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0.17.0

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@github-actions github-actions released this 01 Apr 16:34
· 434 commits to main since this release
v0.17.0
65b949e
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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
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