NautilusTrader 1.226.0 Beta

NautilusTrader 1.226.0 Beta

Released on 29th April 2026 (UTC).

Enhancements

• Added Portfolio::mark_values, equity, and missing_price_instruments queries for Rust and Python
• Added instrument_status / instrument_statuses cache queries and auto-caching in the data engine (#3858)
• Added environment enum config for BitMEX, Deribit, dYdX, Hyperliquid, and OKX adapters
• Added BybitEnvironment to BybitDataClientConfig and BybitExecClientConfig
• Added missing config values to LiveExecEngineConfig (#3841), thanks @Javdu10
• Added calculate_commission to ExecutionClient for venue-specific reconciliation fills
• Added PyO3 bindings for DataEngineConfig, ExecutionEngineConfig, and OrderEmulatorConfig so they can be constructed from Python
• Added cache, msgbus, data_engine, exec_engine, and portfolio keyword arguments to BacktestEngineConfig Python constructor
• Added MarginAccount.margin_for_currency + margin_init/maint_for_currency helpers for cross-margin queries
• Added MarginAccount.total_margin_init(currency) / total_margin_maint(currency) summing both margin buckets
• Added MarginAccount.account_margins, account_margins_init/maint, and clear_account_margin accessors
• Added transport-sockudo feature with TransportBackend runtime selector for the WebSocket transport (Rust)
• Added TransportBackend PyO3 enum and WebSocketConfig.backend kwarg for backend selection from Python
• Added custom upgrade-header support on the sockudo backend so adapters carry the same User-Agent and per-venue headers on both backends (#3932), thanks @sunlei
• Added WebSocketConfig.proxy_url for HTTP CONNECT proxy tunneling with basic-auth support
• Added Betfair tiered tick scheme to BettingInstrument for ladder-snapped pricing
• Added Binance Futures use_trade_lite config to opt into low-latency TRADE_LITE fills (Rust, default False)
• Added Binance proxy_url plumbing for market and user-data WS streams (#3937), thanks for reporting @huangqingchi
• Added Bybit user-related endpoints (#3894), thanks @sunlei
• Added Bybit BybitPositionIdx enum and bybit_resolve_position_idx PyO3 helper
• Added Coinbase initial integration adapter (Rust)
• Added DydxNetwork re-export on the nautilus_trader.adapters.dydx package
• Added Hyperliquid historical funding rates via fundingHistory info endpoint
• Added Hyperliquid configurable MARKET slippage (market_order_slippage_bps) with per-order override
• Added Hyperliquid OrderBookDepth10 subscription backed by the l2Book feed
• Added Hyperliquid nSigFigs / mantissa L2 precision controls via subscribe_params
• Added Interactive Brokers Rust adapter with PyO3 compatibility layer (#3864), thanks @faysou
• Added Kraken xStocks tokenized asset support for spot market data, order submission, and futures instruments
• Added OKX option greeks support for both Black-Scholes and price-adjusted conventions on every tick
• Added OKX params["greeks_convention"] (string or list) to narrow option greeks subscriptions
• Added OKX transport_backend config to switch websockets between Tungstenite and Sockudo backends
• Added Polymarket game_id and fee_schedule to instrument info (#3811), thanks @Javdu10
• Added Polymarket batch SubmitOrderList via POST /orders for limit-order batches (Rust)
• Added Polymarket WebSocket idle_timeout_ms for zombie detection (#3908), thanks for reporting @camarigor
• Added Polymarket WebSocket proxy_url plumbing
• Added Polymarket pUSD collateral currency (Currency::pUSD() in Rust, pUSD in Python) for the CLOB V2 cutover
• Added configurable compression for Tardis Machine replay, defaulting to zstd
• Added ExecutionReport::OrderWithFills and send_order_with_fills emitter for bundled status + fill reconciliation
• Added ADL / liquidation detection and logging across Binance, Bybit, OKX, BitMEX, Hyperliquid, Deribit, and dYdX
• Added Binance Futures COIN-M delivery_autoclose- prefix recognition for expiring contract auto-close events
• Added Bybit adlRankIndicator warning log when an open position is ranked 4 or higher (next to deleverage)
• Added Hyperliquid liquidation metadata logging on fills and userEvents.liquidation routing
• Added Hyperliquid Auto-Deleveraging fill detection with warn logging on HTTP and WebSocket paths

Breaking Changes

• Added Option<&AccountId> to Rust Portfolio::unrealized_pnls, realized_pnls, total_pnls; pass None to keep prior behavior
• Added backend: TransportBackend to WebSocketConfig; struct-literal callers must add the field (Rust)
• Added proxy_url: Option<String> to WebSocketConfig; struct-literal callers must add the field (Rust)
• Migrated Polymarket adapter to CLOB V2: new EIP-712 domain version 2, new exchange contract addresses, timestamp/metadata/builder order fields replace taker/nonce/feeRateBps, and pUSD replaces USDC.e as collateral; the Python adapter now uses py-clob-client-v2
• Consolidated adapter HTTP and WebSocket proxy plumbing onto a single proxy_url field, replacing the prior http_proxy_url / ws_proxy_url split across adapter Rust and Python configs
• Removed DockerizedIBGatewayConfig::from_env_or_defaults (Rust); use the bon builder or Default::default, which still falls back to TWS_USERNAME/TWS_PASSWORD
• Removed OrderMatchingEngineConfig::new and with_price_protection_points (Rust); use OrderMatchingEngineConfig::builder() instead
• Removed BlockchainDataClientConfig::new, BlockchainExecutionClientConfig::new, and DexPoolFilters::new (Rust); use the corresponding ::builder() instead
• Removed DeribitExecClientConfig::new and HyperliquidExecClientConfig::new convenience constructors (Rust); use the ::builder() instead
• Removed DataEngineConfig::new 12-arg positional constructor (Rust); use DataEngineConfig::builder() instead
• Removed synthetic ACCOUNT-* placeholders from margin adapters; MarginBalance emits with currency only
• Removed nautilus_system::factories module; import factory traits from nautilus_common::factories (Rust)
• Removed indicators from nautilus-common default features; enable with features = ["indicators"] (Rust)
• Renamed Python DatabaseConfig.timeout to connection_timeout and response_timeout to match the Redis/PyO3 wire schema
• Replaced is_sandbox: bool with environment: AxEnvironment on AxDataClientConfig and AxExecClientConfig (Rust and Python), aligning with the Binance/Bybit/Kraken adapter pattern. Default is Sandbox.
• Changed BacktestEngine::add_venue and SimulatedExchange::new (Rust) to take SimulatedVenueConfig (bon builder)
• Changed Interactive Brokers Rust configs to use bon builders: InteractiveBrokersDataClientConfig, InteractiveBrokersExecClientConfig, InteractiveBrokersInstrumentProviderConfig, and DockerizedIBGatewayConfig
• Changed get_cached_bybit_http_client signature: replaced demo/testnet bools with environment: BybitEnvironment
• Changed UnsubscribeBookSnapshots to require interval_ms for exact snapshot interval unsubscribe (Rust)
• Changed OrderError::Invariant variant to wrap CorrectnessError instead of anyhow::Error (Rust)
• Changed HyperliquidEip712Signer::new() to return Result and take &EvmPrivateKey (Rust)
• Changed HyperliquidExchangeRequest::new/with_vault to accept HyperliquidSignature directly (Rust)
• Changed Binance USD-M Futures WebSocket URLs from /ws to /market/ws and /private/ws
• Changed Cap'n Proto and SBE wire formats to preserve Option state (unstable, may change)
• Changed Python and Serde-backed Rust config decoding to reject unknown fields, so stale or misspelled keys now fail fast during config parsing
• Changed MarginBalance.instrument_id to optional; None marks account-wide (cross margin) entries keyed by currency
• Changed MarginAccount.margins_init/margins_maint to per-instrument only; use account_margins_* for cross margin
• Changed Binance Futures COIN-M to emit one MarginBalance per base coin (previously hardcoded USDT)
• Changed matching-engine TradeId format to T-{hash}-{count} from {venue}-{raw_id}-{count}; ts_init-keyed
• Changed use_random_ids to no longer govern TradeId; flag still affects VenueOrderId and PositionId
• Changed workspace nautilus-live to default-features = false; enable features = ["node"] for LiveNode (Rust)
• Changed adapter LiveNode examples to require --features examples to build (Rust)
• Changed ParquetDataCatalog::to_object_path and to_object_path_parsed to return anyhow::Result so cross-store URIs surface as errors instead of silently rewriting against the catalog bucket (Rust)
• Changed prefixed remote catalogs (s3://bucket/base/path, etc.) to read and write under their declared URI prefix; data previously written to the bucket root by the prior buggy behavior will not be discovered after upgrading and must be moved into the prefix (#3930)

Security

• Hardened Binance Ed25519 credential detection so base64 HMAC secrets no longer pass as Ed25519 keys (Rust)
• Hardened Binance HTTP request signing by URL-encoding Ed25519 signatures in query strings (Rust)
• Replaced the third-party urlencoding crate with the in-tree nautilus_core::urlencoding to shrink the supply-chain surface (Rust)
• Bumped pinned SHAs for security-relevant GitHub Actions (harden-runner, codeql-action, setup-uv, setup-rust-toolchain) to current upstream releases
• Refreshed cargo-deny and osv-scanner advisory configuration; removed the stale pygments advisory ignore now that upstream is patched

Fixes

• Fixed sockudo WebSocket backend dropping handshake leftover bytes when the server piggybacks the first frame on the 101 response (#3932), thanks @sunlei
• Fixed account state regeneration dropping account-wide margins on every fill across live and backtest paths
• Fixed AccountState ...

NautilusTrader 1.225.0 Beta

NautilusTrader 1.225.0 Beta

Released on 6th April 2026 (UTC).

Enhancements

• Added option chains and greeks in Rust (#3637), thanks @filipmacek
• Added option chains and greeks in Python (#3677), thanks @filipmacek
• Added cached futures-spread support to GreeksCalculator (#3792), thanks @faysou
• Added custom data registration, persistence, and routing in Rust (#3542), thanks @faysou
• Added nautilus_actor! macro in nautilus_common for Deref/DerefMut boilerplate on actor types (Rust)
• Added nautilus_strategy! macro in nautilus_trading for Deref/DerefMut and Strategy trait boilerplate on strategy types, with optional block for hook overrides (Rust)
• Added cache.orders_active_local(...) function in Rust (#3716), thanks @Javdu10
• Added interval field to FundingRateUpdate (#3694), thanks @dxwil
• Added BookImbalanceActor example actor for order book quoted volume imbalance in Rust
• Added ExecTesterConfig.test_reject_post_only implicitly setting post_only on orders without requiring use_post_only (Python and Rust)
• Added TieredTickScheme and TickScheme::Tiered for price-dependent tick sizes (Rust)
• Added TokenizedAsset instrument type with configurable asset_class field for tokenized equities, ETFs, commodities, and other real-world assets
• Added Betfair backtest example streaming raw .gz data through BacktestEngine (Rust)
• Added Binance decode_binance_spot_client_order_id and decode_binance_futures_client_order_id utility functions for decoding Link & Trade encoded clientOrderId values from raw Binance API responses
• Added Binance Futures subscribe_funding_rates and unsubscribe_funding_rates with FundingRateUpdate emission via the mark price stream (Rust)
• Added Binance Futures exchange-generated order handling for liquidation, ADL, and settlement fills with client order ID prefix detection and FillReport/OrderStatusReport emission (Rust)
• Added Binance Futures use_position_ids config for hedging position IDs derived from instrument and position side on exchange-generated fills (Rust)
• Added Binance Futures default_taker_fee config with commission fallback estimation for exchange-generated fills when venue omits commission fields (Rust, USD-M only)
• Added Binance NewAdl, NewInsurance, and PendingNew variants to BinanceOrderStatus (Rust)
• Added Binance Rpi time-in-force, PreSettle/Settling/Close contract statuses, None/Decrement/Transfer STP modes, and income type variants (Rust)
• Added Binance instrument status polling in Rust
• Added Arrow schema support for BinanceBar and BinanceFuturesMarkPriceUpdate (#3749), thanks @twitu
• Added Binance Futures close_position parameter for algo stop orders to close an entire position at trigger price (Python and Rust) (#3751), thanks for reporting @dodge-basic
• Added Bybit native TP/SL params for order placement (#3754), thanks @jindrichsirucek
• Added Bybit instrument status polling and subscription (#3738), thanks @filipmacek
• Added Bybit options trade subscriptions using baseCoin topic with per-instrument filtering
• Added Bybit option instrument fee rate population from /v5/account/fee-rate
• Added Bybit submit_order_list via WebSocket batch API with TP/SL support and HTTP demo fallback (Rust)
• Added Bybit query_order via HTTP with open order and history fallback (Rust)
• Added Databento Arrow serialization for imbalance and statistics (#3689), thanks for reporting @GianC0
• Added Deribit LimitIfTouched and MarketIfTouched order type support (take_limit/take_market)
• Added Hyperliquid agent wallet support (#3668), thanks @oh92
• Added Hyperliquid product type config for live clients (#3783), thanks @lisiyuan656
• Added Kraken FOK, LimitIfTouched orders, and batch submit
• Added Kraken tokenized equity (xStocks) support via aclass_base=tokenized_asset with automatic dual-fetch on instrument loading (#3455), thanks for reporting @jilongjia
• Added Kraken request_book_snapshot for spot and futures via HTTP depth endpoints
• Added Kraken request_funding_rates for futures with client-side start/end/limit filtering
• Added Kraken subscribe_instrument_status for spot and futures (polling-based detection)
• Added Kraken spot trailing stop and trailing stop limit order submission with trailing_offset and limit_offset fields
• Added Kraken spot trigger parameter for conditional orders (last or index price reference)
• Added Kraken spot quote quantity orders via viqc order flag
• Added Kraken spot iceberg orders via displayvol parameter
• Added OKX submit_order_list via WebSocket batch endpoint for regular GTC orders
• Added OKX support for bracket order submission with attached TP/SL (#3701), thanks @Nickonomic
• Added OKX subscribe_option_greeks for venue-provided Greeks via the opt-summary WebSocket channel
• Added OKX configurable ws_auth_timeout_secs for WebSocket authentication (#3727), thanks for reporting @Stamppot82
• Added OKX fwdPx (forward price) to OKXOptionSummaryMsg and mapped to underlying_price on OptionGreeks for ATM tracking
• Added OKX request_orderbook_snapshot and request_funding_rates to Python data client via PyO3 bindings
• Added OKX options trading execution with limit orders, px_usd/px_vol pricing modes, OpFok order type, and MarketToLimit/conditional order rejection
• Added OKX options position-level Black-Scholes Greeks (delta_bs, gamma_bs, theta_bs, vega_bs) to position data
• Added OKX determine_order_type_with_alt for correct order type classification when options use alternative pricing fields
• Added DeltaNeutralVol strategy strangle entry via px_vol limit orders with configurable IV offset, time-in-force, and cache-based re-entry guard
• Added OKX missing WebSocket message fields across all channel structs
• Added Polymarket instrument provider and filters in Rust (#3708), thanks @filipmacek
• Added Polymarket strategy-driven data subscriptions (#3806), thanks @Javdu10
• Added Tardis MarkPriceUpdate and IndexPriceUpdate parsing from derivative_ticker messages in Rust
• Added Tardis DerivativeTickerCache for deduplicating unchanged funding rate, mark price, and index price updates
• Added Tardis TardisDataType enum for normalized Tardis Machine data type identifiers
• Added Tardis live streaming support via stream_options config with automatic reconnection and exponential backoff
• Added Tardis raw provider metadata to Instrument.info (#3730), thanks for reporting @volemont

Breaking Changes

• Removed deprecated convert_quote_qty_to_base from ExecEngineConfig and LiveExecEngineConfig; adapters now handle quote-to-base conversion directly
• Removed TARDIS_BASE_URL constant from nautilus_tardis::http - use nautilus_tardis::common::urls::TARDIS_HTTP_BASE_URL
• Removed Hyperliquid revoke_hyperliquid_builder_fee function and builder fee revoke scripts
• Removed DatabentoLiveClient.key property (Python)
• Renamed OrderEvent.kind() to type_name() in Rust
• Renamed instrument type_str PyO3 getter to type_name
• Renamed DatabentoHistoricalClient.key property to api_key (Python)
• Renamed ParquetDataCatalogV2 to ParquetDataCatalog and StreamingFeatherWriterV2 to StreamingFeatherWriter (PyO3 persistence classes)
• Changed Tardis HTTP client from reqwest::Client to nautilus_network::http::HttpClient with rate limiting
• Changed ExecutionEngine.register_client to error when a venue is already routed to another client (Rust)
• Changed ExecutionEngine.register_venue_routing to error when re-routing a venue to a different client (Rust)
• Changed collection-cloning PyO3 getters to methods: Position.events(), adjustments(), client_order_ids(), venue_order_ids(), trade_ids(); and events() on all order types
• Changed config structs to use bon::Builder defaults as single source of truth; Default impls now delegate to Self::builder().build()
• Changed config fields that always had a sensible default from Option<T> to plain T with #[builder(default)] across all adapter, live, and engine configs (Rust)
• Changed Option<T> fields retained only where None carries distinct meaning (feature disabled, unbounded, etc.)

Security

• Hardened Docker Compose to bind all ports to localhost and add no-new-privileges to all services
• Hardened CI egress policy to block by default and fall back to audit mode for fork pull requests
• Upgraded all nautilustrader.io URLs from HTTP to HTTPS (#3686), thanks @04cb
• Documented aws-lc-rs non-FIPS mode rationale (FIPS 140-3 module requires Go toolchain)

Fixes

• Fixed OrderBook L1 stale event mutation corrupting bid/ask (#3790), thanks for reporting @linimin
• Fixed position index blob pollution in update_position (#3791), thanks @YeeTsai
• Fixed purge_order KeyError for position/exec_algorithm index access (#3799)
• Fixed strategy receiving historical events during startup reconciliation (#3793), thanks @filipmacek
• Fixed Trader::add_exec_algorithm not registering the {id}.execute msgbus endpoint, causing orders with exec_algorithm_id to be silently dropped
• Fixed Trader::clear_exec_algorithms and dispose_components not deregistering {id}.execute msgbus endpoints for removed algorithms
• Fixed TopicRouter stale index cache panic when unsubscribing one pattern invalidated indices for unrelated cached topics (#3755), thanks for reporting @Javdu10
• Fixed PRICE_UNDEF panic in OrderBookDelta.to_pyo3_list Cython conversion (#3697), thanks @zshuang15
• Fixed ExecutionEngine silently dropping SubmitOrder and SubmitOrderList commands when no execution client can be resolved; now emits OrderDenied (Rust)
• Fixed RiskEngine RefCell re-entrancy panic on order denial (#3680), thanks @husariancom
• Fixed reconciliation when trigger_price is set for non-conditional orders (#3673), thanks @husariancom
• Fixed `s...

NautilusTrader 1.224.0 Beta

NautilusTrader 1.224.0 Beta

Released on 3rd March 2026 (UTC).

Enhancements

• Added matching engine L1 quote-based queue position tracking for backtests
• Added fill_limit_inside_spread to FillModel and MatchingCore for at-or-inside-spread limit fill control
• Added synthetic book support for binary markets (#3495), thanks @Javdu10
• Added get_target_px_for_quantity method on OrderBook (#3627), thanks @Javdu10
• Added Betfair batch submit and cancel order support
• Added BitMEX dead man's switch (cancelAllAfter) support (Rust and Python)
• Added BitMEX grid market maker example (Rust)
• Added BitMEX instrument status subscription support (Rust and Python)
• Added Bybit book snapshot and funding rate request support (Rust)
• Added Databento skip_on_error flag for load_instruments to skip unparsable definitions (#3657), thanks for reporting @davidsblom
• Added Deribit instrument status subscription support (Rust and Python)
• Added dYdX instrument status subscription support (Rust and Python)
• Added Hyperliquid order modify support (Rust and Python)
• Added OKX trailing stop market order support (Rust and Python)
• Added OKX algo order amend support (Rust and Python)
• Added OKX instrument status updates from WebSocket instruments channel (Rust)
• Added OKX index price subscriptions with base-pair remapping to derivatives (Rust)
• Added OKX book snapshot and funding rate request support (Rust)
• Removed Hyperliquid builder fee charges (builder-fee approval no longer required)

Breaking Changes

• Removed Coinbase International (COINBASE_INTX) adapter, see RFC (#3555)
• Removed Binance BINANCE_ED25519_* env vars for Spot/Margin (use BINANCE_API_KEY/BINANCE_API_SECRET; Futures deprecated with warning)
• Removed Hyperliquid builder_fee_refresh_mins config option (builder fees no longer charged)
• Removed Polymarket fetch_orderbook_history, load_orderbook_snapshots, fetch_price_history and related methods (endpoints decommissioned, #3635)

Security

• Added pip-audit to security audit pipeline
• Added Docker image cosign signing and SBOM generation
• Standardized credential zeroization across all adapters (Ustr replaced with Box<str> for API keys)
• Standardized secret redaction in Debug impls across all adapter credentials
• Updated SECURITY.md with expanded scope, reporting guidelines, and responsible disclosure policy
• Bumped all eligible GitHub Actions pinned SHAs to latest versions (2-week release policy)

Fixes

• Fixed matching engine applying order book deltas for L1 books (#3615), thanks @maksym-mikheienko
• Fixed streaming backtest producing dummy bars past batch data exhaustion (#3628), thanks for reporting @cauta
• Fixed OrderEmulator trailing stop activation ignoring LAST_PRICE trigger type (#3629), thanks for reporting @HaakonFlaaronning
• Fixed LiveExecEngine position reconciliation infinite loop when venue reports flat (#3622), thanks for reporting @mrbaron3
• Fixed CryptoOption instrument pyo3 transform for (#3626), thanks @davidsblom
• Fixed StreamingFeatherWriter duplicate events from multiple message bus topics (#3625), thanks for reporting @fomotoshi
• Fixed VolumeImbalanceBarAggregator and VolumeRunsBarAggregator integer overflow for step >= 923 in high-precision mode (#3658), thanks for reporting @honvl
• Fixed InstrumentProvider load_ids_async loading all instruments instead of filtering to requested IDs (affected dYdX, Kraken, AX, Hyperliquid)
• Fixed Python WS callbacks running off asyncio event-loop thread in Rust adapters (#3653), thanks for reporting @camilorodegheri
• Fixed Binance Futures algo order serde field renames for WS and HTTP parsing (#3624), thanks for reporting @qu1zzyboy
• Fixed Binance silent HMAC fallback when using encrypted Ed25519 PEM keys (now warns)
• Fixed BinanceSymbol COIN-M perpetual symbol conversion (#3641), thanks @YeeTsai
• Fixed Binance algo order cancellation parsing (#3646), thanks @qu1zzyboy
• Fixed Binance Spot testnet WebSocket API URL (#3661), thanks @penguinwokrs
• Fixed Hyperliquid stop/trigger order price derivation (#3611), thanks for reporting @h-tsun3
• Fixed Hyperliquid price normalization and inner error detection (#3612), thanks for reporting @h-tsun3
• Fixed Interactive Brokers BarType/str comparison in get_historical_bars (#3616), thanks @powerseed
• Fixed Interactive Brokers historical bar processing crash (#3619), thanks @shzhng
• Fixed Interactive Brokers contract details parsing (#3638), thanks @davidsblom
• Fixed Kraken Spot and Futures execution clients not loading instruments during connect (#3644), thanks for reporting @husariancom
• Fixed Kraken Spot execution client HTTP client created without credentials (#3650), thanks for reporting @husariancom
• Fixed Kraken sequential ClientOrderId exceeding cl_ord_id 18-char free-text limit (#3651), thanks for reporting @husariancom
• Fixed Kraken missing account state registration during connect (#3652), thanks for reporting @husariancom
• Fixed Polymarket Gamma API load_ids path skipping sibling tokens (#3654), thanks for reporting @likenji
• Fixed Polymarket loader to use Data API trades instead of decommissioned orderbook/price history endpoints (#3635), thanks for reporting @JSai23
• Fixed Binance Spot testnet WebSocket API URL (legacy URL removed by Binance in May 2025) (#3660)
• Fixed pre-commit hooks portability for Windows (#3617), thanks for reporting @powerseed
• Fixed LiveNode startup RefCell panic when execution reports arrive during connect()
• Fixed dYdX new instrument discovery flooding logs with inactive/delisted markets
• Fixed dYdX fills and orders API requests missing required marketType parameter

Internal Improvements

• Added catalog deduplication functionality (#3613), thanks @ms32035
• Extracted common SBE decoder to nautilus-serialization crate
• Implemented BacktestNode with catalog streaming in Rust
• Improved OrderBookImbalance example strategy
• Improved BestPriceFillModel to fill inside bid ask spread (#3428), thanks @faysou
• Standardized use of atomic clock across adapters
• Standardized adapter credentials handling and testing
• Refined build script for Windows (#3636), thanks @faysou
• Optimized matching engine _seed_trade_consumption to use range-bounded FFI queries for deep books
• Optimized backtest engine settle loop to avoid Python list allocation on idle ticks
• Optimized MatchingCore.iterate to avoid list concatenation on every call
• Upgraded databento crate to v0.42.0
• Upgraded datafusion crate to v52.2.0

Documentation Updates

• Added AX Exchange gold perps book imbalance tutorial
• Added AX Exchange spot FX bars mean reversion tutorial
• Added BitMEX grid market maker tutorial
• Added adapter data and execution testing specifications
• Added order book concepts documentation
• Improved backtesting mermaid diagram and tutorial formatting

NautilusTrader 1.223.0 Beta

NautilusTrader 1.223.0 Beta

Released on 21st February 2026 (UTC).

Enhancements

• Added bulk_read_batch_size option to CacheConfig for batched Redis bulk reads, thanks @shzhng
• Added sandbox execution adapter in Rust
• Added multi-account execution support (#3194), thanks @faysou
• Added Nasdaq ITCH 5.0 parser
• Added grid market maker example strategy in Rust
• Added OrderBookDeltas historical request support (#3438), thanks @faysou
• Added market_exit() method for Strategy with configurable market_exit_time_in_force and market_exit_reduce_only options (supports venues requiring IOC for market orders)
• Added manage_stop config option to StrategyConfig for automatic market exit on stop
• Added matching engine queue_position tracking heuristic for backtests
• Added matching engine trade consumption seeding for L2/L3 book backtests
• Added tracing subscriber for external Rust library logs (use_tracing=True in LoggingConfig, filter with RUST_LOG env var)
• Added use_market_order_acks venue config option to generate OrderAccepted events for market orders before filling (mimics behavior of venues like Binance)
• Added oto_trigger_mode venue config option to control whether OTO child orders activate on partial fills (PARTIAL) or only after full fill (FULL) (default PARTIAL) (#3454), thanks @godnight10061
• Added request_funding_rates and FundingRateUpdate Arrow serialization (#3467), thanks @dxwil
• Added optimize_file_loading as BacktestDataConfig parameter (#3518), thanks @faysou
• Added bulk_read_batch_size option to CacheConfig for batched Redis bulk reads (#3535), thanks @shzhng
• Added PerpetualContract instrument for asset-class agnostic perpetual swaps
• Added Ichimoku Cloud indicator (#3552), thanks @faysou
• Added Betfair RCM parsing for TPD race data
• Added Betfair race stream subscription via subscribe_race_data config
• Added Betfair market version price protection for orders
• Added Betfair BetfairOrderVoided custom data type for VAR voids
• Added BetfairOrderVoided custom data type for VAR voids
• Added Binance BinanceEnvironment enum with LIVE, TESTNET, DEMO variants for explicit environment selection
• Added Binance environment config field to BinanceDataClientConfig and BinanceExecClientConfig
• Added Binance Demo environment support with BINANCE_DEMO_API_KEY/BINANCE_DEMO_API_SECRET env vars
• Added BitMEX trailing stop support
• Added BitMEX pegged order (BBO) support via params
• Added Bybit mark price subscriptions support
• Added Bybit index price subscriptions support
• Added Databento bulk subscription and historical request support (#3490), thanks @shzhng
• Added Databento support for conversion of OPRA venues (#3605), thanks @faysou
• Added Interactive Brokers subscribe index price functionality (#3514), thanks @Murph24
• Added Interactive Brokers TotalCashValue to account summary info dict, exposing actual cash balance (#3567), thanks @shzhng
• Added Interactive Brokers request_timeout_secs config to InteractiveBrokersExecClientConfig and consolidated all IB request timeouts into a single configurable value (#3602), thanks @shzhng
• Added OKX batch cancel support for conditional (algo) orders
• Added Polymarket data loader event-level API support (#3484), thanks @jsemldonado
• Added Polymarket event_slug_builder support (#3501), thanks @jsemldonado
• Added Polymarket batch order support (#3506), thanks @loafer-19
• Added Tardis data client with factory in Rust
• Improved tearsheet with dynamic Nautilus version and refined run info table (#3396), thanks @KaulSe

Breaking Changes

• Removed dYdX v3 (legacy) Python adapter (the v3 exchange was decommissioned at end of 2024)
• Removed dydx optional install extra (the v4 Rust-backed adapter has no additional Python dependencies)
• Renamed nautilus_trader.adapters.dydx_v4 module to nautilus_trader.adapters.dydx and standardized class names to Dydx prefix (e.g. DydxDataClientConfig, DydxLiveDataClientFactory)
• Removed dead subscribe_order_book_snapshots and unsubscribe_order_book_snapshots methods from LiveMarketDataClient (were never called by the data engine)
• Removed OKX URL environment variable overrides (OKX_BASE_URL_HTTP, OKX_BASE_URL_WS_*, OKX_DEMO_BASE_URL_WS_*); use config base_url_* fields instead
• Removed deprecated get_ws_base_url function from OKX Rust adapter; use get_ws_base_url_private or get_ws_base_url_public instead
• Removed AddAssign, SubAssign, MulAssign trait implementations from Price, Quantity, and Money types (Rust); use x = x + y instead of x += y
• Removed add_assign and sub_assign cdef methods from Price, Quantity, and Money types (Cython); use x = x + y instead
• Renamed subscribed_order_book_snapshots to subscribed_order_book_depth for consistency with data engine routing
• Removed listen_key_ping_max_failures from BinanceExecClientConfig (listenKey flow replaced by WebSocket API)
• Changed Price, Quantity, and Money arithmetic to use max precision instead of panicking on precision mismatch
• Changed Quantity + Quantity, Quantity - Quantity, Price + Price, Price - Price, Money + Money, and Money - Money Python operators to return the same type instead of Decimal (Quantity - Quantity raises ValueError if result would be negative)
• Changed trade_execution default from False to True for consistency with bar_execution; users who want to isolate execution to L1 book data only must now explicitly set trade_execution=False
• Changed price-protected market orders to no longer emit OrderAccepted by default; set use_market_order_acks=True to restore previous behavior
• Changed adapter implementations should now override _subscribe_order_book_depth and _unsubscribe_order_book_depth for OrderBookDepth10 subscriptions
• Changed Binance execution clients now use WebSocket API authentication instead of listenKey REST API; both HMAC and Ed25519 keys are auto-detected from the api_secret format (no key_type config needed). Note: Futures with HMAC keys automatically fall back to REST listenKey management (Binance Futures WS API only supports Ed25519 for session.logon)
• Changed Binance execution clients now source credentials from the standard BINANCE_API_KEY/BINANCE_API_SECRET environment variables (or testnet equivalents)
• Changed Polymarket instrument provider config from instrument_provider to instrument_config on PolymarketDataClientConfig and PolymarketExecClientConfig; use PolymarketInstrumentProviderConfig instead of InstrumentProviderConfig

Security

• Upgraded arc-swap to 1.8.1 fixing potential use-after-free in debt mechanism (memory ordering fix)
• Fixed CVec::empty() to use dangling pointer instead of null, avoiding undefined behavior in Vec::from_raw_parts
• Fixed credential and auth header leaks in trace logging
• Masked Binance listen keys in execution client logs
• Refactored supply chain security checks and update dependencies
• Improved TLS cert loading and socket suffix validation
• Hardened Postgres SQL and credential security

Fixes

• Fixed matching engine liquidity consumption using cumulative book quantity
• Fixed matching engine liquidity consumption tracking for MAKER fills
• Fixed matching engine trade execution fills discarded with liquidity_consumption
• Fixed matching engine trade execution fill model and FOK/IOC handling
• Fixed matching engine trade ticks updating L1 book and triggering fills when trade_execution=False
• Fixed matching engine MAKER limit orders over-filling on L1 books when liquidity_consumption=True
• Fixed inverse instrument base_currency access across accounting
• Fixed logic and control flow bugs in core platform (#3585), thanks for reporting @pandashark
• Fixed cache reset and missing f-string prefixes (#3585), thanks for reporting @pandashark
• Fixed missing raise and divide-by-zero guards (#3598), thanks @pandashark
• Fixed account balance rounding mismatch for zero-precision currencies (#3579), thanks for reporting @penguinwokrs
• Fixed Position spot base currency commission sign (#3546), thanks for reporting @gaye746560359
• Fixed Position flat detection for floating-point edge cases
• Fixed UnsubscribeInstrumentClose message handler routing
• Fixed order cancel not releasing locked balance in backtest (#3525), thanks for reporting @dennisnissle
• Fixed remaining F_LAST flag checks to use proper bitmask comparison
• Fixed MarketIfTouchedOrder (MIT) filling at bar extremes instead of trigger price during backtesting (#3461, #3462), thanks @HaakonFlaaronning
• Fixed OTO child order sizing with rapid parent fills (#3435), thanks for reporting @dxwil
• Fixed ExecAlgorithm spawn quantity accounting (will now restore quantity from denied/rejected spawned orders)
• Fixed GreeksCalculator to use index price for index instruments (#3541), thanks @shzhng
• Fixed GreeksCalculator min->max DTE clamping (#3582), thanks @pandashark
• Fixed itm_prob calculation to use N(d2) instead of normalized delta (#3554), thanks @shzhng
• Fixed reconciliation venue_order_id indexing and validation
• Fixed analyzer epoch timestamp from empty shell positions
• Fixed backtest clock monotonicity with time alerts (#3384), thanks @draphi
• Fixed order updated panic during reconciliation (#3380), thanks for reporting @santivazq
• Fixed missing currency registration when adding instruments to cache (#3400), thanks @filipmacek
• Fixed trailing stops default price type (#3379), thanks @KaulSe
• Fixed typo in OrderBook.simulate_fills error message (#3405), thanks @Johnkhk
• Fixed registering msgbus with OptionExerciseModule (#3383), thanks @davidsblom
• Fixed directory URI handling in ParquetDataCatalog for S3 and cloud storage (#3378),...

NautilusTrader 1.222.0 Beta

NautilusTrader 1.222.0 Beta

Released on 1st January 2026 (UTC).

This release adds support for Python 3.14 with the following limitations:

• dYdX adapter extras ([dydx]) unavailable due to upstream coincurve compatibility (available on Python 3.12-3.13)
• Interactive Brokers adapter extras ([ib]) unavailable due to upstream nautilus-ibapi compatibility (available on Python 3.12-3.13)

Enhancements

• Added support for Python 3.14
• Added Kraken integration adapter
• Added Cap'n Proto (capnp) serialization for efficient zero-copy data interchange (opt-in via capnp feature flag in nautilus-serialization crate)
• Added initial backtest visualization tearsheets with plotly
• Added matching engine liquidity_consumption config option to track per-level consumption and prevent overfilling displayed book liquidity (default False to retain current behavior)
• Added matching engine trade consumption tracking (when liquidity_consumption=True and trade_execution=True) to prevent multiple orders matching the same trade tick from collectively overfilling
• Added theme support to bars_with_fills chart (#3329), thanks @faysou
• Added price protection support for market orders (#3065), thanks @Antifrajz
• Added Quantity.from_decimal constructor (#3189), thanks @faysou
• Added Price.from_decimal constructor
• Added Money.from_decimal constructor
• Added create_bars_with_fills to Tearsheet (#3137), thanks @faysou
• Added proxy_url support for HTTP clients
• Added CAGR portfolio statistic
• Added CalmarRatio portfolio statistic
• Added MaxDrawdown portfolio statistic
• Added quote_quantity parameter for close_position(...) and close_all_positions(...) strategy methods
• Added remaining bar aggregation methods: TICK_IMBALANCE, TICK_RUNS, VOLUME_IMBALANCE, VOLUME_RUNS, VALUE_IMBALANCE, VALUE_RUNS (#3217), thanks @NicolaD
• Added ParquetDataCatalog.query_first_timestamp (#3253), thanks @MK27MK
• Added PolymarketDataLoader for loading historical data with docs and example
• Added Binance accurate commission rates per symbol (#3208), thanks @delusionpig
• Added Binance cross-margin info to AccountState
• Added BinanceInstrumentProviderConfig to support the query_commission_rates config option
• Added Bybit spot margin auto-borrow and auto-repay with auto_repay_spot_borrows config option
• Added Bybit spot margin manual operations (BybitMarginAction) for strategy-controlled borrow/repay via query_account
• Added Bybit HTTP request_tickers support (#3241), thanks @TaiShanQ
• Added Databento subscription acknowledgement handling (#3337), thanks @shzhng
• Added Databento historical client consolidated schema support (#3338), thanks @shzhng
• Added Interactive Brokers optional exchange param for spread contracts (#3319), thanks @faysou
• Added Polymarket Gamma API support for instrument loading (#3141), thanks @DeirhX
• Added OKX historical trades requests
• Added Tardis book_snapshot_output config option for tardis machine replays (default deltas to retain current behavior)
• Added allow_overfills config option to ExecEngineConfig (default False) to handle order fills exceeding order quantity with warning instead of raising
• Added overfill_qty field to orders for tracking fill quantities exceeding original order quantity
• Introduced PositionAdjusted events for tracking quantity/PnL changes outside normal order fills (base currency commissions, funding payments, manual adjustments)
• Upgraded continuous reconciliation for execution engine using position reports to detect missed fills

Breaking Changes

• Dropped support for Python 3.11

• Removed prob_fill_on_stop parameter from FillModel and FillModelConfig (stop orders have no queue position to simulate as triggers are deterministic when price reaches the trigger level)

• Removed use_ws_trade_api config option from Bybit execution client (using WebSocket trade API only)

• Renamed parse_instrument to parse_polymarket_instrument in Polymarket adapter for clarity

• Renamed ExecTesterConfig.enable_buys to enable_limit_buys

• Renamed ExecTesterConfig.enable_sells to enable_limit_sells

• Changed ParquetDataCatalog.register_data to now treat files=[] as registering no files; pass files=None (default) to include all files

• Standardized data catalog directory naming: Order book data directory names now use plural forms to align with the Rust catalog and Tardis Machine conventions; this ensures data written by the Python StreamingFeatherWriter can be read by the Rust catalog

  • order_book_delta/ → order_book_deltas/
  • order_book_depth10/ → order_book_depths/

  Migration: Rename existing data directories to use plural forms:

  # If you have existing order book data, rename the directories:
  mv <your_data_path>/order_book_delta <your_data_path>/order_book_deltas
  mv <your_data_path>/order_book_depth10 <your_data_path>/order_book_depths

Security

• Added osv-scanner for Python dependency vulnerability scanning in pre-commit
• Added cargo-vet for Rust supply chain security auditing
• Hardened unsafe code with runtime checks and #![deny(unsafe_op_in_unsafe_fn)] lint
• Hardened datetime conversions with overflow protection
• Hardened CI workflows by pinning Docker images to SHA digests
• Improved actor/component registry safety with ActorRef guards and runtime borrow tracking
• Fixed code scanning security alerts

Fixes

• Fixed uint64_t truncation bug in determine_trade_fill_qty for trade execution with high-precision mode
• Fixed stop market order fill price in L1_MBP mode
• Fixed cache dropped same-timestamp market data on insert
• Fixed race condition in InstrumentProvider causing duplicate instrument initialization in shared providers
• Fixed portfolio statistics various bugs and edge cases
• Fixed SyntheticInstrument formula error during parsing with hyphened InstrumentId (#3257), thanks @Javdu10
• Fixed balance recalculation to use raw fixed-point (#3356), thanks @kirill-gr1
• Fixed matching engine GTD order expiry key mismatch (#3272), thanks for reporting @linimin
• Fixed matching engine order modification for partial fills
• Fixed matching engine L2/L3 partial fill quantity calculation on subsequent book updates
• Fixed NETTING position flip snapshots and cache index cleanup (#3081), thanks @SarunasSS
• Fixed incorrect handling of data responses in msgbus (#3310), thanks @filipmacek
• Fixed data engine to use separate aggregators for historical data (#3326), thanks @faysou
• Fixed bar execution generating fractional fill quantities (#3352), thanks @Johnkhk
• Fixed BacktestResult.total_positions to match tearsheet count (#3148), thanks for reporting @2-5
• Fixed risk engine negative price handling for spread instruments (#3136), thanks for reporting @q351941406
• Fixed risk engine trailing stop order risk validations (#3160), thanks for reporting @GianC0
• Fixed risk engine balance checks for cash borrowing
• Fixed risk engine balance checks for position-reducing SELL orders (#3256), thanks for reporting @GianC0
• Fixed spawned order client_id caching in ExecAlgorithm (#3122), thanks for reporting @kirill-gr1
• Fixed parse_dates parameter in CSV loaders (#3132), thanks @maomao9-0
• Fixed GreeksCalculator handling of missing price data (#3116), thanks for reporting @q351941406
• Fixed StreamingFeatherWriter _setup_streaming with replace_existing config (#3234), thanks @cauta
• Fixed conversion of streamed instruments to catalog (#3235), thanks @faysou
• Fixed active liquidity calculation Pool profiler simulation (#3165), thanks @filipmacek
• Fixed duplicate on_instrument callback in request flow for Python adapters (#3323), thanks @filipmacek
• Fixed Redis index key parsing with use_instance_id
• Fixed Betfair datetime encoding error in order status reports
• Fixed Betfair login race condition during concurrent connections
• Fixed Betfair parsing errors for undocumented codes
• Fixed Betfair duplicate fills on startup/reconnect
• Fixed Binance instrument info dict JSON serialization (#3128), thanks for reporting @woung717
• Fixed Binance ADL orders with TRADE execution type
• Fixed Binance Futures Algo Order API for conditional orders (#3287), thanks for reporting @KaizynX
• Fixed Bybit historical bars requests partial (unclosed) bar filtering
• Fixed Bybit WebSocket bars to respect timestamp_on_close config
• Fixed BybitHttpClient type stub pyi signatures (#3238), thanks @sunlei
• Fixed Databento historical client to support consolidated schemas (cmbp-1, cbbo-1s, cbbo-1m) in quote requests
• Fixed Databento MBO data decoding when PRICE_UNDEF appears with non-zero precision
• Fixed Databento Arrow serialization for PRICE_UNDEF (#3183), thanks for reporting @marloncalvo
• Fixed Databento quote decoding with undefined bid/ask prices
• Fixed Interactive Brokers quote tick subscriptions to use tick-by-tick data (#3135), thanks for reporting @genliusrocks
• Fixed Interactive Brokers serialization of IBContractDetails (#3181), thanks @faysou
• Fixed Interactive Brokers parsing of invalid prices (#3246), thanks @faysou
• Fixed OKX pre-open instrument parsing and standardize enum usage (#3134), thanks for reporting @3wtz
• Fixed OKX request_bars pagination halting prematurely in Range mode (#3145), thanks for reporting @3wtz
• Fixed OKX request_bars pagination using correct backwards API semantics (#3145), thanks for reporting @3wtz
• Fixed OKX FOK/IOC order type preservation across parsers (#3182), thanks @CuBeof
• Fixed OKX fee rate sign convention for backtesting (#3260), thanks @GhostLee
• Fixed Polymarket maker fill order side inversion (#3126), thanks for reporting @santivazq
• Fixed Polymarket instrument provider market filtering (#3133), thanks @MisterMM23
• Fixed Polymarket websocket client cancellation on concurrent subscriptions (#3169), thanks @DeirhX
• Fixed Polymark...

NautilusTrader 1.221.0 Beta

NautilusTrader 1.221.0 Beta

Released on 26th October 2025 (UTC).

This will be the final release with support for Python 3.11.

Enhancements

• Added support for OrderBookDepth10 requests (#2955), thanks @faysou
• Added support for quotes from book depths (#2977), thanks @faysou
• Added support for quotes from order book deltas updates (#3106), thanks @faysou
• Added execution engine rate limiting for single-order reconciliation queries
• Added subscribe_order_fills(...) and unsubscribe_order_fills(...) for Actor allowing to subscribe to all fills for an instrument ID
• Added on_order_filled(...) for Actor
• Added Renko bar aggregator (#2941), thanks @faysou
• Added time_range_generator for on-the-fly data data subscriptions (#2952), thanks @faysou
• Added __repr__ to NewsEvent (#2958), thanks @MK27MK
• Added convert_quote_qty_to_base config option to ExecEngineConfig (default True to retain current behavior) allows adapters to keep quote-denominated sizes when needed
• Added contingent order fields parent_order_id and linked_order_ids for OrderStatusReport and reconciliation
• Added fs_rust_storage_options to Python catalog (#3008), thanks @faysou and @Johnkhk
• Added matching engine fallback to default order book for custom fill models (#3039), thanks @Hamish-Leahy
• Added filesystem parameter to parquet in the consolidate functions (#3097), thanks @huracosunah
• Added azure support for az protocol (#3102), thanks @huracosunah
• Added Binance BBO price_match parameter support for order submission
• Added BitMEX conditional orders support
• Added BitMEX batch cancel support
• Added BitMEX contingent orders support (OCO, OTO, brackets)
• Added BitMEX historical data requests (trades and bars)
• Added BitMEX configurable recv_window_ms for signed HTTP request expiration
• Added Bybit SPOT position reports with opt-in use_spot_position_reports config option for BybitExecClientConfig
• Added Bybit ignore_uncached_instrument_executions config option for BybitExecClientConfig (default False to retain current behavior)
• Added Databento CME sandbox example
• Added Interactive Brokers cache config support for historical provider (#2942), thanks @ms32035
• Added Interactive Brokers support for fetching orders from all clients (#2948), thanks @dinana
• Added Interactive Brokers order conditions (#2988), thanks @faysou
• Added Interactive Brokers generate_fill_reports implementation (#2989), thanks @faysou
• Added OKX conditional trigger orders support
• Added OKX trade mode per order via params using td_mode key
• Added OKX margin configuration and spot margin support
• Added OKX demo account support
• Added OKX batch cancel support
• Added Polymarket native market orders support

Breaking Changes

• Removed nautilus_trader.analysis.statistics subpackage - all statistics are now implemented in Rust and must be imported from nautilus_trader.analysis (e.g., from nautilus_trader.analysis import WinRate)
• Removed partial bar functionality from bar aggregators and subscription APIs (#3020), thanks @faysou
• Renamed nautilus-cli crate feature flag from hypersync to defi (gates blockchain/DeFi commands)
• Polymarket execution client no longer accepts market BUY orders unless quote_quantity=True

Security

• Fixed non-executable stack for Cython extensions to support hardened Linux systems
• Fixed divide-by-zero and overflow bugs in model crate that could cause crashes
• Fixed core arithmetic operations to reject NaN/Infinity values and improve overflow handling

Fixes

• Fixed reduce-only order panic when quantity exceeds position
• Fixed position purge logic to prevent purging re-opened position
• Fixed Position.purge_events_for_order to properly rebuild state from remaining order fills
• Fixed cache index cleanup bugs in purge_order operations
• Fixed order average price calculation that was double-counting current fill in weighted average
• Fixed own order book cleanup for terminal orders and inflight handling
• Fixed order book depth snapshot processing to avoid padding levels and metadata tracking for L1 top-of-book ticks
• Fixed crypto instruments PyO3 -> Cython conversion for lot_size where it was not being passed through
• Fixed serialization crate bugs and improve error handling
• Fixed PyO3 interpreter lifecycle for async shutdown preventing edge case "interpreter not initialized" panics during shutdown
• Fixed RiskEngine reduce-only cash exits (#2986), thanks for reporting @dennisnissle
• Fixed RiskEngine quote quantity validation
• Fixed BacktestEngine to retain instruments on reset (#3096), thanks for reporting @woung717
• Fixed overflow in NautilusKernel build time calculation due to negative duration (#2998), thanks for reporting @HaakonFlaaronning
• Fixed handling of asyncio.CancelledError in execution reconciliation (#3073), thanks @dinana
• Fixed edge case where rejected orders can remain in own order book
• Fixed Currency registration to synchronize between Cython and PyO3 runtimes via new register_currency() helper
• Fixed Databento CMBP-1/CBBO/TBBO symbology resolution
• Fixed on_load called before strategy added bug (#2953), thanks @lisiyuan656
• Fixed filesystem usage in catalog for isfile and isdir (#2954), thanks @limx0
• Fixed SandboxExecutionClient instrument data handling
• Fixed AccountState Arrow serialization (#3005), thanks for reporting @nikzasel
• Fixed CryptoOption Arrow schema option_kind field to accept string values
• Fixed FuturesSpread Arrow schema missing max/min quantity and price fields
• Fixed OptionSpread Arrow schema missing max/min quantity and price fields
• Fixed Commodity Arrow schema to match from_dict requirements
• Fixed safe encoded symbols (#2964), thanks @ms32035
• Fixed msgspec encoding for type objects with qualified names
• Fixed nautilus CLI macOS compatibility with regex unicode-perl feature (#2969), thanks @learnerLj
• Fixed fuzzy candlesticks indicator bugs (#3021), thanks @benhaben
• Fixed return type annotation for ArrowSerializer.deserialize (#3076), thanks @MK27MK
• Fixed initializing of sqrt price setting flow when Pool profiling (#3100), thanks @filipmacek
• Fixed Redis multi-stream consumer skipping messages (#3094), thanks for reporting @kirill-gr1
• Fixed Binance duplicate OrderSubmitted event generation for order lists (#2994), thanks @sunlei
• Fixed Binance websocket fill message parsing for Binance US with extra fields (#3006), thanks for reporting @bmlquant
• Fixed Binance order status parsing for external orders (#3006), thanks for reporting @bmlquant
• Fixed Binance execution handling for self-trade prevention and liquidations (#3006), thanks for reporting @bmlquant
• Fixed Binance trailing stop to use server-side activation price (#3056), thanks for reporting @hope2see
• Fixed Binance Futures reconciliation duplicated position bug (#3067), thanks @lisiyuan656
• Fixed Binance price_match order price synchronization (#3074)
• Fixed Binance Futures position risk query to use v3 API returning only symbols with positions or open orders (#3062), thanks for reporting @woung717
• Fixed Binance Futures liquidation and ADL fill handling
• Fixed BitMEX testnet support
• Fixed BitMEX instrument parsing of lot size
• Fixed BitMEX order rejection handling and response parsing
• Fixed Blockchain adapter out of gas RPC error in Multicall for problematic contracts (#3086), thanks @filipmacek
• Fixed Bybit currency parsing from venue resulting in incorrectly low precision (e.g., USDT precision 4 rather than 8)
• Fixed Bybit handling of OrderModifyRejected events from pending updates
• Fixed Bybit account endpoint pagination handling
• Fixed Coinbase Intx API credentials handling to allow passing explicitly
• Fixed Databento MBO Clear actions and improve docs
• Fixed Hyperliquid L1 signing with direct MessagePack serialization (#3087), thanks @NicolaD
• Fixed Interactive Brokers tick level historical data downloading (#2956), thanks @DracheShiki
• Fixed Interactive Brokers instrument provider TypeError when load_ids/contracts are None, thanks for reporting @FGU1
• Fixed Interactive Brokers modify bracket order (#2979), thanks @faysou
• Fixed Interactive Brokers historical bars resubscription failure after connection loss (#3002), thanks @Johnkhk
• Fixed Interactive Brokers flat position reconciliation and instrument loading (#3023), thanks @idobz
• Fixed Interactive Brokers bars response handling by removing partial bar (#3040), thanks @sunlei
• Fixed Interactive Brokers account summary handling (#3052), thanks @shinhwasbiz02
• Fixed Interactive Brokers account balance calculation (#3064), thanks @sunlei
• Fixed OKX spot margin quote quantity order handling
• Fixed OKX API credentials handling to allow passing explicitly
• Fixed OKX fee calculations to account for negative fees
• Fixed OKX parsing for tick_sz across instrument types
• Fixed OKX parsing for instruments multiplier field
• Fixed OKX WebSocket heartbeat and standardize logging
• Fixed Polymarket handling of one-sided quotes (#2950), thanks for reporting @thefabus
• Fixed Polymarket websocket message handling (#2963, #2968), thanks @thefabus
• Fixed Polymarket tick size change handling for quotes (#2980), thanks for reporting @santivazq
• Fixed Polymarket market order submission to use native CLOB market orders (#2984), thanks for reporting @njkds
• Fixed Polymarket maker fill order side inversion (#3077), thanks for reporting @DarioHett
• Fixed Polymarket neg_risk order parameter handling
• Fixed Tardis instruments lot_size mapping
• Fixed Tardis adapter error handling and connection robustness
• Fixed Tardis replay to use catalog-compatible filenames

Internal Improvements

• Added ARM64 support to Docker builds
• Added BitMEX adapter integration tests
• Added OKX adapter integration tests
• Added turmoil network simulation testing to network crate
• Adde...

NautilusTrader 1.220.0 Beta

NautilusTrader 1.220.0 Beta

Released on 9th September 2025 (UTC).

Enhancements

• Added initial BitMEX integration adapter
• Added FundingRateUpdate data type with caching support through data engine
• Added subscribe_funding_rates(...) and unsubscribe_funding_rates(...) methods for actors
• Added on_funding_rate(...) handler for actors
• Added funding_rate(...) and add_funding_rate(...) for Cache
• Added due_post_only field for OrderRejected event, only properly populated for Binance and Bybit for now
• Added log_rejected_due_post_only_as_warning config option for StrategyConfig (default True to retain current behavior)
• Added log_rejected_due_post_only_as_warning config option for BinanceExecClientConfig (default True to retain current behavior)
• Added log_components_only config option for Logger (#2931), thanks @faysou
• Added support for additional Databento schemas: CMBP_1, CBBO_1S, CBBO_1M, TCBBO, and OHLCV_EOD
• Added configurable schema parameters for Databento quote and trade subscriptions, allowing TBBO/TCBBO for efficient combined data feeds
• Added support for option combos for Interactive Brokers (#2812), thanks @faysou
• Added support for execution of option spreads in backtesting (#2853), thanks @faysou
• Added support for option spread quotes in backtest (#2845), thanks @faysou
• Added loading of options chain from request_instruments for Interactive Brokers (#2809), thanks @faysou
• Added OptionExerciseModule (#2907), thanks @faysou
• Added MarginModel concept, base models, config, and factory for backtesting (#2794), thanks @faysou and @stefansimik
• Added additional built-in backtest fill models (#2795), thanks @faysou and @stefansimik
• Added OrderBookDepth10DataWrangler (#2801), thanks @trylovetom
• Added group_size parameter for PyO3 OrderBook.pprint(...) and OwnOrderBook.pprint(...)
• Added custom error logging function support for RetryManager
• Added Bybit options support (#2821), thanks @Baerenstein
• Added Bybit is_leverage order parameter support
• Added persist_account_events config option for CacheConfig (default True to retain current behavior)
• Added query_account method for Strategy
• Added QueryAccount execution message
• Added streaming methods for TardisCSVDataLoader
• Added stream iterators support for BacktestEngine low-level streaming API
• Added YEAR aggregation and improved bar specification validation (#2771), thanks @stastnypremysl
• Added support for requesting any number of historical bars for dYdX (#2766, #2777), thanks @DeirhX
• Added use_hyphens_in_client_order_ids config option for StrategyConfig
• Added greeks_filter function to portfolio_greeks (#2756), thanks @faysou
• Added time weighted and percent vega for GreeksCalculator (#2817), thanks @faysou
• Added VERBOSE option to common make targets (#2759), thanks @faysou
• Added bulk key loading capability for Redis cache database adapter
• Added multiplier field for CurrencyPair instrument (required for some crypto pairs)
• Added tick_scheme_name field for instrument dictionary conversions
• Added default FixedTickScheme(s) for all valid precisions
• Added PancakeSwapV3 pool parsing (#2829), thanks @filipmacek
• Added PortfolioConfig.min_account_state_logging_interval_ms config option for throttling account state logging
• Added allow_cash_borrowing config option for BacktestVenueConfig to enable negative balances in cash accounts
• Added borrowing support for Bybit SPOT accounts, enabling margin trading with negative balances
• Added initial DEX Pool filtering configuration (#2842, #2887), thanks @filipmacek
• Added Arbitrum FluidDEX pool parsing (#2897), thanks @filipmacek
• Added a complete .env.example template to guide environment configuration (#2877), thanks @NicolaD
• Added Interactive Brokers OCA setting to order groups (#2899), thanks @faysou
• Added Interactive Brokers subscriptions for position updates (#2887), thanks @faysou
• Added support for running separate live and paper IB Gateway containers without port conflicts. Simplified container naming and made VNC optional.
• Added avg_px_open field to PositionStatusReport for IB adapter (#2925), thanks @dinana
• Added support for running separate live and paper IB Gateway containers simultaneously (#2937), thanks @Bshara23
• Added support for data deduplication on catalog consolidation (#2934), thanks @ms32035

Breaking Changes

• Added multiplier field for CurrencyPair Arrow schema
• Changed start parameter to required for Actor data request methods
• Reverted implementation of delete_account_event from cache database that was too inefficient and is now a no-op pending redesign
• Renamed ParquetDataCatalog.reset_catalog_file_names to reset_all_file_names
• Renamed BinanceAccountType.USDT_FUTURE to USDT_FUTURES for more conventional terminology
• Renamed BinanceAccountType.COIN_FUTURE to COIN_FUTURES for more conventional terminology
• Renamed InstrumentMiniInfo to TardisInstrumentMiniInfo to standardize adapter naming conventions
• Removed the generic cvec_drop FFI function, as it was unused and prone to misuse, potentially causing memory leaks
• Removed redundant managed parameter for Actor.subscribe_book_at_interval (the book must be managed by the DataEngine to provide snapshots at intervals)
• Consolidated OwnBook group_bids and group_asks methods into bid_quantity and ask_quantity with optional depth and group_size parameters
• Consolidated ~40 individual indicator modules into 6 files to reduce binary size
• Consolidated backtest.exchange into backtest.engine to reduce binary size
• Consolidated backtest.matching_engine into backtest.engine to reduce binary size
• Changed indicator imports from nested modules to flat structure (e.g., from nautilus_trader.indicators.atr import AverageTrueRange becomes from nautilus_trader.indicators import AverageTrueRange)
• Changed NAUTILUS_CATALOG_PATH to NAUTILUS_PATH for Tardis adapter (#2850), thanks @NicolaD
• Simplified Binance environment variables for API credentials: removed separate variables for RSA/Ed25519 keys and consolidated mainnet spot/futures credentials
• Moved Indicator base class from nautilus_trader.indicators.base.indicator to nautilus_trader.indicators.base

Internal Improvements

• Refactored OKX adapter to Rust API clients
• Refactored BacktestDataIterator (#2791) to consolidate data generator usage, thanks @faysou
• Implemented LogGuard reference counting for proper thread lifecycle management, ensuring all logs flushed before termination
• Implemented live subscriptions for blockchain data client (#2832), thanks @filipmacek
• Implemented initial Hyperliquid adapter (#2912, #2916, #2922, #2935), thanks @NicolaD
• Introduced SharedCell / WeakCell wrappers for ergonomic and safer handling of Rc<RefCell<T>> / Weak<RefCell<T>> pairs
• Introduced efficient block syncing command in the nautilus-cli (#2861), thanks @filipmacek
• Introduced pool events syncing command in blockchain data client (#2920), thanks @filipmacek
• Added stream iterators support BacktestDataIterator
• Added serialization support for execution reports
• Added serialization support for execution report commands
• Added DataTester standardized data testing actor for integration adapters
• Added start and stop to response data (#2748), thanks @stastnypremysl
• Added integration test service management targets (#2765), thanks @stastnypremysl
• Added integration tests for dYdX bar-partitioning and large-history handling (#2773), thanks @NicolaD
• Added make build-debug-pyo3 (#2802), thanks @faysou
• Added pytest timer (#2834), thanks @faysou
• Added support for several instrument versions with request_instrument (#2835), thanks @faysou
• Added _send_position_status_report to base execution client (#2926), thanks @faysou
• Added passthrough_bar_type to TimeBarAggregator (#2929), thanks @faysou
• Added matching engine check to return early if last_qty is non-positive (#2930), thanks @GhostLee
• Added avg_px population in order filled events for Interactive Brokers adapter (#2938), thanks @dinana
• Optimized identifiers hashing to avoid frequent recomputations using C strings
• Optimized data engine topic string caching for message bus publishing to avoid frequent f-string constructions
• Optimized Redis key scans to improve efficiency over a network
• Completed bar request implementation for OKX (#2789), thanks @NicolaD
• Continued ExecutionEngine and testing in Rust (#2886), thanks @dakshbtc
• Enabled parallel pytest tests with pytest-xdist (#2808), thanks @stastnypremysl
• Standardized DeFi chain name validation for InstrumentId (#2826), thanks @filipmacek
• Standardized NAUTILUS_PATH env var across Tardis integration (#2850), thanks @NicolaD
• Standardized zero PnL as Money instead of None when exchange rate missing (#2880), thanks @NicolaD
• Refactored SpreadQuoteAggregator (#2905), thanks @faysou
• Refactored bar aggregators to use ts_init instead of ts_event (#2924), thanks @fayosu
• Improved typing for all the DEX IDs with DexType and add validation (#2827), thanks @filipmacek
• Improved reconciliation handling of internally generated orders to align positions (now uses the INTERNAL-DIFF strategy ID)
• Improved data client for blockchain adapter (#2787), thanks @filipmacek
• Improved DEX pool sync process in the blockchain adapter (#2796), thanks @filipmacek
• Improved efficiency of message bus external streams buffer flushing
• Improved databento_test_request_bars example (#2762), thanks @faysou
• Improved zero-sized trades handling for Tardis CSV loader (will log a warning)
• Improved ergonomics of TardisInstrumentProvider datetime filter para...

NautilusTrader 1.219.0 Beta

NautilusTrader 1.219.0 Beta

Released on 5th July 2025 (UTC).

Enhancements

• Added graceful_shutdown_on_exception config option for live engines (default False to retain intended hard crash on unexpected system exceptions)
• Added purge_from_database config option for LiveExecEngineConfig to support cache backing database management
• Added support for data download during backtest (#2652), thanks @faysou
• Added delete data range to catalog (#2744), thanks @faysou
• Added consolidate catalog by period (#2727), thanks @faysou
• Added fire_immediately flag parameter for timers where a time event will be fired at the start instant and then every interval thereafter (default False to retain current behavior) (#2600), thanks for the idea @stastnypremysl
• Added time_bars_build_delay config option for DataEngineConfig (#2676), thanks @faysou
• Added immediate firing capability for time alerts and corresponding test (#2745), thanks @stastnypremysl
• Added missing serialization mappings for some instruments (#2702), thanks @faysou
• Added support for DEX swaps for blockchain adapter (#2683), thanks @filipmacek
• Added support for Pool liquidity updates for blockchain adapter (#2692), thanks @filipmacek
• Added fill report reconciliation warning when discrepancy with existing fill (#2706), thanks @faysou
• Added optional metadata function for custom data query (#2724), thanks @faysou
• Added support for order-list submission in the sandbox execution client (#2714), thanks @petioptrv
• Added hidden order support for IBKR (#2739), thanks @sunlei
• Added subscribe_order_book_deltas support for IBKR (#2749), thanks @sunlei
• Added bid_levels and ask_levels for OrderBook.pprint
• Added accepted_buffer_ns filter param for Cache.own_bid_orders(...) and Cache.own_ask_orders(...)
• Added trailing stop orders activation_price support in Rust (#2750), thanks @NicolaD

Breaking Changes

• Renamed catalog instrument_ids filter param to identifiers to more accurately describe strings which can represent either instrument IDs or bar types
• Changed behavior of timers allow_past=False to permit start times in the past if the next event time is still in the future
• Changed Databento DBN upgrade policy to default v3
• Removed problematic negative balance check for margin accounts (cash account negative balance check remains unchanged)
• Removed support for Databento DBN v1 schemas (migrate to DBN v2 or v3, see DBN Changelog)

Internal Improvements

• Added logging macros for custom component and color in Rust
• Added Cython-level parameter validation for timer operations to prevent Rust panics and provide clearer Python error messages
• Added property-based testing for Price, Quantity, Money value types in Rust
• Added property-based testing for UnixNanos in Rust
• Added property-based testing for OrderBook in Rust
• Added property-based testing for TestTimer in Rust
• Added property-based testing for network crate in Rust
• Added chaos testing with turmoil for socket clients in Rust
• Added check_positive_decimal correctness function and use for instrument validations (#2736), thanks @NicolaD
• Added check_positive_money correctness function and use for instrument validations (#2738), thanks @NicolaD
• Ported data catalog refactor to Rust (#2681, #2720), thanks @faysou
• Optimized TardisCSVDataLoader performance (~90% memory usage reduction, ~60-70% faster)
• Consolidated the clocks and timers v2 feature from @twitu
• Consolidated on pure Rust cryptography crates with no dependencies on native certs or openssl
• Consolidated on aws-lc-rs cryptography for FIPS compliance
• Confirmed parity between Cython and Rust indicators (#2700, #2710, #2713), thanks @NicolaD
• Implemented From<Pool> -> CurrencyPair & InstrumentAny (#2693), thanks @NicolaD
• Updated Makefile to use new docker compose syntax (#2746), thanks @stastnypremysl
• Updated Tardis exchange mappings
• Improved live engine message processing to ensure exceptions result in a crash rather than continuing without the queue processing messages
• Improved live reconciliation robustness and testing
• Improved listen key error handling and recovery for Binance
• Improved handling of negative balances in backtests (#2730), thanks @ms32035
• Improved robustness of cash and margin account locked balance calculations to avoid negative free balance
• Improved robustness of fill price parsing for Betfair
• Improved implementation, validations and testing for Rust instruments (#2723, #2733), thanks @NicolaD
• Improved Currency equality to use strcmp to avoid C pointer comparison issues with ustr string interning
• Improved unsubscribe cleanup(s) for Bybit adapter
• Improved Makefile to be self-documenting (#2741), thanks @sunlei
• Refactored IB adapter (#2647), thanks @faysou
• Refactored data catalog (#2652, #2740), thanks @faysou
• Refined Rust data catalog (#2734), thanks @faysou
• Refined logging subsystem lifecycle management and introduce global log sender
• Refined signal serialization and tests (#2705), thanks @faysou
• Refined CI/CD and build system (#2707), thanks @stastnypremysl
• Upgraded Rust (MSRV) to 1.88.0
• Upgraded Cython to v3.1.2
• Upgraded databento crate to v0.28.0
• Upgraded datafusion crate to v48.0.0
• Upgraded pyo3 and pyo3-async-runtimes crates to v0.25.1
• Upgraded redis crate to v0.32.3
• Upgraded tokio crate to v1.46.1
• Upgraded tokio-tungstenite crate to v0.27.0

Fixes

• Fixed AccountBalance mutation in AccountState events (#2701), thanks for reporting @DeirhX
• Fixed order book cache consistency in update and remove operations (found through property-based testing)
• Fixed order status report generation for Polymarket where venue_order_id was unbounded
• Fixed data request identifier attribute access for LiveDataClient
• Fixed generate_order_modify_rejected typo in Binance execution client (#2682), thanks for reporting @etiennepar
• Fixed order book depth handling in subscriptions for Binance
• Fixed potential IndexError with empty bars requests for Binance
• Fixed GTD-GTC time in force conversion for Binance
• Fixed incorrect logging of trigger type for Binance
• Fixed trade ticks unsubscribe for Binance which was not differentiating aggregated trades
• Fixed pending update hot cache cleanup for Betfair execution client
• Fixed invalid session information on account update for Betfair execution client
• Fixed order book snapshots unsubscribe for Tardis data client
• Fixed Arrow schema registration for BinanceBar
• Fixed gRPC server shutdown warning when running dYdX integration tests
• Fixed registration of encoder and decoder for BinanceBar, thanks for reporting @miller-moore
• Fixed spot and futures sandbox for Binance (#2687), thanks @petioptrv
• Fixed clean and distclean make targets entering .venv and corrupting the Python virtual env, thanks @faysou
• Fixed catalog identifier matching to exact match (#2732), thanks @faysou
• Fixed last value updating for RSI indicator (#2703), thanks @bartlaw
• Fixed gateway/TWS reconnect process for IBKR (#2710), thanks @bartlaw
• Fixed Interactive Brokers options chain issue (#2711), thanks @FGU1
• Fixed partially filled bracket order and SL triggered for IBKR (#2704, #2717), thanks @bartlaw
• Fixed instrument message decoding when no exchange value for Databento US equities
• Fixed fetching single-instrument trading fees for Binance, thanks @petioptrv
• Fixed IB-TWS connection issue with international languages (#2726), thanks @DracheShiki
• Fixed bar requests for Bybit where pagination was incorrect which limited bars being returned
• Fixed Bybit Unknown Error (#2742), thanks @DeevsDeevs
• Fixed margin balance parsing for Bybit
• Restored task error logs for IBKR (#2716), thanks @bartlaw

Documentation Updates

• Updated IB adapter documentation (#2729), thanks @faysou
• Improved reconciliation docs in live concept guide

Deprecations

• Deprecated Portfolio.set_specific_venue(...), to be removed in a future release; use Cache.set_specific_venue(...) instead

NautilusTrader 1.218.0 Beta

NautilusTrader 1.218.0 Beta

Released on 31st May 2025 (UTC).

Enhancements

• Added convenience re-exports for Betfair adapter (constants, configs, factories, types)
• Added convenience re-exports for Binance adapter (constants, configs, factories, loaders, types)
• Added convenience re-exports for Bybit adapter (constants, configs, factories, loaders, types)
• Added convenience re-exports for Coinbase International adapter (constants, configs, factories)
• Added convenience re-exports for Databento adapter (constants, configs, factories, loaders, types)
• Added convenience re-exports for dYdX adapter (constants, configs, factories)
• Added convenience re-exports for Polymarket adapter (constants, configs, factories)
• Added convenience re-exports for Tardis adapter (constants, configs, factories, loaders)
• Added support for FillModel, LatencyModel and FeeModel in BacktestNode (#2601), thanks @faysou
• Added bars caching from request_aggregated_bars (#2649), thanks @faysou
• Added BacktestDataIterator to backtest engine to provide on-the-fly data loading (#2545), thanks @faysou
• Added support for MarkPriceUpdate streaming from catalog (#2582), thanks @bartolootrit
• Added support for Binance Futures margin type (#2660), thanks @bartolootrit
• Added support for mark price stream across all markets for Binance (#2670), thanks @sunlei
• Added bars_timestamp_on_close config option for Databento which defaults to True to consistently align with Nautilus conventions
• Added activation_price support for trailing stop orders (#2610), thanks @hope2see
• Added trailing stops for OrderFactory bracket orders (#2654), thanks @hope2see
• Added raise_exception config option for BacktestRunConfig (default False to retain current behavior) which will raise exceptions to interrupt a nodes run process
• Added UnixNanos::is_zero() convenience method to check for a zero/epoch value
• Added SQL schema, model, and query for OrderCancelRejected
• Added SQL schema, model, and query for OrderModifyRejected
• Added HyperSync client to blockchain adapter (#2606), thanks @filipmacek
• Added support for DEXs, pools, and tokens to blockchain adapter (#2638), thanks @filipmacek

Breaking Changes

• Changed trailing stops to use activation_price rather than trigger_price for Binance to more closely match the Binance API conventions

Internal Improvements

• Added activation_price str and repr tests for trailing stop orders (#2620), thanks @hope2see
• Added condition check for order contingency_type and linked_order_ids where a contingency should have associated linked order IDs
• Improved robustness of socket client reconnects and disconnects to avoid state race conditions
• Improved error handling for socket clients, will now raise Python exceptions on send errors rather than logging with tracing only
• Improved error handling for Databento adapter by changing many unwraps to instead log or raise Python exceptions (where applicable)
• Improved error handling for Tardis adapter by changing many unwraps to instead log or raise Python exceptions (where applicable)
• Improved fill behavior for limit orders in L1_MBP books, will now fill entire size when marketable as TAKER or market moves through limit as MAKER
• Improved account state event generation for margin accounts, avoiding the generation of redundant intermediate account states for the same execution event
• Improved ergonomics of messaging topics, patterns, and endpoints in Rust (#2658), thanks @twitu
• Improved development debug builds with cranelift backend for Rust (#2640), thanks @twitu
• Improved validations for LimitOrder in Rust (#2613), thanks @NicolaD
• Improved validations for LimitIfTouchedOrder in Rust (#2533), thanks @NicolaD
• Improved validations for MarketIfTouchedOrder in Rust (#2577), thanks @NicolaD
• Improved validations for MarketToLimitOrder in Rust (#2584), thanks @NicolaD
• Improved validations for StopLimitOrder in Rust (#2593), thanks @NicolaD
• Improved validations for StopMarketOrder in Rust (#2596), thanks @NicolaD
• Improved validations for TrailingStopMarketOrder in Rust (#2607), thanks @NicolaD
• Improved orders initialize and display tests in Rust (#2617), thanks @NicolaD
• Improved testing for Rust orders module (#2578), thanks @dakshbtc
• Improved Cython-Rust indicator parity for AdaptiveMovingAverage (AMA) (#2626), thanks @NicolaD
• Improved Cython-Rust indicator parity for DoubleExponentialMovingAverage (DEMA) (#2633), thanks @NicolaD
• Improved Cython-Rust indicator parity for ExponentialMovingAverage (EMA) (#2642), thanks @NicolaD
• Improved Cython-Rust indicator parity for HullMovingAverage (HMA) (#2648), thanks @NicolaD
• Improved Cython-Rust indicator parity for LinearRegression (#2651), thanks @NicolaD
• Improved Cython-Rust indicator parity for WilderMovingAverage (RMA) (#2653), thanks @NicolaD
• Improved Cython-Rust indicator parity for VariableIndexDynamicAverage (VIDYA) (#2659), thanks @NicolaD
• Improved Cython-Rust indicator parity for SimpleMovingAverage (SMA) (#2655), thanks @NicolaD
• Improved Cython-Rust indicator parity for VolumeWeightedAveragePrice (VWAP) (#2661), thanks @NicolaD
• Improved Cython-Rust indicator parity for WeightedMovingAverage (WMA) (#2662), thanks @NicolaD
• Improved Cython-Rust indicator parity for ArcherMovingAveragesTrends (AMAT) (#2669), thanks @NicolaD
• Improved zero size trade logging for Binance Futures (#2588), thanks @bartolootrit
• Improved error handling on API key authentication errors for Polymarket
• Improved execution client debug logging for Polymarket
• Improved exception on deserializing order from cache database
• Improved None condition checks for value types, which now raise a TypeError instead of an obscure AttributeError
• Changed VecDeque for fixed-capacity ArrayDeque in SMA indicator (#2666), thanks @NicolaD
• Changed VecDeque for fixed-capacity ArrayDeque in LinearRegression (#2667), thanks @NicolaD
• Implemented remaining Display for orders in Rust (#2614), thanks @NicolaD
• Implemented _subscribe_instrument for dYdX and Bybit (#2636), thanks @davidsblom
• Untangled ratelimiter quota from python flag (#2595), thanks @twitu
• Refined BacktestDataIterator correctness (#2591), thanks @faysou
• Refined formatting of IB adapter files (#2639), thanks @faysou
• Optimized message bus topic-matching logic in Rust by 100× (#2634), thanks @twitu
• Changed to faster message bus pattern matching logic from Rust (#2643), thanks @twitu
• Upgraded Rust (MSRV) to 1.87.0
• Upgraded Cython to v3.1.0 (now stable)
• Upgraded databento crate to v0.26.0
• Upgraded redis crate to v0.31.0
• Upgraded sqlx crate to v0.8.6
• Upgraded tokio crate to v1.45.1

Fixes

• Fixed portfolio account updates leading to incorrect balances (#2632, #2637), thanks for reporting @bartolootrit and @DeirhX
• Fixed portfolio handling of OrderExpired events not updating state (margin requirements may change)
• Fixed event handling for ExecutionEngine so it fully updates the Portfolio before to publishing execution events (#2513), thanks for reporting @stastnypremysl
• Fixed PnL calculation for margin account on position flip (#2657), thanks for reporting @Egisess
• Fixed notional value pre-trade risk check when order using quote quantity (#2628), thanks for reporting @DeevsDeevs
• Fixed position snapshot cache access for ExecutionEngine
• Fixed position snapshot SystemError calling copy.deepcopy() by simply using a pickle round trip to copy the position instance
• Fixed event purging edge cases for account and position where at least one event must be guaranteed
• Fixed authentication for Redis when password provided with no username
• Fixed various numpy and pandas FutureWarning(s)
• Fixed sockets exponential backoff immediate reconnect value on reset (this prevented immediate reconnects on the next reconnect sequence)
• Fixed message bus subscription matching logic in Rust (#2646), thanks @twitu
• Fixed trailing stop market fill behavior when top-level exhausted to align with market orders (#2540), thanks for reporting @stastnypremysl
• Fixed stop limit fill behavior on initial trigger where the limit order was continuing to fill as a taker beyond available liquidity, thanks for reporting @hope2see
• Fixed matching engine trade processing when aggressor side is NO_AGGRESSOR (we can still update the matching core)
• Fixed modifying and updating trailing stop orders (#2619), thanks @hope2see
• Fixed processing activated trailing stop update when no trigger price, thanks for reporting @hope2see
• Fixed terminating backtest on AccountError when streaming, the exception needed to be reraised to interrupt the streaming of chunks (#2546), thanks for reporting @stastnypremysl
• Fixed HTTP batch order operations for Bybit (#2627), thanks @sunlei
• Fixed reduce_only attribute access in batch place order for Bybit
• Fixed quote tick parsing for one-sided books on Polymarket
• Fixed order fill handling for limit orders with MAKER liquidity side on Polymarket
• Fixed currency parsing for BinaryOption on Polymarket to consistently use USDC.e (PoS USDC on Polygon)
• Fixed identity error handling during keep-alive for Betfair, will now reconnect
• Updated BinanceFuturesEventType enum with additional variants, thanks for reporting @miller-moore

Documentation Updates

• Added capability matrices for integration guides
• Added content to Architecture concept guide
• Added content to Live Trading concept guide
• Added content to Developer Guide
• Added errors and panics docs for most crates
• Added errors and panics docs for most crates
• Improved the clarity of various concept guides
• Fixed several errors in concept guides

Deprecations

• Deprecated support for ...

NautilusTrader 1.217.0 Beta

NautilusTrader 1.217.0 Beta

Released on 30th April 2025 (UTC).

Enhancements

• Added processing of OrderBookDepth10 for BacktestEngine and OrderMatchingEngine (#2542), thanks @limx0
• Added Actor.subscribe_order_book_depth(...) subscription method (#2555), thanks @limx0
• Added Actor.unsubscribe_order_book_depth(...) subscription method
• Added Actor.on_order_book_depth(...) handler method (#2555), thanks @limx0
• Added UnixNanos::max() convenience method for the maximum valid value
• Added available_offset filter parameter for TardisInstrumentProvider
• Added NAUTILUS_WORKER_THREADS environment variable for common tokio runtime builder
• Added Quantity::non_zero(...) method
• Added Quantity::non_zero_checked(...) method
• Added round_down param for Instrument.make_qty(...) that is False by default to maintain current behavior
• Added WebSocket batch order operations for Bybit (#2521), thanks @sunlei
• Added mark price subscription for Binance Futures (#2548), thanks @bartolootrit
• Added Chain struct to represent blockchain network (#2526), thanks @filipmacek
• Added Block primitive for blockchain domain model (#2535), thanks @filipmacek
• Added Transaction primitive for blockchain domain model (#2551), thanks @filipmacek
• Added initial blockchain adapter with live block subscription (#2557), thanks @filipmacek

Breaking Changes

• Removed fees from locked balance calculations for CASH accounts
• Removed fees from margin calculations for MARGIN accounts
• Renamed id constructor parameter to instrument_id across all PyO3 instruments, aligning with equivalent Cython instrument constructors

Internal Improvements

• Implemented exponential backoff and jitter for the RetryManager (#2518), thanks @davidsblom
• Simplified default locked balance and margin calculations to not include fees
• Improved handling of time range and effective date filters for TardisInstrumentProvider
• Improved reconnection robustness for Bybit private/trading channels (#2520), thanks @sunlei
• Improved logger buffers flushing post backtest
• Improved validations for Tardis trades data
• Improved correctness of client registration and deregistration for ExecutionEngine
• Improved build time by only compiling libraries (#2539), thanks @twitu
• Improved logging flush (#2568), thanks @faysou
• Improved clear_log_file to happen for each kernel initialization (#2569), thanks @faysou
• Refined Price and Quantity validations and correctness
• Filter fill events if order is already filled for dYdX (#2547), thanks @davidsblom
• Fixed some clippy lints (#2517), thanks @twitu
• Upgraded databento crate to v0.24.0
• Upgraded datafusion crate to v47.0.0
• Upgraded redis crate to v0.30.0
• Upgraded sqlx crate to v0.8.5
• Upgraded pyo3 crate to v0.24.2

Fixes

• Fixed consistent ordering of execution events (#2513, #2554), thanks for reporting @stastnypremysl
• Fixed type error when generating an elapsed time for backtests with no elapsed time
• Fixed memory leak in RetryManager by simplifying the acquire-release pattern, avoiding the asynchronous context manager protocol that led to state sharing, thanks for reporting @DeevsDeevs
• Fixed locked balance and initial margin calculations for reduce-only orders (#2505), thanks for reporting @stastnypremysl
• Fixed purging order events from position (these needed to be purged prior to removing cache index entry), thanks @DeevsDeevs
• Fixed TypeError when formatting backtest post run timestamps which were None (#2514), thanks for reporting @stastnypremysl
• Fixed handling of BetfairSequenceCompleted as custom data
• Fixed the instrument class of IndexInstrument, changing to SPOT to correctly represent a spot index of underlying constituents
• Fixed data range request end handling for DataEngine
• Fixed unsubscribe instrument close for DataEngine
• Fixed network clients authentication for OKX (#2553), thanks for reporting @S3toGreen
• Fixed account balance calculation for dYdX (#2563), thanks @davidsblom
• Fixed ts_init for databento historical data (#2566), thanks @faysou
• Fixed RequestInstrument in query_catalog (#2567), thanks @faysou
• Reverted removal of rotate log file on UTC date change (#2552), thanks @twitu

Documentation Updates

• Improved environment setup guide with recommended rust analyzer settings (#2538), thanks @twitu
• Fixed alignment with code for some ExecutionEngine docstrings

Deprecations

None