VER: Release 0.10.0

.github/workflows/build.yaml

@@ -11,10 +11,8 @@ jobs:
       fail-fast: false
       matrix:
         compiler: [clang++, g++]
-
     name: build - ubuntu-latest - ${{ matrix.compiler}}
     runs-on: ubuntu-latest
-
     steps:
       - name: Checkout repository
         uses: actions/checkout@v3
@@ -54,7 +52,6 @@ jobs:
   macos:
     name: build - macos-latest - clang++
     runs-on: macos-latest
-
     steps:
       - name: Checkout repository
         uses: actions/checkout@v3
@@ -74,3 +71,29 @@ jobs:
         run: cmake --build build
       - name: Unit tests
         run: cd build && ctest --verbose
+
+  windows:
+    name: build - windows-latest - msvc
+    runs-on: windows-latest
+    steps:
+      - name: Checkout repository
+        uses: actions/checkout@v3
+      - name: Cache dependencies
+        uses: actions/cache@v3
+        env:
+          cache-name: cache-vcpkg
+        with:
+          path: build/vcpkg_installed
+          key: ${{ runner.os }}-build-${{ env.cache-name }}-${{ hashFiles('./vcpkg.json') }}
+      - name: CMake configure
+        run: |
+          cmake -S . -B build `
+            -DDATABENTO_ENABLE_UNIT_TESTING=1 `
+            -DDATABENTO_ENABLE_EXAMPLES=1 `
+            -DCMAKE_TOOLCHAIN_FILE=C:/vcpkg/scripts/buildsystems/vcpkg.cmake `
+            -DVCPKG_BUILD_TYPE=debug `
+            -DDATABENTO_USE_EXTERNAL_GTEST=0
+      - name: CMake build
+        run: cmake --build build --parallel 10
+      - name: Unit tests
+        run: cd build && ctest --verbose --exclude-regex cmake

.gitignore

@@ -1,2 +1,5 @@
 build
+CMakeSettings.json
+vcpkg_installed
+.vs
 !*.zst

CHANGELOG.md

@@ -1,5 +1,24 @@
 # Changelog
 
+## 0.10.0 - 2023-07-20
+
+#### Enhancements
+- Added preliminary support for Windows
+- Added `LiveThreaded::BlockForStop` to make it easier to wait for one or more records
+  before closing the session
+- Changed `TimeseriesGetRange` to request a Zstd-compressed result for more efficient
+  data transfer
+- Switched `BatchSubmitJob` to use form data to avoid query param length limit
+- Switched `SymbologyResolve` to use POST request with form data to avoid query param
+  length limit
+
+#### Breaking changes
+- Changed size-related fields and `limit` parameters to use `std::uint64_t` for consistency
+  across architectures
+
+#### Bug fixes
+- Removed usage of non-portable `__PRETTY_FUNCTION__`
+
 ## 0.9.1 - 2023-07-11
 
 #### Enhancements
@@ -8,9 +27,9 @@
 - Added `RType` getter to `Record`
 
 #### Bug fixes
-- Batch live subscriptions to avoid hitting max message length
-- Fix bug in Zstd decompression
-- Fix `Historical::BatchDownload` truncating file before writing each chunk
+- Added batching for live subscriptions to avoid hitting max message length
+- Fixed bug in Zstd decompression
+- Fixed `Historical::BatchDownload` truncating file before writing each chunk
 
 ## 0.9.0 - 2023-06-13
 
@@ -44,18 +63,24 @@
 - Added initial support for live data with `LiveBlocking` and `LiveThreaded` clients
 - Added support for statistics schema
 - Added `SystemMsg` and `ErrorMsg` records for use in live data
-- Added `strike_price`, `strike_price_currency`, and `instrument_class` to `InstrumentDefMsg`
+- Added `strike_price`, `strike_price_currency`, and `instrument_class` to
+  `InstrumentDefMsg`
 - Added `FixedPx` helper class for formatting fixed prices
 - Added configurable log receiver `ILogReceiver`
-- Added `instrument_class`, `strike_price`, and `strike_price_currency` to definition schema
-- Added additional `condition` variants for `DatasetConditionDetail` (degraded, pending, missing)
-- Added additional member `last_modified_date` to `DatasetConditionDetail` Added `has_mixed_schema`, `has_mixed_stype_in`, and `ts_out` to `Metadata` to support live data
+- Added `instrument_class`, `strike_price`, and `strike_price_currency` to definition
+  schema
+- Added additional `condition` variants for `DatasetConditionDetail` (degraded, pending,
+  missing)
+- Added additional member `last_modified_date` to `DatasetConditionDetail`
+- Added `has_mixed_schema`, `has_mixed_stype_in`, and `ts_out` to `Metadata` to support
+  live data
 - Added optional `compression` parameter to `BatchSubmitJob`
 
 #### Breaking changes
 - Removed `related` and `related_security_id` from `InstrumentDefMsg`
 - Renamed `BatchJob.cost` to `cost_usd` and value now expressed as US dollars
-- Renamed `SType::ProductId` to `SType::InstrumentId` and `SType::Native` to `SType::RawSymbol`
+- Renamed `SType::ProductId` to `SType::InstrumentId` and `SType::Native` to
+  `SType::RawSymbol`
 - Renamed `RecordHeader::product_id` to `instrument_id`
 - Renamed `InstrumentDefMsg::symbol` to `raw_symbol`
 - Renamed `SymbolMapping::native_symbol` to `raw_symbol`

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.9.1 LANGUAGES CXX)
+project("databento" VERSION 0.10.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #
@@ -24,7 +24,7 @@ list(APPEND CMAKE_MODULE_PATH "${CMAKE_CURRENT_SOURCE_DIR}/cmake")
 include(cmake/StandardSettings.cmake)
 include(cmake/StaticAnalyzers.cmake)
 include(cmake/Utils.cmake)
-message(STATUS "Started CMake for ${PROJECT_NAME} v${PROJECT_VERSION}...\n")
+message(STATUS "Started CMake for ${PROJECT_NAME} v${PROJECT_VERSION}...")
 
 if(NOT CMAKE_BUILD_TYPE)
   if(IS_MAIN_PROJECT)
@@ -41,7 +41,7 @@ endif()
 #
 
 if(PROJECT_SOURCE_DIR STREQUAL PROJECT_BINARY_DIR)
-  message(FATAL_ERROR "In-source builds not allowed. Please make a new directory (called a build directory) and run CMake from there.\n")
+  message(FATAL_ERROR "In-source builds not allowed. Please make a new directory (called a build directory) and run CMake from there.")
 endif()
 
 #
@@ -51,7 +51,7 @@ endif()
 include(TestBigEndian)
 test_big_endian(IS_BIG_ENDIAN)
 if(IS_BIG_ENDIAN)
-  message(FATAL_ERROR "Big-endian platforms aren't supported because DBN parsing assumes the data is little-endian and in native byte order.\n")
+  message(FATAL_ERROR "Big-endian platforms aren't supported because DBN parsing assumes the data is little-endian and in native byte order.")
 endif()
 
 #
@@ -94,7 +94,7 @@ set_target_properties(
   LIBRARY_OUTPUT_DIRECTORY "${CMAKE_BINARY_DIR}/lib/${CMAKE_BUILD_TYPE}"
 )
 
-message(STATUS "Added all header and implementation files.\n")
+message(STATUS "Added all header and implementation files.")
 
 #
 # Set the project standard and warnings
@@ -110,7 +110,7 @@ if(CMAKE_CXX_COMPILER_ID STREQUAL "Clang" AND CMAKE_BUILD_TYPE STREQUAL "Debug")
   target_compile_options(${PROJECT_NAME} PRIVATE -fstandalone-debug)
 endif()
 
-verbose_message("Applied compiler warnings.\n")
+verbose_message("Applied compiler warnings.")
 
 #
 # Model project dependencies
@@ -119,18 +119,19 @@ verbose_message("Applied compiler warnings.\n")
 include(FetchContent)
 # JSON
 if(${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_JSON)
-  find_package(nlohmann_json 3.11.2 REQUIRED)
+  find_package(nlohmann_json REQUIRED)
 else()
+  set(json_version 3.11.2)
   if(CMAKE_VERSION VERSION_LESS 3.24)
     FetchContent_Declare(
       json
-      URL https://github.com/nlohmann/json/releases/download/v3.11.2/json.tar.xz
+      URL https://github.com/nlohmann/json/releases/download/v${json_version}/json.tar.xz
     )
   else()
     # DOWNLOAD_EXTRACT_TIMESTAMP added in 3.24
     FetchContent_Declare(
       json
-      URL https://github.com/nlohmann/json/releases/download/v3.11.2/json.tar.xz
+      URL https://github.com/nlohmann/json/releases/download/v${json_version}/json.tar.xz
       DOWNLOAD_EXTRACT_TIMESTAMP TRUE
     )
   endif()
@@ -139,10 +140,10 @@ else()
   add_system_include_property(nlohmann_json)
 endif()
 # cpp-httplib
-set(httplib_version 0.11.4)
 if(${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_HTTPLIB)
-  find_package(httplib ${httplib_version} REQUIRED)
+  find_package(httplib REQUIRED)
 else()
+  set(httplib_version 0.13.1)
   if(CMAKE_VERSION VERSION_LESS 3.24)
     FetchContent_Declare(
       httplib
@@ -168,6 +169,18 @@ endif()
 find_package(Zstd REQUIRED)
 find_package(Threads REQUIRED)
 
+#
+# Platform-specific dependencies
+#
+if(WIN32)
+  find_path(
+    DIRENT_INCLUDE_DIR "dirent.h"
+    PATHS "${_VCPKG_INSTALLED_DIR}/${VCPKG_TARGET_TRIPLET}/include"
+    REQUIRED
+  )
+  target_include_directories(${PROJECT_NAME} PRIVATE ${DIRENT_INCLUDE_DIR})
+endif()
+
 target_link_libraries(
   ${PROJECT_NAME}
   PUBLIC
@@ -209,7 +222,7 @@ message(STATUS "Finished setting up include directories.")
 
 add_library(${PROJECT_NAME}::${PROJECT_NAME} ALIAS ${PROJECT_NAME})
 
-verbose_message("Project is now aliased as ${PROJECT_NAME}::${PROJECT_NAME}.\n")
+verbose_message("Project is now aliased as ${PROJECT_NAME}::${PROJECT_NAME}.")
 
 #
 # Format the project using the `clang-format` target (i.e: cmake --build build --target clang-format)
@@ -318,7 +331,14 @@ if(${PROJECT_NAME_UPPERCASE}_GENERATE_EXPORT_HEADER)
   message(STATUS "Generated the export header `${PROJECT_NAME}_export.h` and installed it.")
 endif()
 
-message(STATUS "Finished building requirements for installing the package.\n")
+message(STATUS "Finished building requirements for installing the package.")
+
+#
+# Platform-specific
+#
+if(WIN32)
+    add_compile_definitions(NOMINMAX)
+endif()
 
 #
 # Unit testing setup

README.md

@@ -63,6 +63,7 @@ You'll need to ensure the following dependencies are installed:
 - [Zstandard (zstd)](https://github.com/facebook/zstd)
 - [nlohmann\_json (header-only)](https://github.com/nlohmann/json)
 - [cpp-httplib (header-only)](https://github.com/yhirose/cpp-httplib)
+- [dirent (Windows-only, header-only)](https://github.com/tronkko/dirent)
 
 By default, cpp-httplib and nlohmann\_json are downloaded by CMake as part of the build process.
 If you would like to use a local version of these libraries, enable the CMake flag
@@ -86,10 +87,8 @@ 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 client =
+      LiveBuilder{}.SetKeyFromEnv().SetDataset("GLBX.MDP3").BuildThreaded();
 
   auto handler = [&symbol_mappings](const Record& rec) {
     if (rec.Holds<TradeMsg>()) {
@@ -99,8 +98,7 @@ int main() {
                 << '\n';
     } else if (rec.Holds<SymbolMappingMsg>()) {
       auto mapping = rec.Get<SymbolMappingMsg>();
-      symbol_mappings[mapping.hd.instrument_id] =
-          mapping.stype_out_symbol.data();
+      symbol_mappings[mapping.hd.instrument_id] = mapping.STypeOutSymbol();
     }
     return KeepGoing::Continue;
   };

cmake/CompilerWarnings.cmake

@@ -6,7 +6,6 @@
 
 function(set_project_warnings project_name)
   set(MSVC_WARNINGS
-      /W4     # Baseline reasonable warnings
       /w14242 # 'identifier': conversion from 'type1' to 'type1', possible loss
               # of data
       /w14254 # 'operator': conversion from 'type1:field_bits' to

cmake/Utils.cmake

@@ -30,7 +30,7 @@ function(add_clang_format_target)
         -i ${sources} ${headers}
         WORKING_DIRECTORY ${CMAKE_CURRENT_LIST_DIR})
     endif()
-    message(STATUS "Format the project using the `clang-format` target (i.e: cmake --build build --target clang-format).\n")
+    message(STATUS "Format the project using the `clang-format` target (i.e: cmake --build build --target clang-format).")
   endif()
 endfunction()
 

cmake/mingw-w64-x86_64.cmake

@@ -0,0 +1,16 @@
+set(CMAKE_SYSTEM_NAME Windows)
+set(TOOLCHAIN_PREFIX x86_64-w64-mingw32)
+
+# Cross compilers to use for C and C++
+set(CMAKE_C_COMPILER ${TOOLCHAIN_PREFIX}-gcc)
+set(CMAKE_CXX_COMPILER ${TOOLCHAIN_PREFIX}-g++)
+# Compiler for Windows resource files
+set(CMAKE_RC_COMPILER ${TOOLCHAIN_PREFIX}-windres)
+
+# Target environment on the build host system
+set(CMAKE_FIND_ROOT_PATH /usr/${TOOLCHAIN_PREFIX})
+
+# Modify default behavior of FIND_XXX() commands
+set(CMAKE_FIND_ROOT_PATH_MODE_PROGRAM NEVER)
+set(CMAKE_FIND_ROOT_PATH_MODE_LIBRARY ONLY)
+set(CMAKE_FIND_ROOT_PATH_MODE_INCLUDE ONLY)

example/historical/symbology_resolve.cpp

@@ -1,5 +1,3 @@
-#include <sysexits.h>
-
 #include <iostream>
 #include <vector>
 
@@ -12,7 +10,7 @@ int main(int argc, char* argv[]) {
   if (argc < 6) {
     std::cerr << "USAGE: symbology-resolve <DATASET> <STYPE_IN> <STYPE_OUT> "
                  "<DATE> <SYMBOLS...>\n";
-    return EX_USAGE;
+    return 1;
   }
   const auto stype_in = databento::FromString<databento::SType>(argv[2]);
   const auto stype_out = databento::FromString<databento::SType>(argv[3]);

example/historical/timeseries_get_range.cpp

@@ -2,6 +2,10 @@
 #include <ctime>
 #include <iomanip>
 #include <iostream>  // setw
+#ifdef _WIN32
+// _mkgmtime is equivalent to timegm
+#define timegm _mkgmtime
+#endif
 
 #include "databento/constants.hpp"
 #include "databento/datetime.hpp"

example/live/readme.cpp

@@ -13,10 +13,8 @@ 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 client =
+      LiveBuilder{}.SetKeyFromEnv().SetDataset("GLBX.MDP3").BuildThreaded();
 
   auto handler = [&symbol_mappings](const Record& rec) {
     if (rec.Holds<TradeMsg>()) {
@@ -26,8 +24,7 @@ int main() {
                 << '\n';
     } else if (rec.Holds<SymbolMappingMsg>()) {
       auto mapping = rec.Get<SymbolMappingMsg>();
-      symbol_mappings[mapping.hd.instrument_id] =
-          mapping.stype_out_symbol.data();
+      symbol_mappings[mapping.hd.instrument_id] = mapping.STypeOutSymbol();
     }
     return KeepGoing::Continue;
   };

example/live/simple.cpp

@@ -40,7 +40,7 @@ int main() {
   };
   auto record_callback = [&symbol_mappings](const databento::Record& rec) {
     using databento::RType;
-    switch (rec.Header().rtype) {
+    switch (rec.RType()) {
       case RType::Mbo: {
         auto ohlcv = rec.Get<databento::WithTsOut<databento::MboMsg>>();
         std::cout << "Received tick for "
@@ -58,7 +58,7 @@ int main() {
         auto mapping = rec.Get<databento::SymbolMappingMsg>();
         std::cout << "Received symbol mapping: " << mapping << '\n';
         symbol_mappings.emplace(mapping.hd.instrument_id,
-                                mapping.stype_in_symbol.data());
+                                mapping.STypeInSymbol());
         break;
       }
       case RType::System: {
@@ -75,7 +75,7 @@ int main() {
       }
       default: {
         std::cerr << "Received unknown record with rtype " << std::hex
-                  << static_cast<std::uint16_t>(rec.Header().rtype) << '\n';
+                  << static_cast<std::uint16_t>(rec.RType()) << '\n';
       }
     }
     return databento::KeepGoing::Continue;