Changelog

All notable changes to this project will be documented in this file.

[0.12.0] - 2026-09-05

• Limit FX refreshes and rebalancing to active/target positions; reuse rebalance scratch storage.
• Reuse option-fill margin totals and update long-only option margins by delta; skip unchanged margin inputs.
• Speed up position churn and bulk expiry with indexed scheduling and batched cleanup. Public APIs are unchanged.
• Speed up financing, expiry, and FX processing with event indices; reuse validated option-margin projections.
• Eliminate temporary allocations in ordinary fills without trade history; add allocation tests and runtime/scaling benchmarks.
• Breaking API change: Account gains a third type parameter for trade recording. Constructors and partial annotations such as Account{DateTime,NoOpBroker} remain supported; code assuming exactly two parameters must be updated.

[0.11.0] - 2026-09-05

This release reduces package loading time with fewer dependencies, built-in text and SVG rendering, and the lighter RiskPerf 0.4 dependency graph.

Breaking changes ⚠️

• Removed esoteric plot_violin_realized_returns_by_day and plot_violin_realized_returns_by_hour, their exports and examples, and the optional StatsPlots dependency.
• Fastback.plot_* now uses built-in SVG by default. To retain Plots.jl output, run using Plots and set_plot_backend!(:plots), or pass backend=:plots to individual calls.

Added

• A unified Fastback.plot_* interface with built-in SVG rendering and optional Plots.jl output, selected globally through set_plot_backend! or per call with backend.
• SVG strings and IO-first ! methods for balance, equity, open orders, drawdown, exposure, portfolio weights, cashflows, and cumulative realized returns, without additional dependencies.
• SVG plots return inline Base.HTML results by default. Use set_svg_output_format!(:string) for raw SVG strings or :html to restore inline display; individual calls accept an output_format override.
• Dark SVG presentation theme, separate equity/drawdown axes, maximum-drawdown markers, and stacked portfolio weights.

Changed

• Replaced PrettyTables and Crayons with built-in colored text tables for account and exchange-rate displays. Numeric precision, row limits, and terminal-width cropping are preserved; colors follow the IO context.
• Removed the Query dependency; the Plots extension groups realized returns with plain Julia, while documentation examples retain their own Query dependency.
• Require RiskPerf 0.4, which replaces Distributions with StatsFuns and reduces package loading overhead.
• SVG is the primary plotting approach in the README, quickstarts, API guide, and plotting showcases; Plots.jl remains an optional extension.
• Both plotting backends select maximum-drawdown markers by the collector's mode and use non-negative default limits with a bounded number of integer ticks for open-order counts.

[0.10.0] - 2026-09-01

Breaking changes ⚠️

• Fastback now requires Julia 1.12 or later; older Julia releases are no longer supported.
• Variation-margin Trade.fill_pnl_settle now attributes previously settled mark-to-market P&L to reductions and final expiry. Opening execution-to-mark cash still settles immediately, but remains attached to the open position until exposure is realized. As a result, gross trade P&L and same-fill cash movement can differ.
• Account operations now enforce non-decreasing time consistently. Backdated fills, marks, financing calls, lifecycle operations, and event steps are rejected.
• Direct update_rate!(acc, ...) calls are rejected while exposure is open; use process_step!(...; fx_updates=...) so dependent values and margins are revalued together.
• process_step! and multi-stage lifecycle operations are fail-stop rather than transactional. If one fails, completed changes remain and the account is marked poisoned; discard it rather than continuing the backtest.
• Trade has a new preceding_split_factor field for split-aware analytics. The previous positional constructor remains available and defaults the factor to 1.0.
• performance_summary now interprets risk_free and mar as annualized simple rates and converts them to per-period thresholds using periods_per_year.

Added

• Optional target-weight portfolio management with Portfolio, TargetWeights, RebalancePolicy, deterministic fill models, explicit futures/perpetual rolls, fully funded cash scaling, exposure snapshots, and reduction-first execution.
• apply_spot_corporate_action! for spot splits, reverse splits, and signed cash dividends, including CashflowKind.CashDividend and split-aware holding-period reconstruction.
• AccountPoisonedError identifies attempts to advance a failed account.
• Boundary validation for fill quantities and ownership, crossed quotes, cash amounts, instrument metadata, exchange rates, and conversion overflows.

Changed

• process_step! coalesces repeated FX, mark, and option-underlying observations with last-observation-wins semantics without copying account-wide state.
• Duplicate market observations are indexed by route, option chain, or instrument, making coalescing linear in the event count.
• process_expiries! settles short options first, futures second, and long options last, preserving registration order within each priority group.
• create_order! validates account-owned strategy orders, assigns their IDs, and advances account time at order creation; direct Order(...) construction remains available as a low-level compatibility path.
• Ordinary fills now plan mark settlement, borrow fees, execution effects, margin, and trade notional before committing; a failed fill leaves marks, cash, positions, financing clocks, and history unchanged.
• Futures/option expiry batches, rolls, liquidation, and corporate actions retain completed changes and poison the account when any later stage fails.
• Exchange-rate updates reject Float64 values whose reciprocal is not finite before resizing or changing the rate matrix.
• StepSchedule sorts breakpoints and rejects empty schedules and duplicate timestamps.
• check_invariants independently recomputes position values and portfolio margins and now audits registry layout, flat-position state, ledger numerics, and history ordering.
• calc_base_qty_for_notional uses tolerance-aware tick arithmetic and clamps to inward tick-aligned quantity bounds.
• Hot fill and mark paths no longer rescan every derived field for finiteness; critical input, route, conversion, and ledger boundaries remain validated.

[0.9.0] - 2026-05-04

Added

• Basic listed option support via ContractKind.Option, OptionRight, OptionExerciseStyle, and option_instrument.
• Quote-driven option premium accounting, underlying mark updates through OptionUnderlyingUpdate, and cash-settled option expiry via settle_option_expiry!.
• Conservative short-option margin with instrument-level option_short_margin_rate and option_short_margin_min_rate parameters, plus bounded multi-leg option margin relief for spreads, butterflies, and condors.
• fill_option_strategy! for atomic multi-leg option fills checked against final package buying power.
• IBKR Pro Fixed option commissions with premium tiers and per-order minimums.

[0.8.0] - 2026-05-03

Added

• PerformanceSummary now includes additional equity-curve diagnostics, changing positional construction and the exact performance_summary_table schema.
• performance_summary now reports n_periods, best_ret, worst_ret, positive_period_rate, expected_shortfall_95, skewness, kurtosis, downside_vol, max_dd_duration, pct_time_in_drawdown, and omega.
• performance_summary_table exposes the new PerformanceSummary fields as Tables.jl columns.

[0.7.0] - 2026-04-12

Added

• PerformanceSummary, TradeSummary, QuoteTradeSummary, SettlementTradeSummary, RealizedHoldingPeriod, and HoldingPeriodSummary result types with explicit fields and compact REPL display.
• performance_summary, trade_summary, realized_holding_periods, holding_period_summary, and pnl_concentration analytics helpers.
• gross_realized_pnl_quote and net_realized_pnl_quote helpers for quote-currency realized P&L diagnostics.
• performance_summary_table as a one-row Tables.jl source exposing the fields of PerformanceSummary, including trade diagnostics such as n_trades, n_closing_trades, winners, and losers.
• performance_summary returns unrounded numeric values with compact display, trade_summary groups quote- and settlement-currency diagnostics by currency, and pnl_concentration reports realized P&L concentration by bucket and quote currency.

[0.6.0] - 2026-04-11

Breaking changes ⚠️

• Trade now stores fill-time base-currency traded notional in the new notional_base field. Positional Trade construction must include this field.

Added

• turnover_collector, TurnoverValues, and TurnoverMode for account-level turnover series. The collector tracks gross traded notional by period using fill-time base-currency notionals, reports round-trip turnover by default, supports one-way notional turnover via TurnoverMode.OneWay, returns NaN for nonpositive base-currency equity, and includes the turnover mode in Tables.jl rows.

[0.5.1] - 2026-03-23

Changed

• Cashflow struct immutable now.
• Account constructor parameters track_trades and track_cashflows to optionally switch off tracking of trades and cashflows. New trade_count field that's always populated, even if track_trades=false.

[0.5.0] - 2026-02-15

Breaking changes ⚠️

• Complete rework of the API with lots of renamings, restructuring and new features.
• Introduction of margin- and futures trading support as first-class concepts.
• Introduction of broker concept.

[0.4.0] - 2025-09-26

Breaking changes ⚠️

• Account now only uses keyword arguments in constructor

• Renamings for clarity (update any usages accordingly!):

  cash -> cash_balance

  cash_object -> cash_asset

  hash_cash_symbol -> has_cash_asset

  format_date -> format_datetime

  register_cash! -> register_cash_asset!

• Split add_cash! function into deposit! and withdraw! (update any usages accordingly!)

• should_collect function must be called for all collectors to determine if a value should be collected

• predicate parameter removed from drawdown_collector function, only Period remains supported

Added

• Add Tables.jl integration for account artefacts and collectors
• New Glossary page in docs
• Generalized support for arbitrary Dates.AbstractTime types across the package for date/time handling instead of just DateTime
• Example integrations for NanoDates.jl and Timestamps64.jl time provider packages

Changed

• Consistently use of qty instead of quantity for display outputs
• Explicitly export all public API functions in Fastback.jl

[0.3.0] - 2025-09-25

• Introduce optional take_profit and stop_loss fields for Order
• Switch to TestItemRunner.jl for unit tests

[0.2.0] - 2025-09-23

• Update code to integrate PrettyTables v3 due to breaking changes
• Set PrettyTables v3 compatibility constraint in Project.toml

[0.1.0] - 2025-07-23

• First release