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CHANGELOG.md

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## 0.15.0 - 2024-01-16
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### Breaking changes
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- Increased size of `SystemMsg` and `ErrorMsg` to provide better messages from Live
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gateway
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- Increased length of `err` and `msg` fields for more detailed messages
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## 0.14.1 - 2023-12-18
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### Enhancements
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- Added `PitSymbolMap` helper for keeping track of symbology mappings in Live
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- Added new publisher value for OPRA MIAX Sapphire
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### Bug fixes
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- Fixed misaligned read undefined behavior when decoding records
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## 0.14.0 - 2023-11-23
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This release is fully compatible with both DBN v1 and v2, and so should be seamless for most users.
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### Enhancements
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- Added support for DBN encoding version 2 (DBNv2), affecting `SymbolMappingMsg`,
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`InstrumentDefMsg`, and `Metadata`
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- Version 1 structs can be converted to version 2 structs with the `ToV2()` method
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length of fixed-length symbol strings in different DBN versions
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- Added new publisher values in preparation for IFEU.IMPACT and NDEX.IMPACT datasets
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- Added new publisher values for consolidated DBEQ.BASIC and DBEQ.PLUS
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- Added `kMaxRecordLen` constant for the the length of the largest record type
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- Added `kMaxRecordLen` constant for the length of the largest record type
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- Added ability to convert `FlagSet` to underlying representation
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### Breaking changes
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- The old `InstrumentDefMsg` is now `InstrumentDefMsgV1` in `compat.hpp`
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- The old `SymbolMappingMsg` is now `SymbolMappingMsgV1` in `compat.hpp`
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- Converted the following enums to enum classes to allow safely adding new variants:
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- Removed deprecated `SecurityUpdateAction::Invalid` variant
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## 0.13.1 - 2023-10-23
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### Enhancements
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- Added new publisher values in preparation for DBEQ.PLUS
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- Added `ToIso8601` for `UnixNanos` for converting to human-readable ISO8601 datetime
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string
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- Added `kUndefTimestamp` and `kUndefStatQuantity` constants
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- Added flag `kTob` for top-of-book messages
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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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- Added `map_symbols` option to `BatchSubmitJob`, which 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 `ClosePrice` and `NetChange` `StatType`s used in the `OPRA.PILLAR` dataset
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### 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
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- Added the `Publisher`, `Venue`, and `Dataset` enums
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- Added `Publisher` getters to `Record` and `RecordHeader` to convert the
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`publisher_id` to its enum
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## 0.11.0 - 2023-08-10
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#### Enhancements
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- Added `raw_instrument_id` to definition schema
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- Added `operator==` and `operator!=` implementations for `DatasetConditionDetail` and
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`DatasetRange`
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#### Breaking changes
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- Changed `MetadataListPublishers` to return a `vector<PublisherDetail>`
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- `MetadataListFields`:
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- Changed return type to `vector<FieldDetail>`
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- Removed `mode` and `schema` parameters
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#### Bug fixes
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- Fixed installation of `nlohmann_json` when using bundled version
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- Added missing `operator!=` implementations for `Metadata`, `MappingInterval`, and
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`SymbolMapping`
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## 0.10.0 - 2023-07-20
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#### Enhancements
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- Added preliminary support for Windows
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- Added `LiveThreaded::BlockForStop` to make it easier to wait for one or more records
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before closing the session
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length limit
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#### Breaking changes
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- Changed size-related fields and `limit` parameters to use `std::uint64_t` for consistency
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across architectures
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#### Bug fixes
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- Removed usage of non-portable `__PRETTY_FUNCTION__`
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## 0.9.1 - 2023-07-11
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#### Enhancements
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- Added constants for dataset codes for Databento Equity Basic and OPRA Pillar
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- Added `const char*` getters to records for fixed-length `char` arrays
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- Added `RType` getter to `Record`
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#### Bug fixes
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- Added batching for live subscriptions to avoid hitting max message length
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- Fixed bug in Zstd decompression
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- Fixed `Historical::BatchDownload` truncating file before writing each chunk
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## 0.9.0 - 2023-06-13
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#### Enhancements
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- Added `Reconnect` methods to `LiveBlocking` and `LiveThreaded`
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- Added optional `exception_callback` argument to `LiveThreaded::Start` to improve
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error handling options
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- Relaxed 10 minute minimum request time range restriction
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#### Breaking changes
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- Changed `use_ts_out` default to `false`
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#### Bug fixes
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- Fixed missing definition for `operator==` for `ImbalanceMsg`
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## 0.8.0 - 2023-05-16
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#### Enhancements
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- Changed `end` and `end_date` to optional to support new forward-fill behaviour
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#### Breaking changes
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- Renamed `booklevel` MBP field to `levels` for brevity and consistent naming
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- Removed `open_interest_qty` and `cleared_volume` fields from definition schema
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that were always unset
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## 0.7.0 - 2023-04-28
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#### Enhancements
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- Added initial support for live data with `LiveBlocking` and `LiveThreaded` clients
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- Added support for statistics schema
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- Added `SystemMsg` and `ErrorMsg` records for use in live data
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- Added optional `compression` parameter to `BatchSubmitJob`
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#### Breaking changes
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- Removed `related` and `related_security_id` from `InstrumentDefMsg`
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- Renamed `BatchJob.cost` to `cost_usd` and value now expressed as US dollars
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- Renamed `SType::ProductId` to `SType::InstrumentId` and `SType::Native` to
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- Changed some fields to enums in `InstrumentDefMsg`
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#### Deprecations
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- Deprecated `SType::Smart` to split into `SType::Parent` and `SType::Continuous`
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#### Bug fixes
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- Fixed parsing of `BatchSubmitJob` response
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- Fixed invalid read in `DbnDecoder`
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- Fixed memory leak in `TryCreateDir`
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## 0.6.1 - 2023-03-28
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#### Breaking changes
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- Removed usage of unreliable `std::ifstream::readsome`
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- Fixed Zstd decoding of files with multiple frames
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## 0.6.0 - 2023-03-24
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#### Enhancements
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- Added support for imbalance schema
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- Added support for decoding `ts_out` field
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- Added flags `kSnapshot` and `kMaybeBadBook`
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#### Breaking changes
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- Removed `record_count` from `Metadata`
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- Changed `Historical::BatchDownload` to return the paths of the downloaded files
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## 0.5.0 - 2023-03-13
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#### Enhancements
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- Added `Historical::MetadataGetDatasetRange`
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#### Breaking changes
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- Changed `MetadataGetDatasetCondition` to return `vector<DatasetConditionDetail>`
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- Removed `MetadataListCompressions` (redundant with docs)
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- Removed `MetadataListEncodings` (redundant with docs)
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- Disabled unit testing by default
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#### Breaking changes
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- Removed `is_full_universe` and `is_example` fields from `BatchJob`
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- Refactored rtypes
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- Introduced separate rtypes for each OHLCV schema
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- Changed `kAllSymbols` representation
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#### Bug fixes
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- Fixed usage of as a system library
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## 0.3.0 - 2023-01-06
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#### Enhancements
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- Added support for definition schema
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- Added option for CMake to download gtest
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- Updated `Flag` enum
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#### Breaking changes
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- Standardized getter method names to pascal case
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- Renamed `is_full_book` to `is_full_universe`
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- Renamed `TickMsg` to `MboMsg`
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- Changed `flags` fields to unsigned
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#### Bug fixes
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- Fixed cancellation in `Historical::TimeseriesStream`
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- Fixed race condition in `Historical::TimeseriesStream` exception handling
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- Fixed gtest linker error on macOS
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## 0.2.0 - 2022-12-01
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#### Enhancements
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- Added `Historical::MetadataGetDatasetCondition`
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- Improved Zstd CMake integration
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#### Bug fixes
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- Fixed requesting all symbols for a dataset
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## 0.1.0 - 2022-11-07
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- Initial release with support for historical data

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