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CHANGELOG.md

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2021-10-15 Release

New Features

  • WandB + rllib custom metrics + background V2 + autocalib (PR #86)

Other Changes

  • Code cleanup for open source release (PR #87, #88, #90)
  • Separation Gym core into markets and true gym core (PR #91)

2021-09-28 Release

New Features

  • Order book state subscriptions and alerts (PR #73)
  • ABIDES-gym (PRs #77, #79, #82)
  • Event data subscriptions (PR #81)
  • Background Agents v2 + wandB scripts (PR #85)

Other Changes

  • Optimise agent event log data structures for memory use (PR #74)
  • Feature marketreplay realdata2 (PR #75)
  • Replace use of pd.Timestamp with raw ints (PR #76)
  • Simplify kernel initialisation (PR #80)
  • Add message batches (PR #83)

Bugs Fixed

  • Fix debug message for modify order msg (PR #72)
  • Fix Order Book Imbalance subscription (PR #78)

2021-07-27 Release

New Features

  • Add price to comply order types (PR #64)
  • Add insert by ID option for limit orders (PR #68)

Other Changes

  • Improve abides-cmd and config layout (PR #62)

Bugs Fixed

  • Fix the place order of MM to not place order of size 0 when backstop qty = 0 (PR #63)
  • Fix attempts to cancel MarketOrders (PR #65)
  • Remove placing orders when size is 0 (PR #66)
  • Add test for negative price on limit orders (PR #67)
  • Fix regression tests (PR #69)
  • Fix r_bar types (PR #70)
  • Fix end of day mark to market (PR #71)

2021-06-29 Release

New Features

  • Add hidden orders to order book (PR #56)
  • Use built-in Python logging library (PR #57)

Other Changes

  • Reorganise directory layout (PR #54)
  • Add initial pre-commit hooks and RMSC unit test (PR #58)
  • Update generated documentation to work with refactored code layout (PR #59)
  • Replace is_buy_order flag with Side.BID or Side.ASK enum (PR #60)

Bugs Fixed

  • Correcting markToMarket function to multiply by shares (PR #61)

2021-06-15 Release

New Features

  • Add transacted volume and L1 and L3 data subscriptions (PR #42)
  • Change message types to use dataclasses (PR #45)
  • Add replaceOrder command to OrderBook (PR #48)

Other Changes

  • Refactor subscription message and data classes (PR #42)
  • Simplify market order handling code by removing limit order creation (PR #43)
  • Use a flat data structure to store order history (PR #44)
  • Simplify handleLimitOrder (PR #46)
  • Refining message stream logging and orderbook log2 (PR #47)
  • Add more unit tests for OrderBook (PR #49)

Bugs Fixed

  • Fix NoiseAgent and Value agent random seed sources (PR #50)
  • Fix various Message class issues (PR #51)

2021-06-01 Release

New Features

  • Initial OrderBook unit tests (PR #39)
  • New order book data getting methods (L1, L3 data) (PR #40)

Other Changes

  • OrderBook history and tracking now optional (PR #27)
  • Removed unused ExchangeAgent code (PR #30)
  • Reduce number of Python deepcopies (PR #32)
  • General tidy of Order classes (PR #38)
  • Add warning if invalid arguments passed to abides_cmd (PR #41)

Bugs Fixed

  • Fix RMSC03 spec documentation (PR #35)
  • Fix version testing script timer (PR #36)

2021-05-18 Release

New Features

  • Automatically generated documentation using Sphinx-Doc (PR #18)
  • Developer guide in documentation with best practices (PR #18)

Other Changes

  • Improved documentation strings in code (PR #18)
  • Type annotations added for most files (PR #18)
  • Faster deepcopy of orders (PR #21)
  • Simplified order ID generation (PR #25)
  • Agent class 'type', 'name' and 'RandomState' parameters now optional (PR #26)

Bugs Fixed

  • Correction of type errors in Noise agent (PR #23)
  • Noise calculation error fix (PR #17)