VER: Release 0.13.0

databento · Sep 21, 2023 · e107d0d · e107d0d
2 parents e62d02e + b9d827a
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -1,5 +1,29 @@
 # Changelog
 
+## 0.13.0 - 2023-09-21
+### Enhancements
+- Added `pretty_px` option for `BatchSubmitJob`, which formats prices to the correct
+  scale using the fixed-precision scalar 1e-9 (available for CSV and JSON text
+  encodings)
+- Added `pretty_ts` option for `BatchSubmitJob`, which formats timestamps as ISO 8601
+  strings (available for CSV and JSON text encodings)
+- Added `map_symbols` option to `BatchSubmitJob`, which appends appends the raw symbol
+  to every record (available for CSV and JSON text encodings) reducing the need to look
+  at the `symbology.json` file
+- Added `split_symbols` option for `BatchSubmitJob`, which will split files by raw symbol
+- Added `encoding` option to `BatchSubmitJob` to allow requesting non-DBN encoded
+  data through the client
+- Added `map_symbols`, `pretty_px`, and `pretty_ts` to `BatchJob` response
+- Added `ARCX.PILLAR.ARCX` publisher
+- Added `ClosePrice` and `NetChange` `StatType`s used in the `OPRA.PILLAR` dataset
+
+### Breaking changes
+- Remove `default_value` parameter from `Historical::SymbologyResolve`
+
+## 0.12.1 - 2023-08-25
+### Bug fixes
+- Fixed typo in `BATY.PITCH.BATY` publisher
+
 ## 0.12.0 - 2023-08-24
 
 ##### Enhancements

diff --git a/CMakeLists.txt b/CMakeLists.txt
@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.12.0 LANGUAGES CXX)
+project("databento" VERSION 0.13.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #

diff --git a/include/databento/batch.hpp b/include/databento/batch.hpp
@@ -27,6 +27,9 @@ struct BatchJob {
   std::uint64_t limit;
   Encoding encoding;
   Compression compression;
+  bool pretty_px;
+  bool pretty_ts;
+  bool map_symbols;
   SplitDuration split_duration;
   std::uint64_t split_size;
   bool split_symbols;

diff --git a/include/databento/enums.hpp b/include/databento/enums.hpp
@@ -233,6 +233,11 @@ enum StatType : std::uint16_t {
   // The volume-weighted average price (VWAP) for a fixing period. `price` will
   // be set.
   FixingPrice = 10,
+  // The last trade price during a trading session. `price` will be set.
+  ClosePrice = 11,
+  // The change in price from the close price of the previous trading session to
+  // the most recent trading session. `price` will be set.
+  NetChange = 12,
 };
 }  // namespace stat_type
 using stat_type::StatType;

diff --git a/include/databento/historical.hpp b/include/databento/historical.hpp
@@ -49,15 +49,19 @@ class Historical {
                           const std::vector<std::string>& symbols,
                           Schema schema,
                           const DateTimeRange<UnixNanos>& datetime_range,
-                          Compression compression, SplitDuration split_duration,
+                          Encoding encoding, Compression compression,
+                          bool pretty_px, bool pretty_ts, bool map_symbols,
+                          bool split_symbols, SplitDuration split_duration,
                           std::uint64_t split_size, Packaging packaging,
                           Delivery delivery, SType stype_in, SType stype_out,
                           std::uint64_t limit);
   BatchJob BatchSubmitJob(const std::string& dataset,
                           const std::vector<std::string>& symbols,
                           Schema schema,
                           const DateTimeRange<std::string>& datetime_range,
-                          Compression compression, SplitDuration split_duration,
+                          Encoding encoding, Compression compression,
+                          bool pretty_px, bool pretty_ts, bool map_symbols,
+                          bool split_symbols, SplitDuration split_duration,
                           std::uint64_t split_size, Packaging packaging,
                           Delivery delivery, SType stype_in, SType stype_out,
                           std::uint64_t limit);
@@ -153,11 +157,6 @@ class Historical {
                                        const std::vector<std::string>& symbols,
                                        SType stype_in, SType stype_out,
                                        const DateRange& date_range);
-  SymbologyResolution SymbologyResolve(const std::string& dataset,
-                                       const std::vector<std::string>& symbols,
-                                       SType stype_in, SType stype_out,
-                                       const DateRange& date_range,
-                                       const std::string& default_value);
 
   /*
    * Timeseries API

diff --git a/include/databento/publishers.hpp b/include/databento/publishers.hpp
@@ -7,127 +7,127 @@
 namespace databento {
 // A trading execution venue.
 enum class Venue : std::uint16_t {
-  // CME GLOBEX
+  // CME Globex
   Glbx = 1,
-  // NASDAQ
+  // Nasdaq - All Markets
   Xnas = 2,
-  // NASDAQ OMX BX
+  // Nasdaq OMX BX
   Xbos = 3,
-  // NASDAQ OMX PSX
+  // Nasdaq OMX PSX
   Xpsx = 4,
-  // CBOE BZX U.S. EQUITIES EXCHANGE
+  // Cboe BZX U.S. Equities Exchange
   Bats = 5,
-  // CBOE BYX U.S. EQUITIES EXCHANGE
+  // Cboe BYX U.S. Equities Exchange
   Baty = 6,
-  // CBOE EDGA U.S. EQUITIES EXCHANGE
+  // Cboe EDGA U.S. Equities Exchange
   Edga = 7,
-  // CBOE EDGX U.S. EQUITIES EXCHANGE
+  // Cboe EDGX U.S. Equities Exchange
   Edgx = 8,
-  // New York Stock Exchange
+  // New York Stock Exchange, Inc.
   Xnys = 9,
-  // NYSE NATIONAL, INC.
+  // NYSE National, Inc.
   Xcis = 10,
-  // NYSE AMERICAN
+  // NYSE MKT LLC
   Xase = 11,
-  // NYSE ARCA
+  // NYSE Arca
   Arcx = 12,
-  // NYSE CHICAGO, INC.
+  // NYSE Chicago, Inc.
   Xchi = 13,
-  // INVESTORS EXCHANGE
+  // Investors Exchange
   Iexg = 14,
-  // FINRA/NASDAQ TRF CARTERET
+  // FINRA/Nasdaq TRF Carteret
   Finn = 15,
-  // FINRA/NASDAQ TRF CHICAGO
+  // FINRA/Nasdaq TRF Chicago
   Finc = 16,
   // FINRA/NYSE TRF
   Finy = 17,
-  // MEMX LLC EQUITIES
+  // MEMX LLC Equities
   Memx = 18,
-  // MIAX PEARL EQUITIES
+  // MIAX Pearl Equities
   Eprl = 19,
-  // NYSE AMERICAN OPTIONS
+  // NYSE American Options
   Amxo = 20,
-  // BOX OPTIONS EXCHANGE
+  // BOX Options Exchange
   Xbox = 21,
-  // CBOE OPTIONS EXCHANGE
+  // Cboe Options Exchange
   Xcbo = 22,
-  // MIAX EMERALD
+  // MIAX Emerald
   Emld = 23,
   // Cboe EDGX Options Exchange
   Edgo = 24,
-  // NASDAQ GEMX
+  // ISE Gemini Exchange
   Gmni = 25,
-  // NASDAQ ISE
+  // International Securities Exchange, LLC
   Xisx = 26,
-  // NASDAQ MRX
+  // ISE Mercury, LLC
   Mcry = 27,
-  // MIAX INTERNATIONAL SECURITIES
+  // Miami International Securities Exchange
   Xmio = 28,
-  // NYSE ARCA OPTIONS
+  // NYSE Arca Options
   Arco = 29,
-  // OPRA
+  // Options Price Reporting Authority
   Opra = 30,
-  // MIAX PEARL
+  // MIAX Pearl
   Mprl = 31,
-  // NASDAQ OPTIONS MARKET
+  // Nasdaq Options Market
   Xndq = 32,
-  // NASDAQ BX OPTIONS
+  // Nasdaq OMX BX Options
   Xbxo = 33,
-  // CBOE C2 OPTIONS EXCHANGE
+  // Cboe C2 Options Exchange
   C2Ox = 34,
-  // NASDAQ PHLX
+  // Nasdaq OMX PHLX
   Xphl = 35,
-  // CBOE BZX Options Exchange
+  // Cboe BZX Options Exchange
   Bato = 36,
-  // MEMX Options Exchange
+  // MEMX LLC Options
   Mxop = 37,
 };
 
 // A source of data.
 enum class Dataset : std::uint16_t {
   // CME MDP 3.0 Market Data
   GlbxMdp3 = 1,
-  // Nasdaq XNAS TotalView-ITCH
+  // Nasdaq TotalView-ITCH
   XnasItch = 2,
-  // Nasdaq XBOS TotalView-ITCH
+  // Nasdaq BX TotalView-ITCH
   XbosItch = 3,
-  // Nasdaq XPSX TotalView-ITCH
+  // Nasdaq PSX TotalView-ITCH
   XpsxItch = 4,
-  // CBOE BZX
+  // Cboe BZX Depth Pitch
   BatsPitch = 5,
-  // CBOE BYX
+  // Cboe BYX Depth Pitch
   BatyPitch = 6,
-  // CBOE EDGA
+  // Cboe EDGA Depth Pitch
   EdgaPitch = 7,
-  // CBOE EDGX
+  // Cboe EDGX Depth Pitch
   EdgxPitch = 8,
-  // NYSE
+  // NYSE Integrated
   XnysPillar = 9,
-  // NYSE National
+  // NYSE National Integrated
   XcisPillar = 10,
-  // NYSE American
+  // NYSE American Integrated
   XasePillar = 11,
-  // NYSE Chicago
+  // NYSE Chicago Integrated
   XchiPillar = 12,
   // NYSE National BBO
   XcisBbo = 13,
-  // NYSE National TRADES
+  // NYSE National Trades
   XcisTrades = 14,
   // MEMX Memoir Depth
   MemxMemoir = 15,
   // MIAX Pearl Depth
   EprlDom = 16,
-  // Finra/Nasdaq TRF
+  // FINRA/Nasdaq TRF
   FinnNls = 17,
-  // Finra/NYSE TRF
+  // FINRA/NYSE TRF
   FinyTrades = 18,
-  // OPRA Binary Recipient
+  // OPRA Binary
   OpraPillar = 19,
   // Databento Equities Basic
   DbeqBasic = 20,
-  // NYSE Arca
+  // NYSE Arca Integrated
   ArcxPillar = 21,
-  // Investors Exchange TOPS
+  // IEX TOPS
   IexgTops = 22,
 };
 
@@ -137,25 +137,25 @@ enum class Publisher : std::uint16_t {
   GlbxMdp3Glbx = 1,
   // Nasdaq TotalView ITCH
   XnasItchXnas = 2,
-  // Nasdaq XBOS TotalView ITCH
+  // Nasdaq BX TotalView ITCH
   XbosItchXbos = 3,
-  // Nasdaq XPSX TotalView ITCH
+  // Nasdaq PSX TotalView ITCH
   XpsxItchXpsx = 4,
-  // CBOE BZX
+  // Cboe BZX Depth Pitch
   BatsPitchBats = 5,
-  // CBOE BYX
-  BatyPitchBats = 6,
-  // CBOE EDGA
+  // Cboe BYX Depth Pitch
+  BatyPitchBaty = 6,
+  // Cboe EDGA Depth Pitch
   EdgaPitchEdga = 7,
-  // CBOE EDGX
+  // Cboe EDGX Depth Pitch
   EdgxPitchEdgx = 8,
-  // NYSE
+  // NYSE Integrated
   XnysPillarXnys = 9,
-  // NYSE National
+  // NYSE National Integrated
   XcisPillarXcis = 10,
-  // NYSE American
+  // NYSE American Integrated
   XasePillarXase = 11,
-  // NYSE Chicago
+  // NYSE Chicago Integrated
   XchiPillarXchi = 12,
   // NYSE National BBO
   XcisBboXcis = 13,
@@ -165,58 +165,60 @@ enum class Publisher : std::uint16_t {
   MemxMemoirMemx = 15,
   // MIAX Pearl Depth
   EprlDomEprl = 16,
-  // FINRA/NASDAQ TRF CARTERET
+  // FINRA/Nasdaq TRF Carteret
   FinnNlsFinn = 17,
-  // FINRA/NASDAQ TRF CHICAGO
+  // FINRA/Nasdaq TRF Chicago
   FinnNlsFinc = 18,
   // FINRA/NYSE TRF
   FinyTradesFiny = 19,
-  // OPRA - NYSE AMERICAN OPTIONS
+  // OPRA - NYSE American
   OpraPillarAmxo = 20,
-  // OPRA - BOX OPTIONS EXCHANGE
+  // OPRA - Boston Options Exchange
   OpraPillarXbox = 21,
-  // OPRA - CBOE OPTIONS EXCHANGE
+  // OPRA - Cboe Options Exchange
   OpraPillarXcbo = 22,
-  // OPRA - MIAX EMERALD
+  // OPRA - MIAX Emerald
   OpraPillarEmld = 23,
   // OPRA - Cboe EDGX Options Exchange
   OpraPillarEdgo = 24,
-  // OPRA - NASDAQ GEMX
+  // OPRA - Nasdaq GEMX
   OpraPillarGmni = 25,
-  // OPRA - NASDAQ ISE
+  // OPRA - Nasdaq ISE
   OpraPillarXisx = 26,
-  // OPRA - NASDAQ MRX
+  // OPRA - Nasdaq MRX
   OpraPillarMcry = 27,
-  // OPRA - MIAX INTERNATIONAL SECURITIES
+  // OPRA - Miami International Securities
   OpraPillarXmio = 28,
-  // OPRA - NYSE ARCA OPTIONS
+  // OPRA - NYSE Arca
   OpraPillarArco = 29,
-  // OPRA - OPRA
+  // OPRA - Options Price Reporting Authority
   OpraPillarOpra = 30,
-  // OPRA - MIAX PEARL
+  // OPRA - MIAX Pearl
   OpraPillarMprl = 31,
-  // OPRA - NASDAQ OPTIONS MARKET
+  // OPRA - Nasdaq Options Market
   OpraPillarXndq = 32,
-  // OPRA - NASDAQ BX OPTIONS
+  // OPRA - Nasdaq BX Options
   OpraPillarXbxo = 33,
-  // OPRA - CBOE C2 OPTIONS EXCHANGE
+  // OPRA - Cboe C2 Options Exchange
   OpraPillarC2Ox = 34,
-  // OPRA - NASDAQ PHLX
+  // OPRA - Nasdaq PHLX
   OpraPillarXphl = 35,
-  // OPRA - CBOE BZX Options Exchange
+  // OPRA - Cboe BZX Options
   OpraPillarBato = 36,
-  // OPRA - MEMX OPTIONS EXCHANGE
+  // OPRA - MEMX Options Exchange
   OpraPillarMxop = 37,
-  // Investors Exchange TOPS
+  // IEX TOPS
   IexgTopsIexg = 38,
-  // DBEQ Basic - Nyse Chicago
+  // DBEQ Basic - NYSE Chicago
   DbeqBasicXchi = 39,
-  // DBEQ Basic - Nyse National
+  // DBEQ Basic - NYSE National
   DbeqBasicXcis = 40,
-  // DBEQ Basic - Investors Exchange
+  // DBEQ Basic - IEX
   DbeqBasicIexg = 41,
   // DBEQ Basic - MIAX Pearl
   DbeqBasicEprl = 42,
+  // NYSE Arca Integrated
+  ArcxPillarArcx = 43,
 };
 
 // Get a Publisher's Venue.