0.18.1

Release notes

Enhancements

• Added new stat_type for UncrossingPrice
• Added new publisher values for XNAS.BASIC
• Added new off-market publisher values for IFEU.IMPACT and NDEX.IMPACT

Bug fixes

• Fix descriptions for FINN and FINY publishers.

0.18.0

Release notes

Enhancements

• Added links to example usage in documentation
• Added new predicate methods InstrumentClass::is_option, is_future, and is_spread
  to make it easier to work with multiple instrument class variants
• Implemented DecodeRecord for DbnRecordDecoder
• Added new_inferred, with_buffer, inferred_with_buffer, from_file, get_mut,
  and get_ref methods to AsyncDynReader for parity with the sync DynReader
• Improved documentation enumerating errors returned by functions
• Added new DBNError Python exception that's now the primary exception raised by
  databento_dbn
• Improved async performance of decoding DBN files
• Added StatMsg::ts_in_delta() method that returns a time::Duration for consistency
  with other records with a ts_in_delta field

Breaking changes

• Changed type of flags in MboMsg, TradeMsg, Mbp1Msg, Mbp10Msg, and CbboMsg
  from u8 to a new FlagSet type with predicate methods for the various bit flags
  as well as setters. The u8 value can still be obtained by calling the raw() method.
  • Improved Debug formatting
  • Python and encodings are unaffected
• Removed write_dbn_file function deprecated in version 0.14.0 from Python interface.
  Please use Transcoder instead
• Switched DecodeStream from streaming_iterator crate to fallible_streaming_iterator
  to allow better notification of errors
• Switched EncodeDbn::encode_stream from accepting an impl StreamingIterator to
  accepting an FallibleStreamingIterator to allow bubbling up of decoding errors
• Changed default value for stype_in and stype_out in SymbolMappingMsg to
  u8::MAX to match C++ client and to reflect an unknown value. This also changes the
  value of these fields when upgrading a SymbolMappingMsgV1 to DBNv2
• Renamed CbboMsg to CBBOMsg in Python for consistency with other schemas

Breaking changes

• Changed text serialization of display_factor to be affected by pretty_px.
  While it's not a price, it uses the same fixed-price decimal format as other prices
• Changed text serialization of unit_of_measure_qty in InstrumentDefMsgV1 to be
  affected by pretty_px to match behavior of InstrumentDefMsgV2

Release notes

Enhancements

• Added links to example usage in documentation
• Added new predicate methods InstrumentClass::is_option, is_future, and is_spread
  to make it easier to work with multiple instrument class variants
• Implemented DecodeRecord for DbnRecordDecoder
• Added new_inferred, with_buffer, inferred_with_buffer, from_file, get_mut,
  and get_ref methods to AsyncDynReader for parity with the sync DynReader
• Improved documentation enumerating errors returned by functions
• Added new DBNError Python exception that's now the primary exception raised by
  databento_dbn
• Improved async performance of decoding DBN files
• Added StatMsg::ts_in_delta() method that returns a time::Duration for consistency
  with other records with a ts_in_delta field

Breaking changes

• Changed type of flags in MboMsg, TradeMsg, Mbp1Msg, Mbp10Msg, and CbboMsg
  from u8 to a new FlagSet type with predicate methods for the various bit flags
  as well as setters. The u8 value can still be obtained by calling the raw() method.
  • Improved Debug formatting
  • Python and encodings are unaffected
• Removed write_dbn_file function deprecated in version 0.14.0 from Python interface.
  Please use Transcoder instead
• Switched DecodeStream from streaming_iterator crate to fallible_streaming_iterator
  to allow better notification of errors
• Switched EncodeDbn::encode_stream from accepting an impl StreamingIterator to
  accepting an FallibleStreamingIterator to allow bubbling up of decoding errors
• Changed default value for stype_in and stype_out in SymbolMappingMsg to
  u8::MAX to match C++ client and to reflect an unknown value. This also changes the
  value of these fields when upgrading a SymbolMappingMsgV1 to DBNv2
• Renamed CbboMsg to CBBOMsg in Python for consistency with other schemas

Breaking changes

• Changed text serialization of display_factor to be affected by pretty_px.
  While it's not a price, it uses the same fixed-price decimal format as other prices
• Changed text serialization of unit_of_measure_qty in InstrumentDefMsgV1 to be
  affected by pretty_px to match behavior of InstrumentDefMsgV2

0.17.1

Release notes

Bug fixes

• Added missing Python type stub for StatusMsg

0.17.0

Release notes

Enhancements

• Added new record type CbboMsg, new rtypes and schema types for Cbbo, Cbbo1s,
  Cbbo1m, Tcbbo, Bbo1s, and Bbo1m
• Added Volatility and Delta StatType variants
• Added Undefined and TimeProRata MatchAlgorithm variants
• Exported more enums to Python:
  • Action
  • InstrumentClass
  • MatchAlgorithm
  • SecurityUpdateAction
  • Side
  • StatType
  • StatUpdateAction
  • StatusAction
  • StatusReason
  • TradingEvent
  • TriState
  • UserDefinedInstrument

Breaking changes

• Removed Default trait implementation for Mbp1Msg due to it now having multiple
  permissible rtype values. Users should use default_for_schema instead
• Changed the default match_algorithm for InstrumentDefMsg and InstrumentDefMsgV1
  from Fifo to Undefined
• Made Dataset, Venue, and Publisher non-exhaustive to allow future additions
  without breaking changes
• Renamed publishers from deprecated datasets to their respective sources (XNAS.NLS
  and XNYS.TRADES respectively)

Deprecations

• Deprecated dataset values FINN.NLS and FINY.TRADES

Bug fixes

• Fixed an issue where the Python MappingIntervalDict was not exported
• Fixed Python type stubs for VersionUpgradePolicy and SType

0.16.0

Release notes

Enhancements

• Updated StatusMsg and made it public in preparation for releasing a status schema
• Added StatusAction, StatusReason, TradingEvent, and TriState enums for use in
  the status schema
• Added -t and --tsv flags to DBN CLI to encode tab-separated values (TSV)
• Added delimiter method to builders for DynEncoder and CsvEncoder to customize the
  field delimiter character, allowing DBN to be encoded as tab-separated values (TSV)
• Document cancellation safety for AsyncRecordDecoder::decode_ref (credit: @yongqli)
• Added new publisher values for consolidated DBEQ.MAX
• Added C FFI conversion functions from ErrorMsgV1 to ErrorMsg and SystemMsgV1
  to SystemMsg
• Improved documentation for side field and Side enum
• Upgraded async-compression to 0.4.6
• Upgraded strum to 0.26

Breaking changes

• Changed default for VersionUpgradePolicy to Upgrade
• Changed default upgrade_policy for DbnDecoder, AsyncDbnDecoder, and Python
  DBNDecoder to Upgrade so by default the primary record types can always be used
• Changed fields of previously-hidden StatusMsg record type
• Updated text serialization order of status schema to match other schemas
• Changed text serialization unit_of_measure_qty to be affected by pretty_px. While
  it's not a price, it uses the same fixed-price decimal format as other prices
• Made StatType and VersionUpgradePolicy non-exhaustive to allow future additions
  without breaking changes
• Renamed _dummy field in ImbalanceMsg and StatMsg to _reserved
• Added ts_out parameter to RecordDecoder and AsyncRecordDecoder
with_upgrade_policy methods

Bug fixes

• Fixed handling of ts_out when upgrading DBNv1 records to version 2
• Added missing StatType::Vwap variant used in the ICE datasets
• Fixed an issue with Python stub file distribution
• Fixed missing handling of ErrorMsgV1 and SystemMsgV1 in rtype dispatch macros

0.15.1

Release notes

Bug fixes

• Fixed an import error in the Python type stub file

0.15.0

Release notes

Enhancements

• Improved Debug implementation for all record types
  • Prices are formatted as decimals
  • Fixed-length strings are formatted as strings
  • Bit flag fields are formatted as binary
  • Several fields are formatted as enums instead of their raw representations
• Improved Debug implementation for RecordRef to show RecordHeader
• Added --schema option to dbn CLI tool to filter a DBN to a particular schema. This
  allows outputting saved live data to CSV
• Allowed passing --limit option to dbn CLI tool with --metadata flag
• Improved performance of decoding uncompressed DBN fragments with the dbn CLI tool
• Added builders to CsvEncoder, DynEncoder, and JsonEncoder to assist with the
  growing number of customizations
  • Added option to write CSV header as part of creating CsvEncoder to make it harder
    to forget
• Added -s/--map-symbols flag to CLI to create a symbol field in the output with
  the text symbol mapped from the instrument ID
• Added version param to Python Metadata contructor choose between DBNv1 and DBNv2
• Implemented EncodeRecordTextExt for DynEncoder
• Implemented Deserialize and Serialize for all records and enums (with serde
  feature enabled). This allows serializing records with additional encodings not
  supported by the DBN crate
• Implemented Hash for all record types
• Added new publisher value for OPRA MIAX Sapphire
• Added Python type definition for Metadata.__init__
• Added metadata_mut method to decoders to get a mutable reference to the decoded
  metadata
• Improved panic message on RecordRef::get when length doesn't match expected to be
  actionable
• Added encode::ZSTD_COMPRESSION_LEVEL constant

Breaking changes

• Increased size of SystemMsg and ErrorMsg to provide better messages from Live
  gateway
  • Increased length of err and msg fields for more detailed messages
  • Added is_last field to ErrorMsg to indicate the last error in a chain
  • Added code field to SystemMsg and ErrorMsg, although currently unused
  • Added new is_last parameter to ErrorMsg::new
  • Decoding these is backwards-compatible and records with longer messages won't be
    sent during the DBN version 2 migration period
  • Renamed previous records to compat::ErrorMsgV1 and compat::SystemMsgV1
• Split DecodeDbn trait into DecodeRecord and DbnMetadata traits for more
  flexibility. DecodeDbn continues to exist as a trait alias
• Moved decode_stream out of DecodeDbn to its own separate trait DecodeStream
• Changed trait bounds of EncodeDbn::encode_decoded and encode_decoded_with_limit to
  DecodeRecordRef + DbnMetadata

Bug fixes

• Fixed panic in TsSymbolMap when start_date == end_date
• Added missing Python __eq__ and __ne__ implementations for BidAskPair
• Fixed Python size_hint return value for InstrumentDefMsgV1 and
  SymbolMappingMsgV1
• Fixed cases where dbn CLI tool would write a broken pipe error to standard error
  such as when piping to head
• Fixed bug in sync and async MetadataEncoders where version was used to determine
  the encoded length of fixed-length symbols instead of the symbol_cstr_len field

0.14.2

Release notes

Enhancements

• Added set_upgrade_policy setters to DbnDecoder, DbnRecordDecoder,
  AsyncDbnDecoder, and AsyncDbnRecordDecoder
• Added from_schema classmethod for Python RType enum

Breaking changes

• Renamed parameter for Python Enum classmethod constructors to value from data.

0.14.1

Release notes

Enhancements

• Added new trait compat::SymbolMappingRec for code reuse when working with
  both versions of SymbolMappingMsg
• Changed PitSymbolMap::on_symbol_mapping to accept either version of
  SymbolMappingMsg

Bug fixes

• Fixed missing DBNv1 compatibility in PitSymbolMap::on_record
• Fixed missing Python export for VersionUpgradePolicy
• Fixed missing Python export and methods for InstrumentDefMsgV1 and
  SymbolMappingMsgV1
• Fixed bug where Python DbnDecoder and Transcoder would throw exceptions
  when attempting to decode partial metadata

0.14.0

Release notes

Enhancements

• This version begins the transition to DBN version 2 (DBNv2). In this version, the
  decoders support decoding both versions of DBN and the DBN encoders default to
  keeping version of the input. However, in a future version, decoders will by default
  convert DBNv1 to DBNv2 and support will be dropped for encoding DBNv1.
  • Affects SymbolMappingMsg, InstrumentDefMsg, and Metadata. All other record
    types and market data schemas are unchanged
  • Version 1 structs can be converted to version 2 structs with the From trait
• Added symbol_cstr_len field to Metadata to indicate the length of fixed symbol
  strings
• Added stype_in and stype_out fields to SymbolMappingMsg to provide more context
  with live symbology updates
• Added smart wrapping to dbn CLI help output
• Updated rtype_dispatch family of macros to check record length to handle both
  versions of records. This is temporary during the transition period
• Added VersionUpgradePolicy enum and associated methods to the decoders to
  allow specifying how to handle decoding records from prior DBN versions
• Added Metadata::upgrade() method to update Metadata from a prior DBN version to
  the latest version
• Added -u/--upgrade flags to dbn CLI that when passed upgrades DBN data from
  previous versions. By default data is decoded as-is
• Made AsyncDbnDecoder::decode_record, AsyncDbnDecoder::decode_record_ref,
  dbn::AsyncRecordDecoder::decode, and dbn::AsyncRecordDecoder::decode_ref
  cancellation safe. This makes them safe to use within a
  tokio::select!(https://docs.rs/tokio/latest/tokio/macro.select.html) statement
• Added documention around cancellation safety for async APIs
• Improved error messages for conversion errors
• Added TOB flag to denote top-of-book messages
• Added new publisher values in preparation for IFEU.IMPACT and NDEX.IMPACT datasets
• Added new publisher values for consolidated DBEQ.BASIC and DBEQ.PLUS
• Added MAX_RECORD_LEN constant for the length of the largest record type
• Exposed record flag constants in databento_dbn with F_ prefix
• Added export to Python for RType

Breaking changes

• The old InstrumentDefMsg is now compat::InstrumentDefMsgV1
• compat::InstrumentDefMsgV2 is now an alias for InstrumentDefMsg
• The old SymbolMappingMsg is now compat::SymbolMappingMsgV1
• compat::SymbolMappingMsgV2 is now an alias for SymbolMappingMsg
• Changed SYMBOL_CSTR_LEN constant to 71. Previous value is now in
  compat::SYMBOL_CSTR_V1
• Changed DBN_VERSION constant to 2
• security_update_action was converted to a raw c_char to safely support adding
  variants in the future
• Renamed _dummy in InstrumentDefMsg to _reserved
• Removed _reserved2, _reserved3, and _reserved5 from InstrumentDefMsg
• Removed _dummy from SymbolMappingMsg
• Moved position of strike_price within InstrumentDefMsg but left text serialization
  order unchanged
• Made Error non-exhaustive, meaning it can no longer be exhaustively matched against.
  This allows adding additional error variants in the future without a breaking change
• Added upgrade_policy parameter to RecordDecoder::with_version constructor to
  control whether records of previous versions will be upgraded
• Added upgrade_policy parameter to DynDecoder constructors to control whether
  records of previous versions will be upgraded
• Renamed symbol_map parameter for Python Transcoder to symbol_interval_map to
  better reflect the date intervals it contains

Deprecations

• Deprecated unused write_dbn_file function from Python interface. Please use
  Transcoder instead

Bug fixes

• Fixed typo in Python type definition for InstrumentDefMsg.pretty_high_limit_price
• Fixed type signature for Metadata.stype_in and Metadata.stype_out Python methods
• Fixed incorrect version in pyproject.toml