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databento 0.24.0

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@github-actions github-actions released this 23 Nov 08:32
· 345 commits to main since this release
v0.24.0
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Release notes

This release adds support for DBN v2 as well as Python v3.12.

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 of databento-python is fully compatible with both DBN v1 and v2, so this upgrade should be seamless for most users.

In some cases, DBN v1 records will be converted to their v2 counterparts:

  • When iterating a DBNStore and with DBNStore.replay
  • When iterating a Live client and records dispatched to callbacks

Enhancements

  • Added support for Python 3.12
  • Improved the performance for stream writes in the Live client
  • Upgraded databento-dbn to 0.14.2
  • Added databento.common.types module to hold common type annotations

Bug fixes

  • Fixed an issue where specifying an OHLCV schema in DBNStore.to_ndarray or DBNStore.to_df would not properly filter records by their interval
  • Fixed an issue where DBNStore.to_ndarray and DBNStore.to_df with a non-zero count could get stuck in a loop if the DBN data did not contain any records

Breaking Changes

  • DBNStore iteration and DBNStore.replay will upgrade DBN version 1 messages to version 2
  • Live client iteration and callbacks upgrade DBN version 1 messages to version 2
  • Moved DBNRecord, RecordCallback, and ExceptionCallback types to them databento.common.types module
  • Moved AUTH_TIMEOUT_SECONDS and CONNECT_TIMEOUT_SECONDS constants from the databento.live module to databento.live.session
  • Moved INT64_NULL from the databento.common.dbnstore module to databento.common.constants
  • Moved SCHEMA_STRUCT_MAP from the databento.common.data module to databento.common.constants
  • Removed schema parameter from DataFrameIterator constructor, struct_type is to be used instead
  • Removed NON_SCHEMA_RECORD_TYPES constant as it is no longer used
  • Removed DERIV_SCHEMAS constant as it is no longer used
  • Removed SCHEMA_COLUMNS constant as it is no longer used
  • Removed SCHEMA_DTYPES_MAP constant as it is no longer used
  • Removed empty databento.common.data module
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