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

databento 0.55.1

Release notes

Bug fixes

• Fixed decoding of DBN versions 1 and 2 statistics in DBNStore.to_df()

databento 0.55.0

Release notes

Enhancements

• Added exchanges parameter to Reference.corporate_actions.get_range(...)
• Added is_last field to live subscription requests which will be used to improve
  the handling of split subscription requests
• Upgraded databento-dbn to 0.35.0
  • This version delivers DBN version 3 (DBNv3), which is the new default
  • Improved the performance of the Python DBNDecoder

Bug fixes

• Fixed an issue where JSONDecodeError would not be caught when using simplejson with requests (credit: @xuanqing94)

databento 0.54.0

Release notes

Enhancements

• Added new off-market publishers for Eurex, and European Energy Exchange (EEX)
• Increased live subscription symbol chunking size
• Upgraded databento-dbn to 0.34.0

databento 0.53.0

Release notes

Enhancements

• Upgraded databento-dbn to 0.33.1
  • Added SystemCode and ErrorCode enums to indicate types of system and error messages
  • Added code() methods to SystemMsg and ErrorMsg to retrieve the enum value if one exists and equivalent properties in Python

Bug fixes

• Fixed issue where all SystemMsg records were logged as gateway heartbeats

databento 0.52.0

Release notes

Enhancements

• Added new optional id field to SubcriptionRequest class which will be used for improved error messages
• Upgraded databento-dbn to 0.32.0
  • Fixed RType variant names in Python to match Schema
  • Added missing Python type declarations for RType variants
  • Fixed issue with Python _hidden_fields definition that caused KeyError: _reserved1_00
    with CMBP1Msg and other records with ConsolidatedBidAskPair

databento 0.51.0

Release notes

Enhancements

• Upgraded databento-dbn to 0.31.0
  • Fixed Python type annotation for SystemMsg.is_heartbeat() method that was previously annotated as a property

databento 0.50.0

Release notes

Enhancements

• Added new venues, datasets, and publishers for ICE Futures US, ICE Futures Europe (Financial products), Eurex, and European Energy Exchange (EEX)
• Added export of the following enums from databento_dbn to the root databento package:
  • Action
  • InstrumentClass
  • MatchAlgorithm
  • RType
  • SecurityUpdateAction
  • Side
  • StatUpdateAction
  • TriState
  • UserDefinedInstrument
  • VersionUpgradePolicy
• Added export of the following constants from databento_dbn to the root databento package:
  • DBN_VERSION
  • FIXED_PRICE_SCALE
  • UNDEF_ORDER_SIZE
  • UNDEF_PRICE
  • UNDEF_STAT_QUANTITY
  • UNDEF_TIMESTAMP
• Added export of BidAskPair and ConsolidatedBidAskPair from databento_dbn to the root databento package
• Upgraded databento-dbn to 0.29.0
  • Added COMMODITY_SPOT InstrumentClass variant
• Improved handling of datetime and date objects in start and end parameters