From 9036b8aae70fcd5390643eda68466ac0cc95ac38 Mon Sep 17 00:00:00 2001 From: Chris Sellers Date: Thu, 25 Jul 2024 22:36:40 +1000 Subject: [PATCH 1/4] ADD: Add and rename symbology types --- include/databento/enums.hpp | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/include/databento/enums.hpp b/include/databento/enums.hpp index 3cd5d95..aa5be4b 100644 --- a/include/databento/enums.hpp +++ b/include/databento/enums.hpp @@ -70,9 +70,9 @@ enum SType : std::uint8_t { // "parent" symbol, e.g. ES.FUT to refer to all ES futures. Parent = 4, // Symbology for US equities using NASDAQ Integrated suffix conventions. - Nasdaq = 5, + NasdaqSymbol = 5, // Symbology for US equities using CMS suffix conventions. - Cms = 6, + CmsSymbol = 6, }; } // namespace stype using SType = stype::SType; From 7e113e874368d80c106a1805ffa985295e36aa7b Mon Sep 17 00:00:00 2001 From: Carter Green Date: Thu, 25 Jul 2024 08:58:36 -0500 Subject: [PATCH 2/4] MOD: Rename STypes in C++ --- CHANGELOG.md | 15 +++++++++-- include/databento/dbn_encoder.hpp | 4 +-- include/databento/enums.hpp | 2 +- include/databento/record.hpp | 2 -- include/databento/symbol_map.hpp | 6 ++--- src/enums.cpp | 45 ++++++++++++++++++++++++++----- 6 files changed, 58 insertions(+), 16 deletions(-) diff --git a/CHANGELOG.md b/CHANGELOG.md index 68807b8..fa13b59 100644 --- a/CHANGELOG.md +++ b/CHANGELOG.md @@ -1,10 +1,21 @@ # Changelog +## 0.21.0 - TBD + +### Breaking changes +- Renamed `SType::Nasdaq` variant to `SType::NasdaqSymbol` +- Renamed `SType::Cms` variant to `SType::CmsSymbol` + +### Bug fixes +- Added missing `ToString` and `FromString` branches for `SType::NasdaqSymbol` and + `SType::CmsSymbol` +- Removed `has_header_v` variable template that broke C++11 compatibility + ## 0.20.1 - 2024-07-16 ### Enhancements -- Improved installation with `CMake`: license is now installed, transitive dependencies are configured - when importing package +- Improved installation with `CMake`: license is now installed, transitive dependencies + are configured when importing package ## 0.20.0 - 2024-07-09 diff --git a/include/databento/dbn_encoder.hpp b/include/databento/dbn_encoder.hpp index efd93db..9bc251f 100644 --- a/include/databento/dbn_encoder.hpp +++ b/include/databento/dbn_encoder.hpp @@ -18,14 +18,14 @@ class DbnEncoder { template void EncodeRecord(const R& record) { static_assert( - has_header_v, + has_header::value, "must be a DBN record struct with an `hd` RecordHeader field"); EncodeRecord(Record{&record.hd}); } template void EncodeRecord(const WithTsOut record) { static_assert( - has_header_v, + has_header::value, "must be a DBN record struct with an `hd` RecordHeader field"); EncodeRecord(Record{&record.rec.hd}); } diff --git a/include/databento/enums.hpp b/include/databento/enums.hpp index aa5be4b..ba64920 100644 --- a/include/databento/enums.hpp +++ b/include/databento/enums.hpp @@ -4,7 +4,7 @@ #include #include -#include "databento/publishers.hpp" // Dataset, Publisher, Venue, FromString +#include "databento/publishers.hpp" // FromString namespace databento { // Represents a historical data center gateway location. diff --git a/include/databento/record.hpp b/include/databento/record.hpp index 5a3eab0..f9f9232 100644 --- a/include/databento/record.hpp +++ b/include/databento/record.hpp @@ -52,8 +52,6 @@ struct has_header : std::false_type {}; template struct has_header().hd)>> : std::is_same().hd), RecordHeader> {}; -template -constexpr bool has_header_v = has_header::value; class Record { public: diff --git a/include/databento/symbol_map.hpp b/include/databento/symbol_map.hpp index 0998f55..30c1b63 100644 --- a/include/databento/symbol_map.hpp +++ b/include/databento/symbol_map.hpp @@ -37,7 +37,7 @@ class TsSymbolMap { template Store::const_iterator Find(const R& rec) const { static_assert( - has_header_v, + has_header::value, "must be a DBN record struct with an `hd` RecordHeader field"); date::year_month_day index_date{ date::sys_days{date::floor(rec.IndexTs())}}; @@ -50,7 +50,7 @@ class TsSymbolMap { template const std::string& At(const R& rec) const { static_assert( - has_header_v, + has_header::value, "must be a DBN record struct with an `hd` RecordHeader field"); date::year_month_day index_date{ date::sys_days{date::floor(rec.IndexTs())}}; @@ -88,7 +88,7 @@ class PitSymbolMap { template const std::string& At(const R& rec) const { static_assert( - has_header_v, + has_header::value, "must be a DBN record struct with an `hd` RecordHeader field"); return map_.at(rec.hd.instrument_id); } diff --git a/src/enums.cpp b/src/enums.cpp index 4fe5f8d..2bf2b56 100644 --- a/src/enums.cpp +++ b/src/enums.cpp @@ -53,15 +53,15 @@ const char* ToString(Schema schema) { case Schema::Definition: { return "definition"; } - case Schema::Imbalance: { - return "imbalance"; - } case Schema::Statistics: { return "statistics"; } case Schema::Status: { return "status"; } + case Schema::Imbalance: { + return "imbalance"; + } case Schema::Cbbo: { return "cbbo"; } @@ -148,6 +148,12 @@ const char* ToString(SType stype) { case SType::Parent: { return "parent"; } + case SType::NasdaqSymbol: { + return "nasdaq_symbol"; + } + case SType::CmsSymbol: { + return "cms_symbol"; + } default: { return "unknown"; } @@ -522,6 +528,9 @@ const char* ToString(StatType stat_type) { case StatType::Delta: { return "Delta"; } + case StatType::UncrossingPrice: { + return "UncrossingPrice"; + } default: { return "Unknown"; } @@ -915,15 +924,33 @@ Schema FromString(const std::string& str) { if (str == "definition") { return Schema::Definition; } - if (str == "imbalance") { - return Schema::Imbalance; - } if (str == "statistics") { return Schema::Statistics; } if (str == "status") { return Schema::Status; } + if (str == "imbalance") { + return Schema::Imbalance; + } + if (str == "cbbo") { + return Schema::Cbbo; + } + if (str == "cbbo-1s") { + return Schema::Cbbo1S; + } + if (str == "cbbo-1m") { + return Schema::Cbbo1M; + } + if (str == "tcbbo") { + return Schema::Tcbbo; + } + if (str == "bbo-1s") { + return Schema::Bbo1S; + } + if (str == "bbo-1m") { + return Schema::Bbo1M; + } throw InvalidArgumentError{"FromString", "str", "unknown value '" + str + '\''}; } @@ -984,6 +1011,12 @@ SType FromString(const std::string& str) { if (str == "parent") { return SType::Parent; } + if (str == "nasdaq_symbol" || str == "nasdaq") { + return SType::NasdaqSymbol; + } + if (str == "cms_symbol" || str == "cms") { + return SType::CmsSymbol; + } throw InvalidArgumentError{"FromString", "str", "unknown value '" + str + '\''}; } From 301623b6705f0ffc03b3a82714aafc0a80097d8c Mon Sep 17 00:00:00 2001 From: Renan Gemignani Date: Tue, 30 Jul 2024 14:26:53 +0200 Subject: [PATCH 3/4] ADD: Dataset for DBEQ summary --- CHANGELOG.md | 3 +++ include/databento/publishers.hpp | 4 ++++ src/publishers.cpp | 18 ++++++++++++++++++ 3 files changed, 25 insertions(+) diff --git a/CHANGELOG.md b/CHANGELOG.md index fa13b59..6e1dfde 100644 --- a/CHANGELOG.md +++ b/CHANGELOG.md @@ -2,6 +2,9 @@ ## 0.21.0 - TBD +### Enhancements +- Added new publisher value for `DBEQ.SUMMARY` + ### Breaking changes - Renamed `SType::Nasdaq` variant to `SType::NasdaqSymbol` - Renamed `SType::Cms` variant to `SType::CmsSymbol` diff --git a/include/databento/publishers.hpp b/include/databento/publishers.hpp index cd6c4c9..6b78e1a 100644 --- a/include/databento/publishers.hpp +++ b/include/databento/publishers.hpp @@ -159,6 +159,8 @@ enum class Dataset : std::uint16_t { DbeqMax = 30, // Nasdaq Basic (NLS+QBBO) XnasBasic = 31, + // Databento Equities Summary + DbeqSummary = 32, }; // A specific Venue from a specific data source. @@ -341,6 +343,8 @@ enum class Publisher : std::uint16_t { XnasBasicXbos = 88, // Nasdaq Basic - Nasdaq PSX XnasBasicXpsx = 89, + // Databento Equities Summary + DbeqSummaryDbeq = 90, }; // Get a Publisher's Venue. diff --git a/src/publishers.cpp b/src/publishers.cpp index 1cd8fae..aebae49 100644 --- a/src/publishers.cpp +++ b/src/publishers.cpp @@ -381,6 +381,9 @@ const char* ToString(Dataset dataset) { case Dataset::XnasBasic: { return "XNAS.BASIC"; } + case Dataset::DbeqSummary: { + return "DBEQ.SUMMARY"; + } default: { return "Unknown"; } @@ -487,6 +490,9 @@ Dataset FromString(const std::string& str) { if (str == "XNAS.BASIC") { return Dataset::XnasBasic; } + if (str == "DBEQ.SUMMARY") { + return Dataset::DbeqSummary; + } throw InvalidArgumentError{"FromString", "str", "unknown value '" + str + '\''}; } @@ -760,6 +766,9 @@ Venue PublisherVenue(Publisher publisher) { case Publisher::XnasBasicXpsx: { return Venue::Xpsx; } + case Publisher::DbeqSummaryDbeq: { + return Venue::Dbeq; + } default: { throw InvalidArgumentError{ "PublisherVenue", "publisher", @@ -1037,6 +1046,9 @@ Dataset PublisherDataset(Publisher publisher) { case Publisher::XnasBasicXpsx: { return Dataset::XnasBasic; } + case Publisher::DbeqSummaryDbeq: { + return Dataset::DbeqSummary; + } default: { throw InvalidArgumentError{ "PublisherDataset", "publisher", @@ -1315,6 +1327,9 @@ const char* ToString(Publisher publisher) { case Publisher::XnasBasicXpsx: { return "XNAS.BASIC.XPSX"; } + case Publisher::DbeqSummaryDbeq: { + return "DBEQ.SUMMARY.DBEQ"; + } default: { return "Unknown"; } @@ -1595,6 +1610,9 @@ Publisher FromString(const std::string& str) { if (str == "XNAS.BASIC.XPSX") { return Publisher::XnasBasicXpsx; } + if (str == "DBEQ.SUMMARY.DBEQ") { + return Publisher::DbeqSummaryDbeq; + } throw InvalidArgumentError{"FromString", "str", "unknown value '" + str + '\''}; } From e7e68dc599301a9aae96023bdff10e23be81aa0b Mon Sep 17 00:00:00 2001 From: Carter Green Date: Tue, 30 Jul 2024 11:27:34 -0500 Subject: [PATCH 4/4] VER: Release 0.21.0 --- CHANGELOG.md | 2 +- CMakeLists.txt | 2 +- pkg/PKGBUILD | 2 +- 3 files changed, 3 insertions(+), 3 deletions(-) diff --git a/CHANGELOG.md b/CHANGELOG.md index 6e1dfde..6f0e034 100644 --- a/CHANGELOG.md +++ b/CHANGELOG.md @@ -1,6 +1,6 @@ # Changelog -## 0.21.0 - TBD +## 0.21.0 - 2024-07-30 ### Enhancements - Added new publisher value for `DBEQ.SUMMARY` diff --git a/CMakeLists.txt b/CMakeLists.txt index bed28fb..bc6df46 100644 --- a/CMakeLists.txt +++ b/CMakeLists.txt @@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14) # Project details # -project("databento" VERSION 0.20.1 LANGUAGES CXX) +project("databento" VERSION 0.21.0 LANGUAGES CXX) string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE) # diff --git a/pkg/PKGBUILD b/pkg/PKGBUILD index 40ab411..57c9baa 100644 --- a/pkg/PKGBUILD +++ b/pkg/PKGBUILD @@ -1,7 +1,7 @@ # Maintainer: Databento _pkgname=databento-cpp pkgname=databento-cpp-git -pkgver=0.20.1 +pkgver=0.21.0 pkgrel=1 pkgdesc="Official C++ client for Databento" arch=('any')