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0.14.0

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@github-actions github-actions released this 23 Nov 10:23
· 261 commits to main since this release
v0.14.0
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Release notes

This release adds support for DBN v2.

DBN v2 delivers improvements to the Metadata header symbology, new stype_in and stype_out
fields for SymbolMappingMsg, and extends the symbol field length for SymbolMappingMsg and
InstrumentDefMsg. The entire change notes are available here.
Users who wish to convert DBN v1 files to v2 can use the dbn-cli tool available in the databento-dbn crate.
On a future date, the Databento live and historical APIs will stop serving DBN v1.

This release is fully compatible with both DBN v1 and v2, and so should be seamless for most users.

Enhancements

  • Added support for DBN encoding version 2 (DBNv2), affecting SymbolMappingMsg,
    InstrumentDefMsg, and Metadata
    • Version 1 structs can be converted to version 2 structs with the ToV2() method
  • Added symbol_cstr_len field to Metadata to indicate the length of fixed symbol
    strings
  • Added stype_in and stype_out fields to SymbolMappingMsg to provide more context
    with live symbology updates
  • Added IndexTs methods to every record type which returns the primary timestamp
  • Added VersionUpgradePolicy enum to allow specifying how to handle decoding records
    from prior DBN versions
  • Added InstrumentDefMsgV2 and SymbolMappingMsgV2 type aliases
  • Added kDbnVersion constant for current DBN version
  • Added kSymbolCstrLen, kSymbolCstrLenV1, and kSymbolCstrLenV2 constants for the
    length of fixed-length symbol strings in different DBN versions
  • Added new publisher values in preparation for IFEU.IMPACT and NDEX.IMPACT datasets
  • Added new publisher values for consolidated DBEQ.BASIC and DBEQ.PLUS
  • Added kMaxRecordLen constant for the the length of the largest record type
  • Added ability to convert FlagSet to underlying representation

Breaking changes

  • The old InstrumentDefMsg is now InstrumentDefMsgV1 in compat.hpp
  • The old SymbolMappingMsg is now SymbolMappingMsgV1 in compat.hpp
  • Converted the following enums to enum classes to allow safely adding new variants:
    SecurityUpdateAction and SType
  • Renamed dummy to reserved in InstrumentDefMsg
  • Removed reserved2, reserved3, reserved4, and reserved5 from InstrumentDefMsg
  • Moved position of strike_price within InstrumentDefMsg
  • Removed deprecated SecurityUpdateAction::Invalid variant
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