VER: Release 0.8.0

Author: threecgreen

CHANGELOG.md

@@ -1,5 +1,11 @@
 # Changelog
 
+## 0.8.0 - 2023-05-16
+- Changed `end` and `end_date` to optional to support new forward-fill behaviour
+- Renamed `booklevel` MBP field to `levels` for brevity and consistent naming
+- Removed `open_interest_qty` and `cleared_volume` fields from definitions schema
+  that were always unset
+
 ## 0.7.0 - 2023-04-28
 - Added initial support for live data with `LiveBlocking` and `LiveThreaded` clients
 - Added support for statistics schema

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.7.0 LANGUAGES CXX)
+project("databento" VERSION 0.8.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #

README.md

@@ -94,8 +94,8 @@ int main() {
     if (rec.Holds<TradeMsg>()) {
       auto trade = rec.Get<TradeMsg>();
       std::cout << "Received trade for "
-                << symbol_mappings[trade.hd.instrument_id] << ':'
-                << trade << '\n';
+                << symbol_mappings[trade.hd.instrument_id] << ':' << trade
+                << '\n';
     } else if (rec.Holds<SymbolMappingMsg>()) {
       auto mapping = rec.Get<SymbolMappingMsg>();
       symbol_mappings[mapping.hd.instrument_id] =
@@ -124,17 +124,16 @@ Here is a simple program that fetches 10 minutes worth of historical trades for
 using namespace databento;
 
 int main() {
-  auto client =
-      HistoricalBuilder{}.SetKey("$YOUR_API_KEY").Build();
+  auto client = HistoricalBuilder{}.SetKey("$YOUR_API_KEY").Build();
   auto print_trades = [](const Record& record) {
     const auto& trade_msg = record.Get<TradeMsg>();
     std::cout << trade_msg << '\n';
     return KeepGoing::Continue;
   };
-  client.TimeseriesGetRange(
-      "GLBX.MDP3", "2022-06-10T14:30", "2022-06-10T14:40",
-      kAllSymbols, Schema::Trades, SType::RawSymbol,
-      SType::InstrumentId, {}, {}, print_trades);
+  client.TimeseriesGetRange("GLBX.MDP3",
+                            {"2022-06-10T14:30", "2022-06-10T14:40"},
+                            kAllSymbols, Schema::Trades, SType::RawSymbol,
+                            SType::InstrumentId, {}, {}, print_trades);
 }
 ```
 

cmake/StandardSettings.cmake

@@ -82,8 +82,11 @@ if(${PROJECT_NAME_UPPERCASE}_ENABLE_LTO)
 endif()
 
 option(${PROJECT_NAME_UPPERCASE}_ENABLE_CCACHE "Enable the usage of Ccache, in order to speed up rebuild times." ON)
-find_program(CCACHE_FOUND ccache)
-if(CCACHE_FOUND)
-  set_property(GLOBAL PROPERTY RULE_LAUNCH_COMPILE ccache)
-  set_property(GLOBAL PROPERTY RULE_LAUNCH_LINK ccache)
+if(${PROJECT_NAME_UPPERCASE}_ENABLE_CCACHE)
+  find_program(CCACHE_FOUND ccache)
+  if(CCACHE_FOUND)
+    message(STATUS "Found and enabled ccache")
+    set_property(GLOBAL PROPERTY RULE_LAUNCH_COMPILE ccache)
+    set_property(GLOBAL PROPERTY RULE_LAUNCH_LINK ccache)
+  endif()
 endif()

cmake/StaticAnalyzers.cmake

@@ -5,7 +5,7 @@ if(${PROJECT_NAME_UPPERCASE}_ENABLE_CLANG_TIDY)
       CMAKE_CXX_CLANG_TIDY ${CLANGTIDY}
       -extra-arg=-Wno-unknown-warning-option
     )
-    message("Clang-Tidy finished setting up.")
+    message(STATUS "Clang-Tidy finished setting up.")
   else()
     message(SEND_ERROR "Clang-Tidy requested but executable not found.")
   endif()
@@ -31,7 +31,7 @@ if(${PROJECT_NAME_UPPERCASE}_ENABLE_CPPCHECK)
       # Ignore third-party dependencies
       -i${CMAKE_BINARY_DIR}
     )
-    message("Cppcheck finished setting up.")
+    message(STATUS "Cppcheck finished setting up.")
   else()
     message(SEND_ERROR "Cppcheck requested but executable not found.")
   endif()

example/historical/CMakeLists.txt

@@ -2,7 +2,7 @@ cmake_minimum_required(VERSION 3.14)
 
 add_example_target(batch batch.cpp)
 add_example_target(metadata metadata.cpp)
-add_example_target(readme readme.cpp)
+add_example_target(historical-readme readme.cpp)
 add_example_target(symbology-resolve symbology_resolve.cpp)
 add_example_target(timeseries-get-range timeseries_get_range.cpp)
 add_example_target(timeseries-get-range-to-file timeseries_get_range_to_file.cpp)

example/historical/batch.cpp

@@ -9,9 +9,9 @@
 int main() {
   auto client = databento::HistoricalBuilder{}.SetKeyFromEnv().Build();
 
-  const auto job =
-      client.BatchSubmitJob(databento::dataset::kGlbxMdp3, "2022-08-26",
-                            "2022-09-27", {"GEZ2"}, databento::Schema::Trades);
+  const auto job = client.BatchSubmitJob(databento::dataset::kGlbxMdp3,
+                                         {"GEZ2"}, databento::Schema::Trades,
+                                         {"2022-08-26", "2022-09-27"});
   const auto all_jobs = client.BatchListJobs();
 
   const auto all_job_it = std::find_if(

example/historical/metadata.cpp

@@ -44,7 +44,7 @@ int main() {
   std::cout << '\n';
 
   const auto dataset_conditions = client.MetadataGetDatasetCondition(
-      "GLBX.MDP3", "2019-06-01", "2019-08-01");
+      "GLBX.MDP3", {"2019-06-01", "2019-08-01"});
   std::cout << "Conditions:\n";
   for (const auto& dataset_condition : dataset_conditions) {
     std::cout << "- " << dataset_condition << "\n";
@@ -62,8 +62,9 @@ int main() {
   }
   std::cout << '\n';
 
-  const auto record_count = client.MetadataGetRecordCount(
-      kGlbxMdp3, "2020-12-28", "2020-12-29", {"ESH1"}, databento::Schema::Mbo);
+  const auto record_count =
+      client.MetadataGetRecordCount(kGlbxMdp3, {"2020-12-28", "2020-12-29"},
+                                    {"ESH1"}, databento::Schema::Mbo);
   std::cout << "Record count: " << record_count << "\n\n";
 
   const auto live_unit_prices =
@@ -90,13 +91,14 @@ int main() {
             << "\n\n";
 
   const std::size_t billable_size = client.MetadataGetBillableSize(
-      kGlbxMdp3, "2020-12-28", "2020-12-29", {"ESH1"}, databento::Schema::Mbo,
+      kGlbxMdp3, {"2020-12-28", "2020-12-29"}, {"ESH1"}, databento::Schema::Mbo,
       databento::SType::RawSymbol, {});
   std::cout << "Billable size (uncompressed binary bytes): " << billable_size
             << "\n\n";
 
-  const auto cost = client.MetadataGetCost(
-      kGlbxMdp3, "2020-12-28", "2020-12-29", {"ESH1"}, databento::Schema::Mbo);
+  const auto cost =
+      client.MetadataGetCost(kGlbxMdp3, {"2020-12-28", "2020-12-29"}, {"ESH1"},
+                             databento::Schema::Mbo);
   std::cout << "Cost (in cents): " << cost << '\n';
 
   return 0;

example/historical/readme.cpp

@@ -1,22 +1,22 @@
 // Duplicate of the example usage code from the README.md to ensure
 // it compiles and to be able to clang-format it.
 // NOLINTBEGIN(google-build-using-namespace)
+#include <databento/constants.hpp>
 #include <databento/historical.hpp>
 #include <iostream>
 
 using namespace databento;
 
-static constexpr auto kApiKey = "YOUR_API_KEY";
-
 int main() {
-  auto client = HistoricalBuilder{}.SetKey(kApiKey).Build();
-  client.TimeseriesGetRange("GLBX.MDP3", "2022-06-10", "2022-06-11", {"ES"},
-                            Schema::Trades, SType::SmartDeprecated,
-                            SType::InstrumentId, {}, {},
-                            [](const Record& record) {
-                              const auto& trade_msg = record.Get<TradeMsg>();
-                              std::cout << trade_msg << '\n';
-                              return KeepGoing::Continue;
-                            });
+  auto client = HistoricalBuilder{}.SetKey("$YOUR_API_KEY").Build();
+  auto print_trades = [](const Record& record) {
+    const auto& trade_msg = record.Get<TradeMsg>();
+    std::cout << trade_msg << '\n';
+    return KeepGoing::Continue;
+  };
+  client.TimeseriesGetRange("GLBX.MDP3",
+                            {"2022-06-10T14:30", "2022-06-10T14:40"},
+                            kAllSymbols, Schema::Trades, SType::RawSymbol,
+                            SType::InstrumentId, {}, {}, print_trades);
 }
 // NOLINTEND(google-build-using-namespace)

example/historical/symbology_resolve.cpp

@@ -3,14 +3,15 @@
 #include <iostream>
 #include <vector>
 
+#include "databento/datetime.hpp"
 #include "databento/enums.hpp"
 #include "databento/historical.hpp"
 #include "databento/symbology.hpp"
 
 int main(int argc, char* argv[]) {
-  if (argc < 7) {
+  if (argc < 6) {
     std::cerr << "USAGE: symbology-resolve <DATASET> <STYPE_IN> <STYPE_OUT> "
-                 "<START_DATE> <END_DATE> <SYMBOLS...>\n";
+                 "<DATE> <SYMBOLS...>\n";
     return EX_USAGE;
   }
   const auto stype_in = databento::FromString<databento::SType>(argv[2]);
@@ -22,8 +23,9 @@ int main(int argc, char* argv[]) {
   }
 
   auto client = databento::HistoricalBuilder{}.SetKeyFromEnv().Build();
-  const databento::SymbologyResolution resolution = client.SymbologyResolve(
-      argv[1], argv[4], argv[5], symbols, stype_in, stype_out);
+  const databento::SymbologyResolution resolution =
+      client.SymbologyResolve(argv[1], symbols, stype_in, stype_out,
+                              databento::DateTimeRange<std::string>{argv[4]});
   std::cout << resolution << '\n';
 
   return 0;

example/historical/timeseries_get_range.cpp

@@ -24,7 +24,7 @@ int main() {
   const databento::UnixNanos end = DateToUnixNanos(2022, 10, 4);
   const auto limit = 1000;
   client.TimeseriesGetRange(
-      databento::dataset::kGlbxMdp3, start, end, {"ESZ2"},
+      databento::dataset::kGlbxMdp3, {start, end}, {"ESZ2"},
       databento::Schema::Trades, databento::SType::RawSymbol,
       databento::SType::InstrumentId, limit,
       [](databento::Metadata&& metadata) { std::cout << metadata << '\n'; },

example/historical/timeseries_get_range_to_file.cpp

@@ -14,7 +14,7 @@ int main() {
   auto client = databento::HistoricalBuilder{}.SetKeyFromEnv().Build();
   const auto limit = 1000;
   databento::DbnFileStore dbn_file_store = client.TimeseriesGetRangeToFile(
-      databento::dataset::kGlbxMdp3, "2022-10-03T00:00", "2022-10-04T00:00",
+      databento::dataset::kGlbxMdp3, {"2022-10-03T00:00", "2022-10-04T00:00"},
       {"ESZ2"}, databento::Schema::Ohlcv1M, databento::SType::RawSymbol,
       databento::SType::InstrumentId, limit,
       "ESZ2-ohlcv1m-20201003-20201004.dbn.zst");

example/live/CMakeLists.txt

@@ -1,3 +1,4 @@
 cmake_minimum_required(VERSION 3.14)
 
+add_example_target(live-readme readme.cpp)
 add_example_target(simple simple.cpp)

example/live/readme.cpp

@@ -0,0 +1,40 @@
+// Duplicate of the example usage code from the README.md to ensure
+// it compiles and to be able to clang-format it.
+// NOLINTBEGIN(google-build-using-namespace)
+#include <chrono>
+#include <databento/live.hpp>
+#include <iostream>
+#include <string>
+#include <thread>
+#include <unordered_map>
+
+using namespace databento;
+
+int main() {
+  std::unordered_map<std::uint32_t, std::string> symbol_mappings;
+
+  auto client = LiveBuilder{}
+                    .SetKey("$YOUR_API_KEY")
+                    .SetDataset("GLBX.MDP3")
+                    .BuildThreaded();
+
+  auto handler = [&symbol_mappings](const Record& rec) {
+    if (rec.Holds<TradeMsg>()) {
+      auto trade = rec.Get<TradeMsg>();
+      std::cout << "Received trade for "
+                << symbol_mappings[trade.hd.instrument_id] << ':' << trade
+                << '\n';
+    } else if (rec.Holds<SymbolMappingMsg>()) {
+      auto mapping = rec.Get<SymbolMappingMsg>();
+      symbol_mappings[mapping.hd.instrument_id] =
+          mapping.stype_out_symbol.data();
+    }
+    return KeepGoing::Continue;
+  };
+
+  client.Subscribe({"ES.FUT"}, Schema::Trades, SType::Parent);
+  client.Start(handler);
+  std::this_thread::sleep_for(std::chrono::seconds{10});
+  return 0;
+}
+// NOLINTEND(google-build-using-namespace)

include/databento/datetime.hpp

@@ -4,6 +4,7 @@
 #include <cstdint>
 #include <ratio>  // nano
 #include <string>
+#include <utility>
 
 namespace databento {
 // Nanoseconds since the UNIX epoch.
@@ -16,4 +17,16 @@ std::string ToString(UnixNanos unix_nanos);
 std::string ToString(TimeDeltaNanos td_nanos);
 // Converts a YYYYMMDD integer to a YYYY-MM-DD string.
 std::string DateFromIso8601Int(std::uint32_t date_int);
+
+template <typename T>
+struct DateTimeRange {
+  explicit DateTimeRange(T start_) : DateTimeRange{std::move(start_), {}} {}
+  // underscore to prevent shadowing
+  DateTimeRange(T start_, T end_)
+      : start{std::move(start_)}, end{std::move(end_)} {}
+
+  T start;
+  T end;
+};
+using DateRange = DateTimeRange<std::string>;
 }  // namespace databento