NautilusTrader Release Notes: Negative Prices and Trading Infrastructure

# NautilusTrader 2.0.0rc7


# NautilusTrader 2.0.0rc7

Released on TBD (UTC).

> [!NOTE]
> This release removes support for Python 3.12 and supports Python 3.13 and 3.14 (#4676).

### Enhancements

- Added `Clock.set_timer_zoned` and Rust `CalendarSchedule` for local calendar recurrence, thanks @faysou
- Added `time_bars_time_zone` and `time_zone` overrides for local calendar bars, thanks @faysou
- Added Rust candidate option IDs for supported CME Globex and OSI equity/index contracts, thanks @faysou
- Added reference instruments to `OptionSeriesId` with compatible derived-reference serialization, thanks @faysou
- Added `OptionSideFilter` and Rust `StrikeSearchProfile` model types for option selection, thanks @faysou
- Added tick scheme registration, thanks @faysou
- Added negative price support for futures, except inverse futures (#5190), thanks @DeLuke84
- Added `BacktestDataConfig.batch_deltas` for batched book delta replay (#5215), thanks for reporting @nicezic
- Added Bybit public liquidation custom data for linear and inverse contracts (#5152), thanks @Martingale42
- Added Databento live bars, book depth, statistics, and imbalance subscriptions (#5201), thanks @faysou
- Added Derive adapter support for API v3
- Added Interactive Brokers subscription idle events (#5041), thanks @faysou
- Added Lighter native transaction batching with automatic splitting for order lists and batch operations

### Breaking Changes

- Removed Rust `TickSchemeError::TickNotFinite`; remove this arm from tick error matches
- Removed Interactive Brokers connection wrappers; use `ibapi::Client` (#5041), thanks @faysou
- Removed Interactive Brokers `ErrorCategory` and `InteractiveBrokersErrorKind` exports (#5041), thanks @faysou
- Replaced Interactive Brokers Rust symbology functions with `Symbology` methods (#5041), thanks @faysou
- Changed Rust `PortfolioGreeks::from(GreeksData)` to apply the contract multiplier
- Changed Rust `VirtualTimer` and `LiveTimer` to store `interval: TimerInterval` instead of `interval_ns`;
  match `TimerInterval::Fixed` to read fixed intervals
- Changed Rust `DataEngineConfig` and `LiveDataEngineConfig` struct literals to require `time_bars_time_zone`;
  use `None` in existing struct literals to retain UTC alignment
- Changed Rust `TimeBarAggregator::new` to require `jiff::tz::TimeZone`; pass `TimeZone::UTC` for UTC bars
- Changed Rust `OptionSeriesId::new` to require a reference instrument; use `new_derived` to derive it
- Changed Rust `OptionSeriesId::from_expiry` and `from_expiry_ns`; pass `None` as the final argument to derive a reference
- Changed Rust `OptionSeriesId::from_crypto_option` and struct literals to require `underlying_instrument_id`
- Changed `OptionSeriesId` equality, hashing, and ordering to include the reference instrument
- Changed `OptionSeriesId` strings with fractional expiries, including topics and handler IDs, to retain nanoseconds
- Changed `OptionSeriesId` to reject empty or whitespace-only underlying symbols when deriving a reference
- Changed Rust `FixedTickScheme::new` to accept `Price`; use `Price::from("0.05")` instead of a float
- Changed Rust `FixedTickSchemeRounder::new` to accept `Price`; use `Price::from("0.05")` instead of a float
- Changed Rust `TickSchemeError::TickNotPositive.tick` to `Price` and added variants; update exhaustive matches
- Changed fixed tick navigation to return `None` for incompatible precision; choose one that represents the tick
- Changed `BacktestNode` to batch book deltas by default, so fills can differ; set `batch_deltas=False` to opt out
- Changed batched `BacktestNode` replay to reject deltas without a closing `F_LAST`; `batch_deltas=False` opts out
- Changed Rust `Order` to require `non_reopened_voided_qty` (#5133), thanks @abhijeetvichare76
- Changed Deribit position `leverage` to `Option<Decimal>` (#5240), thanks @abhijeetvichare76
- Changed Interactive Brokers contract and security filters to reject unknown values (#5041), thanks @faysou
- Changed Interactive Brokers Rust provider loaders; use `load_with_return_async` (#5041), thanks @faysou

### Security

- Fixed Interactive Brokers gateway passwords appearing in debug and serialized output (#5041), thanks @faysou

### Fixes

- Fixed portfolio Greeks panics when calculations, subscribers, or filters write to the cache
- Fixed portfolio Greeks omitting multipliers before filtering and aggregation, including futures
- Fixed missing Python Greeks conversion, scalar-left multiplication, and portfolio addition
- Fixed released emulated orders sending stale order initialization (#5169), thanks @jrile018
- Fixed monthly time bars drifting after a clamped month-end origin offset
- Fixed queued time-bar callbacks affecting aggregation after a stop or restart
- Fixed `RiskEngine` notional limits for negative prices
- Fixed maker/taker commission sign at negative prices
- Fixed cache open-order queries retaining submitted orders after cancel or modify rejections
- Fixed simulated OTO releases reviving children canceled earlier in the same callback
- Fixed simulated reduce-only quote-quantity stops converting their resized quantity again
- Fixed simulated released bracket exits canceled with partially filled entries (#5159), thanks @abhijeetvichare76
- Fixed `BacktestNode` streaming runs leaving the engine running after a data load failure
- Fixed Python indicator constructors aborting the process on invalid periods or oversized capacities
- Fixed reconciliation rejecting fills on a pending order when a `Filled` report exceeds its quantity
- Fixed replacement reconciliation losing native fill IDs and duplicating inferred fills
- Fixed calculated margin equity omitting option value (#5252), thanks for reporting @abhijeetvichare76
- Fixed streaming Parquet promotion failing on `OrderBookDelta.clear()` snapshots (#5268), thanks for reporting @hellow-star
- Fixed simulated bracket exits rejected as reduce-only before entry fills reached the cache (#5248), thanks @awss1i
- Fixed trailing stop prices falling between price increments (#5241), thanks @abhijeetvichare76
- Fixed cached custom currencies and their dependents missing after Redis restart (#5195), thanks @zhaow-de
- Fixed non-reopened voided quantity returning to working leaves after updates (#5133), thanks @abhijeetvichare76
- Fixed duplicate account states and incorrect locked margins during funding settlements (#5249), thanks @XBeg9
- Fixed `GreeksCalculator` underlying resolution across venues (#5234), thanks @awss1i
- Fixed cancel rejection delivery for active orders while preserving their state (#5270), thanks @riven314
- Fixed late modify rejection delivery for submitted orders without reverting amended terms
- Fixed Parquet catalog row order for equal `ts_init` timestamps (#5267), thanks @ragen1337
- Fixed Bybit stale WebSocket subscriptions blocking subscriptions after reconnect (#5250), thanks @Martingale42
- Fixed Bybit failed quote subscriptions retaining shared order book references (#5258), thanks @Martingale42
- Fixed Deribit position reports failing on fractional leverage (#5240), thanks @abhijeetvichare76
- Fixed Hyperliquid account updates retaining balances reported at zero (#5210), thanks @XBeg9
- Fixed Hyperliquid reduce-only filled order lookups overstating fill quantity (#5222), thanks @XBeg9
- Fixed Hyperliquid HIP-4 outcome price and size precision (#5266), thanks @vignesh-chaturvedi
- Fixed Hyperliquid canceled replacements leaving orders open when acceptance updates are missing
- Fixed Hyperliquid recovery sending corrective reductions for canceled replacement orders
- Fixed Hyperliquid dropping late fill reports after orders close
- Fixed Hyperliquid stop-market replacement updates causing order-state panics
- Fixed Interactive Brokers account balances and margins remaining stale after connect (#5041), thanks @faysou
- Fixed Interactive Brokers spread fills arriving before their leg fills (#5041), thanks @faysou
- Fixed Interactive Brokers execution queries replaying historical fills as live fills (#5041), thanks @faysou
- Fixed Kraken spot and futures wallets retaining balances reported at zero (#5186), thanks @zhaow-de
- Fixed Kraken futures margin currencies, aggregation, and maintenance requirements (#5199), thanks @zhaow-de
- Fixed Kraken futures reads silently omitting unresolved live orders and positions (#5217), thanks @zhaow-de
- Fixed Lighter `CancelAllOrders` to select cached orders only from the execution account
- Fixed Lighter batch cancel outcome recovery and overlapping cancellation rejection handling
- Fixed Lighter transaction nonce send ordering under concurrent preparation
- Fixed Polymarket bounded restarts marking cached closed orders as incomplete
- Fixed Polymarket bounded restarts omitting confirmed partial fills from resting orders
- Fixed Polymarket modify canceling a working order when the signed replacement is below the market minimum
- Fixed Polymarket free balance treating BUY fill spend as available before the venue collateral total reflects it
- Fixed Polymarket recovered BUY overfills being rejected instead of raising order quantity
- Fixed sandbox cached quote and trade replay replenishing consumed liquidity on order submissions

### Internal Improvements

- Added `BacktestNode` book delta replay benchmark comparing batched and individual dispatch
- Refined shared pointer cloning in infrastructure, CLI, and event store code (#5236), thanks @mirooon
- Refined Hyperliquid unified account tests to use JSON fixtures (#5220), thanks @XBeg9
- Ported the Interactive Brokers adapter to the `ibapi` v5.0.0 API (#5041), thanks @faysou
- Improved Kraken margin entry average and net-short test coverage (#5214), thanks @zhaow-de
- Improved Lighter report generation with HTTP collection on runtime workers (#5216)
- Optimized core string formatting, precision parsing, and API key masking allocations (#5225), thanks @sunlei
- Optimized core UTC timestamp formatting (#5226), thanks @sunlei
- Optimized hexadecimal encoding and decoding (#5227), thanks @sunlei
- Optimized integer `UnixNanos` parsing (#5228), thanks @sunlei
- Optimized JSON decimal deserialization to avoid temporary string allocations (#5229), thanks @sunlei
- Optimized `UUID4` byte conversion (#5230), thanks @sunlei
- Optimized portfolio snapshots to skip copying account event history (#5237), thanks @XBeg9
- Optimized backtest funding settlements to update positions in place (#5238), thanks @XBeg9
- Optimized Python `Portfolio` queries to avoid copying account event history (#5260), thanks @XBeg9
- Upgraded Rust (MSRV) to 1.99.0
- Upgraded `cargo-hawk` tool to v0.1.15
- Upgraded `prek` tool to v0.5.4
- Upgraded Socket CLI tool to v1.5.0
- Upgraded `uv` tool and pre-commit hook to v0.12.22
- Upgraded `typos` pre-commit hook to v1.51.1
- Upgraded `databento` crate to v0.63.0
- Upgraded `either` crate to v1.19.0
- Upgraded `h2` crate to v0.4.20
- Upgraded `hyper` crate to v1.12.0
- Upgraded `hyper-util` crate to v0.1.21
- Upgraded `ibapi` crate to v5.0.0 (#5041), thanks @faysou
- Upgraded `implied-vol` crate to v2.1.0
- Upgraded `jiff` crate to v0.2.38
- Upgraded `libc` crate to v0.2.190
- Upgraded `pyo3` crates to v0.29.3
- Upgraded `tokio` crate to v1.53.2
- Upgraded `tokio-rustls` crate to v0.26.6
- Upgraded `uuid` crate to v1.27.0
- Upgraded `zeroize` crate to v1.9.1
- Upgraded `ruff` package (dev) and pre-commit hook to v0.16.10
- Upgraded `simplejson` package (visualization) to v4.2.0
- Upgraded `ty` package (dev) to v0.0.84
- Upgraded `uvicorn` package (test) to v0.54.0
- Upgraded `uvloop` package (test) to v0.23.0

### Documentation Updates

- Clarified `Portfolio` equity rules for calculated and reported margin accounts
- Fixed Binance and Hyperliquid custom data examples to unwrap `CustomData` (#5246), thanks @Martingale42
- Updated Derive integration guide for API v3 setup, margin models, and recovery limits
- Clarified Kraken cached and external closing-order recovery (#5208), thanks @zhaow-de
- Clarified Lighter cancel-all scope and batch cancellation failure handling

### Deprecations

---

# NautilusTrader 2.0.0rc6

Released on 4th October 2026 (UTC).

### Enhancements

- Added `WebSocketConfig.max_message_size_bytes` and `max_frame_size_bytes` configurable inbound size limits
- Added configurable `writer_capacity` limits for socket and WebSocket clients, defaulting to 1,024 messages
- Added `NAUTILUS_HTTP2_ADAPTIVE_WINDOW` env var to restore adaptive HTTP/2 flow-control windows
- Added same-venue execution client registration with explicit venue or default routing
- Added Rust `Cache::account_id_for_client` to resolve execution client accounts independent of issuers
- Added Rust `Cache::client_id_for_venue` to resolve the execution client that venue or default routing selects
- Added Python `Cache.top_of_book()` without cloning the resident book (#5011), thanks @youayouly
- Added `RateOfChangeMode` for configurable ROC output units (#5144), thanks @faysou
- Added MACD `signal` and `histogram` outputs (#5144), thanks @faysou
- Added Bollinger Bands `stddev` output (#5144), thanks @faysou
- Added independent VIDYA `cmo_period` configuration (#5144), thanks @faysou
- Added Ichimoku per-line readiness flags (#5144), thanks @faysou
- Added fallible Rust moving-average constructors and Python parameter validation (#5144), thanks @faysou
- Added period-1 support to `EfficiencyRatio` (#5144), thanks @faysou
- Added aggregate instrument fan-out across class directories to `list_parquet_files`
- Added custom data support to `StreamingFeatherWriter` (#4759), thanks for reporting @mystic-io
- Added recovery of unsealed Feather stream files left by a crashed writer (#5115), thanks @faysou
- Added streaming promotion into a separate, optionally remote, `StreamingConfig.catalog` (#5115), thanks @faysou
- Added `timezone` to `RotationConfig.scheduled_dates`, defaulting to UTC (#5115), thanks @faysou
- Added shared-table `record/` and `instrument/` catalog paths for external catalog backends (#5115), thanks @faysou
- Added Parquet catalog migration through `nautilus catalog migrate-parquet` (#4959), thanks @faysou
- Added `type_name` inference to `migrate-parquet` for legacy custom catalogs
- Added typed `batch_size`, `compression`, and `max_row_group_size` to `DataCatalogConfig` (#5166), thanks @faysou
- Added `submission_recovery_policy` config for exhausted submission recovery (#5028), thanks @silarin
- Added a live submission registry and exhaustion diagnostics for unresolved submissions (#5036), thanks @silarin
- Added a startup reconciliation warning for fills dropped without an order report or cached order
- Added `events.order_fill_declined.{instrument_id}` topic republishing fills and voids the engine declines
- Added position report metadata for FIFO and truncated venue entry averages (#5064), thanks for reporting @zhaow-de
- Added live binary option position settlement from `InstrumentClose` (#4963), thanks for reporting @seungpyoson
- Added `deserialize_decimal_token` and `deserialize_optional_decimal_token` to `nautilus_core`
- Added Rust `new_generic_spread_id` and `parse_generic_spread_id_legs` identifier functions (#5041), thanks @faysou
- Added Python `new_generic_spread_id` and `generic_spread_id_to_list` (#5041), thanks @faysou
- Added strategy trigger price modification for trailing stop orders (#5041), thanks @faysou
- Added per-instrument `overrides` on maker/taker fee models
- Added Architect AX account margins and locked USD balance from `/risk-snapshot`
- Added Architect AX bounded mass-status window declaration for reconciliation lookbacks
- Added Architect AX post-only repricing metadata to HTTP and WebSocket order models
- Added Architect AX instrument schedules and estimated funding metadata to response models
- Added Architect AX `book_snapshot_timeout_secs` override, honoring 0 as disabled
- Added Betfair `book_snapshot_timeout_secs` override, honoring 0 as disabled
- Added Binance `book_snapshot_timeout_secs` override, honoring 0 as disabled
- Added typed Parquet catalog round trips for Binance futures custom data
- Added Bybit `book_snapshot_timeout_secs` override, honoring 0 as disabled
- Added `bars_timestamp_on_close` to `BybitDataClientConfig`, defaulting to close (#5160), thanks @folknor
- Added `historical_base_url` and `live_gateway_addr` overrides to `DatabentoDataClientConfig`
- Added Hyperliquid `book_snapshot_timeout_secs` override, honoring 0 as disabled
- Added Kraken bounded mass-status window declaration for reconciliation lookbacks (#5043), thanks @zhaow-de
- Added Lighter support for 64-bit market IDs at and above 4095
- Added Lighter `book_snapshot_timeout_secs` override, honoring 0 as disabled
- Added Lighter `use_gtd` to choose venue or local GTD expiry (#4997), thanks @graceyangfan
- Added Lighter transport batching for batch cancellation and cancel-all requests (#4470)
- Added OKX error codes to order, modify, and cancel rejection reasons as `OKX error <code>: <message>`
- Added OKX scoped fee queries, instrument fee groups, and grouped fee responses (#5207), thanks @silarin
- Added Polymarket session signing and owner-operated session key authorization, listing, and revocation
- Added Polymarket book recovery with snapshot gating and stale-feed detection
- Added Polymarket settlement evidence registry with targeted REST trade resolution (#4876)
- Added Polymarket `MATCHED_NOT_BROADCASTED` trade status
- Added `tardis_http_url` override to `TardisDataClientConfig` and `TardisReplayConfig`
- Added Tardis full 25-level `OrderBookDepth` for `snapshot25` data
- Migrated Polymarket trade and position history to Data API v2 with cursor pagination

### Breaking Changes

- Removed the BitMEX adapter from Rust and Python following the exchange closure on 23 September 2026 (#4552)
- Removed `nautilus_trader.persistence.NautilusDataType` - import from `nautilus_trader.model`
- Removed `NautilusDataType.OrderBook` variant and `"OrderBook"`/`"order_book"` spellings
- Removed instrument `maker_fee` and `taker_fee`; set those rates on the venue `fee_model` instead
- Removed `maker_fee` and `taker_fee` from Arrow instrument schemas and the SQL `instrument` table
- Removed `nautilus_persistence::backend::catalog` - import from `backend::parquet::{catalog, paths}`
- Removed `serialize_decimal` and `serialize_optional_decimal` - use `decimal::serialize` and `serialize_optional`
- Removed Rust `InnerHttpClient` `Default` impl, which panicked on transport errors; use `HttpClient::builder()`
- Removed Rust fixed-width Arrow decoders `decode_price`, `decode_quantity`, and `validate_precision_bytes`
- Removed OBV constructor `period`; output is now cumulative signed volume (#5144), thanks @faysou
- Removed KVO constructor `signal_period`; require `fast_period < slow_period` (#5144), thanks @faysou
- Removed `DirectionalMovement` constructor `ma_type`; use Wilder sums that skip the first bar (#5144), thanks @faysou
- Removed VWAP `update_raw` timestamp; call `reset()` to start a new session (#5144), thanks @faysou
- Removed Rust WMA `new` weights argument; use `with_weights` for custom weights (#5144), thanks @faysou
- Removed the `instrument_id` column from funding rate, instrument status, and option Greeks Arrow files
- Removed `StreamingFeatherWriter` `fs_protocol` and `fs_storage_options`; pass a local path (#5115), thanks @faysou
- Removed flat rotation arguments from `StreamingConfig` and `StreamingFeatherWriter` (#5115), thanks @faysou
- Removed Python `DataBackendSession` and `DataQueryResult` - use `ParquetDataCatalog` queries (#5115), thanks @faysou
- Removed Rust `nautilus_persistence::backend::session` - query through `ParquetDataCatalog` (#5115), thanks @faysou
- Removed `to-json` and `to-parquet` binaries - use `nautilus catalog migrate-parquet` (#5115), thanks @faysou
- Removed `nautilus_persistence::parquet` - use `backend::parquet::io` (#5115), thanks @faysou
- Removed Rust `write_batch_to_parquet` and `write_batches_to_parquet` - use `write_batches_to_object_store`
- Removed Rust `combine_parquet_files` and `min_max_from_parquet_metadata` - use their `_object_store` variants
- Removed `nautilus_persistence::backend::feather` - use `writer::feather` (#5115), thanks @faysou
- Removed `nautilus_persistence::python::catalog` - use `python::backend::parquet::catalog` (#5115), thanks @faysou
- Removed `nautilus_persistence::python::feather` - use `python::backend::feather` (#5115), thanks @faysou
- Removed Rust `DataCatalogConfig::create_catalog` - use `catalog::factory::create_catalog` (#5115), thanks @faysou
- Removed Rust `BybitWebSocketClient` bar timestamp accessors; use the data config (#5160), thanks @folknor
- Replaced Rust `flush_streaming` with `close_streaming_writer` and `reopen_streaming_writer` (#5115), thanks @faysou
- Replaced `StreamingConfig` `catalog_path` and `fs_protocol` with `writer_path` and `catalog` (#5115), thanks @faysou
- Replaced `StreamingConfig` promotion `params` keys with typed promotion fields (#5115), thanks @faysou
- Replaced Parquet `DataCatalogConfig.params` settings with typed fields; `params` keys now fail (#5166), thanks @faysou
- Replaced `StreamingWriter` `backend` and `storage_options` with an optional `catalog` (#5115), thanks @faysou
- Replaced `convert_stream_to_data` `subdirectory` with an `Environment` argument (#5115), thanks @faysou
- Replaced Rust `ParquetDataCatalog::query_typed_data` and `query_typed` with `query`, which now returns `Vec<T>`
- Renamed `OrderBookDepth10` to `OrderBookDepth`, removing the alias and `book_depth10_to_arrow_record_batch_bytes`
- Renamed actor `subscribe_book_depth10`/`unsubscribe_book_depth10` to `subscribe_book_depth`/`unsubscribe_book_depth`
- Renamed `OrderBookDepth10DataWrangler` to `OrderBookDepthDataWrangler`
- Renamed `SubscribeBookDepth10`/`UnsubscribeBookDepth10` commands and their data client hooks, dropping the `10` suffix
- Renamed Python persistence `NautilusDataType.OrderBookDepth10` to `NautilusDataType.OrderBookDepth`
- Renamed `ParquetDataCatalog` method `instrument_id` parameters to `identifier`, matching v1
- Renamed Rust `TestClock`/`TestTimer` to `VirtualClock`/`VirtualTimer` without compatibility aliases
- Renamed Rust `extract_column_by_name_or_index` to `extract_column_by_name`, dropping the positional fallback
- Renamed Databento `load_order_book_depth10` and `get_order_book_depth10`, dropping the `10` suffix
- Renamed the Databento publisher 142 venue from `DEF` to `CDEF`
- Renamed Polymarket `SignatureType` to `PolymarketSignatureType`
- Renamed Tardis `*_tardis_depth10_from_snapshot*` functions and `TardisDepth10StreamIterator`, dropping the `10` suffix
- Changed custom fill-model hooks to receive optional best bid and ask prices
- Changed socket and WebSocket sends to return `SendError::BufferFull` when writer capacity is exhausted
- Changed `SocketClient::writer_tx` to `WriterSender`; update explicit sender types and handle `SendError`
- Changed `Strategy.modify_order` and `ExecutionAlgorithm.modify_order` to return errors for invalid no-change requests
- Changed component lifecycle failures to propagate without logging; callers handle returned errors
- Changed EMA, Wilder, DEMA, and MACD to mean-seeded warmup (#5144), thanks @faysou
- Changed SMA and WMA to report zero until their windows are full (#5144), thanks @faysou
- Changed RSI to Wilder smoothing on [0, 100], with 50 for flat windows; rescale thresholds (#5144), thanks @faysou
- Changed CMO default smoothing to simple averages (#5144), thanks @faysou
- Changed MACD, Keltner, and KVO defaults to exponential averages, matching 1.x (#5098), thanks @nicoloangileri
- Changed VIDYA's CMO default to simple and Pressure's ATR to use the previous close (#5108), thanks @nicoloangileri
- Changed ATR, RVI, and Keltner ATR default smoothing to Wilder (#5144), thanks @faysou
- Changed RVI and ZScore to population deviation; ZScore is zero until its window is full (#5144), thanks @faysou
- Changed Stochastics %D to SMA of %K, with 50 for flat %K and %D windows (#5144), thanks @faysou
- Changed Bias and default ROC output to percentages; ROC looks back exactly `period` updates (#5144), thanks @faysou
- Changed Bollinger Bands to use close prices instead of typical prices (#5144), thanks @faysou
- Changed MACD constructors to take `signal_period` after `slow_period`, defaulting to 9 (#5144), thanks @faysou
- Changed MACD initialization to require signal warmup and reject `fast_period >= slow_period` (#5144), thanks @faysou
- Changed Keltner constructors to take `atr_period` after `k_multiplier` (#5144), thanks @faysou
- Changed WMA default weights to linear weights (#5144), thanks @faysou
- Changed linear regression intercept to use x = 0 (#5144), thanks @faysou
- Changed KVO to Klinger's volume force using daily high-low range and high+low+close trend (#5144), thanks @faysou
- Changed `VolatilityRatio` to current true range over prior EMA, taking a single `period` (#5144), thanks @faysou
- Changed Ichimoku initialization to require all five lines (#5144), thanks @faysou
- Changed Ichimoku displaced lines to lag `displacement - 1` bars (#5144), thanks @faysou
- Changed Aroon outputs to retain full precision instead of rounding to 12 decimals (#5144), thanks @faysou
- Changed windowed indicator period limits to 16,777,216 (#5144), thanks @faysou
- Changed AMA warmup to `period_efficiency_ratio + 1` inputs, seeded from the previous price (#5144), thanks @faysou
- Changed backtest venues to require an explicit `fee_model`, including an explicit zero-fee model
- Changed fee models that read instrument fees to require explicit `maker_rate` and `taker_rate`
- Changed account `calculate_commission` to require explicit `maker_rate` and `taker_rate`
- Changed Rust `ExecutionEngine::register_client` to stop adding venue routes; live and backtest nodes are unaffected
- Changed `Cache.account_for_venue` and `account_id` to return `None` for shared venues; look up by account ID
- Changed Rust `Portfolio` locked-balance and margin queries to take `account_id`; pass `None` for venue lookup
- Changed `ParquetDataCatalog` file methods to take `data_type`, not `data_cls`/`type_name` (#5027), thanks @faysou
- Changed `ParquetDataCatalog.query` to take a `NautilusDataType`, not a directory name (#5027), thanks @faysou
- Changed `ParquetDataCatalog.delete_data_range` to take a non-instrument `NautilusDataType` (#5027), thanks @faysou
- Changed `BacktestDataConfig.data_type` to a `NautilusDataType`; `Instrument` loads all classes (#5027), thanks @faysou
- Changed Rust `OrderCore.events` to read-only `events()`; construct cores with `OrderCore::new`
- Changed `reconciliation_startup_delay_secs` to reject values above 86,400 seconds (one day)
- Changed live node startup to fail when in-scope nonzero venue positions remain unrecovered
- Changed live shutdown to fail when retained submissions remain unresolved (#5156), thanks @silarin
- Changed Rust `calculate_reconciliation_price` and `position_prices_match` to take report average metadata
- Changed same-thread `LiveNode` replacement to require dropping the previous node, even after `dispose()`
- Changed `RiskEngine` to reject orders when accounts, prices, or required funding cannot be established
- Changed `list_parquet_files` and `convert_stream_to_data` to take typed selectors in place of strings
- Changed streaming Feather output to one file per data type and per instrument class (#5115), thanks @faysou
- Changed streaming to stage Feather files on local paths only, rejecting remote paths (#5115), thanks @faysou
- Changed Feather flushes to append to the open `.feather.partial` file; closing seals it (#5115), thanks @faysou
- Changed `StreamingFeatherWriter` rotation time and file info to use catalog type selectors (#5115), thanks @faysou
- Changed `StreamingFeatherWriter.include_types` and record filter keys to reject strings (#5115), thanks @faysou
- Changed Rust `WriterRecordFilter` to take `CatalogDataType` values in place of path prefixes (#5115), thanks @faysou
- Changed `StreamingConfig.writer_backend` to follow the catalog backend, else `Feather` (#5115), thanks @faysou
- Changed streaming to validate `StreamingConfig` and reject zero rotation sizes or intervals (#5115), thanks @faysou
- Changed Rust run manifests and Feather session sources to take `Environment` and `RunStatus` (#5115), thanks @faysou
- Changed `ParquetDataCatalog` to reject LZO and unknown `compression` codes, not use Snappy (#5166), thanks @faysou
- Changed catalog `lz4` compression and code `5` to write `LZ4_RAW`, with `lz4_raw` as an alias (#5166), thanks @faysou
- Changed Rust `DataCatalogConfig` builder to return `ConfigResult` and reject zero counts (#5166), thanks @faysou
- Changed catalog storage options to reject unknown keys, including GCS `project_id` (#5166), thanks @faysou
- Changed Rust `DataCatalogConfig` and `BacktestDataConfig` storage option values to `SecretString`
- Changed `StreamingConfig` type selectors and `record_filters` keys to take enums only (#5115), thanks @faysou
- Changed `ParquetDataCatalog.query_custom_data` to take a `NautilusDataType` (#5115), thanks @faysou
- Changed `ParquetDataCatalog.list_data_types` to return type enums in place of names (#5115), thanks @faysou
- Changed `RotationConfig.mode` to return a `RotationMode` enum (#5115), thanks @faysou
- Changed Rust `CatalogCoverageRow.data_type` to a `CatalogDataType` (#5115), thanks @faysou
- Changed Rust `CatalogBackendType` and `WriterBackendType` to `#[non_exhaustive]`
- Changed Postgres cache connect to require a trader ID and flush only that trader's rows (#5070), thanks @utx0
- Changed Postgres cache connect to fail until old account events are assigned (#5070), thanks @utx0
- Changed `Cache.flush_db` to return errors, so a failing `flush_on_start` stops node startup (#5070), thanks @utx0
- Changed logging init to fail on an unusable log file; lazy Rust init keeps console logging
- Changed Rust `FileWriter::new` to return `anyhow::Result` instead of `Option`
- Changed custom-data writes to require valid schemas; migrate legacy files with `nautilus catalog migrate-parquet`
- Changed catalog depth display to nested bid/ask lists with all levels and order IDs (#4959), thanks @faysou
- Changed Parquet prices, timestamps, enums, and JSON to the open Arrow format; migrate catalogs (#4959), thanks @faysou
- Changed custom data macros to separate model definitions from optional Arrow encoding (#4959), thanks @faysou
- Changed catalog Arrow files to name their type in `type_name` metadata, replacing instrument `class`
- Changed instrument status and option Greeks Arrow conversions to reject batches mixing instruments
- Changed sandbox execution clients to require an explicit `fee_model`, including a zero-fee model
- Changed backtests to fail when a cash, betting, or wallet fill is rejected (#5077), thanks @abhijeetvichare76
- Changed a disposed `BacktestNode` to reject `run()` and `build()` (#5086), thanks @folknor
- Changed DeFi pool `CurrencyPair` base and quote to follow token priority, matching swap trade info and execution
- Changed Betfair, Binance, and Tardis crates to gate Arrow support behind an opt-in `arrow` feature
- Changed Deribit `DeribitWebSocketClient::modify_order` to take `DeribitEditParams`
- Changed Deribit models to deserialize only from borrowed JSON, with `DeribitBookMsg` borrowing its levels
- Changed Python Hyperliquid data and execution client config parameter order to `base_url_http` before `base_url_ws`
- Changed Hyperliquid stale book-delta recovery to shared book recovery, which never requests a reconnect
- Changed Rust `parse_combined_account_balances_and_margins` to require account mode (#5187), thanks @XBeg9
- Changed Kraken legacy currency codes to standard codes; migrate stored currency data (#5155), thanks @zhaow-de
- Changed Kraken EUR/USD quote currencies, REST fees, and PnL to 2 decimals, and JPY to 0 (#5155), thanks @zhaow-de
- Changed Kraken futures balances to retain negative free amounts for wallet shortfalls (#5155), thanks @zhaow-de
- Changed Polymarket `polymarket_trade_sort_key` inputs to v2 `transaction_hash` and `token_id` fields
- Changed Polymarket stream `FAILED` trades to quarantine until a targeted REST result voids applied fills
- Changed Polymarket fills on orders from before a reconnect or restart to wait for a terminal REST result
- Changed Polymarket reconciliation reports to fail while trade settlement evidence is unresolved
- Changed Polymarket user-channel GTD expiry to `OrderExpired`; earlier and REST cancels stay `OrderCanceled`
- Changed Polymarket fee curves to exact decimal arithmetic, rejecting fractional fee exponents
- Changed Polymarket taker fees to read `info.fee_schedule` instead of instrument `taker_fee`
- Changed Tardis `book_snapshot_output` value `"depth10"` to `"depth"` (the legacy value remains accepted)
- Changed Tardis derived trade IDs to hash decimal values, changing IDs for trades without venue IDs
- Changed Tardis `replay` feature to opt-in (no longer a default); it now enables `arrow`

### Security

- Fixed adapter HTTP redirect leaks of credentials and signed payloads, thanks for reporting @seungpyoson
- Fixed Parquet catalog storage errors read as missing files, which could delete data during period consolidation
- Fixed Parquet period consolidation stopping after 10,000 periods, duplicating rows or deleting unconsolidated data
- Fixed logging thread panics when stderr is a closed pipe, which aborted release builds
- Fixed Python float conversions of precision 17 and 18 prices, quantities, and money aborting release builds
- Fixed `Cache.price` mid prices of precision 16 quotes aborting greeks calculations in release builds
- Fixed `Cache.price` midpoints at the precision ceiling panicking the process (#5084), thanks @folknor
- Fixed Python raw and pickle reconstruction of quotes, trades, bars, and price updates aborting release builds
- Fixed Python account balance queries, leverage setters, and `balance_impact` aborting release builds
- Fixed Redis connections leaking passwords to debug logs and panicking on some non-ASCII passwords
- Hardened HTTP and socket transport clients against URL credential leaks into logs, errors, and `Debug` output
- Hardened `DataCatalogConfig` and `BacktestDataConfig` `repr()` and `Debug` against storage option leaks
- Hardened TLS `certs_dir` loading by logging each trusted root at INFO with its SHA-256 fingerprint
- Hardened TLS `certs_dir` loading to fail on unreadable files instead of silently skipping them
- Hardened WebSocket transport client close-reason logging against server-injected line breaks and terminal escapes

### Fixes

- Fixed `StackStr` hashing to support borrowed `str` lookups in maps and sets
- Fixed precision loss when deserializing exactly representable scientific `Decimal` strings
- Fixed `from_pydict` to raise `ValueError` for integers outside the signed or unsigned 64-bit range
- Fixed fills after order expiry being dropped instead of updating the order and position
- Fixed unnecessary Python borrow errors in default actor, strategy, and execution algorithm callbacks
- Fixed duplicate error logging for propagated order-command failures
- Fixed `RetainUnresolved` locally closing unacknowledged orders after recovery exhaustion
- Fixed `Strategy.cancel_all_orders` returning only the first individual cancellation error
- Fixed `Strategy` ignoring `log_rejected_due_post_only_as_warning` for post-only rejections
- Fixed silent Python strategy/algorithm errors (#5039), thanks for reporting @logeid and for initial fix @costajohnt
- Fixed mass-status reconciliation ignoring filled-quantity decreases without fills, thanks for reporting @kta1kri
- Fixed startup reconciliation dropping real fills for external `Accepted` and `Triggered` orders
- Fixed overfill rejections leaving no warning (#5081), thanks @folknor
- Fixed `RiskEngine` risk-limit bypasses through single and batch order modifications, thanks for reporting @kta1kri
- Fixed quote-quantity conversion overflow panics during order risk checks
- Fixed fill OMS resolution to use the owning execution client instead of venue or default routes
- Fixed venue account lookups depending on add order and index rebuilds when accounts share an issuer
- Fixed Python portfolio queries rejecting an explicit account when another account shares its issuer
- Fixed recorded portfolio snapshots latching stale missing-price flags (#5171), thanks @awss1i
- Fixed Python `AccountBalance` and `MarginBalance` `to_dict` amounts losing digits through float formatting
- Fixed Python `PositionStatusReport.to_dict` omitting `avg_px_open`
- Fixed `RiskEngine` using the venue account, not the routed client's (#4946), thanks for reporting @Artur-Sulej
- Fixed `RiskEngine` position-reducing checks counting positions and open orders of other accounts
- Fixed later submits denying or double-routing orders already sent to an execution client (#5020), thanks @s1amese2003
- Fixed overlapping mass-status snapshots reversing newer cached fills or fill voids
- Fixed strategy-scoped cancel-all skipping locally active orders (#5120), thanks @ngarid
- Fixed immediate-mode cancels leaving accepted orders open in the cache (#5120), thanks @ngarid
- Fixed immediate-mode OTO child cancellation and cleanup after entry rejection (#5120), thanks @ngarid
- Fixed trailing-stop orders already in the market being accepted despite `reject_stop_orders`
- Fixed trailing-stop modifies using touch checks instead of stop checks (#5147), thanks @abhijeetvichare76
- Fixed `OrderEmulator` panic releasing a trailing stop limit before its limit price is calculated
- Fixed `OrderEmulator` panic modifying an emulated order from an order or position event handler
- Fixed `OrderEmulator` panic releasing a GTD order as a market order
- Fixed `OrderEmulator` stranding an order whose limit release fails
- Fixed `OrderEmulator` triggering `LAST_PRICE` orders on quotes
- Fixed trailing-stop activation duplicating order events in the cache database
- Fixed OUO order updates resizing the sibling to the leg's total instead of remaining quantity
- Fixed custom fill books falling back to historical liquidity or exceeding their available quantity
- Fixed `BestPriceFillModel` never filling limit orders at or inside the spread
- Fixed fill model panic on probabilities within rounding error of 0 or 1
- Fixed Python `FillModel` subclasses rejecting constructor arguments
- Fixed simulated slippage moving fill prices outside instrument price limits
- Fixed simulated trailing stop limits with a price filling before they trigger
- Fixed simulated cancels rejected for pending OTO children and partially filled market orders
- Fixed simulated venues accepting off-tick prices that could never fill
- Fixed simulated cash accounts allowing binary-option sells to open or increase short positions
- Fixed simulated OTO children left submitted after their parent is rejected
- Fixed simulated bar execution evaluating last-price triggers against the previous bar leg
- Fixed backtest rejection of lower-precision order fields within the same fixed-point scale
- Fixed oversized futures delivery in simulated physical option settlement, thanks for reporting @zakkvald
- Fixed simulated physical option exercise double counting intrinsic value from `InstrumentClose`
- Fixed backtest L1 fills stalling on repeated identical trades (#5017), thanks for reporting @GwangPyo
- Fixed backtest L1 queue estimates ignoring quote size reductions (#5016), thanks for reporting @GwangPyo
- Fixed stale backtest fills triggered by portfolio snapshot timers (#5054), thanks for reporting @frslvr
- Fixed `BacktestEngine` runs after `reset` failing kernel startup and halting `shutdown_on_error` runs
- Fixed Sandbox dropping `OrderAccepted` for an immediately marketable limit IOC (#5102), thanks @graceyangfan
- Fixed Sandbox restart leaving cache-open orders out of the matching engine (#5046), thanks @AmitKumarDeoghoria
- Fixed spread quote aggregation accepting signed leg ratios that flipped the leg sign (#5041), thanks @faysou
- Fixed `convert_stream_to_data` silently skipping staged custom data (#4607), thanks for reporting @mystic-io
- Fixed typed catalog decode for kernel Feather streams of quotes, trades, bars, and related types
- Fixed migration of class-tagged Parquet instruments with `UInt64` or UTC nanosecond timestamps
- Fixed runtime catalog queries to reject legacy instrument schemas with explicit migration guidance
- Fixed streaming Feather writers sealing a new file on every flush (#5115), thanks @faysou
- Fixed Parquet promotion precision for an empty order book depth staged with populated ones (#5115), thanks @faysou
- Fixed a Feather writer panic when a mixed-instrument batch crossed the rotation size limit (#5115), thanks @faysou
- Fixed Parquet writers accepting run IDs that object-store paths encode, which skipped promotion
- Fixed Feather staging writes hanging when the staging worker panics
- Fixed unbounded Feather filename reservations and repeated directory scans during Parquet promotion
- Fixed Parquet promotion from writer paths containing spaces, non-ASCII, or reserved characters
- Fixed Parquet promotion and `convert_stream_to_data` of Feather files with non-ASCII identifiers
- Fixed streaming `replace_existing` emptying the run directory before rejecting an invalid catalog
- Fixed reconciliation fills from venue fill reports not carrying the `reconciliation` event flag
- Fixed live node startup panic on an excessively large `reconciliation_startup_delay_secs`
- Fixed live node startup succeeding with unrecovered venue positions
- Fixed replayed fills doubling positions reconciled from venue position reports (#5041), thanks @faysou
- Fixed startup reconciliation dropping fills that precede order acceptance (#5041), thanks @faysou
- Fixed refused fills stalling position reconciliation (#5041, #5060), thanks for reporting @chaneyka1; thanks @faysou
- Fixed duplicate `LiveNode` builds replacing thread-local messaging (#5049), thanks for reporting @logeid
- Fixed unqueryable Python custom-data writes (#4984), thanks for reporting @shanezilla
- Fixed `customdataclass` nanosecond decoding without pandas (#4984), thanks for reporting @shanezilla
- Fixed catalog interval-filename validation renaming files before rejecting them (#4647)
- Fixed catalog file-name resets overwriting files before validating the new names
- Fixed catalog file-name resets without an identifier moving files out of identifier directories
- Fixed catalog `write_to_json` encoding Windows path separators into object keys
- Fixed local catalog run and data-type listings treating directory read errors as empty
- Fixed catalog run and data-type listings returning percent-encoded names
- Fixed catalog consolidation, deletes, name resets, intervals, and remote queries of non-ASCII identifiers
- Fixed `ParquetDataCatalog` accepting a zero `batch_size` or `max_row_group_size`
- Fixed HTTP client omitting configured `User-Agent` from proxy `CONNECT` requests for HTTPS URLs
- Fixed authenticated HTTP proxy requests failing after cross-origin redirects
- Fixed HTTP client adaptive HTTP/2 flow control triggering Cloudflare resets of large response bodies
- Fixed rate limiters admitting an extra request after idle periods
- Fixed TLS client config panicking on first use when ring is also enabled
- Fixed Sockudo handshake retries logged as errors, hiding reconnect recovery
- Fixed concurrent WebSocket authentication leaving the result and shared state inconsistent
- Fixed WebSocket sends skipping the reconnect replay buffer before authentication (#5128), thanks @Robin1987China
- Fixed dropping unfilled working orders when replacing a reconciliation lifecycle (#5003), thanks @abhijeetvichare76
- Fixed live reconciliation applying report-task results after shutdown (#4982), thanks @folknor
- Fixed backtest data-type and missing-engine errors to name the valid case (#4977), thanks @abhijeetvichare76
- Fixed unclear errors for missing local Parquet catalog paths (#4950), thanks for reporting @Artur-Sulej
- Fixed Windows drive-path catalog file URIs (#4646), thanks for reporting @autotrader2025
- Fixed catalog instrument listing ignoring `base_path` on remote stores such as `s3://` (#5052), thanks @xWaita
- Fixed catalog-wide delete and consolidation skipping directories whose name prefixes a sibling directory
- Fixed catalog-wide delete and consolidation on remote catalogs whose base path contains a `data` segment
- Fixed remote catalogs accepting base paths that object-store paths encode, which broke queries
- Fixed custom data queries matching identifiers by substring instead of the identifier directory
- Fixed bar queries dropping instrument ID identifiers listed alongside full bar types
- Fixed `filter_files` matching bar types by name prefix instead of instrument ID
- Fixed period consolidation panicking on a zero `period_nanos`
- Fixed catalog queries applying time bounds to only one side of an `OR` where clause
- Fixed catalog queries failing on directories whose files differ in precision (#5166), thanks @faysou
- Fixed HTTP catalogs ignoring storage options, which blocked plain `http://` catalogs (#5166), thanks @faysou
- Fixed `write_batches_to_object_store` panicking on an empty batch list
- Fixed OrderBook warnings after sequence counter resets (#5015), thanks @dnouri
- Fixed AroonOscillator `MAX_PERIOD` window dropping the oldest extreme before rollover (#5037), thanks @wbizmo
- Fixed `ArcherMovingAveragesTrends` keeping both trend flags after a reversal (#5125), thanks @wbizmo
- Fixed `VerticalHorizontalFilter` and `RelativeVolatilityIndex` reading NaN on flat prices (#5059), thanks @mkzung
- Fixed indicators changing state on non-finite inputs or malformed candles (#5144), thanks @faysou
- Fixed linear regression R-squared returning NaN for non-flat, low-variance windows (#5144), thanks @faysou
- Fixed rolling indicator precision after large shifts in the window mean (#5144), thanks @faysou
- Fixed Python indicator enums hashing differently from equal integers (#5144), thanks for reporting @faysou
- Fixed option expiry settlement missing underlyings listed on another venue (#5035), thanks @AmitKumarDeoghoria
- Fixed `CryptoOption` applying a one-contract minimum when `min_quantity` is unspecified
- Fixed Postgres cache loading and overwriting another trader's orders, positions, and fills (#5070), thanks @utx0
- Fixed cached time bars replacing same timestamps and skipping older bars (#5109), thanks @dfjmax
- Fixed inverse option notional and PnL using `1 / price` valuation (#5053), thanks for reporting @Kilvish25
- Fixed backtest inverse option cash settlement at quote-point intrinsic value (#5053), thanks for reporting @Kilvish25
- Fixed `TestDataProvider` reading `develop` data in release wheels (#5087), thanks for reporting @bananaunderground
- Fixed adapter JSON decimal and `UnixNanos` parsing with `serde_json/arbitrary_precision`
- Fixed log file rotation for trader IDs or file names containing dots
- Fixed failed log file rotations retrying with a disk sync on every line
- Fixed file logs lagging until the write buffer filled; lines now flush within about 100 ms
- Fixed `nautilus` CLI dropping buffered log lines at exit
- Fixed `OwnOrderBook` ghost orders after re-adding at a new price or a zero-size price update
- Fixed `OrderBook` grouped filtered views overstating liquidity when own orders are better priced
- Fixed own order books appearing with `manage_own_order_books` disabled after a failed order event
- Fixed `OrderBook` filtered views subtracting emulated orders, which never rest in the public book
- Fixed own order books holding quote-quantity orders in quote units before conversion to base units
- Fixed own order book audit removals logging as errors, halting `shutdown_on_error` nodes
- Fixed `OrderBook.get_avg_px_qty_for_exposure` quantities 100x too large for 18-decimal DeFi sizes
- Fixed recoverable adapter conditions logging as errors, halting `shutdown_on_error` nodes
- Fixed quanto margin and balance locks to use the settlement currency (#5073), thanks @abhijeetvichare76
- Fixed margin and betting accounts reserving filled quantity after partial fills (#5130), thanks @abhijeetvichare76
- Fixed time bars stalling after an interval with no updates (#5082), thanks @faysou
- Fixed risk engine reset leaving a halted or reducing engine active without an event (#5085), thanks @folknor
- Fixed canceled FOK orders leaving book liquidity marked consumed (#5106), thanks @ngarid
- Fixed cash-account SELL checks for instruments without a base currency (#5112), thanks @yashwardhan-gautam
- Fixed non-ASCII symbols silently dropping positions (#5143), thanks @Yize9
- Fixed `nautilus-live` failing to compile without the `node` feature (#5177), thanks @zhaow-de
- Fixed adapters logging routine events as warnings and duplicate failures twice
- Fixed Architect AX cancel-all requests ignoring `order_side` (#4470), thanks for reporting @zurpet
- Fixed Architect AX order status reports dropping venue reject reasons
- Fixed Architect AX market data subscriptions not resuming after an explicit reconnect
- Fixed Architect AX terminal order queries losing the original order quantity
- Fixed Architect AX order report parsing of post-only flags, timestamps, and terminal states
- Fixed Architect AX position entry prices to use cost basis when available
- Fixed Architect AX fills being dropped for unknown sibling order states
- Fixed Architect AX book recovery after missing snapshots, invalid frames, and reconnects
- Fixed Architect AX resubscribes racing an earlier unsubscribe and leaving the stream unsubscribed
- Fixed Betfair false fill voids and missing fills during reconciliation after price replacements
- Fixed Betfair false fill voids from inconsistent order and fill snapshots during reconciliation
- Fixed Betfair order quantities in replacement queries and quantity reduction recovery
- Fixed Betfair resting SP bets treated as closed before BSP reconciliation
- Fixed Betfair book recovery after unparsable runner changes, missing images, and changes before an image
- Fixed Betfair market images leaving stale levels on runners the image omits
- Fixed Betfair concurrent book subscriptions dropping markets from the stream subscription
- Fixed Binance order ID encoding for short alphanumeric tags (#5055), thanks for reporting @logeid
- Fixed Binance WebSocket subscribe bursts that closed sockets with 1008 (#5014), thanks @costajohnt
- Fixed historical `BinanceBar` responses never reaching Python (#5002), thanks @abhijeetvichare76
- Fixed Binance bulk non-trading instrument skips logged as warnings instead of debug
- Fixed Binance cancel-all requests ignoring `order_side`
- Fixed Binance Spot `batch_cancel_orders` using a non-existent batch endpoint
- Fixed Binance book recovery after sequence gaps, snapshot failures, and reconnects
- Fixed Binance Spot empty depth snapshots failing to clear the book
- Fixed Binance order book snapshots missing `F_SNAPSHOT` on their price levels
- Fixed Binance Futures panic on depth updates without price levels
- Fixed Binance depth snapshot bursts exceeding the venue request-weight limit
- Fixed Binance Spot book unsubscribe and resubscribe commands reaching the stream pool out of order
- Fixed Binance Rust data clients not registering `BinanceBar` custom data for persistence
- Fixed Blockchain RPC WebSocket blocks missing their chain, panicking the data engine
- Fixed Blockchain swaps awaiting finality rejected by the in-flight check before their fill arrived
- Fixed Bybit cancel-all requests ignoring `order_side` (#4470), thanks for reporting @zurpet
- Fixed Bybit cursor pagination looping forever on repeated page cursors (#5019), thanks @Martingale42
- Fixed Bybit book recovery after update ID gaps, missing snapshots, and reconnects
- Fixed Bybit order book snapshots missing `F_SNAPSHOT` on their price levels
- Fixed Bybit data `is_connected` staying true while a socket reconnects (#5162), thanks @folknor
- Fixed Coinbase trade aggressor side inverted by using the reported maker side
- Fixed Databento live MBO subscriptions never emitting trades (#5095), thanks for reporting @invisiblebackhand
- Fixed DeFi position fees accruing on liquidity after a mint or burn instead of before
- Fixed DeFi swap replay dropping fees on input left at the swap's final price
- Fixed DeFi size-for-impact search never expanding its upper bound
- Fixed DeFi pool balance estimates adding raw fee growth to token amounts
- Fixed DeFi price impact and slippage reporting 0 bps beyond the `u32` range
- Fixed DeFi chain IDs and HyperSync URLs for 12 chains, including Unichain, Ink, and Hyperliquid
- Fixed DeFi `Pool` display repeating the fee label
- Fixed DeFi swap replay advancing fees across a drifted tick partition (#5163), thanks @folknor
- Fixed DeFi pool utilization panics during partial-history replay
- Fixed DeFi mint panics above tick liquidity limits and state changes on rejected mints or burns
- Fixed DeFi size estimates overflowing near the maximum pool tick
- Fixed Deribit prices, sizes, balances, and fees losing digits through `f64` JSON parsing
- Fixed Deribit order and edit amounts and prices losing digits through `f64` serialization
- Fixed Deribit and Tardis Machine book parsing panicking on out-of-range prices
- Fixed Deribit order books going stale when a book message fails conversion
- Fixed Deribit book parsing panicking on amounts that round to zero at size precision
- Fixed Deribit orders and edits emitting no rejection when their values cannot serialize exactly
- Fixed Derive rejecting valid sub-minimum taker orders (#5045), thanks for reporting @Aviksaikat
- Fixed Derive instrument `info` dropping fields from the venue response
- Fixed Hyperliquid fill reconciliation failing for accounts with fills on settled HIP-4 outcomes
- Fixed Hyperliquid mass status failing on `outcomeSettledCanceled` historical orders
- Fixed Hyperliquid book recovery after missing snapshots, invalid frames, and reconnects
- Fixed Hyperliquid order book snapshots missing `F_SNAPSHOT` and closing every level with `F_LAST`
- Fixed Hyperliquid depth-only book subscriptions emitting order book deltas
- Fixed Hyperliquid fills and order updates missed while the execution WebSocket was disconnected
- Fixed Hyperliquid bracket order modification canceling contingent orders
- Fixed Hyperliquid orders left open when canceled while a modify of them was in flight
- Fixed Hyperliquid REST open orders reconciling stops and take-profits as limits (#5145), thanks @JulienKervarrec
- Fixed Hyperliquid historical stop reports losing trigger metadata and blocking fills (#5191), thanks @XBeg9
- Fixed Hyperliquid IOC canceled remainders reconciling as filled and staying open (#5191), thanks @XBeg9
- Fixed Hyperliquid reduce-only quantities in startup reports with complete fill history (#5192), thanks @XBeg9
- Fixed Hyperliquid unified and portfolio margin account balances to use spot collateral (#5187), thanks @XBeg9
- Fixed Interactive Brokers contract details conversion raising `ModuleNotFoundError` (#5051), thanks @dfjmax
- Fixed Kraken spot connect aborting when TradeVolume fails (#5005), thanks @zhaow-de
- Fixed Kraken spot reports spelled with the pair altname not resolving to instruments (#5034), thanks @zhaow-de
- Fixed Kraken spot cancel-all cancelling orders outside the requested instrument (#5044), thanks @zhaow-de
- Fixed Kraken spot report pagination continuing past 500 pages without reporting incomplete (#5062), thanks @zhaow-de
- Fixed Kraken spot startup reconciliation omitting orders closed while the node was down (#5110), thanks @zhaow-de
- Fixed Kraken spot margin reports omitting the surviving-lot entry average (#5065), thanks @zhaow-de
- Fixed Kraken spot position coverage and false flat reports for unreported holdings (#5185), thanks @zhaow-de
- Fixed Kraken scoped reads dropping altname pairs or returning every instrument (#5129), thanks @zhaow-de
- Fixed Kraken currency normalization corrupting XTZ, ZRX, and XAUT codes (#5155), thanks @zhaow-de
- Fixed Kraken fills booking fees in quote currency instead of the reported fee currency (#5155), thanks @zhaow-de
- Fixed Kraken futures balances overwriting holdings across wallets of the same currency (#5155), thanks @zhaow-de
- Fixed Kraken futures double-counting flex USD collateral and contract-symbol balances (#5155), thanks @zhaow-de
- Fixed Kraken futures flex USD portfolio balances using 2 instead of 8 decimals (#5155), thanks @zhaow-de
- Fixed Lighter cancel-all requests ignoring `order_side` (#4470), thanks for reporting @zurpet
- Fixed Lighter book recovery after missing snapshots, sequence gaps, and reconnects
- Fixed Lighter websocket subscription hangs on unparsable confirmations
- Fixed Lighter spot stats parsing for empty mid prices
- Fixed OKX order book snapshots retaining stale price levels after resubscription
- Fixed OKX book deltas missing the `F_LAST` flag, stalling consumers with `buffer_deltas` enabled
- Fixed OKX account state always reporting `MARGIN`, ignoring the configured account type
- Fixed OKX fee and filled-quantity caches growing unbounded over long-running sessions
- Fixed OKX cancel-all requests ignoring `order_side` (#4470), thanks for reporting @zurpet
- Fixed OKX `close_fraction` orders reconciling with zero quantity (#5068), thanks for reporting @victor-santana-hub
- Fixed OKX filled spot market buys remaining `PARTIALLY_FILLED` (#5105), thanks for reporting @BioxMech
- Fixed OKX `activate_feature` rate limit exceeding the published 5 requests per 2 seconds
- Fixed OKX HTTP errors without `data` hiding the venue error code, such as invalid API keys
- Fixed OKX `open_only` order status reports fetching regular and spread order history
- Fixed Polymarket order modifications blocked after a deferred cancel with an unresolved venue outcome
- Fixed Polymarket maker rebates and taker fees zeroing on incomplete schedules
- Fixed Polymarket submits with an unknown outcome staying `SUBMITTED` after missed WebSocket updates
- Fixed Polymarket reconciliation of resolved, unredeemed balances (#4963), thanks for reporting @seungpyoson
- Fixed Polymarket reconciliation closing auto-redeemed positions at the entry price before settlement
- Fixed Polymarket fills matched during a user WebSocket outage never applying after reconnect
- Fixed Polymarket unknown submissions being rejected locally after recovery exhaustion
- Fixed Polymarket late submit evidence repeating acceptance or fills and overwriting replacement order mappings
- Fixed Polymarket uncertain order recovery losing venue cancellation duties after local closure
- Fixed Polymarket BUY fills truncated to the order quantity; overfills now raise the order quantity
- Fixed Polymarket commissions rounding instead of flooring to five decimals like the venue charge
- Fixed Polymarket order quantity updates after a modify dropping fills from earlier venue orders
- Fixed Polymarket restarts replacing fills of closed orders with synthetic fills that lack commission
- Fixed Polymarket restarts failing for retained positions whose fills fall outside a bounded lookback
- Fixed Polymarket denying immediate FOK and FAK BUY orders whose maker amount is not an exact cent
- Fixed Polymarket opening an idle market WebSocket on connect, which the venue closed with code 1008
- Fixed Polymarket HTTP cancels emitting `OrderCanceled` for tracked orders or orders the response omits
- Fixed Polymarket sub-tick settlement prices being rejected or emitted raw (#5176), thanks @yashwardhan-gautam
- Fixed Polymarket fill reports admitting trades that contradict retained settlement outcomes
- Fixed Polymarket