Release 1.0.8

2025-08-16

Gateways

Time-Series

The following gateways now support the download of time-series

  • Binance-Futures

  • Bybit

  • Deribit

  • Gate-Futures

  • Kraken-Futures (only download, no API for live subscriptions)

  • OKX

Warning

It is often very expensive to download historical data. For this reason, try to keep the number of subscribed symbols to a minimum when enabling time-series.

Kraken-Futures

Important

BREAKING CHANGE.

  • The REST URL should no longer include /derivatives. This change was done to support download of candles.

Time-Series

Time-series support has now been implemented.

There are two possible solutions

  • The gateway can auto-generate bars (OHLCV) based on the combination of scanning previously collected event-logs (on start-up) and the following live events received from the exchange.

  • The gateway can subscribe and download historical bars (OHLCV) from the exchange.

The design document can be found here.

Time-Series Manager

ClickHouse queries have been optimized to use never database features, in particular the auto-generation of sequential numbers.

  • The reference document can be found here.

Profit & Loss and Funds

Transactions (fills) now include fields which can be used to estimate P&L and cash adjustments.

The implementation works with the Position Manager which will persist all transactions into a database.

Warning

There are a number of reasons why we can only estimate the impact on P&L and cash adjustments. The main reasons include incomplete data from exchanges (e.g. commissions) but also realized P&L layered into margin accounts based on specific accounting methods, e.g. FIFO.

  • The reference documents can be found here and here.

Position Manager

ClickHouse queries have been optimized to use never database features, in particular the auto-generation of sequential numbers.

  • The reference document can be found here.

ClickHouse

Important

BREAKING CHANGE. We now require ClickHouse version 25.1.

Some tables are now declared to use the generateSerialID database function which was introduced with ClickHouse version 25.1.

Important

You may need to enable ClickHouse Keeper (or ZooKeeper) when installing ClickHouse Server.

ClickHouse Server requires ClickHouse Kepper (or ZooKeeper) for the generateSerialID database function to work.

SBE Publisher

This project has been open-sourced.

The source code can be found on GitHub.

CHANGELOG

Milestone on GitHub.

Fixed

  • Memory corruption detected at termination (FIX Bridge) (#497).

Changed

  • BREAKING CHANGE. The REST URL is now without /derivatives path to allow for downloading candles (API) (#517).

  • Increase max-length of symbol to 64 (API) (#516).

  • Auto-generate time-series from history of event-logs and live data (Server) (#515).

  • Better support for estimating P&L and funds (API) (#514).

Added

Removed

Other