NautilusTrader 1.194.0 Beta

Released on 31st May 2024 (UTC).

Enhancements

• Added DataEngine order book deltas buffering to F_LAST flag (#1673), thanks @davidsblom
• Added DataEngineConfig.buffer_deltas config option for the above (#1670), thanks @davidsblom
• Improved Bybit order book deltas parsing to set F_LAST flag (#1670), thanks @davidsblom
• Improved Bybit handling for top-of-book quotes and order book deltas (#1672), thanks @davidsblom
• Improved Interactive Brokers integration test mocks (#1669), thanks @rsmb7z
• Improved error message when no tick scheme initialized for an instrument, thanks for reporting @VeraLyu
• Improved SandboxExecutionClient instrument handling (instruments just need to be added to cache)
• Ported VolumeWeightedAveragePrice indicator to Rust (#1665), thanks @Pushkarm029
• Ported VerticalHorizontalFilter indicator to Rust (#1666), thanks @Pushkarm029

Breaking Changes

None

Fixes

• Fixed SimulatedExchange processing of commands in real-time for sandbox mode
• Fixed DataEngine unsubscribe handling (edge case would attempt to unsubscribe from the client multiple times)
• Fixed Bybit order book deltas parsing (was appending bid side twice) (#1668), thanks @davidsblom
• Fixed Binance instruments price and size precision parsing (was incorrectly stripping trailing zeros)
• Fixed BinanceBar streaming feather writing (was not setting up writer)
• Fixed backtest high-level tutorial documentation errors, thanks for reporting @Leonz5288