1.111.0

See release notes.

README.md

@@ -232,8 +232,8 @@ value_bars  = BarSpecification(1_000_000, BarAggregation.VALUE, PriceType.MID)
 
 Bars can be either internally or externally aggregated (alternative bar types are
 only available by internal aggregation). External aggregation is normally for
-standard bar periods as available from the provider through the adapter
-integration.
+standard bar periods as available from the provider through an integrations
+adapter.
 
 Custom data types can also be requested through a users custom handler, and fed
 back to the strategies `on_data` method.

RELEASES.md

@@ -1,3 +1,27 @@
+# NautilusTrader 1.111.0 Beta - Release Notes
+
+This release adds further enhancements to the platform.
+
+## Breaking Changes
+None
+
+## Enhancements
+- `RiskEngine` built out including configuration options hook and
+  `LiveRiskEngine` implementation.
+- Add generic `Throttler`.
+- Add details `dict` to `instrument_id` related requests to cover IB futures
+  contracts.
+- Add missing Fiat currencies.
+- Add additional Crypto currencies.
+- Add ISO 4217 codes.
+- Add currency names.
+
+## Fixes
+- Queue `put` coroutines in live engines when blocking at `maxlen` was not
+  creating a task on the event loop.
+
+---
+
 # NautilusTrader 1.110.0 Beta - Release Notes
 
 This release applies one more major change to the identifier API. `Security` has

docs/source/api_reference/common.rst

@@ -67,6 +67,15 @@ Logging
    :members:
    :member-order: bysource
 
+Providers
+---------
+
+.. automodule:: nautilus_trader.common.providers
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Queue
 -----
 

docs/source/api_reference/live.rst

@@ -13,7 +13,6 @@ Data Client
    :members:
    :member-order: bysource
 
-
 Data Engine
 -----------
 
@@ -23,7 +22,6 @@ Data Engine
    :members:
    :member-order: bysource
 
-
 Execution Client
 ----------------
 
@@ -33,7 +31,6 @@ Execution Client
    :members:
    :member-order: bysource
 
-
 Execution Engine
 ----------------
 
@@ -43,21 +40,19 @@ Execution Engine
    :members:
    :member-order: bysource
 
+Risk Engine
+-----------
 
-Node
-----
-
-.. automodule:: nautilus_trader.live.node
+.. automodule:: nautilus_trader.live.risk_engine
    :show-inheritance:
    :inherited-members:
    :members:
    :member-order: bysource
 
+Node
+----
 
-Providers
----------
-
-.. automodule:: nautilus_trader.live.providers
+.. automodule:: nautilus_trader.live.node
    :show-inheritance:
    :inherited-members:
    :members:

docs/source/api_reference/risk.rst

@@ -4,6 +4,15 @@ Risk
 .. automodule:: nautilus_trader.risk
 
 
+Engine
+------
+
+.. automodule:: nautilus_trader.risk.engine
+   :show-inheritance:
+   :inherited-members:
+   :members:
+   :member-order: bysource
+
 Sizing
 ------
 

examples/backtest/crypto_ema_cross_ethusdt_trade_ticks.py

@@ -49,7 +49,7 @@
 
     BINANCE = Venue("BINANCE")
     instrument_id = InstrumentId(symbol=Symbol("ETH/USDT"), venue=BINANCE)
-    ETHUSDT_BINANCE = instruments.get(instrument_id)
+    ETHUSDT_BINANCE = instruments.find(instrument_id)
 
     # Setup data container
     data = BacktestDataContainer()
@@ -70,7 +70,7 @@
     engine = BacktestEngine(
         data=data,
         strategies=[strategy],  # List of 'any' number of strategies
-        use_tick_cache=True,    # Pre-cache ticks for increased performance on repeated runs
+        use_data_cache=True,    # Pre-cache data for increased performance on repeated runs
         # exec_db_type="redis",
         # bypass_logging=True
     )

examples/backtest/fx_ema_cross_audusd_bars_from_ticks.py

@@ -74,7 +74,7 @@
     engine = BacktestEngine(
         data=data,
         strategies=[strategy],  # List of 'any' number of strategies
-        use_tick_cache=True,    # Pre-cache ticks for increased performance on repeated runs
+        use_data_cache=True,    # Pre-cache data for increased performance on repeated runs
         # exec_db_type="redis",
         # bypass_logging=True
     )

examples/backtest/fx_ema_cross_audusd_ticks.py

@@ -74,7 +74,7 @@
     engine = BacktestEngine(
         data=data,
         strategies=[strategy],  # List of 'any' number of strategies
-        use_tick_cache=True,    # Pre-cache ticks for increased performance on repeated runs
+        use_data_cache=True,    # Pre-cache data for increased performance on repeated runs
         # exec_db_type="redis",
         # bypass_logging=True
     )

examples/backtest/fx_ema_cross_gbpusd_bars.py

@@ -74,7 +74,7 @@
     engine = BacktestEngine(
         data=data,
         strategies=[strategy],  # List of 'any' number of strategies
-        use_tick_cache=True,    # Pre-cache ticks for increased performance on repeated runs
+        use_data_cache=True,    # Pre-cache data for increased performance on repeated runs
         # exec_db_type="redis",
         # exec_db_flush=False,
         # bypass_logging=True

examples/backtest/fx_market_maker_gbpusd_bars.py

@@ -75,7 +75,7 @@
     engine = BacktestEngine(
         data=data,
         strategies=[strategy],  # List of 'any' number of strategies
-        use_tick_cache=True,
+        use_data_cache=True,
         # exec_db_type="redis",
         # bypass_logging=True
     )

examples/live/binance_ema_cross.py

@@ -58,6 +58,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

examples/live/binance_market_maker.py

@@ -58,6 +58,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

examples/live/bitmex_ema_cross.py

@@ -58,6 +58,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

examples/live/bitmex_ema_cross_stop_entry_with_trail.py

@@ -58,6 +58,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

examples/live/bitmex_market_maker.py

@@ -58,6 +58,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

examples/live/bitmex_testnet_market_maker.py

@@ -58,6 +58,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

examples/live/multi_venue_ema_cross_stop_entry_with_trail.py

@@ -59,6 +59,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

examples/live/oanda_ema_cross.py

@@ -58,6 +58,8 @@
         "port": 6379,
     },
 
+    "risk": {},
+
     "strategy": {
         "load_state": True,  # Strategy state is loaded from the database on start
         "save_state": True,  # Strategy state is saved to the database on shutdown

nautilus_trader/adapters/ccxt/data.pyx

@@ -651,7 +651,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
 
     # TODO: Possibly combine this with _watch_quotes
     async def _watch_order_book(self, InstrumentId instrument_id, int level, int depth, dict kwargs):
-        cdef Instrument instrument = self._instrument_provider.get(instrument_id)
+        cdef Instrument instrument = self._instrument_provider.find_c(instrument_id)
         if instrument is None:
             self._log.error(f"Cannot subscribe to order book (no instrument for {instrument_id.symbol}).")
             return
@@ -705,7 +705,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
             self._log.exception(ex)
 
     async def _watch_quotes(self, InstrumentId instrument_id):
-        cdef Instrument instrument = self._instrument_provider.get(instrument_id)
+        cdef Instrument instrument = self._instrument_provider.find_c(instrument_id)
         if instrument is None:
             self._log.error(f"Cannot subscribe to quote ticks (no instrument for {instrument_id.symbol}).")
             return
@@ -806,7 +806,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
         self._handle_quote_tick(tick)
 
     async def _watch_trades(self, InstrumentId instrument_id):
-        cdef Instrument instrument = self._instrument_provider.get(instrument_id)
+        cdef Instrument instrument = self._instrument_provider.find_c(instrument_id)
         if instrument is None:
             self._log.error(f"Cannot subscribe to trade ticks (no instrument for {instrument_id.symbol}).")
             return
@@ -877,7 +877,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
         self._handle_trade_tick(tick)
 
     async def _watch_ohlcv(self, BarType bar_type):
-        cdef Instrument instrument = self._instrument_provider.get(bar_type.instrument_id)
+        cdef Instrument instrument = self._instrument_provider.find_c(bar_type.instrument_id)
         if instrument is None:
             self._log.error(f"Cannot subscribe to bars (no instrument for {bar_type.instrument_id}).")
             return
@@ -975,7 +975,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
 
     async def _request_instrument(self, InstrumentId instrument_id, UUID correlation_id):
         await self._load_instruments()
-        cdef Instrument instrument = self._instrument_provider.get(instrument_id)
+        cdef Instrument instrument = self._instrument_provider.find_c(instrument_id)
         if instrument is not None:
             self._handle_instruments([instrument], correlation_id)
         else:
@@ -992,7 +992,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
         cdef InstrumentId instrument_id
         cdef Instrument instrument
         for instrument_id in self._subscribed_instruments:
-            instrument = self._instrument_provider.get(instrument_id)
+            instrument = self._instrument_provider.find_c(instrument_id)
             if instrument is not None:
                 self._handle_instrument(instrument)
             else:
@@ -1010,7 +1010,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
         int limit,
         UUID correlation_id,
     ):
-        cdef Instrument instrument = self._instrument_provider.get(instrument_id)
+        cdef Instrument instrument = self._instrument_provider.find_c(instrument_id)
         if instrument is None:
             self._log.error(f"Cannot request trade ticks (no instrument for {instrument_id}).")
             return
@@ -1061,7 +1061,7 @@ cdef class CCXTDataClient(LiveMarketDataClient):
         int limit,
         UUID correlation_id,
     ):
-        cdef Instrument instrument = self._instrument_provider.get(bar_type.instrument_id)
+        cdef Instrument instrument = self._instrument_provider.find_c(bar_type.instrument_id)
         if instrument is None:
             self._log.error(f"Cannot request bars (no instrument for {bar_type.instrument_id}).")
             return

nautilus_trader/adapters/ccxt/execution.pyx

@@ -25,13 +25,13 @@ from nautilus_trader.adapters.ccxt.providers cimport CCXTInstrumentProvider
 from nautilus_trader.common.clock cimport LiveClock
 from nautilus_trader.common.logging cimport LogColor
 from nautilus_trader.common.logging cimport Logger
+from nautilus_trader.common.providers cimport InstrumentProvider
 from nautilus_trader.core.correctness cimport Condition
 from nautilus_trader.core.datetime cimport from_unix_time_ms
 from nautilus_trader.core.datetime cimport to_unix_time_ms
 from nautilus_trader.execution.reports cimport ExecutionStateReport
 from nautilus_trader.live.execution_client cimport LiveExecutionClient
 from nautilus_trader.live.execution_engine cimport LiveExecutionEngine
-from nautilus_trader.live.providers cimport InstrumentProvider
 from nautilus_trader.model.c_enums.liquidity_side cimport LiquiditySide
 from nautilus_trader.model.c_enums.order_side cimport OrderSideParser
 from nautilus_trader.model.c_enums.order_state cimport OrderState
@@ -206,7 +206,7 @@ cdef class CCXTExecutionClient(LiveExecutionClient):
                 self._log.error(f"Cannot resolve state for {repr(order.cl_ord_id)}, "
                                 f"OrderId was 'NULL'.")
                 continue  # Cannot resolve order
-            instrument = self._instrument_provider.get(order.symbol)
+            instrument = self._instrument_provider.find_c(order.symbol)
             if instrument is None:
                 self._log.error(f"Cannot resolve state for {repr(order.cl_ord_id)}, "
                                 f"instrument for {order.instrument_id} not found.")

nautilus_trader/adapters/ccxt/providers.pxd

@@ -13,15 +13,20 @@
 #  limitations under the License.
 # -------------------------------------------------------------------------------------------------
 
-from nautilus_trader.live.providers cimport InstrumentProvider
+from nautilus_trader.common.providers cimport InstrumentProvider
 from nautilus_trader.model.c_enums.currency_type cimport CurrencyType
+from nautilus_trader.model.currency cimport Currency
 from nautilus_trader.model.identifiers cimport InstrumentId
 from nautilus_trader.model.instrument cimport Instrument
 
 
 cdef class CCXTInstrumentProvider(InstrumentProvider):
     cdef object _client
+    cdef object _currencies
 
+    cdef readonly venue
+
+    cpdef Currency currency(self, str code)
     cdef void _load_instruments(self) except *
     cdef void _load_currencies(self) except *
     cdef inline int _tick_size_to_precision(self, double tick_size) except *