Databento-dbn

Latest version: v0.24.0

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0.18.2

Enhancements
- Added new `shutdown` method to async encoders to more easily ensure the end
of output is written and I/O cleaned up. Previously this required a call to
`.get_mut().shutdown().await`
- Changed `AsyncDynWriter` and `AsyncDbnEncoder::with_zstd` to use a zstd checksum like
the sync equivalents
- Added new publisher values for `XNAS.BASIC` and `XNAS.NLS`

Bug fixes
- Fixed bug where DBN metadata would still be upgraded after passing `AsIs` to
`DbnDecoder::set_upgrade_policy` and `AsyncDbnDecoder::set_upgrade_policy`

0.18.1

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
- Fixed descriptions for `FINN` and `FINY` publishers

0.18.0

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
- 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

Bug fixes
- Added missing Python type stub for `StatusMsg`

0.17.0

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

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)
- Documented 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 of `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

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