VER: Release 0.11.0

Author: threecgreen

CHANGELOG.md

@@ -1,5 +1,28 @@
 # Changelog
 
+## 0.11.0 - 2023-08-10
+
+#### Enhancements
+- Added `raw_instrument_id` to definition schema
+- Added `operator==` and `operator!=` implementations for `DatasetConditionDetail` and
+  `DatasetRange`
+
+#### Breaking changes
+- Changed `MetadataListPublishers` to return a `vector<PublisherDetail>`
+- `MetadataListFields`:
+  - Changed return type to `vector<FieldDetail>`
+  - Made `encoding` and `schema` parameters required
+  - Removed `dataset` parameter
+- `MetadataListUnitPrices`:
+  - Changed return type to `vector<UnitPricesForMode>`
+  - Made `dataset` parameter required
+  - Removed `mode` and `schema` parameters
+
+#### Bug fixes
+- Fixed installation of `nlohmann_json` when using bundled version
+- Added missing `operator!=` implementations for `Metadata`, `MappingInterval`, and
+  `SymbolMapping`
+
 ## 0.10.0 - 2023-07-20
 
 #### Enhancements
@@ -54,7 +77,7 @@
 
 #### Breaking changes
 - Renamed `booklevel` MBP field to `levels` for brevity and consistent naming
-- Removed `open_interest_qty` and `cleared_volume` fields from definitions schema
+- Removed `open_interest_qty` and `cleared_volume` fields from definition schema
   that were always unset
 
 ## 0.7.0 - 2023-04-28

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.10.0 LANGUAGES CXX)
+project("databento" VERSION 0.11.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #
@@ -122,6 +122,8 @@ if(${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_JSON)
   find_package(nlohmann_json REQUIRED)
 else()
   set(json_version 3.11.2)
+  # Required to correctly install nlohmann_json
+  set(JSON_Install ON)
   if(CMAKE_VERSION VERSION_LESS 3.24)
     FetchContent_Declare(
       json

CODE_OF_CONDUCT.md

@@ -0,0 +1,128 @@
+# Contributor Covenant Code of Conduct
+
+## Our Pledge
+
+We as members, contributors, and leaders pledge to make participation in our
+community a harassment-free experience for everyone, regardless of age, body
+size, visible or invisible disability, ethnicity, sex characteristics, gender
+identity and expression, level of experience, education, socio-economic status,
+nationality, personal appearance, race, religion, or sexual identity
+and orientation.
+
+We pledge to act and interact in ways that contribute to an open, welcoming,
+diverse, inclusive, and healthy community.
+
+## Our Standards
+
+Examples of behavior that contributes to a positive environment for our
+community include:
+
+* Demonstrating empathy and kindness toward other people
+* Being respectful of differing opinions, viewpoints, and experiences
+* Giving and gracefully accepting constructive feedback
+* Accepting responsibility and apologizing to those affected by our mistakes,
+  and learning from the experience
+* Focusing on what is best not just for us as individuals, but for the
+  overall community
+
+Examples of unacceptable behavior include:
+
+* The use of sexualized language or imagery, and sexual attention or
+  advances of any kind
+* Trolling, insulting or derogatory comments, and personal or political attacks
+* Public or private harassment
+* Publishing others' private information, such as a physical or email
+  address, without their explicit permission
+* Other conduct which could reasonably be considered inappropriate in a
+  professional setting
+
+## Enforcement Responsibilities
+
+Community leaders are responsible for clarifying and enforcing our standards of
+acceptable behavior and will take appropriate and fair corrective action in
+response to any behavior that they deem inappropriate, threatening, offensive,
+or harmful.
+
+Community leaders have the right and responsibility to remove, edit, or reject
+comments, commits, code, wiki edits, issues, and other contributions that are
+not aligned to this Code of Conduct, and will communicate reasons for moderation
+decisions when appropriate.
+
+## Scope
+
+This Code of Conduct applies within all community spaces, and also applies when
+an individual is officially representing the community in public spaces.
+Examples of representing our community include using an official e-mail address,
+posting via an official social media account, or acting as an appointed
+representative at an online or offline event.
+
+## Enforcement
+
+Instances of abusive, harassing, or otherwise unacceptable behavior may be
+reported to the community leaders responsible for enforcement at
+[email protected].
+All complaints will be reviewed and investigated promptly and fairly.
+
+All community leaders are obligated to respect the privacy and security of the
+reporter of any incident.
+
+## Enforcement Guidelines
+
+Community leaders will follow these Community Impact Guidelines in determining
+the consequences for any action they deem in violation of this Code of Conduct:
+
+### 1. Correction
+
+**Community Impact**: Use of inappropriate language or other behavior deemed
+unprofessional or unwelcome in the community.
+
+**Consequence**: A private, written warning from community leaders, providing
+clarity around the nature of the violation and an explanation of why the
+behavior was inappropriate. A public apology may be requested.
+
+### 2. Warning
+
+**Community Impact**: A violation through a single incident or series
+of actions.
+
+**Consequence**: A warning with consequences for continued behavior. No
+interaction with the people involved, including unsolicited interaction with
+those enforcing the Code of Conduct, for a specified period of time. This
+includes avoiding interactions in community spaces as well as external channels
+like social media. Violating these terms may lead to a temporary or
+permanent ban.
+
+### 3. Temporary Ban
+
+**Community Impact**: A serious violation of community standards, including
+sustained inappropriate behavior.
+
+**Consequence**: A temporary ban from any sort of interaction or public
+communication with the community for a specified period of time. No public or
+private interaction with the people involved, including unsolicited interaction
+with those enforcing the Code of Conduct, is allowed during this period.
+Violating these terms may lead to a permanent ban.
+
+### 4. Permanent Ban
+
+**Community Impact**: Demonstrating a pattern of violation of community
+standards, including sustained inappropriate behavior,  harassment of an
+individual, or aggression toward or disparagement of classes of individuals.
+
+**Consequence**: A permanent ban from any sort of public interaction within
+the community.
+
+## Attribution
+
+This Code of Conduct is adapted from the [Contributor Covenant][homepage],
+version 2.0, available at
+https://www.contributor-covenant.org/version/2/0/code_of_conduct.html.
+
+Community Impact Guidelines were inspired by [Mozilla's code of conduct
+enforcement ladder](https://github.com/mozilla/diversity).
+
+[homepage]: https://www.contributor-covenant.org
+
+For answers to common questions about this code of conduct, see the FAQ at
+https://www.contributor-covenant.org/faq. Translations are available at
+https://www.contributor-covenant.org/translations.

CONTRIBUTING.md

@@ -0,0 +1,3 @@
+We welcome feedback through discussions and issues on GitHub, however we don't currently accept pull requests due to the open-source repository being a downstream mirror of our internal codebase.
+
+Please direct email feedback to [email protected] or [email protected].

README.md

@@ -18,6 +18,9 @@ Your `CMakeLists.txt` should look something like the following:
 
 ```cmake
 # CMakeLists.txt
+cmake_minimum_required(VERSION 3.14)
+
+project(databento_example)
 include(FetchContent)
 
 FetchContent_Declare(
@@ -27,23 +30,21 @@ FetchContent_Declare(
 )
 FetchContent_MakeAvailable(databento)
 
-add_library(my_library)
-target_link_libraries(my_library PRIVATE databento::databento)
+add_executable(example main.cpp)
+target_link_libraries(example PRIVATE databento::databento)
 ```
 
 Alternatively, you can clone the source code from GitHub [here](https://github.com/databento/databento-cpp).
 
-To install the library at the system level, build and install it with the following:
+To install the library to `/usr`, build and install it with the following:
 
 ```sh
 git clone https://github.com/databento/databento-cpp
 cd databento-cpp
 cmake -S . -B build \
   -DCMAKE_BUILD_TYPE=RelWithDebInfo \
-  -DCMAKE_INSTALL_PREFIX='/usr' \
-  -DDATABENTO_USE_EXTERNAL_JSON=ON \
-  -DDATABENTO_USE_EXTERNAL_HTTPLIB=ON
-cmake --build build --target databento
+  -DCMAKE_INSTALL_PREFIX='/usr'
+cmake --build build --target databento --parallel
 cmake --install build
 ```
 
@@ -52,7 +53,7 @@ In your project's `CMakeLists.txt`, add the following:
 ```cmake
 # CMakeLists.txt
 find_package(databento REQUIRED)
-target_link_libraries(your_target PRIVATE databento::databento)
+target_link_libraries(example PRIVATE databento::databento)
 ```
 
 ### Dependencies
@@ -109,7 +110,7 @@ int main() {
   return 0;
 }
 ```
-To run this program, replace `$YOUR_API_KEY` with an actual API key.
+To run this program, set the `DATABENTO_API_KEY` environment variable with an actual API key.
 
 ### Historical
 
@@ -123,7 +124,7 @@ 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{}.SetKeyFromEnv().Build();
   auto print_trades = [](const Record& record) {
     const auto& trade_msg = record.Get<TradeMsg>();
     std::cout << trade_msg << '\n';
@@ -136,7 +137,7 @@ int main() {
 }
 ```
 
-To run this program, replace `$YOUR_API_KEY` with an actual API key.
+To run this program, set the `DATABENTO_API_KEY` environment variable with an actual API key.
 
 Additional example standalone executables are provided in the [examples](./examples) directory.
 These examples can be compiled by enabling the cmake option `DATABENTO_ENABLE_EXAMPLES` with `-DDATABENTO_ENABLE_EXAMPLES=1` during the configure step.

example/historical/metadata.cpp

@@ -13,7 +13,7 @@ int main() {
   const auto publishers = client.MetadataListPublishers();
   std::cout << "Publishers:\n";
   for (const auto& publisher : publishers) {
-    std::cout << "- " << publisher.first << ": " << publisher.second << '\n';
+    std::cout << "- " << publisher << '\n';
   }
   std::cout << '\n';
 
@@ -31,15 +31,11 @@ int main() {
   }
   std::cout << '\n';
 
-  const auto fields = client.MetadataListFields(
-      kGlbxMdp3, databento::Encoding::Dbn, databento::Schema::Trades);
+  const auto fields = client.MetadataListFields(databento::Encoding::Dbn,
+                                                databento::Schema::Trades);
   std::cout << "Fields:\n";
-  const auto& dbn_trades_fields = fields.at("GLBX.MDP3")
-                                      .at(databento::Encoding::Dbn)
-                                      .at(databento::Schema::Trades);
-  for (const auto& field_and_type : dbn_trades_fields) {
-    std::cout << "- " << field_and_type.first << ": " << field_and_type.second
-              << '\n';
+  for (const auto& field_detail : fields) {
+    std::cout << "- " << field_detail << '\n';
   }
   std::cout << '\n';
 
@@ -54,8 +50,8 @@ int main() {
   const auto all_unit_prices = client.MetadataListUnitPrices(kGlbxMdp3);
   std::cout << "Unit prices:\n";
   for (const auto& mode_and_prices : all_unit_prices) {
-    const auto* mode_str = ToString(mode_and_prices.first);
-    for (const auto& schema_and_price : mode_and_prices.second) {
+    const auto* mode_str = ToString(mode_and_prices.mode);
+    for (const auto& schema_and_price : mode_and_prices.unit_prices) {
       std::cout << "- (" << mode_str << ", " << schema_and_price.first
                 << "): " << schema_and_price.second << '\n';
     }
@@ -67,29 +63,6 @@ int main() {
                                     {"ESH1"}, databento::Schema::Mbo);
   std::cout << "Record count: " << record_count << "\n\n";
 
-  const auto live_unit_prices =
-      client.MetadataListUnitPrices(kGlbxMdp3, databento::FeedMode::Live);
-  std::cout << "Unit prices (live):\n";
-  for (const auto& schema_and_price : live_unit_prices) {
-    std::cout << "- (" << schema_and_price.first
-              << "): " << schema_and_price.second << '\n';
-  }
-  std::cout << '\n';
-
-  const auto trades_unit_prices =
-      client.MetadataListUnitPrices(kGlbxMdp3, databento::Schema::Trades);
-  std::cout << "Unit prices (trades):\n";
-  for (const auto& mode_and_price : trades_unit_prices) {
-    std::cout << "- (" << mode_and_price.first << "): " << mode_and_price.second
-              << '\n';
-  }
-  std::cout << '\n';
-
-  const auto unit_price = client.MetadataListUnitPrices(
-      kGlbxMdp3, databento::FeedMode::Historical, databento::Schema::Trades);
-  std::cout << "Unit price (GLBX.MDP3, Historical, Trades): " << unit_price
-            << "\n\n";
-
   const std::size_t billable_size = client.MetadataGetBillableSize(
       kGlbxMdp3, {"2020-12-28", "2020-12-29"}, {"ESH1"}, databento::Schema::Mbo,
       databento::SType::RawSymbol, {});

include/databento/dbn.hpp

@@ -71,10 +71,16 @@ inline bool operator==(const MappingInterval& lhs, const MappingInterval& rhs) {
   return lhs.start_date == rhs.start_date && lhs.end_date == rhs.end_date &&
          lhs.symbol == rhs.symbol;
 }
+inline bool operator!=(const MappingInterval& lhs, const MappingInterval& rhs) {
+  return !(lhs == rhs);
+}
 
 inline bool operator==(const SymbolMapping& lhs, const SymbolMapping& rhs) {
   return lhs.raw_symbol == rhs.raw_symbol && lhs.intervals == rhs.intervals;
 }
+inline bool operator!=(const SymbolMapping& lhs, const SymbolMapping& rhs) {
+  return !(lhs == rhs);
+}
 
 inline bool operator==(const Metadata& lhs, const Metadata& rhs) {
   return lhs.version == rhs.version && lhs.dataset == rhs.dataset &&
@@ -88,6 +94,9 @@ inline bool operator==(const Metadata& lhs, const Metadata& rhs) {
          lhs.symbols == rhs.symbols && lhs.partial == rhs.partial &&
          lhs.not_found == rhs.not_found && lhs.mappings == rhs.mappings;
 }
+inline bool operator!=(const Metadata& lhs, const Metadata& rhs) {
+  return !(lhs == rhs);
+}
 
 std::string ToString(const Metadata& metadata);
 std::ostream& operator<<(std::ostream& stream, const Metadata& metadata);

include/databento/detail/json_helpers.hpp

@@ -80,6 +80,9 @@ template <>
 std::uint64_t ParseAt(const std::string& endpoint, const nlohmann::json& json,
                       const std::string& key);
 template <>
+std::uint16_t ParseAt(const std::string& endpoint, const nlohmann::json& json,
+                      const std::string& key);
+template <>
 double ParseAt(const std::string& endpoint, const nlohmann::json& json,
                const std::string& key);
 template <>