databento 0.64.0

Release notes

Enhancements

• Upgraded databento-dbn to 0.42.0
  • Added ts_index and pretty_ts_index properties for records in Python which provides the timestamp that is most appropriate for indexing
  • Fixed type stub for channel_id to allow None

Bug fixes

• Fixed type hint for start parameter in Live.subscribe()

databento 0.63.0

Release notes

Enhancements

• Upgraded databento-dbn to 0.41.0

Bug fixes

• Fixed an issue where calling Live.stop() would not clean up the client state once the socket is closed

databento 0.62.0

Release notes

This release delivers a number of breaking changes to the Python interface for DBN records to provide a cleaner and more consistent API.

Breaking changes

• Removed bill_id from the response of batch.list_jobs() and batch.submit_job()
• Upgraded databento-dbn to 0.40.0
  • Removed hd property from records in Python. Header fields are accessible
    directly from the record
  • Removed ability to directly instantiate most enums from an int in Python and coercion
    from int in __eq__. They can still be instantitated with the from_int class method.
    Write Side.from_int(66) instead of Side(66) and Side.BID == Side.from_int(66)
    instead of Side.BID == 66. Affected enums:
    • Side
    • Action
    • InstrumentClass
    • MatchAlgorithm
    • UserDefinedInstrument
    • SecurityUpdateAction
    • SType
    • Schema
    • Encoding
    • Compression
    • TriState
  • Removed string coercion in __init__ and __eq__ for RType, SystemCode, and
    ErrorCode enums in Python. It can still be instantiated from a str with the
    from_str class method. Write RType.from_str("mbo") instead of RType("mbo")
    and RType.TRADES == RType.from_str("trades") instead of RType.TRADES == "trades"

Enhancements

• Added END_OF_INTERVAL variant to SystemCode enum

databento 0.61.0

Release notes

Breaking changes

• Modified the states parameter in batch.list_jobs()

Enhancements

• Added JobState enum
• Added export of SystemCode and ErrorCode from databento_dbn to the root databento package
• Added F_PUBLISHER_SPECIFIC flag to RecordFlags enum

Bug fixes

• Bumped the minimum version requirement for requests to 0.27.0

databento 0.60.0

Release notes

Enhancements

• Added parquet_schema option to DBNStore.to_parquet() for overriding the pyarrow schema.
• Upgraded databento-dbn to 0.39.0
  • Added side() and unpaired_side() methods to ImbalanceMsg that convert the fields
    of the same name to the Side enum
  • Added pretty_auction_time property in Python for ImbalanceMsg
  • Added action and ts_in_delta getters to BboMsg
  • Added ts_recv getter to StatusMsg
  • Added missing floating-point price getters to InstrumentDefMsg record types from all
    DBN versions
  • Added more floating-point price getters to ImbalanceMsg
  • Added floating-point price getter to StatMsg
  • Standardize Python __init__ type signatures
  • Changed auction_time field in ImbalanceMsg to be formatted as a timestamp
  • Fixed a regression where some enum constructors no longer raised a DBNError in
    Python

Bug fixes

• Removed unused S3 and Disk variants from Delivery enum

databento 0.59.0

Release notes

Enhancements

• Upgraded databento-dbn to 0.37.1
  • Fix buffer growth in DbnFsm::write_all(), which is used by DBNDecoder.write()

Breaking changes

• Renamed the following Venue, Dataset, and Publishers:
  • XEER to XEEE
  • XEER.EOBI to XEEE.EOBI
  • XEER.EOBI.XEER to XEEE.EOBI.XEEE
  • XEER.EOBI.XOFF to XEEE.EOBI.XOFF

databento 0.58.0

Release notes

Enhancements

• Changed the tz parameter in DBNStore.to_df() to accept datetime.tzinfo instead of pytz.BaseTzInfo explicitly
• Modified the dependency specification for databento_dbn to allow for compatible patch versions
• Upgraded databento-dbn to 0.36.2
  • Fixed change in behavior where Python DBNDecoder.decode() wouldn't always decode all available data on the first call

databento 0.57.1

Release notes

Enhancements

• Changed the following Venue, Publisher, and Dataset descriptions:
  • "ICE Futures Europe (Financials)" renamed to "ICE Europe Financials"
  • "ICE Futures Europe (Commodities)" renamed to "ICE Europe Commodities"
• Upgraded databento-dbn to 0.36.1
  • Fixed setting of ts_out property of DbnFsm based on decoded metadata. This
    was preventing ts_out from being correctly decoded in the Python DBNDecoder
  • Fixed decoding of ts_out with first records in DBNDecoder

Bug fixes

• Fixed an issue where DBN records from the Live client where not having their ts_out populated

databento 0.57.0

Release notes

Enhancements

• Upgraded databento-dbn to 0.36.0
  • Added missing Python type stubs for several leg properties of InstrumentDefMsg

Bug fixes

• Fixed an issue where the zstandard frame size could limit the size of DataFrame objects returned by DBNStore.to_df() when a count was specified

Deprecations

• Deprecated int and pd.Timestamp types for start_date and end_date parameters which will be removed in a future release

databento 0.56.0

Release notes

Breaking changes

• Updated the names of several subfields in the Reference.corporate_actions.get_range(...) response,
  under the date_info, event_info, and rate_info fields. The following subfields were renamed:
  • decl_currency renamed to declared_currency
  • decl_gross_amount renamed to declared_gross_amount
  • f_x_rate renamed to fx_rate
  • iss_new_name renamed to issuer_new_name
  • iss_old_name renamed to issuer_old_name
  • new_bbg_company_id renamed to new_bbg_comp_id
  • new_bbg_company_tk renamed to new_bbg_comp_ticker
  • new_bbg_exh_id renamed to new_figi
  • new_bbg_exh_tk renamed to new_figi_ticker
  • new_min_tra_qty renamed to new_min_trading_qty
  • new_mktsg_id renamed to new_market_segment_id
  • new_reg_s144_a renamed to new_reg_s144a
  • new_unit_sec_id renamed to new_unit_security_id
  • offeree_iss_id renamed to offeree_issuer_id
  • offeror_iss_id renamed to offeror_issuer_id
  • old_bbg_company_id renamed to old_bbg_comp_id
  • old_bbg_company_tk renamed to old_bbg_comp_ticker
  • old_bbg_exh_id renamed to old_figi
  • old_bbg_exh_tk renamed to old_figi_ticker
  • old_min_tra_qty renamed to old_min_trading_qty
  • old_mktsg_id renamed to old_market_segment_id
  • old_reg_s144_a renamed to old_reg_s144a
  • old_unit_sec_id renamed to old_unit_security_id
  • pp_sec_id renamed to pp_security_id
  • poolfactor renamed to pool_factor
  • pre_offer_q_ty renamed to pre_offer_qty
  • qual_st_cap_gains renamed to qual_short_term_cap_gains
  • redem_percentage renamed to redemption_percentage
  • st_cap_gains renamed to short_term_cap_gains
  • sec_new_name renamed to security_new_name
  • sec_old_name renamed to security_old_name
  • section199_a_foreign_tax_paid renamed to section199a_foreign_tax_paid
  • section199_a_inc_div renamed to section199a_inc_div
  • section199_a_st_cap_gain renamed to section199a_short_term_cap_gain
  • tra_isin renamed to trading_isin
  • tra_sec_id renamed to trading_security_id
  • us_deposit_receiptateto_currency renamed to usd_rate_to_currency
  • cashbak renamed to cash_back
  • companyulsory_acq_date renamed to compulsory_acq_date
  • frankdiv renamed to franked_div
  • lead_plntiff_deadline_date renamed to lead_plaintiff_deadline_date
  • maxprice renamed to max_price
  • minprice renamed to min_price
  • redem_premium renamed to redemption_premium
  • redem_price renamed to redemption_price
  • unit_frankdiv renamed to unfranked_div

Enhancements

• Upgraded databento-dbn to 0.35.1