Release 1.200.0

.docker/nautilus_trader.dockerfile

@@ -1,20 +1,22 @@
-FROM python:3.12-slim as base
+FROM python:3.12-slim AS base
 ENV PYTHONUNBUFFERED=1 \
     PYTHONDONTWRITEBYTECODE=1 \
     PIP_NO_CACHE_DIR=off \
     PIP_DISABLE_PIP_VERSION_CHECK=on \
     PIP_DEFAULT_TIMEOUT=100 \
+    PYO3_PYTHON="/usr/local/bin/python3" \
     POETRY_VERSION=1.8.3 \
     POETRY_HOME="/opt/poetry" \
     POETRY_VIRTUALENVS_CREATE=false \
     POETRY_NO_INTERACTION=1 \
     PYSETUP_PATH="/opt/pysetup" \
     RUST_TOOLCHAIN="stable" \
-    BUILD_MODE="release"
+    BUILD_MODE="release" \
+    CC="clang"
 ENV PATH="/root/.cargo/bin:$POETRY_HOME/bin:$PATH"
 WORKDIR $PYSETUP_PATH
 
-FROM base as builder
+FROM base AS builder
 
 # Install build deps
 RUN apt-get update && \
@@ -44,6 +46,6 @@ RUN python -m pip install ./dist/*whl --force --no-deps
 RUN find /usr/local/lib/python3.12/site-packages -name "*.pyc" -exec rm -f {} \;
 
 # Final application image
-FROM base as application
+FROM base AS application
 
 COPY --from=builder /usr/local/lib/python3.12/site-packages /usr/local/lib/python3.12/site-packages

.github/workflows/build.yml

@@ -283,12 +283,17 @@ jobs:
     env:
       BUILD_MODE: debug
       RUST_BACKTRACE: 1
-      # CARGO_BUILD_TARGET: aarch64-apple-darwin
 
     steps:
       - name: Checkout repository
         uses: actions/checkout@v4
 
+      - name: Free up disk space (macOS)
+        run: |
+          sudo rm -rf ~/Library/Caches/*
+          sudo rm -rf ~/Library/Developer/Xcode/DerivedData/*
+          sudo rm -rf /Library/Developer/CommandLineTools
+
       - name: Get Rust version from rust-toolchain.toml
         id: rust-version
         run: |
@@ -304,7 +309,7 @@ jobs:
           toolchain: ${{ env.RUST_VERSION }}
           override: true
           components: rustfmt, clippy
-          # target: aarch64-apple-darwin
+          target: aarch64-apple-darwin
 
       - name: Set up Python environment
         uses: actions/setup-python@v5

.pre-commit-config.yaml

@@ -83,7 +83,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.6.1
+    rev: v0.6.4
     hooks:
       - id: ruff
         args: ["--fix"]
@@ -112,7 +112,7 @@ repos:
         ]
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.11.1
+    rev: v1.11.2
     hooks:
       - id: mypy
         args: [

README.md

@@ -14,9 +14,9 @@
 
 | Platform           | Rust    | Python |
 | :----------------- | :------ | :----- |
-| `Linux (x86_64)`   | 1.80.1+ | 3.10+  |
-| `macOS (arm64)`    | 1.80.1+ | 3.10+  |
-| `Windows (x86_64)` | 1.80.1+ | 3.10+  |
+| `Linux (x86_64)`   | 1.81.0+ | 3.10+  |
+| `macOS (arm64)`    | 1.81.0+ | 3.10+  |
+| `Windows (x86_64)` | 1.81.0+ | 3.10+  |
 
 [![](https://dcbadge.limes.pink/api/server/AUWVs3XaCS)](https://discord.gg/AUWVs3XaCS)
 
@@ -129,10 +129,11 @@ The following integrations are currently supported:
 | [Binance Futures](https://www.binance.com/en/futures)     | `BINANCE`             | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://nautilustrader.io/docs/latest/integrations/binance.html)   |
 | [Bybit](https://www.bybit.com)                            | `BYBIT`               | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://nautilustrader.io/docs/latest/integrations/bybit.html)     |
 | [Databento](https://databento.com)                        | `DATABENTO`           | Data Provider           | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](https://nautilustrader.io/docs/latest/integrations/databento.html) |
+| [dYdX](https://dydx.exchange/)                            | `DYDX`                | Crypto Exchange (DEX)   | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](https://nautilustrader.io/docs/latest/integrations/dydx.html)      |
 | [Interactive Brokers](https://www.interactivebrokers.com) | `INTERACTIVE_BROKERS` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://nautilustrader.io/docs/latest/integrations/ib.html)        |
 
-- **ID:** The default client ID for the integrations adapter clients
-- **Type:** The type of integration (often the venue type)
+- **ID**: The default client ID for the integrations adapter clients
+- **Type**: The type of integration (often the venue type)
 
 ### Status
 - `building`: Under construction and likely not in a usable state

RELEASES.md

@@ -1,3 +1,47 @@
+# 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), 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 setting to control post-run disposal behavior for each internal backtest engine (`True` by default to retain current behavior)
+- Added `recv_window_ms` config setting 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 setting 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 `InstrumentId`s
+- Fixed `InstrumentProviderConfig` hashing for `filters` field
+
+---
+
 # NautilusTrader 1.199.0 Beta
 
 Released on 19th August 2024 (UTC).
@@ -98,7 +142,7 @@ 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 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
@@ -299,7 +343,7 @@ Released on 20th April 2024 (UTC).
 - 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 `Binance` bar (kline) to use `close_time` for `ts_event` was `opentime` (#1591), thanks for reporting @OnlyC
+- 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
 
@@ -612,7 +656,7 @@ This release adds support for Python 3.12.
 
 ### Fixes
 - Fixed missing `trader_id` in `Position` dictionary representation, thanks @filipmacek
-- Fixed conversion of fixed precision integers to floats (should be dividing to avoid rounding errors), thanks for reporting @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
@@ -650,7 +694,7 @@ Released on 3rd November 2023 (UTC).
 
 ### Fixes
 - Fixed `ParquetDataCatalog` file writing template, thanks @limx0
-- Fixed `Binance` all orders requests which would omit order reports when using a `start` param
+- 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`)
@@ -797,7 +841,7 @@ Released on 31st July 2023 (UTC).
 - 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
+- Improved Binance live clients logging
 - Upgraded Cython to v3.0.0 stable
 
 ### Breaking Changes
@@ -886,7 +930,7 @@ Released on 19th May 2023 (UTC).
 ### 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
+- Various improvements to Binance clients error handling and logging
 - Improve Binance HTTP error messages
 
 ### Fixes
@@ -1034,7 +1078,7 @@ Released on 18th February 2023 (UTC).
 ### 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` option for configurable bar timestamping (true by default)
+- Added `time_bars_timestamp_on_close` option for configurable 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
@@ -2635,7 +2679,7 @@ improved fill modelling assumptions and customizations.
 - `LiveLogger` now exhibits better blocking behavior and logging
 
 ### Fixes
-- Various patches to the `Betfair` adapter
+- Various patches to the Betfair adapter
 - Documentation builds
 
 ---

build.py

@@ -6,6 +6,7 @@
 import platform
 import shutil
 import subprocess
+import sys
 import sysconfig
 from pathlib import Path
 
@@ -46,12 +47,19 @@
 ################################################################################
 #  RUST BUILD
 ################################################################################
+
+TARGET_DIR = Path.cwd() / "nautilus_core" / "target" / BUILD_MODE
+
 if platform.system() == "Linux":
     # Use clang as the default compiler
     os.environ["CC"] = "clang"
     os.environ["LDSHARED"] = "clang -shared"
 
-TARGET_DIR = Path.cwd() / "nautilus_core" / "target" / BUILD_MODE
+if platform.system() == "Darwin" and platform.machine() == "arm64":
+    TARGET_DIR = Path.cwd() / "nautilus_core" / "target" / "aarch64-apple-darwin" / BUILD_MODE
+    os.environ["CFLAGS"] = "-arch arm64"
+    os.environ["LDFLAGS"] = "-arch arm64 -w"
+
 
 if platform.system() == "Windows":
     # Linker error 1181
@@ -87,6 +95,10 @@ def _build_rust_libs() -> None:
             raise ValueError(f"Invalid `RUST_TOOLCHAIN` '{RUST_TOOLCHAIN}'")
 
         build_options = " --release" if BUILD_MODE == "release" else ""
+
+        if platform.system() == "Darwin" and platform.machine() == "arm64":
+            build_options += " --target aarch64-apple-darwin"
+
         print("Compiling Rust libraries...")
 
         cmd_args = [
@@ -347,7 +359,7 @@ def build() -> None:
     print(f"System: {platform.system()} {platform.machine()}")
     print(f"Clang:  {_get_clang_version()}")
     print(f"Rust:   {_get_rustc_version()}")
-    print(f"Python: {platform.python_version()}")
+    print(f"Python: {platform.python_version()} ({sys.executable})")
     print(f"Cython: {cython_compiler_version}")
     print(f"NumPy:  {np.__version__}\n")
 
@@ -358,7 +370,15 @@ def build() -> None:
     print(f"ANNOTATION_MODE={ANNOTATION_MODE}")
     print(f"PARALLEL_BUILD={PARALLEL_BUILD}")
     print(f"COPY_TO_SOURCE={COPY_TO_SOURCE}")
-    print(f"PYO3_ONLY={PYO3_ONLY}\n")
+    print(f"PYO3_ONLY={PYO3_ONLY}")
+
+    CFLAGS = os.environ.get("CFLAGS")
+    if CFLAGS:
+        print(f"CFLAGS={CFLAGS}")
+
+    LDFLAGS = os.environ.get("LDFLAGS")
+    if LDFLAGS:
+        print(f"LDFLAGS={LDFLAGS}\n")
 
     print("Starting build...")
     ts_start = datetime.datetime.now(datetime.timezone.utc)

docs/api_reference/adapters/bybit.md

@@ -0,0 +1,69 @@
+# Bybit
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.bybit
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+## Config
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.bybit.config
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+## Factories
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.bybit.factories
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+## Enums
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.bybit.common.enums
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+## Providers
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.bybit.providers
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+## Data
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.bybit.data
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
+## Execution
+
+```{eval-rst}
+.. automodule:: nautilus_trader.adapters.bybit.execution
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```