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VER: Release 0.14.1
2 parents e2ce872 + b767fad commit b519265

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15 files changed

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‎CHANGELOG.md‎

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# Changelog
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## 0.14.1 - 2023-12-18
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### Enhancements
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- Added `PitSymbolMap` helper for keeping track of symbology mappings in Live
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- Added new publisher value for OPRA MIAX Sapphire
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### Bug fixes
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- Fixed misaligned read undefined behavior when decoding records
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## 0.14.0 - 2023-11-23
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This release adds support for DBN v2.

‎CMakeLists.txt‎

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@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
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# Project details
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#
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project("databento" VERSION 0.14.0 LANGUAGES CXX)
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project("databento" VERSION 0.14.1 LANGUAGES CXX)
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string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
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#

‎README.md‎

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@@ -78,28 +78,26 @@ Here is a simple program that fetches 10 seconds of trades for all ES mini futur
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```cpp
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#include <chrono>
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#include <databento/live.hpp>
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#include <databento/symbol_map.hpp>
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#include <iostream>
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#include <string>
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#include <thread>
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#include <unordered_map>
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using namespace databento;
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int main() {
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std::unordered_map<std::uint32_t, std::string> symbol_mappings;
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PitSymbolMap symbol_mappings;
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auto client =
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LiveBuilder{}.SetKeyFromEnv().SetDataset("GLBX.MDP3").BuildThreaded();
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auto handler = [&symbol_mappings](const Record& rec) {
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symbol_mappings.OnRecord(rec);
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if (rec.Holds<TradeMsg>()) {
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auto trade = rec.Get<TradeMsg>();
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std::cout << "Received trade for "
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<< symbol_mappings[trade.hd.instrument_id] << ':' << trade
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<< '\n';
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} else if (rec.Holds<SymbolMappingMsg>()) {
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auto mapping = rec.Get<SymbolMappingMsg>();
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symbol_mappings[mapping.hd.instrument_id] = mapping.STypeOutSymbol();
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}
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return KeepGoing::Continue;
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};

‎cmake/SourcesAndHeaders.cmake‎

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@@ -19,6 +19,7 @@ set(headers
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include/databento/metadata.hpp
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include/databento/publishers.hpp
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include/databento/record.hpp
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include/databento/symbol_map.hpp
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include/databento/symbology.hpp
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include/databento/timeseries.hpp
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include/databento/with_ts_out.hpp
@@ -51,6 +52,7 @@ set(sources
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src/metadata.cpp
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src/publishers.cpp
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src/record.cpp
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src/symbol_map.cpp
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src/symbology.cpp
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src/detail/file_stream.cpp
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src/detail/http_client.cpp

‎example/live/readme.cpp‎

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// NOLINTBEGIN(google-build-using-namespace)
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#include <chrono>
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#include <databento/live.hpp>
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#include <databento/symbol_map.hpp>
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#include <iostream>
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#include <string>
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#include <thread>
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#include <unordered_map>
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using namespace databento;
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int main() {
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std::unordered_map<std::uint32_t, std::string> symbol_mappings;
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PitSymbolMap symbol_mappings;
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auto client =
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LiveBuilder{}.SetKeyFromEnv().SetDataset("GLBX.MDP3").BuildThreaded();
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auto handler = [&symbol_mappings](const Record& rec) {
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symbol_mappings.OnRecord(rec);
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if (rec.Holds<TradeMsg>()) {
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auto trade = rec.Get<TradeMsg>();
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std::cout << "Received trade for "
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<< symbol_mappings[trade.hd.instrument_id] << ':' << trade
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<< '\n';
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} else if (rec.Holds<SymbolMappingMsg>()) {
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auto mapping = rec.Get<SymbolMappingMsg>();
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symbol_mappings[mapping.hd.instrument_id] = mapping.STypeOutSymbol();
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}
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return KeepGoing::Continue;
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};

‎example/live/simple.cpp‎

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@@ -1,29 +1,29 @@
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#include <csignal> // sig_atomic_t
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#include <cstdint>
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#include <databento/constants.hpp>
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#include <databento/dbn.hpp>
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#include <databento/enums.hpp>
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#include <databento/live.hpp>
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#include <databento/live_threaded.hpp>
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#include <databento/log.hpp>
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#include <databento/record.hpp>
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#include <databento/symbol_map.hpp>
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#include <databento/with_ts_out.hpp>
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#include <iostream>
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#include <memory>
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#include <unordered_map>
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#include "databento/constants.hpp"
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#include "databento/dbn.hpp"
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#include "databento/enums.hpp"
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#include "databento/live.hpp"
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#include "databento/live_threaded.hpp"
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#include "databento/log.hpp"
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#include "databento/record.hpp"
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#include "databento/with_ts_out.hpp"
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static std::sig_atomic_t volatile gSignal;
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int main() {
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std::unordered_map<std::uint32_t, std::string> symbol_mappings;
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databento::PitSymbolMap symbol_mappings;
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std::unique_ptr<databento::ILogReceiver> log_receiver{
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new databento::ConsoleLogReceiver{databento::LogLevel::Debug}};
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auto client = databento::LiveBuilder{}
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.SetLogReceiver(log_receiver.get())
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.SetKeyFromEnv()
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.SetDataset(databento::dataset::kGlbxMdp3)
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.SetUpgradePolicy(databento::VersionUpgradePolicy::Upgrade)
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.BuildThreaded();
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// Set up signal handler for Ctrl+C
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case RType::Mbo: {
4545
auto ohlcv = rec.Get<databento::WithTsOut<databento::MboMsg>>();
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std::cout << "Received tick for "
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<< symbol_mappings.at(ohlcv.rec.hd.instrument_id)
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<< symbol_mappings[ohlcv.rec.hd.instrument_id]
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<< " with ts_out " << ohlcv.ts_out.time_since_epoch().count()
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<< ": " << ohlcv.rec << '\n';
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break;
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}
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case RType::SymbolMapping: {
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auto mapping = rec.Get<databento::SymbolMappingMsg>();
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std::cout << "Received symbol mapping: " << mapping << '\n';
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symbol_mappings.emplace(mapping.hd.instrument_id,
61-
mapping.STypeInSymbol());
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symbol_mappings.OnSymbolMapping(mapping);
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break;
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}
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case RType::System: {

‎include/databento/dbn_decoder.hpp‎

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#include "databento/detail/shared_channel.hpp"
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#include "databento/enums.hpp" // Upgrade Policy
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#include "databento/ireadable.hpp"
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#include "databento/record.hpp"
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#include "databento/record.hpp" // Record, RecordHeader
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1515
namespace databento {
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// DBN decoder. Set upgrade_policy to control how DBN version 1 data should be
@@ -68,7 +68,9 @@ class DbnDecoder {
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std::unique_ptr<IReadable> input_;
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std::vector<std::uint8_t> read_buffer_;
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std::size_t buffer_idx_{};
71-
std::array<std::uint8_t, kMaxRecordLen> compat_buffer_{};
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// Must be 8-byte aligned for records
72+
alignas(
73+
RecordHeader) std::array<std::uint8_t, kMaxRecordLen> compat_buffer_{};
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Record current_record_{nullptr};
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};
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} // namespace databento

‎include/databento/live_blocking.hpp‎

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#include "databento/dbn.hpp" // Metadata
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#include "databento/detail/tcp_client.hpp" // TcpClient
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#include "databento/enums.hpp" // Schema, SType, VersionUpgradePolicy
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#include "databento/record.hpp" // Record
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#include "databento/record.hpp" // Record, RecordHeader
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namespace databento {
1717
class ILogReceiver;
@@ -93,10 +93,13 @@ class LiveBlocking {
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std::uint8_t version_{};
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VersionUpgradePolicy upgrade_policy_;
9595
detail::TcpClient client_;
96-
std::array<char, kMaxStrLen> read_buffer_{};
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// Must be 8-byte aligned for records
97+
alignas(RecordHeader) std::array<char, kMaxStrLen> read_buffer_{};
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std::size_t buffer_size_{};
9899
std::size_t buffer_idx_{};
99-
std::array<std::uint8_t, kMaxRecordLen> compat_buffer_{};
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// Must be 8-byte aligned for records
101+
alignas(
102+
RecordHeader) std::array<std::uint8_t, kMaxRecordLen> compat_buffer_{};
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std::uint64_t session_id_;
101104
Record current_record_{nullptr};
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};

‎include/databento/publishers.hpp‎

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@@ -87,6 +87,8 @@ enum class Venue : std::uint16_t {
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Ndex = 39,
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// Databento Equities - Consolidated
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Dbeq = 40,
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// MIAX Sapphire
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Sphr = 41,
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};
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// A source of data.
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DbeqBasicDbeq = 59,
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// DBEQ Plus - Consolidated
275277
DbeqPlusDbeq = 60,
278+
// OPRA - MIAX Sapphire
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OpraPillarSphr = 61,
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};
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// Get a Publisher's Venue.

‎include/databento/symbol_map.hpp‎

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#pragma once
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#include <cstdint>
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#include <string>
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#include <unordered_map>
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7+
#include "databento/compat.hpp"
8+
#include "databento/record.hpp"
9+
10+
namespace databento {
11+
// A point-in-time symbol map. Useful for working with live symbology or
12+
// a historical request over a single day or other situations where the
13+
// symbol mappings are known not to change.
14+
class PitSymbolMap {
15+
public:
16+
using Store = std::unordered_map<std::uint32_t, std::string>;
17+
18+
PitSymbolMap() = default;
19+
20+
bool IsEmpty() const { return map_.empty(); }
21+
std::size_t Size() const { return map_.size(); }
22+
const Store& Map() const { return map_; }
23+
Store& Map() { return map_; }
24+
Store::const_iterator Find(std::uint32_t instrument_id) const {
25+
return map_.find(instrument_id);
26+
}
27+
std::string& operator[](std::uint32_t instrument_id) {
28+
return map_[instrument_id];
29+
}
30+
void OnRecord(const Record& rec);
31+
template <typename SymbolMappingRec>
32+
void OnSymbolMapping(const SymbolMappingRec& symbol_mapping);
33+
34+
private:
35+
Store map_;
36+
};
37+
38+
// Forward declare explicit instantiation
39+
extern template void PitSymbolMap::OnSymbolMapping(
40+
const SymbolMappingMsgV1& symbol_mapping);
41+
extern template void PitSymbolMap::OnSymbolMapping(
42+
const SymbolMappingMsgV2& symbol_mapping);
43+
} // namespace databento

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