VER: Release 0.13.1

Author: threecgreen

.clang-tidy

@@ -11,8 +11,6 @@ Checks: >
     -google-readability-casting,
     -google-runtime-references,
     modernize-deprecated-headers,
-    misc-*,
-    -misc-non-private-member-variables-in-classes,
     performance-*,
     portability-*'
 WarningsAsErrors: '*'

CHANGELOG.md

@@ -1,5 +1,13 @@
 # Changelog
 
+## 0.13.1 - 2023-10-23
+### Enhancements
+- Added new publisher values in preparation for DBEQ.PLUS
+- Added `ToIso8601` for `UnixNanos` for converting to human-readable ISO8601 datetime
+  string
+- Added `kUndefTimestamp` and `kUndefStatQuantity` constants
+- Added flag `kTob` for top-of-book messages
+
 ## 0.13.0 - 2023-09-21
 ### Enhancements
 - Added `pretty_px` option for `BatchSubmitJob`, which formats prices to the correct

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.13.0 LANGUAGES CXX)
+project("databento" VERSION 0.13.1 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #
@@ -348,6 +348,7 @@ endif()
 
 if(${PROJECT_NAME_UPPERCASE}_ENABLE_UNIT_TESTING)
   unset(CMAKE_CXX_CPPCHECK) # disable cppcheck for tests
+  unset(CMAKE_CXX_CLANG_TIDY) # disable clang-tidy for tests
   enable_testing()
   message(STATUS "Build unit tests for the project.")
   add_subdirectory(test)

README.md

@@ -2,7 +2,7 @@
 
 [![test](https://github.com/databento/databento-cpp/actions/workflows/build.yaml/badge.svg?branch=main)](https://github.com/databento/databento-cpp/actions/workflows/build.yaml)
 [![license](https://img.shields.io/github/license/databento/databento-cpp?color=blue)](./LICENSE)
-[![Slack](https://img.shields.io/badge/join_Slack-community-darkblue.svg?logo=slack)](https://join.slack.com/t/databento-hq/shared_invite/zt-1xk498wxs-9fUs_xhz5ypaGD~mhI_hVQ)
+[![Slack](https://img.shields.io/badge/join_Slack-community-darkblue.svg?logo=slack)](https://join.slack.com/t/databento-hq/shared_invite/zt-24oqyrub9-MellISM2cdpQ7s_7wcXosw)
 
 The official C++ client library for [Databento](https://databento.com).
 The client supports both streaming real-time and historical market data through similar interfaces.

include/databento/constants.hpp

@@ -9,16 +9,22 @@ static constexpr auto kApiVersionStr = "0";
 static constexpr auto kApiKeyLength = 32;
 // The decimal scaler of fixed prices.
 static constexpr std::int64_t kFixedPriceScale = 1000000000;
-// The sentinel value for a null or undefined price.
+// The sentinel value for an unset or null price.
 static constexpr auto kUndefPrice = std::numeric_limits<std::int64_t>::max();
-// The sentinel value for a null or undefined order size.
+// The sentinel value for an unset or null order size.
 static constexpr auto kUndefOrderSize =
     std::numeric_limits<std::uint32_t>::max();
+// The sentinel value for an unset statistic quantity.
+static constexpr auto kUndefStatQuantity =
+    std::numeric_limits<std::int32_t>::max();
+// The sentinel value for an unset or null timestamp.
+static constexpr auto kUndefTimestamp =
+    std::numeric_limits<std::uint64_t>::max();
 
 // This is not necessarily a comprehensive list of available datasets. Please
 // use `Historical.MetadataListDatasets` to retrieve an up-to-date list.
 namespace dataset {
-// The dataset code for Databento Equity Basic.
+// The dataset code for Databento Equities Basic.
 static constexpr auto kDbeqBasic = "DBEQ.BASIC";
 // The dataset code for CME Globex MDP 3.0.
 static constexpr auto kGlbxMdp3 = "GLBX.MDP3";

include/databento/datetime.hpp

@@ -14,6 +14,9 @@ using UnixNanos =
 // A representation of the difference between two timestamps.
 using TimeDeltaNanos = std::chrono::duration<int32_t, std::nano>;
 std::string ToString(UnixNanos unix_nanos);
+// Format the UNIX timestamp as a human-readable ISO8601 string of format
+// YYYY-MM-DDTHH:MM:SS.fffffffffZ
+std::string ToIso8601(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);

include/databento/flag_set.hpp

@@ -13,6 +13,8 @@ class FlagSet {
   // Indicates it's the last message in the packet from the venue for a given
   // `instrument_id`.
   static constexpr Repr kLast = 1 << 7;
+  // Indicates a top-of-book message, not an individual order.
+  static constexpr Repr kTob = 1 << 6;
   // Indicates the message was sourced from a replay, such as a snapshot
   // server.
   static constexpr Repr kSnapshot = 1 << 5;

include/databento/publishers.hpp

@@ -129,6 +129,16 @@ enum class Dataset : std::uint16_t {
   ArcxPillar = 21,
   // IEX TOPS
   IexgTops = 22,
+  // Databento Equities Plus
+  DbeqPlus = 23,
+  // NYSE BBO
+  XnysBbo = 24,
+  // NYSE Trades
+  XnysTrades = 25,
+  // Nasdaq QBBO
+  XnasQbbo = 26,
+  // Nasdaq NLS
+  XnasNls = 27,
 };
 
 // A specific Venue from a specific data source.
@@ -219,6 +229,32 @@ enum class Publisher : std::uint16_t {
   DbeqBasicEprl = 42,
   // NYSE Arca Integrated
   ArcxPillarArcx = 43,
+  // NYSE BBO
+  XnysBboXnys = 44,
+  // NYSE Trades
+  XnysTradesXnys = 45,
+  // Nasdaq QBBO
+  XnasQbboXnas = 46,
+  // Nasdaq Trades
+  XnasNlsXnas = 47,
+  // DBEQ Plus - NYSE Chicago
+  DbeqPlusXchi = 48,
+  // DBEQ Plus - NYSE National
+  DbeqPlusXcis = 49,
+  // DBEQ Plus - IEX
+  DbeqPlusIexg = 50,
+  // DBEQ Plus - MIAX Pearl
+  DbeqPlusEprl = 51,
+  // DBEQ Plus - Nasdaq
+  DbeqPlusXnas = 52,
+  // DBEQ Plus - NYSE
+  DbeqPlusXnys = 53,
+  // DBEQ Plus - FINRA/NYSE TRF
+  DbeqPlusFinn = 54,
+  // DBEQ Plus - FINRA/Nasdaq TRF Carteret
+  DbeqPlusFiny = 55,
+  // DBEQ Plus - FINRA/Nasdaq TRF Chicago
+  DbeqPlusFinc = 56,
 };
 
 // Get a Publisher's Venue.

pkg/PKGBUILD

@@ -1,7 +1,7 @@
 # Maintainer: Databento <[email protected]>
 _pkgname=databento-cpp
 pkgname=databento-cpp-git
-pkgver=0.13.0
+pkgver=0.13.1
 pkgrel=1
 pkgdesc="Official C++ client for Databento"
 arch=('any')

src/datetime.cpp

@@ -1,9 +1,49 @@
 #include "databento/datetime.hpp"
 
-#include <iomanip>
-#include <sstream>
+// NOLINTNEXTLINE(modernize-deprecated-headers): no thread-safe version in STL
+#include <time.h>  // gmtime_r or gmtime_s
+
+#include <array>
+#include <chrono>
+#include <ctime>    // localtime, strftime, tm
+#include <iomanip>  // setw
+#include <sstream>  // ostringstream
+
+#include "databento/constants.hpp"  // kUndefTimestamp
 
 namespace databento {
+std::string ToIso8601(UnixNanos unix_nanos) {
+  if (unix_nanos.time_since_epoch().count() == kUndefTimestamp) {
+    return "UNDEF_TIMESTAMP";
+  }
+  std::array<char, 80> buf{};
+  const auto time =
+      static_cast<std::time_t>(std::chrono::duration_cast<std::chrono::seconds>(
+                                   unix_nanos.time_since_epoch())
+                                   .count());
+  std::tm tm = {};
+#ifdef _WIN32
+  if (::gmtime_s(&tm, &time) != 0) {
+    // Fallback on printing nanos
+    return ToString(unix_nanos);
+  }
+#else
+  if (::gmtime_r(&time, &tm) == nullptr) {
+    // Fallback on printing nanos
+    return ToString(unix_nanos);
+  }
+#endif
+  const auto nanos = std::chrono::nanoseconds{
+      unix_nanos.time_since_epoch() %
+      std::chrono::nanoseconds{std::chrono::seconds{1}}};
+  const size_t count =
+      std::strftime(buf.data(), sizeof(buf), "%Y-%m-%dT%H:%M:%S", &tm);
+  std::ostringstream time_ss;
+  time_ss.write(buf.data(), static_cast<std::streamsize>(count));
+  time_ss << '.' << std::setw(9) << std::setfill('0') << nanos.count() << 'Z';
+  return time_ss.str();
+}
+
 std::string ToString(UnixNanos unix_nanos) {
   return std::to_string(unix_nanos.time_since_epoch().count());
 }