option for StrategyConfig (for claiming external orders per instrument)
• Added Order.signed_decimal_qty()
• Added Cache.orders_for_exec_algorithm(...)
• Added Cache.orders_for_exec_spawn(...)
• Added TWAPExecAlgorithm and TWAPExecAlgorithmConfig to examples
• Build out ExecAlgorithm base class for implementing 'first class' execution algorithms
• Rewired execution for improved flow flexibility between emulated orders, execution algorithms and the RiskEngine
• Improved handling for OrderEmulator updating of contingent orders from execution algorithms
• 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 wheel size)
• Refined build and added additional debug Makefile convenience targets

Fixes

• Fixed processing of contingent orders when in a pending update state
• Fixed calculation of PnL for flipped positions (only book realized PnL against open position)
• Fixed WebSocketClient session disconnect, thanks for reporting @miller-moore
• Added missing BinanceSymbolFilterType.NOTIONAL
• Fixed incorrect Mul trait for Price and Quantity (not being used in Cython/Python layer)

---

NautilusTrader 1.171.0 Beta

Released on 30th March 2023 (UTC).

Breaking Changes

• Renamed all position net_qty fields and parameters to signed_qty (more accurate naming)
• NautilusKernelConfig removed all log_* config options (replaced by logging with LoggingConfig)
• Trading CurrencyPair instruments with a single-currency CASH account type no longer permitted (unrealistic)
• Changed PositionEvent parquet schemas (renamed net_qty field to signed_qty)

Enhancements

• Added LoggingConfig to consolidate logging configs, offering various file options and per component level filters
• Added BacktestVenueConfig.bar_execution to control whether bar data moves the matching engine markets (reinstated)
• Added optional request_id for actor data requests (aids processing responses), thanks @rsmb7z
• Added Position.signed_decimal_qty()
• Now using above signed quantity for Portfolio net position calculation, and LiveExecutionEngine reconciliation comparisons

Fixes

• Fixed BacktestEngine clock and logger handling (had a redundant extra logger and not swapping live clock in post run)
• Fixed close_position order event publishing and cache persistence for MarketOrder and SubmitOrder, thanks for reporting @rsmb7z

---

NautilusTrader 1.170.0 Beta

Released on 11th March 2023 (UTC).

Breaking Changes

• Moved backtest.data.providers to test_kit.providers
• Moved backtest.data.wranglers to persistence.wranglers (to be consolidated)
• Moved backtest.data.loaders to persistence.loaders (to be consolidated)
• Renamed from_datetime to start across data request methods and properties
• Renamed to_datetime to end across data request methods and properties
• Removed RiskEngineConfig.deny_modify_pending_update (as now redundant with new pending event sequencing)
• Removed redundant log sink machinery
• Changed parquet catalog schema dictionary integer key widths/types
• Invalidated all pickled data due to Cython 3.0.0b1 upgrade

Enhancements

• Added logging to file at core Rust level
• Added DataCatalogConfig for more cohesive data catalog configuration
• Added DataEngine.register_catalog to support historical data requests
• Added catalog_config field to base NautilusKernelConfig
• Changed to immediately caching orders and order lists in Strategy
• Changed to checking duplicate client_order_id and order_list_id in Strategy
• Changed generating and applying OrderPendingUpdate and OrderPendingCancel in Strategy
• PortfolioAnalyzer PnL statistics now take optional unrealized_pnl
• Backtest performance statistics now include unrealized PnL in total PnL

Fixes

• Fixed Binance Futures trigger type parsing
• Fixed DataEngine bar subscribe and unsubscribe logic, thanks for reporting @rsmb7z
• Fixed Actor handling of bars, thanks @limx0
• Fixed CancelAllOrders command handling for contingent orders not yet in matching core
• Fixed TrailingStopMarketOrder slippage calculation when no trigger_price, thanks for reporting @rsmb7z
• Fixed BinanceSpotInstrumentProvider parsing of quote asset (was using base), thanks for reporting @logogin
• Fixed undocumented Binance time in force 'GTE_GTC', thanks for reporting @graceyangfan
• Fixed Position calculation of last_qty when commission currency was equal to base currency, thanks for reporting @rsmb7z
• Fixed BacktestEngine post backtest run PnL performance statistics for currencies traded per venue, thanks for reporting @rsmb7z

---

NautilusTrader 1.169.0 Beta

Released on 18th February 2023 (UTC).

Breaking Changes

• NautilusConfig objects now pseudo-immutable from new msgspec 0.13.0
• Renamed OrderFactory.bracket parameter post_only_entry -> entry_post_only (consistency with other params)
• Renamed OrderFactory.bracket parameter post_only_tp -> tp_post_only (consistency with other params)
• Renamed build_time_bars_with_no_updates -> time_bars_build_with_no_updates (consistency with new param)
• Renamed OrderFactory.set_order_count() -> set_client_order_id_count() (clarity)
• Renamed TradingNode.start() to TradingNode.run()

Enhancements

• Complete overhaul and improvements to Binance adapter(s), thanks @poshcoe
• Added Binance aggregated trades functionality with use_agg_trade_ticks, thanks @poshcoe
• Added time_bars_timestamp_on_close config option for bar timestamping (True by default)
• Added OrderFactory.generate_client_order_id() (calls internal generator)
• Added OrderFactory.generate_order_list_id() (calls internal generator)
• Added OrderFactory.create_list(...) as easier method for creating order lists
• Added __len__ implementation for OrderList (returns length of orders)
• Implemented optimized logger using Rust MPSC channel and separate thread
• Expose and improve MatchingEngine public API for custom functionality
• Exposed TradingNode.run_async() for easier running from async context
• Exposed TradingNode.stop_async() for easier stopping from async context

Fixes

• Fixed registration of SimulationModule (and refine Actor base registration)
• Fixed loading of previously emulated and transformed orders (handles transforming OrderInitialized event)
• Fixed handling of MARKET_TO_LIMIT orders in matching and risk engines, thanks for reporting @martinsaip

---

NautilusTrader 1.168.0 Beta

Released on 29th January 2023 (UTC).

Breaking Changes

• Removed Cache.clear_cache() (redundant with the .reset() method)

Enhancements

• Added Cache .add(...) and .get(...) for general 'user/custom' objects (as bytes)
• Added CacheDatabase .add(...) and .load() for general cache objects (as bytes)
• Added RedisCacheDatabase .add(...) and .load() for general Redis persisted bytes objects (as bytes)
• Added Cache.actor_ids()
• Added Actor cached state saving and loading functionality
• Improved logging for called action handlers when not overridden

Fixes

• Fixed configuration of loading and saving actor and strategy state

---

NautilusTrader 1.167.0 Beta

Released on 28th January 2023 (UTC).

Breaking Changes

• Renamed OrderBookData.update_id to sequence
• Renamed BookOrder.id to order_id

Enhancements

• Introduced Rust PyO3 based ParquetReader and ParquetWriter, thanks @twitu
• Added msgbus.is_subscribed (to check if topic and handler already subscribed)
• Simplified message type model and introduce CQRS-ish live messaging architecture

Fixes

• Fixed Binance data clients order book startup buffer handling
• Fixed NautilusKernel redundant initialization of event loop for backtesting, thanks @limx0
• Fixed BacktestNode disposal sequence
• Fixed quick start docs and notebook

---

NautilusTrader 1.166.0 Beta

Released on 17th January 2023 (UTC).

Breaking Changes

• Position.unrealized_pnl now None until any realized PnL is generated (to reduce ambiguity)

Enhancements

• Added instrument status update subscription handlers, thanks @limx0
• Improvements to InteractiveBrokers DataClient, thanks @rsmb7z
• Improvements to async task handling for live clients
• Various improvements to Betfair adapter, thanks @limx0

Fixes

• Fixed netted Position realized_pnl and realized_return fields, which were incorrectly cumulative
• Fixed netted Position flip logic (now correctly 'resets' position)
• Various fixes for Betfair adapter, thanks @limx0
• InteractiveBrokers integration docs fixes

---

NautilusTrader 1.165.0 Beta

Released on 14th January 2023 (UTC).

A number of enum variant names have been changed in favour of explicitness, and also to avoid C naming collisions.

Breaking Changes

• Renamed AggressorSide.NONE to NO_AGGRESSOR
• Renamed AggressorSide.BUY to BUYER
• Renamed AggressorSide.SELL to SELLER
• Renamed AssetClass.CRYPTO to CRYPTOCURRENCY
• Renamed LiquiditySide.NONE to NO_LIQUIDITY_SIDE
• Renamed OMSType to OmsType
• Renamed OmsType.NONE to UNSPECIFIED
• Renamed OrderSide.NONE to NO_ORDER_SIDE
• Renamed PositionSide.NONE to NO_POSITION_SIDE
• Renamed TrailingOffsetType.NONE to NO_TRAILING_OFFSET
• Removed TrailingOffsetType.DEFAULT
• Renamed TriggerType.NONE to NO_TRIGGER
• Renamed TriggerType.LAST to LAST_TRADE
• Renamed TriggerType.MARK to MARK_PRICE
• Renamed TriggerType.INDEX to INDEX_PRICE
• Renamed ComponentState.INITIALIZED to READY
• Renamed OrderFactory.bracket(post_only) to post_only_entry
• Moved manage_gtd_expiry to Strategy.submit_order(...) and Strategy.submit_order_list(...)

Enhancements

• Added BarSpecification.timedelta property, thanks @rsmb7z
• Added DataEngineConfig.build_time_bars_with_no_updates config option
• Added OrderFactory.bracket(post_only_tp) param
• Added OrderListIdGenerator and integrate with OrderFactory
• Added Cache.add_order_list(...)
• Added Cache.order_list(...)
• Added Cache.order_lists(...)
• Added Cache.order_list_exists(...)
• Added Cache.order_list_ids(...)
• Improved generation of OrderListId from factory to ensure uniqueness
• Added auction matches for backtests, thanks @limx0
• Added .timedelta property to BarSpecification, thanks @rsmb7z
• Numerous improvements to the Betfair adapter, thanks @limx0
• Improvements to Interactive Brokers data subscriptions, thanks @rsmb7z
• Added DataEngineConfig.validate_data_sequence (default False and currently only for Bar data), thanks @rsmb7z

Fixes

• Added TRD_GRP_* enum variants for Binance spot permissions
• Fixed PARTIALLY_FILLED -> EXPIRED order state transition, thanks @bb01100100

---

NautilusTrader 1.164.0 Beta

Released on 23rd December 2022 (UTC).

Breaking Changes

None

Enhancements

• Added managed GTD order expiry (experimental feature, config may change)
• Added Rust ParquetReader and ParquetWriter (for QuoteTick and TradeTick only)

Fixes

• Fixed MARKET_IF_TOUCHED orders for OrderFactory.bracket(..)
• Fixed OrderEmulator trigger event handling for live trading
• Fixed OrderEmulator transformation to market orders which had a GTD time in force
• Fixed serialization of OrderUpdated events
• Fixed typing and edge cases for new msgspec, thanks @limx0
• Fixed data wrangler processing with missing data, thanks @rsmb7z

---

NautilusTrader 1.163.0 Beta

Released on 17th December 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed MARKET_IF_TOUCHED and LIMIT_IF_TOUCHED trigger and modify behavior
• Fixed MatchingEngine updates of stop order types
• Fixed combinations of passive or immediate trigger vs passive or immediate fill behavior
• Fixed memory leaks from passing string pointers from Rust, thanks @twitu

---

NautilusTrader 1.162.0 Beta

Released on 12th December 2022 (UTC).

Breaking Changes

• OrderFactory bracket order methods consolidated to .bracket(...)

Enhancements

• Extended OrderFactory to provide more bracket order types
• Simplified GitHub CI and removed nox dependency

Fixes

• Fixed OrderBook sorting for bid side, thanks @gaugau3000
• Fixed MARKET_TO_LIMIT order initial fill behavior
• Fixed BollingerBands indicator mid-band calculations, thanks zhp (Discord)

---

NautilusTrader 1.161.0 Beta

Released on 10th December 2022 (UTC).

This release adds support for Python 3.11.

Breaking Changes

• Renamed OrderFactory.bracket_market to OrderFactory.bracket_market_entry
• Renamed OrderFactory.bracket_limit to OrderFactory.bracket_limit_entry
• Renamed OrderFactory bracket order price and trigger_price parameters

Enhancements

• Consolidated config objects to msgspec providing better performance and correctness
• Added OrderFactory.bracket_stop_limit_entry_stop_limit_tp(...)
• Numerous improvements to the Interactive Brokers adapter, thanks @limx0 and @rsmb7z
• Removed dependency on pydantic

Fixes

• Fixed STOP_MARKET order behavior to fill at market on immediate trigger
• Fixed STOP_LIMIT order behavior to fill at market on immediate trigger and marketable
• Fixed STOP_LIMIT order behavior to fill at market on processed trigger and marketable
• Fixed LIMIT_IF_TOUCHED order behavior to fill at market on immediate trigger and marketable
• Fixed Binance start and stop time units for bar (kline) requests, thanks @Tzumx
• RiskEngineConfig.bypass set to True will now correctly bypass throttlers, thanks @DownBadCapital
• Fixed updating of emulated orders
• Numerous fixes to the Interactive Brokers adapter, thanks @limx0 and @rsmb7z

---

NautilusTrader 1.160.0 Beta

Released on 28th November 2022 (UTC).

Breaking Changes

• Removed time portion from generated IDs (affects ClientOrderId and PositionOrderId)
• Renamed orderbook.data.Order to orderbook.data.BookOrder (reduce conflicts/confusion)
• Renamed Instrument.get_cost_currency(...) to Instrument.get_settlement_currency(...) (more accurate terminology)

Enhancements

• Added emulated contingent orders capability to OrderEmulator
• Moved test_kit module to main package to support downstream project/package testing

Fixes

• Fixed position event sequencing: now generates PositionOpened when reopening a closed position
• Fixed LIMIT order fill characteristics when immediately marketable as a taker
• Fixed LIMIT order fill characteristics when passively filled as a maker as quotes move through
• Fixed canceling OTO contingent orders when still in-flight
• Fixed RiskEngine notional check when selling cash assets (spot currency pairs)
• Fixed flush on closed file bug for persistence stream writers

---

NautilusTrader 1.159.0 Beta

Released on 18th November 2022 (UTC).

Breaking Changes

• Removed FTX integration
• Renamed SubmitOrderList.list to SubmitOrderList.order_list
• Slight adjustment to bar aggregation (will not use the last close as the open)

Enhancements

• Implemented TRAILING_STOP_MARKET orders for Binance Futures (beta)
• Added OUO One-Updates-Other ContingencyType with matching engine implementation
• Added bar price fallback for exchange rate calculations, thanks @ghill2

Fixes

• Fixed dealloc of Rust backing struct on Python exceptions causing segfaults
• Fixed bar aggregation start times for bar specs outside typical intervals (60-SECOND rather than 1-MINUTE etc)
• Fixed backtest engine main loop ordering of time events with identically timestamped data
• Fixed ModifyOrder message str and repr when no quantity
• Fixed OCO contingent orders which were actually implemented as OUO for backtests
• Fixed various bugs for Interactive Brokers integration, thanks @limx0 and @rsmb7z
• Fixed pyarrow version parsing, thanks @ghill2
• Fixed returning venue from InstrumentId, thanks @rsmb7z

---

NautilusTrader 1.158.0 Beta

Released on 3rd November 2022 (UTC).

Breaking Changes

• Added LiveExecEngineConfig.reconciliation boolean flag to control if reconciliation is active
• Removed LiveExecEngineConfig.reconciliation_auto (unclear naming and concept)
• All Redis keys have changed to a lowercase convention (either migrate or flush your Redis)
• Removed BidAskMinMax indicator (to reduce total package size)
• Removed HilbertPeriod indicator (to reduce total package size)
• Removed HilbertSignalNoiseRatio indicator (to reduce total package size)
• Removed HilbertTransform indicator (to reduce total package size)

Enhancements

• Improved accuracy of clocks for backtests (all clocks will now match generated TimeEvents)
• Improved risk engine checks for reduce_only orders
• Added Actor.request_instruments(...) method
• Added Order.would_reduce_only(...) method
• Extended instrument(s) Req/Res handling for DataClient and `Actor

Fixes

• Fixed memory management for Rust backing structs (now being properly freed)

---

NautilusTrader 1.157.0 Beta

Released on 24th October 2022 (UTC).

Breaking Changes

• None

Enhancements

• Added experimental local order emulation for all order types (except MARKET and MARKET_TO_LIMIT) see docs
• Added min_latency, max_latency and avg_latency to HttpClient base class

Fixes

• Fixed Binance Spot display_qty for iceberg orders, thanks @JackMa
• Fixed Binance HTTP client error logging

---

NautilusTrader 1.156.0 Beta

Released on 19th October 2022 (UTC).

This will be the final release with support for Python 3.8.

Breaking Changes

• Added OrderSide.NONE enum variant
• Added PositionSide.NO_POSITION_SIDE enum variant
• Changed order of TriggerType enum variants
• Renamed AggressorSide.UNKNOWN to AggressorSide.NONE (for consistency with other enums)
• Renamed Order.type to Order.order_type (reduces ambiguity and aligns with Rust struct field)
• Renamed OrderInitialized.type to OrderInitialized.order_type reduces ambiguity)
• Renamed Bar.type to Bar.bar_type (reduces ambiguity and aligns with Rust struct field)
• Removed redundant check_position_exists flag
• Removed hyperopt as considered unmaintained and there are better options
• Existing pickled data for QuoteTick is now invalid (change to schema for correctness)
• Existing catalog data for OrderInitialized is now invalid (change to schema for emulation)

Enhancements

• Added configurable automated in-flight order status checks
• Added order side filter to numerous cache order methods
• Added position side filter to numerous cache position methods
• Added optional order_side to cancel_all_orders strategy method
• Added optional position_side to close_all_positions strategy method
• Added support for Binance Spot second bars
• Added RelativeVolatilityIndex indicator, thanks @graceyangfan
• Extracted OrderMatchingEngine from SimulatedExchange with refinements
• Extracted MatchingCore from OrderMatchingEngine
• Improved HTTP error handling and client logging (messages now contain reason)

Fixes

• Fixed price and size precision validation for QuoteTick from raw values
• Fixed IB adapter data parsing for decimal precision
• Fixed HTTP error handling and releasing of response coroutines, thanks @JackMa
• Fixed Position calculations and account for when any base currency == commission currency, thanks @JackMa

---

NautilusTrader 1.155.0 Beta

Released on September 15th 2022 (UTC).

This is an early release to address some parsing bugs in the FTX adapter.

Breaking Changes

None

Enhancements

None

Fixes

• Fixed parsing bug for FTX futures
• Fixed parsing bug for FTX Bar

---

NautilusTrader 1.154.0 Beta

Released on September 14th 2022 (UTC).

Breaking Changes

• Changed ExecEngineConfig allow_cash_positions default to True (more typical use case)
• Removed check parameter from Bar (always checked for simplicity)

Enhancements

• Added MARKET_TO_LIMIT order implementation for SimulatedExchange
• Make strategy order_id_tag truly optional and auto incrementing
• Added PsychologicalLine indicator, thanks @graceyangfan
• Added initial Rust parquet integration, thanks @twitu and @ghill2
• Added validation for setting leverages on CASH accounts
• De-cythonized live data and execution client base classes for usability

Fixes

• Fixed limit order IOC and FOK behavior, thanks @limx0 for identifying
• Fixed FTX CryptoFuture instrument parsing, thanks @limx0
• Fixed missing imports in data catalog example notebook, thanks @gaugau3000
• Fixed order update behavior, affected orders:
  • LIMIT_IF_TOUCHED
  • MARKET_IF_TOUCHED
  • MARKET_TO_LIMIT
  • STOP_LIMIT

---

NautilusTrader 1.153.0 Beta

Released on September 6th 2022 (UTC).

Breaking Changes

None

Enhancements

• Added trigger orders for FTX adapter
• Improved BinanceBar to handle enormous quote volumes
• Improved robustness of instrument parsing for Binance and FTX adapters
• Improved robustness of WebSocket message handling for Binance and FTX adapters
• Added override_usd option for FTX adapter
• Added log_warnings config option for Binance and FTX instrument providers
• Added TRD_GRP_005 enum variant for Binance spot permissions

Fixes

• Fixed bar aggregator partial bar handling
• Fixed CurrencyType variants in Rust
• Fixed missing encoding in Catalog parsing method, thanks @limx0 and @aviatorBeijing

---

NautilusTrader 1.152.0 Beta

Released on September 1st 2022 (UTC).

Breaking Changes

• Renamed offset_type to trailing_offset_type
• Renamed is_frozen_account to frozen_account
• Removed bar_execution from config API (implicitly turned on with bars currently)

Enhancements

• Added TRAILING_STOP_MARKET order implementation for SimulatedExchange
• Added TRAILING_STOP_LIMIT order implementation for SimulatedExchange
• Added all simulated exchange options to BacktestVenueConfig

Fixes

• Fixed creation and caching of order book on subscribing to deltas, thanks @limx0
• Fixed use of LoopTimer in live clock for trading node, thanks @sidnvy
• Fixed order cancels for IB adapter, thanks @limx0

---

NautilusTrader 1.151.0 Beta

Released on August 22nd 2022 (UTC).

Breaking Changes

None

Enhancements

• Added on_historical_data method with wiring for functionality
• Added 'unthrottled' 0ms order book updates for Binance Futures
• Improved robustness of WebSocketClient base during reconnects

Fixes

• Fixed sdist includes for Rust Cargo files
• Fixed LatencyModel integer overflows, thanks @limx0
• Fixed parsing of Binance Futures FUNDING_FEE updates
• Fixed asyncio.tasks.gather for Python 3.10+

---

NautilusTrader 1.150.0 Beta

Released on August 15th 2022 (UTC).

Breaking Changes

• BacktestEngine now required venues to be added prior to instruments
• BacktestEngine now requires instruments to be added prior to data
• Renamed Ladder.reverse to Ladder.is_reversed
• Portfolio performance now displays commissions as a negative

Enhancements

• Added initial backtest config validation for instrument vs venue
• Added initial sandbox execution client
• Added leverage options for BacktestVenueConfig, thanks @miller-moore
• Allow Trader to run without strategies loaded
• Integrated core Rust clock and timer
• De-cythonize InstrumentProvider base class

Fixes

• Fixed double counting of commissions for single-currency and multi-currency accounts #657

---

NautilusTrader 1.149.0 Beta

Released on 27th June 2022 (UTC).

Breaking Changes

• Schema change for Instrument.info for ParquetDataCatalog

Enhancements

• Added DirectionalMovementIndicator indicator, thanks @graceyangfan
• Added KlingerVolumeOscillator indicator, thanks @graceyangfan
• Added clientId and start_gateway for IB config, thanks @niks199

Fixes

• Fixed macOS ARM64 build
• Fixed Binance testnet URL
• Fixed IB contract ID dict, thanks @niks199
• Fixed IB InstrumentProvider #685, thanks @limx0
• Fixed IB orderbook snapshots L1 value assertion #712 , thanks @limx0

---

NautilusTrader 1.148.0 Beta

Released on 30th June 2022 (UTC).

Breaking Changes

None

Enhancements

• Ported core bar objects to Rust thanks @ghill2
• Improved core unix_nanos_to_iso8601 performance by 30% thanks @ghill2
• Added DataCatalog interface for ParquetDataCatalog thanks @jordanparker6
• Added AroonOscillator indicator thanks @graceyangfan
• Added ArcherMovingAveragesTrends indicator thanks @graceyangfan
• Added DoubleExponentialMovingAverage indicator thanks @graceyangfan
• Added WilderMovingAverage indicator thanks @graceyangfan
• Added ChandeMomentumOscillator indicator thanks @graceyangfan
• Added VerticalHorizontalFilter indicator thanks @graceyangfan
• Added Bias indicator thanks @graceyangfan

Fixes

None

---

NautilusTrader 1.147.1 Beta

Released on 6th June 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed incorrect backtest log timestamps (was using actual time)
• Fixed formatting of timestamps for nanoseconds zulu as per RFC3339

---

NautilusTrader 1.147.0 Beta

Released on 4th June 2022 (UTC).

Breaking Changes

None

Enhancements

• Improved error handling for invalid state triggers
• Improved component state transition behavior and logging
• Improved TradingNode disposal flow
• Implemented core monotonic clock
• Implemented logging in Rust
• Added CommodityChannelIndex indicator thanks @graceyangfan

Fixes

None

---

NautilusTrader 1.146.0 Beta

Released on 22nd May 2022 (UTC).

Breaking Changes

• AccountId constructor now takes single value string
• Removed redundant UUIDFactory and all associated backing fields and calls
• Removed ClientOrderLinkId (not in use)

Enhancements

• Refinements and improvements to Rust core

Fixes

• Fixed pre-trade notional risk checks incorrectly applied to MARGIN accounts
• Fixed net_qty in PositionStatusReport thanks to @sidnvy
• Fixed LinearRegression indicator thanks to @graceyangfan

---

NautilusTrader 1.145.0 Beta

Released on 15th May 2022 (UTC).

This is an early release due to the build error in the sdist for 1.144.0. The error is due to the nautilus_core Rust source not being included in the sdist package.

Breaking Changes

• All raw order constructors now take expire_time_ns int64 rather than a datetime
• All order serializations due to expire_time_ns option handling
• PortfolioAnalyzer moved from Trader to Portfolio

Enhancements

• PortfolioAnalyzer now available to strategies via self.portfolio.analyzer

Fixes

None

---

NautilusTrader 1.144.0 Beta

Released on 10th May 2022 (UTC).

Breaking Changes

• Removed BacktestEngine.add_ticks() as redundant with .add_data()
• Removed BacktestEngine.add_bars() as redundant with .add_data()
• Removed BacktestEngine.add_generic_data() as redundant with .add_data()
• Removed BacktestEngine.add_order_book_data() as redundant with .add_data()
• Renamed Position.from_order to Position.opening_order_id
• Renamed StreamingPersistence to StreamingFeatherWriter
• Renamed PersistenceConfig to StreamingConfig
• Renamed PersistenceConfig.flush_interval to flush_interval_ms

Enhancements

• Added Actor.publish_signal for generic dynamic signal data
• Added WEEK and MONTH bar aggregation options
• Added Position.closing_order_id property
• Added tags parameter to Strategy.submit_order
• Added optional check_position_exists flag to Strategy.submit_order
• Eliminated all use of unsafe Rust and C null-terminated byte strings
• The bypass_logging config option will also now bypass the BacktestEngine logger

Fixes

• Fixed behavior of IOC and FOK time in force instructions
• Fixed Binance bar resolution parsing

---

NautilusTrader 1.143.0 Beta

Released on 21st April 2022 (UTC).

Breaking Changes

None

Enhancements

None

Fixes

• Fixed segfault for CashAccount.calculate_balance_locked with no base currency
• Various FeatherWriter fixes

---

NautilusTrader 1.142.0 Beta

Released on 17th April 2022 (UTC).

Breaking Changes

• BacktestNode now requires configs at initialization
• Removed run_configs parameter from BacktestNode.run() method
• Removed return_engine flag
• Renamed TradingStrategy to Strategy
• Renamed TradingStrategyConfig to StrategyConfig
• Changes to configuration object import paths
• Removed redundant realized_points concept from Position

Enhancements

• Added BacktestNode.get_engines() method
• Added BacktestNode.get_engine(run_config_id) method
• Added Actor.request_instrument() method (also applies to Strategy)
• Added Cache.snapshot_position() method
• All configuration objects can now be imported directly from nautilus_trader.config
• Execution engine now takes snapshots of closed netted positions
• Performance statistics now based on total positions and snapshots
• Added Binance Spot/Margin external order handling
• Added support for millisecond bar aggregation
• Added configurable debug mode for engines (with extra debug logging)
• Improved annualized portfolio statistics with configurable period

Fixes

None

---

NautilusTrader 1.141.0 Beta

Released on 4th April 2022 (UTC).

Breaking Changes

• Renamed BacktestNode.run_sync() to BacktestNode.run()
• Renamed flatten_position() to close_position()
• Renamed flatten_all_positions() to close_all_positions()
• Renamed Order.flatten_side() to Order.closing_side()
• Renamed TradingNodeConfig check_residuals_delay to timeout_post_stop
• The SimulatedExchange will now 'receive' market data prior to the DataEngine (note that this did not affect any test)
• Tightened requirement for DataType types to be subclasses of Data
• CacheDatabaseConfig.type now defaults to in-memory
• NAUTILUS_CATALOG env var changed to NAUTILUS_PATH
• DataCatalog root path now located under $OLD_PATH/catalog/ from the Nautilus path
• hiredis and redis are now optional extras as 'redis'
• hyperopt is now an optional extra as 'hyperopt'

Enhancements

• Unify NautilusKernel across backtest and live systems
• Improved configuration by grouping into config subpackage
• Improved configuration objects and flows
• Numerous improvements to the Binance Spot/Margin and Futures integration
• Added Docker image builds and GH packages
• Added BinanceFuturesMarkPriceUpdate type and data stream
• Added generic subscribe and unsubscribe to template
• Added Binance Futures COIN_M testnet
• The clarity of various error messages was improved

Fixes

• Fixed multiple instruments in DataCatalog (#554), (#560) by @limx0
• Fixed timestamp ordering streaming from DataCatalog (#561) by @limx0
• Fixed CSVReader (#563) by @limx0
• Fixed slow subscribers to the Binance WebSocket streams
• Fixed configuration of base_currency for backtests
• Fixed importable strategy configs (previously not returning correct class)
• Fixed fully_qualified_name() format

---

NautilusTrader 1.140.0 Beta

Release Notes

Released on 13th March 2022 (UTC).

This is a patch release which fixes a moderate severity security vulnerability in pillow < 9.0.1:

If the path to the temporary directory on Linux or macOS contained a space,
this would break removal of the temporary image file after im.show() (and related actions),
and potentially remove an unrelated file. This been present since PIL.

This release upgrades to pillow 9.0.1.

Note the minor version was incremented in error.

---

NautilusTrader 1.139.0 Beta

Release Notes

Released on 11th March 2022 (UTC).

Breaking Changes

• Renamed CurrencySpot to CurrencyPair
• Renamed PerformanceAnalyzer to PortfolioAnalyzer
• Renamed BacktestDataConfig.data_cls_path to data_cls
• Renamed BinanceTicker to BinanceSpotTicker
• Renamed BinanceSpotExecutionClient to BinanceExecutionClient

Enhancements

• Added initial (beta) Binance Futures adapter implementation
• Added initial (beta) Interactive Brokers adapter implementation
• Added custom portfolio statistics
• Added CryptoFuture instrument
• Added OrderType.MARKET_TO_LIMIT
• Added OrderType.MARKET_IF_TOUCHED
• Added OrderType.LIMIT_IF_TOUCHED
• Added MarketToLimitOrder order type
• Added MarketIfTouchedOrder order type
• Added LimitIfTouchedOrder order type
• Added Order.has_price property (convenience)
• Added Order.has_trigger_price property (convenience)
• Added msg parameter to LoggerAdapter.exception()
• Added WebSocket log_send and log_recv config options
• Added WebSocket auto_ping_interval (seconds) config option
• Replaced msgpack with msgspec (faster drop in replacement https://github.com/jcrist/msgspec)
• Improved exception messages by providing helpful context
• Improved BacktestDataConfig API: now takes either a type of Data or a fully qualified path string

Fixes

• Fixed FTX execution WebSocket 'ping strategy'
• Fixed non-deterministic config dask tokenization

---

NautilusTrader 1.138.0 Beta

Release Notes

Released on 15th February 2022 (UTC).

This release contains numerous method, parameter and property name changes

For consistency and standardization with other protocols, the ExecutionId type has been renamed to TradeId as they express the same concept with a more standardized terminology. In the interests of enforcing correctness and safety this type is now utilized for the TradeTick.trade_id.

Breaking Changes

• Renamed working orders to open orders including all associated methods and params
• Renamed completed orders to closed orders including all associated methods and params
• Removed active order concept (often confused with open)
• Renamed trigger to trigger_price
• Renamed StopMarketOrder.price to StopMarketOrder.trigger_price
• Renamed all params related to a StopMarketOrders price to trigger_price
• Renamed ExecutionId to TradeId
• Renamed execution_id to trade_id
• Renamed Order.trade_id to Order.last_trade_id (for clarity)
• Renamed other variations and references of 'execution ID' to 'trade ID'
• Renamed contingency to contingency_type

Enhancements

• Introduced the TradeId type to enforce trade_id typing
• Improve handling of unleveraged cash asset positions including Crypto and Fiat spot currency instruments
• Added ExecEngineConfig config option allow_cash_positions (False by default)
• Added TrailingOffsetType enum
• Added TrailingStopMarketOrder
• Added TrailingStopLimitOrder
• Added trailing order factory methods
• Added trigger_type parameter to stop orders
• Added TriggerType enum
• Large refactoring of order base and impl classes
• Overhaul of execution reports
• Overhaul of execution state reconciliation

Fixes

• Fixed WebSocket base reconnect handling

---

NautilusTrader 1.137.1 Beta

Release Notes

Released on 15th January 2022 (UTC).

This is a patch release which fixes moderate to high severity security vulnerabilities in pillow < 9.0.0:

• PIL.ImageMath.eval allows evaluation of arbitrary expressions, such as ones that use the Python exec method
• path_getbbox in path.c has a buffer over-read during initialization of ImagePath.Path
• path_getbbox in path.c improperly initializes ImagePath.Path

This release upgrades to pillow 9.0.0.

---

NautilusTrader 1.137.0 Beta

Release Notes

Released on 12th January 2022 (UTC).

Breaking Changes

• Removed redundant currency parameter from AccountBalance
• Renamed local_symbol to native_symbol
• Removed the VenueType enum and venue_type parameter in favour of a routing bool flag
• Removed account_id parameter from execution client factories and constructors
• Changed venue generated IDs (order, execution, position) which now begin with the venue ID

Enhancements

• Added FTX integration for testing
• Added FTX US configuration option
• Added Binance US configuration option
• Added MarginBalance object to assist with margin account functionality

Fixes

• Fixed parsing of BarType with symbols including hyphens -
• Fixed BinanceSpotTicker __repr__ (was missing whitespace after a comma)
• Fixed DataEngine requests for historical TradeTick
• Fixed DataEngine _handle_data_response typing of data to object

---

NautilusTrader 1.136.0 Beta

Release Notes

Released on 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 parameter to pattern
• Renamed MessageBus.has_subscribers method parameter 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 on 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.

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.

Breaking Changes

None

Enhancements

• Added LatencyModel for simulated exchange
• Added last_update_id to order books
• Added update_id to order book data
• Added depth parameter when subscribing to order book deltas
• Added Clock.timestamp_ms()
• Added TestDataProvider and consolidate test data
• Added orjson default serializer for arrow
• Reorganized example strategies and launch scripts

Fixes

• Fixed logic for partial fills in backtests
• Various Betfair integration fixes
• Various BacktestNode fixes

---

NautilusTrader 1.132.0 Beta

Release Notes

Released on 24th October 2021.

Breaking Changes

• Actor constructor now takes ActorConfig

Enhancements

• Added ActorConfig
• Added ImportableActorConfig
• Added ActorFactory
• Added actors to BacktestRunConfig
• Improved network base classes
• Refine InstrumentProvider

Fixes

• Fixed persistence config for BacktestNode
• Various Betfair integration fixes

---

NautilusTrader 1.131.0 Beta

Release Notes

Released on 10th October 2021.

Breaking Changes

• Renamed nanos_to_unix_dt to unix_nanos_to_dt (more accurate name)
• Changed Clock.set_time_alert(...) method signature
• Changed Clock.set_timer(...) method signature
• Removed pd.Timestamp from TimeEvent

Enhancements

• OrderList submission and OTO, OCO contingencies now operational
• Added Cache.orders_for_position(...) method
• Added Cache.position_for_order(...) method
• Added SimulatedExchange.get_working_bid_orders(...) method
• Added SimulatedExchange.get_working_ask_orders(...) method
• Added optional run_config_id for backtest runs
• Added BacktestResult object
• Added Clock.set_time_alert_ns(...) method
• Added Clock.set_timer_ns(...) method
• Added fill_limit_at_price simulated exchange option
• Added fill_stop_at_price simulated exchange option
• Improve timer and time event efficiency

Fixes

• Fixed OrderUpdated leaves quantity calculation
• Fixed contingency order logic at the exchange
• Fixed indexing of orders for a position in the cache
• Fixed flip logic for zero-sized positions (not a flip)

---

NautilusTrader 1.130.0 Beta

Release Notes

Released on 26th September 2021.

Breaking Changes

• BacktestEngine.run method signature change
• Renamed BookLevel to BookType
• Renamed FillModel params

Enhancements

• Added streaming backtest machinery.
• Added quantstats (removed empyrical)
• Added BacktestEngine.run_streaming()
• Added BacktestEngine.end_streaming()
• Added Portfolio.balances_locked(venue)
• Improved DataCatalog functionality
• Improved logging for BacktestEngine
• Improved parquet serialization and machinery

Fixes

• Fixed SimulatedExchange message processing
• Fixed BacktestEngine event ordering in main loop
• Fixed locked balance calculation for CASH accounts
• Fixed fill dynamics for reduce-only orders
• Fixed PositionId handling for HEDGING OMS exchanges
• Fixed parquet Instrument serialization
• Fixed CASH account PnL calculations with base currency

---

NautilusTrader 1.129.0 Beta

Release Notes

Released on 12th September 2021.

Breaking Changes

• Removed CCXT adapter (#428)
• Backtest configuration changes
• Renamed UpdateOrder to ModifyOrder (terminology standardization)
• Renamed DeltaType to BookAction (terminology standardization)

Enhancements

• Added BacktestNode
• Added BookIntegrityError with improved integrity checks for order books
• Added order custom user tags
• Added Actor.register_warning_event (also applicable to TradingStrategy)
• Added Actor.deregister_warning_event (also applicable to TradingStrategy)
• Added ContingencyType enum (for contingent orders in an OrderList)
• All order types can now be reduce_only (#437)
• Refined backtest configuration options
• Improved efficiency of UUID4 using the Rust fastuuid Python bindings

Fixes

• Fixed Redis loss of precision for int64_t nanosecond timestamps (#363)
• Fixed behavior of reduce_only orders for both submission and filling (#437)
• Fixed PnL calculation for CASH accounts when commission negative (#436), thanks for reporting @imcu

---

NautilusTrader 1.128.0 Beta - Release Notes

Released on 30th August 2021.

This release continues the focus on the core system, with upgrades and cleanups to the component base class. The concept of an active order has been introduced, which is an order whose state can change (is not a completed order).

Breaking Changes

• All configuration due pydantic upgrade
• Throttling config now takes string e.g. "100/00:00:01" which is 100 / second
• Renamed DataProducerFacade to DataProducer
• Renamed fill.side to fill.order_side (clarity and standardization)
• Renamed fill.type to fill.order_type (clarity and standardization)

Enhancements

• Added serializable configuration classes leveraging pydantic
• Improved adding bar data to BacktestEngine
• Added BacktestEngine.add_bar_objects()
• Added BacktestEngine.add_bars_as_ticks()
• Added order active concept, with order.is_active and cache methods
• Added ComponentStateChanged event
• Added Component.degrade() and Component.fault() command methods
• Added Component.on_degrade() and Component.on_fault() handler methods
• Added ComponentState.PRE_INITIALIZED
• Added ComponentState.DEGRADING
• Added ComponentState.DEGRADED
• Added ComponentState.FAULTING
• Added ComponentState.FAULTED
• Added ComponentTrigger.INITIALIZE
• Added ComponentTrigger.DEGRADE
• Added ComponentTrigger.DEGRADED
• Added ComponentTrigger.FAULT
• Added ComponentTrigger.FAULTED
• Wired up Ticker data type

Fixes

• DataEngine.subscribed_bars() now reports internally aggregated bars also.

---

NautilusTrader 1.127.0 Beta

Release Notes

Released on 17th August 2021.

This release has again focused on core areas of the platform, including a significant overhaul of accounting and portfolio components. The wiring between the DataEngine and DataClient(s) has also received attention, and should now exhibit correct subscription mechanics.

The Betfair adapter has been completely re-written, providing various fixes and enhancements, increased performance, and full async support.

There has also been some further renaming to continue to align the platform as closely as possible with established terminology in the domain.

Breaking Changes

• Moved margin calculation methods from Instrument to Account
• Removed redundant Portfolio.register_account
• Renamed OrderState to OrderStatus
• Renamed Order.state to Order.status
• Renamed msgbus.message_bus to msgbus.bus

Enhancements

• Betfair adapter re-write
• Extracted accounting subpackage
• Extracted portfolio subpackage
• Subclassed Account with CashAccount and MarginAccount
• Added AccountsManager
• Added AccountFactory
• Moved registration of custom account classes to AccountFactory
• Moved registration of calculated account to AccountFactory
• Added registration of OMS type per trading strategy
• Added ExecutionClient.create_account for custom account classes
• Separate PortfolioFacade from Portfolio

Fixes

• Data subscription handling in DataEngine
• Cash accounts no longer generate spurious margins
• Fix TimeBarAggregator._stored_close_ns property name

---

NautilusTrader 1.126.1 Beta

Release Notes

Released on 3rd August 2021.

This is a patch release which fixes a bug involving NotImplementedError exception handling when subscribing to order book deltas when not supported by a client. This bug affected CCXT order book subscriptions.

Breaking Changes

None

Enhancements

None

Fixes

• Fix DataEngine order book subscription handling

---

NautilusTrader 1.126.0 Beta

Release Notes

Released on 2nd August 2021.

This release sees the completion of the initial implementation of the MessageBus, with data now being handled by Pub/Sub patterns, along with the additions of point-to-point and Req/Rep messaging functionality.

An Actor base class has been abstracted from TradingStrategy which allows custom components to be added to a Trader which aren't necessarily trading strategies, opening up further possibilities for extending NautilusTrader with custom functionality.

For the sake of simplicity and to favour more idiomatic Python, the null object pattern is no longer utilized for handling identifiers. This has removed a layer of 'logical indirection' in certain parts of the codebase, and allows for simpler code.

An order is now considered 'in-flight' if it is actively pending a state transition i.e. in the SUBMITTED,PENDING_UPDATE or PENDING_CANCEL states.

It is now a well established convention that all integer based timestamps are expressed in UNIX nanoseconds, therefore the _ns postfix has now been dropped. For clarity - time periods/intervals/objects where the units may not be obvious have retained the _ns postfix.

The opportunity was identified to unify the parameter naming for the concept of object instantiation by renaming timestamp_ns and ts_recv_ns to ts_init. Along the same lines, the timestamps for both event and data occurrence have been standardized to ts_event.

It is acknowledged that the frequent name changes and modifications to core concepts may be frustrating, however whilst still in a beta phase - we're taking the opportunity to lay a solid foundation for this project to continue to growth in the years ahead.

Breaking Changes

• Renamed timestamp_ns to ts_init
• Renamed ts_recv_ns to ts_event
• Renamed various event timestamp parameters to ts_event
• Removed null object methods on identifiers

Enhancements

• Added Actor component base class
• Added MessageBus.register()
• Added MessageBus.send()
• Added MessageBus.request()
• Added MessageBus.response()
• Added Trader.add_component()
• Added Trader.add_components()
• Added Trader.add_log_sink()

Fixes

• Various Betfair adapter patches and fixes
• ExecutionEngine position flip logic in certain edge cases

---

NautilusTrader 1.125.0 Beta

Release Notes

Released on 18th July 2021.

This release introduces a major re-architecture of the internal messaging system. A common message bus has been implemented which now handles all events via a Pub/Sub messaging pattern. The next release will see all data being handled by the message bus, see the related issue for further details on this enhancement.

Another notable feature is the introduction of the order 'in-flight' concept, which is a submitted order which has not yet been acknowledged by the trading venue. Several properties on Order, and methods on Cache, now exist to support this.

The Throttler has been refactored and optimized further. There has also been extensive reorganization of the model sub-package, standardization of identifiers on events, along with numerous 'under the hood' cleanups and two bug fixes.

Breaking Changes

• Renamed MessageType enum to MessageCategory
• Renamed fill.order_side to fill.side
• Renamed fill.order_type to fill.type
• All Event serialization due to domain refactorings

Enhancements

• Added MessageBus class
• Added TraderId to Order and Position
• Added OrderType to OrderFilled
• Added unrealized PnL to position events
• Added order in-flight concept to Order and Cache
• Improved efficiency of Throttler
• Standardized events str and repr
• Standardized commands str and repr
• Standardized identifiers on events and objects
• Improved Account str and repr
• Using orjson over json for efficiency
• Removed redundant BypassCacheDatabase
• Introduced mypy to the codebase

Fixes

• Fixed backtest log timestamping
• Fixed backtest duplicate initial account event

---

NautilusTrader 1.124.0 Beta

Release Notes

Released on 6th July 2021.

This release sees the expansion of pre-trade risk check options (see RiskEngine class documentation). There has also been extensive 'under the hood' code cleanup and consolidation.

Breaking Changes

• Renamed Position.opened_timestamp_ns to ts_opened_ns
• Renamed Position.closed_timestamp_ns to ts_closed_ns
• Renamed Position.open_duration_ns to duration_ns
• Renamed Loggers bypass_logging to bypass
• Refactored PositionEvent types

Enhancements

• Added pre-trade risk checks to RiskEngine iteration 2
• Improve Throttler functionality and performance
• Removed redundant OrderInvalid state and associated code
• Improve analysis reports

Fixes

• PnL calculations for CASH account types
• Various event serializations

---

NautilusTrader 1.123.0 Beta

Release Notes

Released on 20th June 2021.

A major feature of this release is a complete re-design of serialization for the platform, along with initial support for the Parquet format. The MessagePack serialization functionality has been refined and retained.

In the interests of explicitness there is now a convention that timestamps are named either timestamp_ns, or prepended with ts. Timestamps which are represented with an int64 are always in nanosecond resolution, and appended with _ns accordingly.

Initial scaffolding for new backtest data tooling has been added.

Breaking Changes

• Renamed OrderState.PENDING_REPLACE to OrderState.PENDING_UPDATE
• Renamed timestamp_origin_ns to ts_event_ns
• Renamed timestamp_ns for data to ts_recv_ns
• Renamed updated_ns to ts_updated_ns
• Renamed submitted_ns to ts_submitted_ns
• Renamed rejected_ns to ts_rejected_ns
• Renamed accepted_ns to ts_accepted_ns
• Renamed pending_ns to ts_pending_ns
• Renamed canceled_ns to ts_canceled_ns
• Renamed triggered_ns to ts_triggered_ns
• Renamed expired_ns to ts_expired_ns
• Renamed execution_ns to ts_filled_ns
• Renamed OrderBookLevel to BookLevel
• Renamed Order.volume to Order.size

Enhancements

• Adapter dependencies are now optional extras at installation
• Added arrow/parquet serialization
• Added object to_dict() and from_dict() methods
• Added Order.is_pending_update
• Added Order.is_pending_cancel
• Added run_analysis config option for BacktestEngine
• Removed TradeMatchId in favour of bare string
• Removed redundant conversion to pd.Timestamp when checking timestamps
• Removed redundant data to_serializable_str methods
• Removed redundant data from_serializable_str methods
• Removed redundant __ne__ implementations
• Removed redundant MsgPackSerializer cruft
• Removed redundant ObjectCache and IdentifierCache
• Removed redundant string constants

Fixes

• Fixed millis to nanos in CCXTExecutionClient
• Added missing trigger to UpdateOrder handling
• Removed all import *

---

NautilusTrader 1.122.0 Beta

Release Notes

Released on 6th June 2021.

This release includes numerous breaking changes with a view to enhancing the core functionality and API of the platform. The data and execution caches have been unified for simplicity. There have also been large changes to the accounting functionality, with 'hooks' added in preparation for accurate calculation and handling of margins.

Breaking Changes

• Renamed Account.balance() to Account.balance_total()
• ConsolidatedTradingStrategy.data into TradingStrategy.cache
• Consolidated TradingStrategy.execution into TradingStrategy.cache
• Moved redis subpackage into infrastructure
• Moved some accounting methods back to Instrument
• Removed Instrument.market_value()
• Renamed Portfolio.market_values() to Portfolio.net_exposures()
• Renamed Portfolio.market_value() to Portfolio.net_exposure()
• Renamed InMemoryExecutionDatabase to BypassCacheDatabase
• Renamed Position.relative_qty to Position.net_qty
• Renamed default_currency to base_currency
• Removed cost_currency property from Instrument

Enhancements

• ExecutionClient now has the option of calculating account state
• Unified data and execution caches into single Cache
• Improved configuration options and naming
• Simplified Portfolio component registration
• Simplified wiring of Cache into components
• Added repr to execution messages
• Added AccountType enum
• Added cost_currency to Position
• Added get_cost_currency() to Instrument
• Added get_base_currency() to Instrument

Fixes

• Fixed Order.is_working for PENDING_CANCEL and PENDING_REPLACE states
• Fixed loss of precision for nanosecond timestamps in Redis
• Fixed state reconciliation when uninstantiated client

---

NautilusTrader 1.121.0 Beta

Release Notes

Released on 30th May 2021.

In this release there has been a major change to the use of inlines for method signatures. From the Cython docs: "Note that class-level cdef functions are handled via a virtual function table so the compiler won’t be able to inline them in almost all cases.". https://cython.readthedocs.io/en/latest/src/userguide/pyrex_differences.html?highlight=inline.

It has been found that adding inline to method signatures makes no difference to the performance of the system - and so they have been removed to reduce 'noise' and simplify the codebase. Note that the use of inline for module level functions will be passed to the C compiler with the expected result of inlining the function.

Breaking Changes

• BacktestEngine.add_venue added venue_type to method params
• ExecutionClient added venue_type to constructor params
• TraderId instantiation
• StrategyId instantiation
• Instrument serialization

Enhancements

• Portfolio pending calculations if data not immediately available
• Added instruments subpackage with expanded class definitions
• Added timestamp_origin_ns timestamp when originally occurred
• Added AccountState.is_reported flagging if reported by exchange or calculated
• Simplified TraderId and StrategyId identifiers
• Improved ExecutionEngine order routing
• Improved ExecutionEngine client registration
• Added order routing configuration
• Added VenueType enum and parser
• Improved parameter typing for identifier generators
• Improved log formatting of Money and Quantity thousands commas

Fixes

• CCXT TICK_SIZE precision mode - size precisions (BitMEX, FTX)
• State reconciliation (various bugs)

---

NautilusTrader 1.120.0 Beta

Release Notes

This release focuses on simplifications and enhancements of existing machinery

Breaking Changes

• Position now requires an Instrument param
• is_inverse removed from OrderFilled
• ClientId removed from TradingCommand and subclasses
• AccountId removed from TradingCommand and subclasses
• TradingCommand serialization

Enhancements

• Added Instrument methods to ExecutionCache
• Added Venue filter to cache queries
• Moved order validations into RiskEngine
• Refactored RiskEngine
• Removed routing type information from identifiers

Fixes

None

---

NautilusTrader 1.119.0 Beta

Release Notes

This release applies another major refactoring to the value object API for BaseDecimal and its subclasses Price and Quantity. Previously a precision was not explicitly required when passing in a decimal.Decimal type which sometimes resulted in unexpected behavior when a user passed in a decimal with a very large precision (when wrapping a float with decimal.Decimal).

Convenience methods have been added to Price and Quantity where precision is implicitly zero for ints, or implied in the number of digits after the '.' point for strings. Convenience methods have also been added to Instrument to assist the UX.

The serialization of Money has been improved with the inclusion of the currency code in the string delimited by whitespace. This avoids an additional field for the currency code.

RiskEngine has been rewired ahead of ExecutionEngine which clarifies areas of responsibility and cleans up the registration sequence and allows a more natural flow of command and event messages.

Breaking Changes

• Serializations involving Money
• Changed usage of Price and Quantity
• Renamed BypassExecutionDatabase to BypassCacheDatabase

Enhancements

• Rewired RiskEngine and ExecutionEngine sequence
• Added Instrument database operations
• Added MsgPackInstrumentSerializer
• Added Price.from_str()
• Added Price.from_int()
• Added Quantity.zero()
• Added Quantity.from_str()
• Added Quantity.from_int()
• Added Instrument.make_price()
• Added Instrument.make_qty()
• Improved serialization of Money

Fixes

• Handling of precision for decimal.Decimal values passed to value objects

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NautilusTrader 1.118.0 Beta

Release Notes

This release simplifies the backtesting workflow by removing the need for the intermediate BacktestDataContainer. There has also been some simplifications for OrderFill events, as well as additional order states and events.

Breaking Changes

• Standardized all 'cancelled' references to 'canceled'.
• SimulatedExchange no longer generates OrderAccepted for MarketOrder
• Removed redundant BacktestDataContainer
• Removed redundant OrderFilled.cum_qty
• Removed redundant OrderFilled.leaves_qty
• BacktestEngine constructor simplified
• BacktestMarketDataClient no longer needs instruments
• Renamed PortfolioAnalyzer.get_realized_pnls to .realized_pnls

Enhancements

• Re-engineered BacktestEngine to take data directly
• Added OrderState.PENDING_CANCEL
• Added OrderState.PENDING_REPLACE
• Added OrderPendingUpdate event
• Added OrderPendingCancel event
• Added OrderFilled.is_buy property (with corresponding is_buy_c() fast method)
• Added OrderFilled.is_sell property (with corresponding is_sell_c() fast method)
• Added Position.is_opposite_side(OrderSide side) convenience method
• Modified the Order FSM and event handling for the above
• Consolidated event generation into ExecutionClient base class
• Refactored SimulatedExchange for greater clarity

Fixes

• ExecutionCache positions open queries
• Exchange accounting for exchange OmsType.NETTING
• Position flipping logic for exchange OmsType.NETTING
• Multi-currency account terminology
• Windows wheel packaging
• Windows path errors

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NautilusTrader 1.117.0 Beta

Release Notes

The major thrust of this release is added support for order book data in backtests. The SimulatedExchange now maintains order books of each instrument and will accurately simulate market impact with L2/L3 data. For quote and trade tick data a L1 order book is used as a proxy. A future release will include improved fill modelling assumptions and customizations.

Breaking Changes

• OrderBook.create now takes Instrument and BookLevel

Enhancements

• SimulatedExchange now maintains order books internally
• LiveLogger now exhibits better blocking behavior and logging

Fixes

• Various patches to the Betfair adapter
• Documentation builds

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NautilusTrader 1.116.1 Beta

Release Notes

Announcing official Windows 64-bit support.

Several bugs have been identified and fixed.

Breaking Changes

None

Enhancements

• Performance test refactoring
• Removed redundant performance harness
• Added Queue.peek() to high-performance queue
• GitHub action refactoring, CI for Windows
• Builds for 32-bit platforms

Fixes

• OrderBook.create for BookLevel.L3 now returns correct book
• Betfair handling of trade IDs

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NautilusTrader 1.116.0 Beta

Release Notes

This release includes substantial breaking changes.

Further fundamental changes to the core API have been made.

Breaking Changes

• Introduce ClientId for data and execution client identification
• Standardized client IDs to upper case
• Renamed OrderBookOperation to OrderBookDelta
• Renamed OrderBookOperations to OrderBookDeltas
• Renamed OrderBookOperationType to OrderBookDeltaType

Enhancements

None

Fixes

None

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NautilusTrader 1.115.0 Beta

Release Notes

This release includes substantial breaking changes.

Due to recent feedback and much further thought - a major renaming has been carried out involving order identifiers. The Order is the only domain object in the model which is identified with more than one ID. Due to this, more explicitness helps to ensure correct logic. Previously the OrderId was implicitly assumed to be the one assigned by the trading venue. This has been clarified by renaming the identifier to VenueOrderId. Following this, it no longer made sense to refer to it through Order.id, and so this was changed to its full name Order.venue_order_id. This naturally resulted in ClientOrderId(s) being renamed in properties and variables from cl_ord_id to client_order_id.

Breaking Changes

• Renamed OrderId to VenueOrderId
• Renamed Order.id to Order.venue_order_id
• Renamed Order.cl_ord_id to Order.client_order_id
• Renamed AssetClass.STOCK to AssetClass.EQUITY
• Removed redundant flag generate_position_ids (handled by OmsType)

Enhancements

• Introduce integration for Betfair.
• Added AssetClass.METAL and AssetClass.ENERGY
• Added VenueStatusEvent, InstrumentStatusEvent and InstrumentClosePrice
• Usage of np.ndarray to improve function and indicator performance

Fixes

• LiveLogger log message when blocking.

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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

• Renamed AmendOrder to UpdateOrder
• Renamed OrderAmended to OrderUpdated
• Renamed amend and amended related methods to update and updated
• Renamed OrderCancelReject to OrderCancelRejected (standardize tense)

Enhancements

• Improve efficiency of data wrangling
• Simplify Logger and general system logging
• Added stdout and stderr log streams with configuration
• Added OrderBookData base class

Fixes

• Backtest handling of GenericData and OrderBook related data
• Backtest DataClient creation logic prevented client registering

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NautilusTrader 1.113.0 Beta

Release Notes

This release includes substantial breaking changes.

Further standardization of naming conventions along with internal refinements and fixes.

Breaking Changes

• Renamed AmendOrder to UpdateOrder
• Renamed OrderAmended to OrderUpdated
• Renamed amend and amended related methods to update and updated
• Renamed OrderCancelReject to OrderCancelRejected (standardize tense)

Enhancements

• Introduce OrderUpdateRejected, event separated for clarity
• Refined LiveLogger: Now runs on event loop with high-performance Queue
• Improved flexibility of when strategies are added to a BacktestEngine
• Improved checks for VenueOrderId equality when applying order events

Fixes

• Removed UNDEFINED enum values. Do not allow invalid values to be represented in the system (prefer throwing exceptions)

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NautilusTrader 1.112.0 Beta

Release Notes

This release includes substantial breaking changes.

The platforms internal timestamping has been standardized to nanoseconds. This decision was made to increase the accuracy of backtests to nanosecond precision, improve data handling including order book and custom data for backtesting, and to future-proof the platform to a more professional standard. The top-level user API still takes datetime and timedelta objects for usability.

There has also been some standardization of naming conventions to align more closely with established financial market terminology with reference to the FIX5.0 SP2 specification, and CME MDP 3.0.

Breaking Changes

• Moved BarType into Bar as a property
• Changed signature of Bar handling methods due to above
• Removed Instrument.leverage (incorrect place for concept)
• Changed ExecutionClient.venue as a Venue to ExecutionClient.name as a str
• Changed serialization of timestamp datatype to int64
• Changed serialization constant names extensively
• Renamed OrderFilled.filled_qty to OrderFilled.last_qty
• Renamed OrderFilled.filled_price to OrderFilled.last_px
• Renamed avg_price to avg_px in methods and properties
• Renamed avg_open to avg_px_open in methods and properties
• Renamed avg_close to avg_px_close in methods and properties
• Renamed Position.relative_quantity to Position.relative_qty
• Renamed Position.peak_quantity to Position.peak_qty

Enhancements

• Standardized nanosecond timestamps
• Added time unit conversion functions as found in nautilus_trader.core.datetime
• Added optional broker property to Venue to assist with routing
• Enhanced state reconciliation from both LiveExecutionEngine and LiveExecutionClient
• Added internal messages to aid state reconciliation

Fixes

• DataCache incorrectly caching bars

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NautilusTrader 1.111.0 Beta

Release Notes

This release adds further enhancements to the platform.

Breaking Changes

None

Enhancements

• RiskEngine built out including configuration options hook and LiveRiskEngine implementation
• Added generic Throttler
• Added details dict to instrument_id related requests to cover IB futures contracts
• Added missing Fiat currencies
• Added additional Crypto currencies
• Added ISO 4217 codes
• Added currency names

Fixes

• Queue put coroutines in live engines when blocking at maxlen was not creating a task on the event loop.

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NautilusTrader 1.110.0 Beta

Release Notes

This release applies one more major change to the identifier API. Security has been renamed to InstrumentId for greater clarity that the object is an identifier, and to group the concept of an instrument with its identifier.

Data objects in the framework have been further abstracted to prepare for the handling of custom data in backtests.

A RiskEngine base class has also been scaffolded.

Breaking Changes

• Security renamed to InstrumentId
• Instrument.security renamed to Instrument.id
• Data becomes an abstract base class with timestamp and unix_timestamp properties
• Data and DataType moved to model.data
• on_data methods now take GenericData

Enhancements

• Added GenericData
• AddedFuture instrument

Fixes

None

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NautilusTrader 1.109.0 Beta

Release Notes

The main thrust of this release is to refine and further bed down the changes to the identifier model via InstrumentId, and fix some bugs.

Errors in the CCXT clients caused by the last release have been addressed.

Breaking Changes

• InstrumentId now takes first class value object Symbol
• InstrumentId asset_class and asset_type no longer optional
• SimulatedExchange.venue changed to SimulatedExchange.id

Enhancements

• Ensure TestTimer advances monotonically increase
• Added AssetClass.BETTING

Fixes

• CCXT data and execution clients regarding instrument_id vs symbol naming
• InstrumentId equality and hashing
• Various docstrings

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NautilusTrader 1.108.0 Beta

Release Notes

This release executes a major refactoring of Symbol and how securities are generally identified within the platform. This will allow a smoother integration with Interactive Brokers and other exchanges, brokerages and trading counterparties.

Previously the Symbol identifier also included a venue which confused the concept. The replacement Security identifier more clearly expresses the domain with a symbol string, a primary Venue, AssetClass and AssetType properties.

Breaking Changes

• All previous serializations
• Security replaces Symbol with expanded properties
• AssetClass.EQUITY changed to AssetClass.STOCK
• from_serializable_string changed to from_serializable_str
• to_serializable_string changed to to_serializable_str

Enhancements

• Reports now include full instrument_id name
• Added AssetType.WARRANT

Fixes

• StopLimitOrder serialization

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NautilusTrader 1.107.1 Beta - Release Notes

This is a patch release which applies various fixes and refactorings.

The behavior of the StopLimitOrder continued to be fixed and refined. SimulatedExchange was refactored further to reduce complexity.

Breaking Changes

None

Enhancements

None

Fixes

• TRIGGERED states in order FSM
• StopLimitOrder triggering behavior
• OrderFactory.stop_limit missing post_only and hidden
• Order and StopLimitOrder __repr__ string (duplicate id)

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NautilusTrader 1.107.0 Beta

Release Notes

The main thrust of this release is to refine some subtleties relating to order matching and amendment behavior for improved realism. This involved a fairly substantial refactoring of SimulatedExchange to manage its complexity, and support extending the order types.

The post_only flag for LIMIT orders now results in the expected behavior regarding when a marketable limit order will become a liquidity TAKER during order placement and amendment.

Test coverage was moderately increased.

Breaking Changes

None

Enhancements

• Refactored SimulatedExchange order matching and amendment logic
• Added risk subpackage to group risk components

Fixes

• StopLimitOrder triggering behavior
• All flake8 warnings

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NautilusTrader 1.106.0 Beta

Release Notes

The main thrust of this release is to introduce the Interactive Brokers integration, and begin adding platform capabilities to support this effort.

Breaking Changes

• from_serializable_string methods changed to from_serializable_str

Enhancements

• Scaffold Interactive Brokers integration in adapters/ib
• Added the Future instrument type
• Added the StopLimitOrder order type
• Added the Data and DataType types to support custom data handling
• Added the InstrumentId identifier types initial implementation to support extending the platforms capabilities

Fixes

• BracketOrder correctness
• CCXT precision parsing bug
• Some log formatting

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