Release 1.203.0

See release notes.
nautechsystems · Oct 5, 2024 · 928f5a7 · 928f5a7
2 parents fad3968 + bd5aa50
commit 928f5a7
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diff --git a/.github/workflows/build-wheels.yml b/.github/workflows/build-wheels.yml
@@ -79,7 +79,7 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:

diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
@@ -13,7 +13,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest]
-        python-version: ["3.10", "3.11", "3.12"]
+        python-version: ["3.11", "3.12"]
     defaults:
       run:
         shell: bash
@@ -105,14 +105,14 @@ jobs:
       #     make install-talib
       #     poetry run pip install setuptools numpy==1.26.4 ta-lib
 
-      - name: Set up cached pre-commit
+      - name: Cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v4
         with:
           path: ~/.cache/pre-commit
           key: ${{ runner.os }}-${{ env.PYTHON_VERSION }}-pre-commit-${{ hashFiles('.pre-commit-config.yaml') }}
 
-      - name: Set up cached cargo
+      - name: Cached cargo
         id: cached-cargo
         uses: actions/cache@v4
         with:
@@ -128,13 +128,21 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:
           path: ${{ env.POETRY_CACHE_DIR }}
           key: ${{ runner.os }}-${{ env.PYTHON_VERSION }}-poetry-${{ hashFiles('**/poetry.lock') }}
 
+      - name: Cached test data
+        id: cached-testdata-large
+        uses: actions/cache@v4
+        with:
+          path: tests/test_data/large
+          key: ${{ runner.os }}-large-files-${{ hashFiles('tests/test_data/large/checksums.json') }}
+          restore-keys: ${{ runner.os }}-large-files-
+
       - name: Run pre-commit
         run: |
           # pre-commit run --hook-stage manual gitlint-ci
@@ -173,7 +181,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [windows-latest]
-        python-version: ["3.10", "3.11", "3.12"]
+        python-version: ["3.11", "3.12"]
     defaults:
       run:
         shell: bash
@@ -229,14 +237,14 @@ jobs:
       - name: Install build dependencies
         run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec
 
-      - name: Set up cached pre-commit
+      - name: Cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v4
         with:
           path: ~/.cache/pre-commit
           key: ${{ runner.os }}-${{ matrix.python-version }}-pre-commit-${{ hashFiles('.pre-commit-config.yaml') }}
 
-      - name: Set up cached cargo
+      - name: Cached cargo
         id: cached-cargo
         uses: actions/cache@v4
         with:
@@ -252,13 +260,21 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:
           path: ${{ env.POETRY_CACHE_DIR }}
           key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }}
 
+      - name: Cached test data
+        id: cached-testdata-large
+        uses: actions/cache@v4
+        with:
+          path: tests/test_data/large
+          key: ${{ runner.os }}-large-files-${{ hashFiles('tests/test_data/large/checksums.json') }}
+          restore-keys: ${{ runner.os }}-large-files-
+
       - name: Run pre-commit
         run: |
           # pre-commit run --hook-stage manual gitlint-ci
@@ -278,7 +294,7 @@ jobs:
       matrix:
         arch: [arm64]
         os: [macos-latest]
-        python-version: ["3.10", "3.11", "3.12"]
+        python-version: ["3.11", "3.12"]
     defaults:
       run:
         shell: bash
@@ -338,14 +354,14 @@ jobs:
       - name: Install build dependencies
         run: python -m pip install --upgrade pip setuptools wheel pre-commit msgspec
 
-      - name: Set up cached pre-commit
+      - name: Cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v4
         with:
           path: ~/.cache/pre-commit
           key: ${{ runner.os }}-${{ env.PYTHON_VERSION }}-pre-commit-${{ hashFiles('.pre-commit-config.yaml') }}
 
-      - name: Set up cached cargo
+      - name: Cached cargo
         id: cached-cargo
         uses: actions/cache@v4
         with:
@@ -361,13 +377,21 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:
           path: ${{ env.POETRY_CACHE_DIR }}
           key: ${{ runner.os }}-${{ env.PYTHON_VERSION }}-poetry-${{ hashFiles('**/poetry.lock') }}
 
+      - name: Cached test data
+        id: cached-testdata-large
+        uses: actions/cache@v4
+        with:
+          path: tests/test_data/large
+          key: ${{ runner.os }}-large-files-${{ hashFiles('tests/test_data/large/checksums.json') }}
+          restore-keys: ${{ runner.os }}-large-files-
+
       - name: Run pre-commit
         run: |
           # pre-commit run --hook-stage manual gitlint-ci

diff --git a/.github/workflows/coverage.yml b/.github/workflows/coverage.yml
@@ -11,7 +11,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest]
-        python-version: ["3.10"]  # Fails on 3.11 due Cython
+        python-version: ["3.11"]
     name: build - Python ${{ matrix.python-version }} (${{ matrix.arch }} ${{ matrix.os }})
     runs-on: ${{ matrix.os }}
     services:
@@ -91,7 +91,7 @@ jobs:
       #     make install-talib
       #     poetry run pip install setuptools numpy==1.26.4 ta-lib
 
-      - name: Set up cached pre-commit
+      - name: Cached pre-commit
         id: cached-pre-commit
         uses: actions/cache@v4
         with:
@@ -104,13 +104,21 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:
           path: ${{ env.POETRY_CACHE_DIR }}
           key: ${{ runner.os }}-${{ matrix.python-version }}-poetry-${{ hashFiles('**/poetry.lock') }}
 
+      - name: Cached test data
+        id: cached-testdata-large
+        uses: actions/cache@v4
+        with:
+          path: tests/test_data/large
+          key: ${{ runner.os }}-large-files-${{ hashFiles('tests/test_data/large/checksums.json') }}
+          restore-keys: ${{ runner.os }}-large-files-
+
       - name: Install Nautilus CLI and run init postgres
         run: |
           make install-cli

diff --git a/.github/workflows/release.yml b/.github/workflows/release.yml
@@ -18,7 +18,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.10", "3.11", "3.12"]
+        python-version: ["3.11", "3.12"]
     defaults:
       run:
         shell: bash
@@ -163,7 +163,7 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:
@@ -257,7 +257,7 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:
@@ -300,7 +300,7 @@ jobs:
       matrix:
         arch: [x64]
         os: [ubuntu-20.04, ubuntu-latest, macos-latest, windows-latest]
-        python-version: ["3.10", "3.11", "3.12"]
+        python-version: ["3.11", "3.12"]
     defaults:
       run:
         shell: bash
@@ -384,7 +384,7 @@ jobs:
       - name: Set poetry cache-dir
         run: echo "POETRY_CACHE_DIR=$(poetry config cache-dir)" >> $GITHUB_ENV
 
-      - name: Poetry cache
+      - name: Cached poetry
         id: cached-poetry
         uses: actions/cache@v4
         with:

diff --git a/.gitignore b/.gitignore
@@ -78,9 +78,11 @@ bench_data/
 nautilus_trader/**/.gitignore
 nautilus_trader/test_kit/mocks/.nautilus/
 tests/test_data/catalog/
+tests/test_data/large/*
 tests/unit_tests/catalog/
 tests/unit_tests/persistence/catalog/
 
 # Exceptions
 !/nautilus_core/adapters/src/databento/test_data/*
+!tests/test_data/large/checksums.json
 !tests/integration_tests/adapters/betfair/responses/*.log
diff --git a/README.md b/README.md
@@ -14,9 +14,9 @@
 
 | Platform           | Rust    | Python |
 | :----------------- | :------ | :----- |
-| `Linux (x86_64)`   | 1.81.0+ | 3.10+  |
-| `macOS (arm64)`    | 1.81.0+ | 3.10+  |
-| `Windows (x86_64)` | 1.81.0+ | 3.10+  |
+| `Linux (x86_64)`   | 1.81.0+ | 3.11+  |
+| `macOS (arm64)`    | 1.81.0+ | 3.11+  |
+| `Windows (x86_64)` | 1.81.0+ | 3.11+  |
 
 [![](https://dcbadge.limes.pink/api/server/AUWVs3XaCS)](https://discord.gg/AUWVs3XaCS)
 
@@ -131,7 +131,7 @@ The following integrations are currently supported:
 | [Binance US](https://binance.us)                          | `BINANCE`             | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](https://nautilustrader.io/docs/latest/integrations/binance.html)    |
 | [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)  |
+| [Databento](https://databento.com)                        | `DATABENTO`           | Data Provider           | ![status](https://img.shields.io/badge/stable-green)    | [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)         |
 | [OKX](https://okx.com)                                    | `OKX`                 | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/building-orange) | [Guide](https://nautilustrader.io/docs/latest/integrations/okx.html)        |

diff --git a/RELEASES.md b/RELEASES.md
@@ -1,3 +1,37 @@
+# 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` (#1975), thanks @filipmacek
+- Implemented bar processing for `SimulatedExchange` (#1969), thanks @filipmacek
+- Implemented remaining getter functions in `SimulatedExchange` (#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).

diff --git a/build.py b/build.py
@@ -1,17 +1,17 @@
 #!/usr/bin/env python3
 
-import datetime
+import datetime as dt
 import itertools
 import os
 import platform
 import shutil
 import subprocess
 import sys
 import sysconfig
+import tomllib
 from pathlib import Path
 
 import numpy as np
-import toml
 from Cython.Build import build_ext
 from Cython.Build import cythonize
 from Cython.Compiler import Options
@@ -351,7 +351,9 @@ def build() -> None:
 
 
 if __name__ == "__main__":
-    nautilus_trader_version = toml.load("pyproject.toml")["tool"]["poetry"]["version"]
+    with open("pyproject.toml", "rb") as f:
+        pyproject_data = tomllib.load(f)
+    nautilus_trader_version = pyproject_data["tool"]["poetry"]["version"]
     print("\033[36m")
     print("=====================================================================")
     print(f"Nautilus Builder {nautilus_trader_version}")
@@ -375,7 +377,7 @@ def build() -> None:
     print(f"LDFLAGS={os.environ['LDFLAGS']}") if "LDFLAGS" in os.environ else None
 
     print("\nStarting build...")
-    ts_start = datetime.datetime.now(datetime.timezone.utc)
+    ts_start = dt.datetime.now(dt.UTC)
     build()
-    print(f"Build time: {datetime.datetime.now(datetime.timezone.utc) - ts_start}")
+    print(f"Build time: {dt.datetime.now(dt.UTC) - ts_start}")
     print("\033[32m" + "Build completed" + "\033[0m")
diff --git a/docs/getting_started/backtest_high_level.ipynb b/docs/getting_started/backtest_high_level.ipynb
@@ -34,7 +34,7 @@
    "metadata": {},
    "source": [
     "## Prerequisites\n",
-    "- Python 3.10+ installed\n",
+    "- Python 3.11+ installed\n",
     "- [JupyterLab](https://jupyter.org/) or similar installed (`pip install -U jupyterlab`)\n",
     "- [NautilusTrader](https://pypi.org/project/nautilus_trader/) latest release installed (`pip install -U nautilus_trader`)"
    ]

diff --git a/docs/getting_started/backtest_low_level.ipynb b/docs/getting_started/backtest_low_level.ipynb
@@ -36,7 +36,7 @@
    "metadata": {},
    "source": [
     "## Prerequisites\n",
-    "- Python 3.10+ installed\n",
+    "- Python 3.11+ installed\n",
     "- [JupyterLab](https://jupyter.org/) or similar installed (`pip install -U jupyterlab`)\n",
     "- [NautilusTrader](https://pypi.org/project/nautilus_trader/) latest release installed (`pip install -U nautilus_trader`)"
    ]

diff --git a/docs/getting_started/installation.md b/docs/getting_started/installation.md
@@ -1,6 +1,6 @@
 # Installation
 
-NautilusTrader is tested and supported for Python 3.10-3.12 on the following 64-bit platforms:
+NautilusTrader is tested and supported for Python 3.11 and 3.12 on the following 64-bit platforms:
 
 | Operating System       | Supported Versions    | CPU Architecture  |
 |------------------------|-----------------------|-------------------|

diff --git a/docs/integrations/index.md b/docs/integrations/index.md
@@ -12,7 +12,7 @@ The following integrations are currently supported:
 | [Binance US](https://binance.us)                          | `BINANCE`             | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](integrations/binance.md)    |
 | [Binance Futures](https://www.binance.com/en/futures)     | `BINANCE`             | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](integrations/binance.md)    |
 | [Bybit](https://www.bybit.com)                            | `BYBIT`               | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/stable-green)    | [Guide](integrations/bybit.md)      |
-| [Databento](https://databento.com)                        | `DATABENTO`           | Data Provider           | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](integrations/databento.md)  |
+| [Databento](https://databento.com)                        | `DATABENTO`           | Data Provider           | ![status](https://img.shields.io/badge/stable-green)    | [Guide](integrations/databento.md)  |
 | [dYdX](https://dydx.exchange/)                            | `DYDX`                | Crypto Exchange (DEX)   | ![status](https://img.shields.io/badge/beta-yellow)     | [Guide](integrations/dydx.md)       |
 | [Interactive Brokers](https://www.interactivebrokers.com) | `INTERACTIVE_BROKERS` | Brokerage (multi-venue) | ![status](https://img.shields.io/badge/stable-green)    | [Guide](integrations/ib.md)         |
 | [OKX](https://okx.com)                                    | `OKX`                 | Crypto Exchange (CEX)   | ![status](https://img.shields.io/badge/building-orange) | [Guide](integrations/okx.md)        |

diff --git a/docs/integrations/polymarket.md b/docs/integrations/polymarket.md
@@ -145,7 +145,7 @@ To trade with Polymarket using an EOA wallet, follow these steps to generate you
 
 1. Ensure the following environment variables are set:
   - `POLYMARKET_PK`: Your private key for signing transactions.
-  - `POLYMARKET_FUNDER`: The wallet address used for funding trades.
+  - `POLYMARKET_FUNDER`: The wallet address (public key) on the **Polygon** network used for funding trades on Polymarket.
 
 2. Run the script using:
    ```bash