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VER: Release 0.13.0
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‎CHANGELOG.md‎

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# Changelog
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## 0.13.0 - 2023-09-21
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### Enhancements
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- Added `pretty_px` option for `BatchSubmitJob`, which formats prices to the correct
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scale using the fixed-precision scalar 1e-9 (available for CSV and JSON text
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encodings)
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- Added `pretty_ts` option for `BatchSubmitJob`, which formats timestamps as ISO 8601
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strings (available for CSV and JSON text encodings)
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- Added `map_symbols` option to `BatchSubmitJob`, which appends appends the raw symbol
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to every record (available for CSV and JSON text encodings) reducing the need to look
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at the `symbology.json` file
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- Added `split_symbols` option for `BatchSubmitJob`, which will split files by raw symbol
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- Added `encoding` option to `BatchSubmitJob` to allow requesting non-DBN encoded
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data through the client
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- Added `map_symbols`, `pretty_px`, and `pretty_ts` to `BatchJob` response
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- Added `ARCX.PILLAR.ARCX` publisher
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- Added `ClosePrice` and `NetChange` `StatType`s used in the `OPRA.PILLAR` dataset
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20+
### Breaking changes
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- Remove `default_value` parameter from `Historical::SymbologyResolve`
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## 0.12.1 - 2023-08-25
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### Bug fixes
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- Fixed typo in `BATY.PITCH.BATY` publisher
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## 0.12.0 - 2023-08-24
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##### Enhancements

‎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 0.12.0 LANGUAGES CXX)
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project("databento" VERSION 0.13.0 LANGUAGES CXX)
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string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
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#

‎include/databento/batch.hpp‎

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@@ -27,6 +27,9 @@ struct BatchJob {
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std::uint64_t limit;
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Encoding encoding;
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Compression compression;
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bool pretty_px;
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bool pretty_ts;
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bool map_symbols;
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SplitDuration split_duration;
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std::uint64_t split_size;
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bool split_symbols;

‎include/databento/enums.hpp‎

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

‎include/databento/historical.hpp‎

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@@ -49,15 +49,19 @@ class Historical {
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const std::vector<std::string>& symbols,
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Schema schema,
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const DateTimeRange<UnixNanos>& datetime_range,
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Compression compression, SplitDuration split_duration,
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Encoding encoding, Compression compression,
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bool pretty_px, bool pretty_ts, bool map_symbols,
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bool split_symbols, SplitDuration split_duration,
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std::uint64_t split_size, Packaging packaging,
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Delivery delivery, SType stype_in, SType stype_out,
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std::uint64_t limit);
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BatchJob BatchSubmitJob(const std::string& dataset,
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const std::vector<std::string>& symbols,
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Schema schema,
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const DateTimeRange<std::string>& datetime_range,
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Compression compression, SplitDuration split_duration,
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Encoding encoding, Compression compression,
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bool pretty_px, bool pretty_ts, bool map_symbols,
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bool split_symbols, SplitDuration split_duration,
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std::uint64_t split_size, Packaging packaging,
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Delivery delivery, SType stype_in, SType stype_out,
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std::uint64_t limit);
@@ -153,11 +157,6 @@ class Historical {
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const std::vector<std::string>& symbols,
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SType stype_in, SType stype_out,
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const DateRange& date_range);
156-
SymbologyResolution SymbologyResolve(const std::string& dataset,
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const std::vector<std::string>& symbols,
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SType stype_in, SType stype_out,
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const DateRange& date_range,
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const std::string& default_value);
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/*
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* Timeseries API

‎include/databento/publishers.hpp‎

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namespace databento {
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// A trading execution venue.
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enum class Venue : std::uint16_t {
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// CME GLOBEX
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// CME Globex
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Glbx = 1,
12-
// NASDAQ
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// Nasdaq - All Markets
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Xnas = 2,
14-
// NASDAQ OMX BX
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// Nasdaq OMX BX
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Xbos = 3,
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// NASDAQ OMX PSX
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// Nasdaq OMX PSX
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Xpsx = 4,
18-
// CBOE BZX U.S. EQUITIES EXCHANGE
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// Cboe BZX U.S. Equities Exchange
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Bats = 5,
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// CBOE BYX U.S. EQUITIES EXCHANGE
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// Cboe BYX U.S. Equities Exchange
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Baty = 6,
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// CBOE EDGA U.S. EQUITIES EXCHANGE
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// Cboe EDGA U.S. Equities Exchange
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Edga = 7,
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// CBOE EDGX U.S. EQUITIES EXCHANGE
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// Cboe EDGX U.S. Equities Exchange
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Edgx = 8,
26-
// New York Stock Exchange
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// New York Stock Exchange, Inc.
2727
Xnys = 9,
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// NYSE NATIONAL, INC.
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// NYSE National, Inc.
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Xcis = 10,
30-
// NYSE AMERICAN
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// NYSE MKT LLC
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Xase = 11,
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// NYSE ARCA
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// NYSE Arca
3333
Arcx = 12,
34-
// NYSE CHICAGO, INC.
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// NYSE Chicago, Inc.
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Xchi = 13,
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// INVESTORS EXCHANGE
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// Investors Exchange
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Iexg = 14,
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// FINRA/NASDAQ TRF CARTERET
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// FINRA/Nasdaq TRF Carteret
3939
Finn = 15,
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// FINRA/NASDAQ TRF CHICAGO
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// FINRA/Nasdaq TRF Chicago
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Finc = 16,
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// FINRA/NYSE TRF
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Finy = 17,
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// MEMX LLC EQUITIES
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// MEMX LLC Equities
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Memx = 18,
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// MIAX PEARL EQUITIES
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// MIAX Pearl Equities
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Eprl = 19,
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// NYSE AMERICAN OPTIONS
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// NYSE American Options
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Amxo = 20,
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// BOX OPTIONS EXCHANGE
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// BOX Options Exchange
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Xbox = 21,
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// CBOE OPTIONS EXCHANGE
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// Cboe Options Exchange
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Xcbo = 22,
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// MIAX EMERALD
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// MIAX Emerald
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Emld = 23,
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// Cboe EDGX Options Exchange
5757
Edgo = 24,
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// NASDAQ GEMX
58+
// ISE Gemini Exchange
5959
Gmni = 25,
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// NASDAQ ISE
60+
// International Securities Exchange, LLC
6161
Xisx = 26,
62-
// NASDAQ MRX
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// ISE Mercury, LLC
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Mcry = 27,
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// MIAX INTERNATIONAL SECURITIES
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// Miami International Securities Exchange
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Xmio = 28,
66-
// NYSE ARCA OPTIONS
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// NYSE Arca Options
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Arco = 29,
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// OPRA
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// Options Price Reporting Authority
6969
Opra = 30,
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// MIAX PEARL
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// MIAX Pearl
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Mprl = 31,
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// NASDAQ OPTIONS MARKET
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// Nasdaq Options Market
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Xndq = 32,
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// NASDAQ BX OPTIONS
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// Nasdaq OMX BX Options
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Xbxo = 33,
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// CBOE C2 OPTIONS EXCHANGE
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// Cboe C2 Options Exchange
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C2Ox = 34,
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// NASDAQ PHLX
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// Nasdaq OMX PHLX
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Xphl = 35,
80-
// CBOE BZX Options Exchange
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// Cboe BZX Options Exchange
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Bato = 36,
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// MEMX Options Exchange
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// MEMX LLC Options
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Mxop = 37,
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};
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// A source of data.
8787
enum class Dataset : std::uint16_t {
8888
// CME MDP 3.0 Market Data
8989
GlbxMdp3 = 1,
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// Nasdaq XNAS TotalView-ITCH
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// Nasdaq TotalView-ITCH
9191
XnasItch = 2,
92-
// Nasdaq XBOS TotalView-ITCH
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// Nasdaq BX TotalView-ITCH
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XbosItch = 3,
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// Nasdaq XPSX TotalView-ITCH
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// Nasdaq PSX TotalView-ITCH
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XpsxItch = 4,
96-
// CBOE BZX
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// Cboe BZX Depth Pitch
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BatsPitch = 5,
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// CBOE BYX
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// Cboe BYX Depth Pitch
9999
BatyPitch = 6,
100-
// CBOE EDGA
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// Cboe EDGA Depth Pitch
101101
EdgaPitch = 7,
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// CBOE EDGX
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// Cboe EDGX Depth Pitch
103103
EdgxPitch = 8,
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// NYSE
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// NYSE Integrated
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XnysPillar = 9,
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// NYSE National
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// NYSE National Integrated
107107
XcisPillar = 10,
108-
// NYSE American
108+
// NYSE American Integrated
109109
XasePillar = 11,
110-
// NYSE Chicago
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// NYSE Chicago Integrated
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XchiPillar = 12,
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// NYSE National BBO
113113
XcisBbo = 13,
114-
// NYSE National TRADES
114+
// NYSE National Trades
115115
XcisTrades = 14,
116116
// MEMX Memoir Depth
117117
MemxMemoir = 15,
118118
// MIAX Pearl Depth
119119
EprlDom = 16,
120-
// Finra/Nasdaq TRF
120+
// FINRA/Nasdaq TRF
121121
FinnNls = 17,
122-
// Finra/NYSE TRF
122+
// FINRA/NYSE TRF
123123
FinyTrades = 18,
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// OPRA Binary Recipient
124+
// OPRA Binary
125125
OpraPillar = 19,
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// Databento Equities Basic
127127
DbeqBasic = 20,
128-
// NYSE Arca
128+
// NYSE Arca Integrated
129129
ArcxPillar = 21,
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// Investors Exchange TOPS
130+
// IEX TOPS
131131
IexgTops = 22,
132132
};
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@@ -137,25 +137,25 @@ enum class Publisher : std::uint16_t {
137137
GlbxMdp3Glbx = 1,
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// Nasdaq TotalView ITCH
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XnasItchXnas = 2,
140-
// Nasdaq XBOS TotalView ITCH
140+
// Nasdaq BX TotalView ITCH
141141
XbosItchXbos = 3,
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// Nasdaq XPSX TotalView ITCH
142+
// Nasdaq PSX TotalView ITCH
143143
XpsxItchXpsx = 4,
144-
// CBOE BZX
144+
// Cboe BZX Depth Pitch
145145
BatsPitchBats = 5,
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// CBOE BYX
147-
BatyPitchBats = 6,
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// CBOE EDGA
146+
// Cboe BYX Depth Pitch
147+
BatyPitchBaty = 6,
148+
// Cboe EDGA Depth Pitch
149149
EdgaPitchEdga = 7,
150-
// CBOE EDGX
150+
// Cboe EDGX Depth Pitch
151151
EdgxPitchEdgx = 8,
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// NYSE
152+
// NYSE Integrated
153153
XnysPillarXnys = 9,
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// NYSE National
154+
// NYSE National Integrated
155155
XcisPillarXcis = 10,
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// NYSE American
156+
// NYSE American Integrated
157157
XasePillarXase = 11,
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// NYSE Chicago
158+
// NYSE Chicago Integrated
159159
XchiPillarXchi = 12,
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// NYSE National BBO
161161
XcisBboXcis = 13,
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165165
MemxMemoirMemx = 15,
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// MIAX Pearl Depth
167167
EprlDomEprl = 16,
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// FINRA/NASDAQ TRF CARTERET
168+
// FINRA/Nasdaq TRF Carteret
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FinnNlsFinn = 17,
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// FINRA/NASDAQ TRF CHICAGO
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// FINRA/Nasdaq TRF Chicago
171171
FinnNlsFinc = 18,
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// FINRA/NYSE TRF
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FinyTradesFiny = 19,
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// OPRA - NYSE AMERICAN OPTIONS
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// OPRA - NYSE American
175175
OpraPillarAmxo = 20,
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// OPRA - BOX OPTIONS EXCHANGE
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// OPRA - Boston Options Exchange
177177
OpraPillarXbox = 21,
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// OPRA - CBOE OPTIONS EXCHANGE
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// OPRA - Cboe Options Exchange
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OpraPillarXcbo = 22,
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// OPRA - MIAX EMERALD
180+
// OPRA - MIAX Emerald
181181
OpraPillarEmld = 23,
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// OPRA - Cboe EDGX Options Exchange
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OpraPillarEdgo = 24,
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// OPRA - NASDAQ GEMX
184+
// OPRA - Nasdaq GEMX
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OpraPillarGmni = 25,
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// OPRA - NASDAQ ISE
186+
// OPRA - Nasdaq ISE
187187
OpraPillarXisx = 26,
188-
// OPRA - NASDAQ MRX
188+
// OPRA - Nasdaq MRX
189189
OpraPillarMcry = 27,
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// OPRA - MIAX INTERNATIONAL SECURITIES
190+
// OPRA - Miami International Securities
191191
OpraPillarXmio = 28,
192-
// OPRA - NYSE ARCA OPTIONS
192+
// OPRA - NYSE Arca
193193
OpraPillarArco = 29,
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// OPRA - OPRA
194+
// OPRA - Options Price Reporting Authority
195195
OpraPillarOpra = 30,
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// OPRA - MIAX PEARL
196+
// OPRA - MIAX Pearl
197197
OpraPillarMprl = 31,
198-
// OPRA - NASDAQ OPTIONS MARKET
198+
// OPRA - Nasdaq Options Market
199199
OpraPillarXndq = 32,
200-
// OPRA - NASDAQ BX OPTIONS
200+
// OPRA - Nasdaq BX Options
201201
OpraPillarXbxo = 33,
202-
// OPRA - CBOE C2 OPTIONS EXCHANGE
202+
// OPRA - Cboe C2 Options Exchange
203203
OpraPillarC2Ox = 34,
204-
// OPRA - NASDAQ PHLX
204+
// OPRA - Nasdaq PHLX
205205
OpraPillarXphl = 35,
206-
// OPRA - CBOE BZX Options Exchange
206+
// OPRA - Cboe BZX Options
207207
OpraPillarBato = 36,
208-
// OPRA - MEMX OPTIONS EXCHANGE
208+
// OPRA - MEMX Options Exchange
209209
OpraPillarMxop = 37,
210-
// Investors Exchange TOPS
210+
// IEX TOPS
211211
IexgTopsIexg = 38,
212-
// DBEQ Basic - Nyse Chicago
212+
// DBEQ Basic - NYSE Chicago
213213
DbeqBasicXchi = 39,
214-
// DBEQ Basic - Nyse National
214+
// DBEQ Basic - NYSE National
215215
DbeqBasicXcis = 40,
216-
// DBEQ Basic - Investors Exchange
216+
// DBEQ Basic - IEX
217217
DbeqBasicIexg = 41,
218218
// DBEQ Basic - MIAX Pearl
219219
DbeqBasicEprl = 42,
220+
// NYSE Arca Integrated
221+
ArcxPillarArcx = 43,
220222
};
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// Get a Publisher's Venue.

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