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 Databento instrument definitions v1 data, v2 & v3 continue to be supported and v1 data can be migrated (see Databento documentation)