CHANGELOG.md

Changelog

0.16.0 - TBD

Enhancements

• Upgraded DBN version to 0.23.1:
  • Added floating-point getters for price fields
  • Added new IntelligentCross venues ASPN, ASMT, and ASPI
  • Upgraded thiserror version to 2.0

Deprecations

• Deprecated Packaging enum and packaging field on SubmitJobParams and BatchJob. These will be removed in a future version. All files from a batch job can be downloaded with the batch().download() method on the historical client

0.15.0 - 2024-10-22

Enhancements

• Upgraded DBN version to 0.23.0:
  • Added new None Action variant that will be gradually rolled out to historical and live GLBX.MDP3 data
  • Added consistent escaping of non-printable and non-ASCII values when text encoding c_char fields
  • Implemented Default for Action and Side
  • Implemented missing Serialize for (with serde feature enabled) for Venue, Dataset, Publisher, Compression, SType, Schema, and Encoding

0.14.1 - 2024-10-08

Enhancements

• Upgraded DBN version to 0.22.1:
  • Fixed buffer overrun
  • Combined _reserved3 and reserved4 fields in CbboMsg

0.14.0 - 2024-10-01

Enhancements

• Made several previously internal functions public to allow advanced users more customization and piecemeal usage of the live API:
  • ApiKey
  • Symbols::to_chunked_api_string()
  • live::protocol module containing implementations of the raw API messages
• Changed from log crate to tracing for better diagnostics

0.13.0 - 2024-09-25

Enhancements

• Upgraded DBN version to 0.21.0 for:
  • Changed the layout of CbboMsg to better match BboMsg
  • Renamed Schema::Cbbo to Schema::Cmbp1
• Upgraded typed-builder version to 0.20

Deprecations

• Deprecated Packaging::Tar. Users should switch to Packaging::Zip. This variant will be removed in a future version when it is no longer supported by the API

0.12.1 - 2024-08-27

Enhancements

• Added Intraday variant to DatasetCondition in preparation for intraday data being available from the historical API
• Upgraded DBN version to 0.20.1 for new publisher values for XCIS.BBOTRADES and XNYS.BBOTRADES

0.12.0 - 2024-07-30

Breaking changes

• Upgraded DBN version to 0.20.0:
  • Renamed SType::Nasdaq variant to SType::NasdaqSymbol
  • Renamed SType::Cms variant to SType::CmsSymbol

0.11.4 - 2024-07-16

Enhancements

• Upgraded DBN version to 0.19.1 with fixes for BBOMsg record struct

0.11.3 - 2024-07-09

Enhancements

• Upgraded DBN version to 0.19.0 with new BBOMsg record struct

0.11.2 - 2024-06-25

Enhancements

• Added historical::timeseries::get_range_to_file method to persist the data stream to a given path before returning an AsyncDbnDecoder
• Upgraded DBN version to 0.18.2

0.11.1 - 2024-06-11

Enhancements

• Added getter for heartbeat_interval to LiveClient

Bug fixes

• Fixed potential incorrect DNS resolution when overriding the live gateway address with live::Builder::addr

0.11.0 - 2024-06-04

Enhancements

• Added configurable heartbeat_interval parameter for live client that determines the timeout before heartbeat SystemMsg records will be sent. It can be configured via the heartbeat_interval and heartbeat_interval_s methods of the live::ClientBuilder
• Added addr function to live::ClientBuilder for configuring a custom gateway address without using LiveClient::connect_with_addr directly
• Upgraded DBN version to 0.18.1

Breaking changes

• Added heartbeat_interval parameter to LiveClient::connect and LiveClient::connect_with_addr
• Removed deprecated start_date and end_date fields from DatasetRange struct

0.10.0 - 2024-05-22

Enhancements

• Added use_snapshot attribute to Subscription, defaults to false
• Upgraded reqwest version to 0.12

Breaking changes

• Upgraded DBN version to 0.18.0
  • Changed type of flags in MboMsg, TradeMsg, Mbp1Msg, Mbp10Msg, and CbboMsg from u8 to a new FlagSet type with predicate methods for the various bit flags as well as setters. The u8 value can still be obtained by calling the raw() method
    • Improved Debug formatting
  • Switched DecodeStream from streaming_iterator crate to fallible_streaming_iterator to allow better notification of errors
  • Changed default value for stype_in and stype_out in SymbolMappingMsg to u8::MAX to match C++ client and to reflect an unknown value. This also changes the value of these fields when upgrading a SymbolMappingMsgV1 to DBNv2

0.9.1 - 2024-05-15

Bug fixes

• Fixed build when only live feature is enabled

0.9.0 - 2024-05-14

Enhancements

• Added start and end fields to the DatasetRange struct which provide time resolution and an exclusive end date
• Upgraded DBN version to 0.17.1

Deprecations

• The start_date and end_date fields of the DatasetRange struct are deprecated and will be removed in a future release

0.8.0 - 2024-04-01

Enhancements

• Upgraded DBN version to 0.17.0
  • Added new record types and schema variants for consolidated BBO and subsampled BBO
  • Added Volatility and Delta StatType variants

Breaking changes

• Removed previously-deprecated live::SymbolMap. Please use databento::dbn::PitSymbolMap instead

0.7.1 - 2024-03-05

Enhancements

• Improve error handling when a historical HTTP error response is not in the expected JSON format

0.7.0 - 2024-03-01

Enhancements

• Document cancellation safety of LiveClient methods (credit: @yongqli)
• Document live::Subscription::start is based on ts_event
• Allow constructing a DateRange and DateTimeRange with an end based on a time::Duration
• Implemented Debug for LiveClient, live::ClientBuilder, HistoricalClient, historical::ClientBuilder, BatchClient, MetadataClient, SymbologyClient, and TimeseriesClient
• Derived Clone for live::ClientBuilder and historical::ClientBuilder
• Added ApiKey type for safely deriving Debug for types containing an API key

Breaking changes

• Changed default upgrade_policy in LiveBuilder and GetRangeParams to Upgrade so by default the primary record types can always be used
• Simplified DateRange and DateTimeRange by removing FwdFill variant that didn't work correctly
• Upgraded DBN version to 0.16.0
  • Updated StatusMsg in preparation for status schema release
  • Fixed handling of ts_out when upgrading DBNv1 records to version 2
  • Fixed handling of ErrorMsgV1 and SystemMsgV1 in rtype dispatch macros

0.6.0 - 2024-01-16

Enhancements

• Relaxed version requirements for tokio, tokio-util, and thiserror

Breaking changes

• Upgraded DBN version to 0.15.0
  • Added support for larger SystemMsg and ErrorMsg records
  • Improved Debug implementations for records and RecordRef
  • Improved panic messages for RecordRef::get
• Upgraded typed-builder to 0.18

Bug fixes

• Fixed documentation for end in DateRange::Closed and DateTimeRange::Closed

0.5.0 - 2023-11-23

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

• Made LiveClient::next_record, dbn::decode::AsyncDbnDecoder::decode_record and decode_record_ref, and dbn::decode::AsyncRecordDecoder::decode and decode_ref cancel safe. This makes them safe to use within a tokio::select! statement
• Improved error reporting for HistoricalClient when receiving an error from Databento's API
• Improved error messages around API keys
• Improved performance of CSV and JSON encoding
• Added support for emitting warnings from historical API response headers, such as for future deprecations
• Added symbol_map method to the Resolution struct returned by symbology::resolve that returns a TsSymbolMap
• Added PartialEq and Eq implementations for parameter builder classes
• Added upgrade_policy setter to the LiveClient builder and a getter to the LiveClient
• Added upgrade_policy optional setter to the timeseries::GetRangeParams builder

Breaking changes

• Upgraded dbn to 0.14.2. There are several breaking changes in this release as we begin migrating to DBN encoding version 2 (DBNv2) in order to support the ICE exchange:
  • Renamed dbn::InstrumentDefMsg to dbn::compat::InstrumentDefMsgV1 and added a new dbn::InstrumentDefMsg with a longer raw_symbol field
  • Renamed dbn::SymbolMappingMsg to dbn::compat::SymbolMappingMsgV1 and added a new dbn::SymbolMappingMsg with longer symbol fields and new stype_in and stype_out fields
  • Added symbol_cstr_len field to dbn::Metadata
• Made Error non-exhaustive, meaning it no longer be exhaustively matched against, and new variants can be added in the future without a breaking change
• Added an upgrade_policy parameter to LiveClient::connect and connect_with_addr. The builder provides a more stable API since new parameters are usually introduced as optional

Deprecations

• Deprecated live::SymbolMap in favor of databento::dbn::PitSymbolMap

0.4.2 - 2023-10-23

Enhancemets

• Upgraded dbn to 0.13.0 for improvements to symbology helpers
• Upgraded tokio to 1.33
• Upgraded typed-builder to 0.17

Bug fixes

• Fixed panic in LiveClient when gateway returned an auth response without the success key

0.4.1 - 2023-10-06

Enhancements

• Added support for changing datetime format used in batch job responses
• Upgraded dbn to 0.11.1

0.4.0 - 2023-09-21

Enhancements

• Added pretty_px option for batch::submit_job, which formats prices to the correct scale using the fixed-precision scalar 1e-9 (available for CSV and JSON text encodings)
• Added pretty_ts option for batch::submit_job, which formats timestamps as ISO 8601 strings (available for CSV and JSON text encodings)
• Added map_symbols option to batch::submit_job, which appends the raw symbol to every record (available for CSV and JSON text encodings) reducing the need to look at the symbology.json file
• Added split_symbols option for batch::submit_job, which will split files by raw symbol
• Added encoding option to batch::submit_job to allow requesting non-DBN encoded data through the client
• Added map_symbols, pretty_px, and pretty_ts to BatchJob response
• Added default stype_in of RawSymbol for live subscriptions to match behavior of the historical client and the Python client

0.3.0 - 2023-09-13

Enhancements

• Added SymbolMap type to help maintain up-to-date symbol mappings with live data
• Added chunking to handle subscribing to many symbols for the Live client
• Upgraded DBN version to 0.10.2 for easier historical symbology

0.2.1 - 2023-08-25

Enhancements

• Upgraded DBN version to 0.9.0 for publisher improvements to support OPRA

0.2.0 - 2023-08-10

Breaking changes

• Changed metadata::list_publishers to return a Vec<PublisherDetail>
• metadata::list_fields:
  • Changed return type to Vec<FieldDetail>
  • Made encoding and schema parameters required
  • Removed dataset parameter
• metadata::list_unit_prices:
  • Changed return type to Vec<UnitPricesForMode>
  • Made dataset parameter required
  • Removed mode and schema parameters

0.1.0 - 2023-08-02

• Initial release with support for historical and live data