Merge branch 'develop' into persistence-datafusion

.pre-commit-config.yaml

@@ -93,7 +93,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/pre-commit/mirrors-mypy
-    rev: v1.1.1
+    rev: v1.2.0
     hooks:
       - id: mypy
         args: [
@@ -111,7 +111,7 @@ repos:
         ]
 
   - repo: https://github.com/charliermarsh/ruff-pre-commit
-    rev: v0.0.260
+    rev: v0.0.261
     hooks:
       - id: ruff
 

RELEASES.md

@@ -7,6 +7,11 @@ Released on TBD (UTC).
 
 ### Enhancements
 - 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' executon algorithms
+- Rewired execution for improved flow flexibility between emulated orders, execution algorithms and the `RiskEngine`
 - Now stripping debug symbols after build (reduced binary sizes)
 
 ### Fixes

build.py

@@ -8,6 +8,7 @@
 import sysconfig
 from datetime import datetime
 from pathlib import Path
+from typing import Optional
 
 import numpy as np
 from Cython.Build import build_ext
@@ -121,7 +122,9 @@ def _build_extensions() -> list[Extension]:
     # disable it with " "#define NPY_NO_DEPRECATED_API NPY_1_7_API_VERSION"
     # https://stackoverflow.com/questions/52749662/using-deprecated-numpy-api
     # From the Cython docs: "For the time being, it is just a warning that you can ignore."
-    define_macros = [("NPY_NO_DEPRECATED_API", "NPY_1_7_API_VERSION")]
+    define_macros: list[tuple[str, Optional[str]]] = [
+        ("NPY_NO_DEPRECATED_API", "NPY_1_7_API_VERSION"),
+    ]
     if PROFILE_MODE or ANNOTATION_MODE:
         # Profiling requires special macro directives
         define_macros.append(("CYTHON_TRACE", "1"))
@@ -131,6 +134,9 @@ def _build_extensions() -> list[Extension]:
 
     if platform.system() == "Darwin":
         extra_compile_args.append("-Wno-unreachable-code-fallthrough")
+        extra_link_args.append("-flat_namespace")
+        extra_link_args.append("-undefined")
+        extra_link_args.append("suppress")
 
     if platform.system() != "Windows":
         # Suppress warnings produced by Cython boilerplate
@@ -258,8 +264,12 @@ def _strip_unneeded_symbols() -> None:
     try:
         print("Stripping unneeded symbols from binaries...")
         for so in itertools.chain(Path("nautilus_trader").rglob("*.so")):
-            strip_cmd = f"strip --strip-unneeded {so}"
-            print(strip_cmd)
+            if platform.system() == "Linux":
+                strip_cmd = f"strip --strip-unneeded {so}"
+            elif platform.system() == "Darwin":
+                strip_cmd = f"strip -x {so}"
+            else:
+                raise RuntimeError(f"Cannot strip symbols for platform {platform.system()}")
             subprocess.run(
                 strip_cmd,
                 check=True,
@@ -292,7 +302,7 @@ def build() -> None:
             # Copy the build back into the source tree for development and wheel packaging
             _copy_build_dir_to_project(cmd)
 
-    if platform.system() == "Linux":
+    if platform.system() in ("Linux", "Darwin"):
         _strip_unneeded_symbols()
 
 

docs/api_reference/execution.md

@@ -4,6 +4,16 @@
 .. automodule:: nautilus_trader.execution
 ```
 
+## Components
+
+```{eval-rst}
+.. automodule:: nautilus_trader.execution.algorithm
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
 ```{eval-rst}
 .. automodule:: nautilus_trader.execution.client
    :show-inheritance:
@@ -12,6 +22,14 @@
    :member-order: bysource
 ```
 
+```{eval-rst}
+.. automodule:: nautilus_trader.execution.emulator
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
 ```{eval-rst}
 .. automodule:: nautilus_trader.execution.engine
    :show-inheritance:
@@ -20,6 +38,14 @@
    :member-order: bysource
 ```
 
+```{eval-rst}
+.. automodule:: nautilus_trader.execution.matching_core
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+```
+
 ## Messages
 
 ```{eval-rst}