Release 1.193.0

See release notes.
eruditis · May 24, 2024 · c059eb8 · c059eb8
2 parents 3db0827 + 52897d9
commit c059eb8
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diff --git a/.github/workflows/build-wheels.yml b/.github/workflows/build-wheels.yml
@@ -44,7 +44,7 @@ jobs:
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
         if: (runner.os == 'Linux') || (runner.os == 'Windows')
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy

diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml
@@ -69,7 +69,7 @@ jobs:
         working-directory: ${{ github.workspace }}
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy
@@ -175,7 +175,7 @@ jobs:
         working-directory: ${{ github.workspace }}
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy
@@ -234,8 +234,7 @@ jobs:
           PARALLEL_BUILD: false
 
   build-macos:
-    if: github.ref == 'refs/heads/master'
-    # if: github.ref == 'refs/heads/master' || github.ref == 'refs/heads/nightly'
+    if: github.ref == 'refs/heads/master' || github.ref == 'refs/heads/nightly'
     strategy:
       fail-fast: false
       matrix:

diff --git a/.github/workflows/coverage.yml b/.github/workflows/coverage.yml
@@ -61,7 +61,7 @@ jobs:
         working-directory: ${{ github.workspace }}
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy

diff --git a/.github/workflows/docs.yml b/.github/workflows/docs.yml
@@ -37,13 +37,13 @@ jobs:
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
         if: (runner.os == 'Linux') || (runner.os == 'Windows')
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy
 
       - name: Set up Rust tool-chain (nightly)
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: nightly
           components: rustfmt, clippy

diff --git a/.github/workflows/release.yml b/.github/workflows/release.yml
@@ -55,7 +55,7 @@ jobs:
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
         if: (runner.os == 'Linux') || (runner.os == 'Windows')
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy
@@ -127,7 +127,7 @@ jobs:
         working-directory: ${{ github.workspace }}
 
       - name: Set up Rust tool-chain
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy
@@ -221,7 +221,7 @@ jobs:
         working-directory: ${{ github.workspace }}
 
       - name: Set up Rust tool-chain
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy
@@ -329,7 +329,7 @@ jobs:
 
       - name: Set up Rust tool-chain (Linux, Windows) stable
         if: (runner.os == 'Linux') || (runner.os == 'Windows')
-        uses: actions-rust-lang/setup-rust-toolchain@v1.5
+        uses: actions-rust-lang/setup-rust-toolchain@v1.8
         with:
           toolchain: ${{ env.RUST_VERSION }}
           components: rustfmt, clippy

diff --git a/.pre-commit-config.yaml b/.pre-commit-config.yaml
@@ -82,7 +82,7 @@ repos:
         exclude: "docs/_pygments/monokai.py"
 
   - repo: https://github.com/astral-sh/ruff-pre-commit
-    rev: v0.4.4
+    rev: v0.4.5
     hooks:
       - id: ruff
         args: ["--fix"]

diff --git a/README.md b/README.md
@@ -16,7 +16,6 @@
 | Platform           | Rust    | Python |
 | :----------------- | :------ | :----- |
 | `Linux (x86_64)`   | 1.78.0+ | 3.10+  |
-| `macOS (x86_64)`   | 1.78.0+ | 3.10+  |
 | `macOS (arm64)`    | 1.78.0+ | 3.10+  |
 | `Windows (x86_64)` | 1.78.0+ | 3.10+  |
 

diff --git a/RELEASES.md b/RELEASES.md
@@ -1,3 +1,21 @@
+# 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).

diff --git a/docs/tutorials/backtest_low_level.md b/docs/tutorials/backtest_low_level.md
@@ -27,6 +27,7 @@ from nautilus_trader.examples.strategies.ema_cross_twap import EMACrossTWAP
 from nautilus_trader.examples.strategies.ema_cross_twap import EMACrossTWAPConfig
 from nautilus_trader.model.currencies import ETH
 from nautilus_trader.model.currencies import USDT
+from nautilus_trader.model.data import BarType
 from nautilus_trader.model.enums import AccountType
 from nautilus_trader.model.enums import OmsType
 from nautilus_trader.model.identifiers import TraderId
@@ -82,24 +83,6 @@ engine = BacktestEngine(config=config)
 
 See the [Configuration](../api_reference/config.md) API reference for details of all configuration options available.
 
-## Adding data
-
-Now we can add data to the backtest engine. First add the `Instrument` object we previously initialized, which matches our data.
-
-Then we can add the trade ticks we wrangled earlier:
-```python
-# Add instrument(s)
-engine.add_instrument(ETHUSDT_BINANCE)
-
-# Add data
-engine.add_data(ticks)
-
-```
-
-```{note}
-The amount of and variety of data types is only limited by machine resources and your imagination (custom types are possible).
-```
-
 ## Adding venues
 
 We'll need a venue to trade on, which should match the *market* data being added to the engine.
@@ -119,6 +102,24 @@ engine.add_venue(
 
 ```
 
+## Adding data
+
+Now we can add data to the backtest engine. First add the `Instrument` object we previously initialized, which matches our data.
+
+Then we can add the trade ticks we wrangled earlier:
+```python
+# Add instrument(s)
+engine.add_instrument(ETHUSDT_BINANCE)
+
+# Add data
+engine.add_data(ticks)
+
+```
+
+```{note}
+The amount of and variety of data types is only limited by machine resources and your imagination (custom types are possible).
+```
+
 ```{note}
 Multiple venues can be used for backtesting, only limited by machine resources.
 ```

diff --git a/examples/live/interactive_brokers/interactive_brokers_example.py b/examples/live/interactive_brokers/interactive_brokers_example.py
@@ -14,7 +14,6 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
-
 # fmt: off
 
 from nautilus_trader.adapters.interactive_brokers.common import IB_VENUE

diff --git a/examples/live/betfair/betfair_sandbox.py → examples/sandbox/betfair_sandbox.py b/examples/live/betfair/betfair_sandbox.py → examples/sandbox/betfair_sandbox.py
@@ -55,6 +55,9 @@ async def main(instrument_config: BetfairInstrumentProviderConfig) -> TradingNod
     instruments = provider.list_all()
     print(f"Found instruments:\n{[ins.id for ins in instruments]}")
 
+    # Need to manually set instruments for sandbox exec client
+    SandboxExecutionClient.INSTRUMENTS = instruments
+
     # Load account currency
     account_currency = await provider.get_account_currency()
 
@@ -71,8 +74,8 @@ async def main(instrument_config: BetfairInstrumentProviderConfig) -> TradingNod
         exec_clients={
             "SANDBOX": SandboxExecutionClientConfig(
                 venue="BETFAIR",
-                currency="AUD",
-                balance=10_000,
+                base_currency="AUD",
+                starting_balances=["10_000 AUD"],
             ),
         },
     )
@@ -91,9 +94,6 @@ async def main(instrument_config: BetfairInstrumentProviderConfig) -> TradingNod
     node = TradingNode(config=config)
     node.trader.add_strategies(strategies)
 
-    # Need to manually set instruments for sandbox exec client
-    SandboxExecutionClient.INSTRUMENTS = instruments
-
     # Register your client factories with the node (can take user defined factories)
     node.add_data_client_factory("BETFAIR", BetfairLiveDataClientFactory)
     node.add_exec_client_factory("SANDBOX", SandboxLiveExecClientFactory)