VER: Release 0.19.0

.github/workflows/build.yaml

@@ -24,13 +24,13 @@ jobs:
           sudo apt-get install libpcre3 libpcre3-dev libzstd-dev ninja-build
       - name: Install cppcheck
         run: |
-          git clone https://github.com/danmar/cppcheck.git
+          git clone https://github.com/danmar/cppcheck.git --branch 2.14.1
           cd cppcheck
           cmake -S. -B build \
             -DCMAKE_BUILD_TYPE=Release \
-            -DUSE_MATCHCOMPILER=On \
+            -DUSE_MATCHCOMPILER=ON \
             -DHAVE_RULES=ON
-          cmake --build build --config Release
+          cmake --build build --config Release --parallel
           sudo cmake --install build --prefix /usr
       - name: Install gtest
         uses: MarkusJx/[email protected]
@@ -94,6 +94,6 @@ jobs:
             -DVCPKG_BUILD_TYPE=debug `
             -DDATABENTO_USE_EXTERNAL_GTEST=0
       - name: CMake build
-        run: cmake --build build --parallel 10
+        run: cmake --build build --parallel
       - name: Unit tests
         run: cd build && ctest --verbose --exclude-regex cmake

CHANGELOG.md

@@ -1,5 +1,30 @@
 # Changelog
 
+## 0.19.0 - 2024-06-04
+
+### Enhancements
+- Added configurable `heartbeat_interval` parameter for live clients that determines the
+  timeout before heartbeat `SystemMsg` records will be sent. It can be configured via
+  the `SetHeartbeatInterval` method of the `LiveBuilder`
+- Added `SetAddress` method to `LiveBuilder` for configuring a custom gateway address
+  without using the constructor directly
+- Added new `UncrossingPrice` `StatType` variant
+- Added new publisher values for `XNAS.BASIC`
+- Added `SetDataset(Dataset)` overload to `LiveBuilder`
+- Added new off-market publisher values for `IFEU.IMPACT` and `NDEX.IMPACT`
+
+### Breaking changes
+- Added `heartbeat_interval` parameter to the `Live` constructors
+- Removed `start_date` and `end_date` fields from `DatasetRange` struct
+  in favor of `start` and `end`
+- Removed live `Subscribe` method overloads with `use_snapshot`
+  parameter in favor of separate `SubscribeWithSnapshot` method
+
+### Bug fixes
+- Fixed overloading of live `Subscribe` methods
+- Fixed live subscribing with default-constructed `UnixNanos`
+- Fixed descriptions for `FINN` and `FINY` publishers.
+
 ## 0.18.1 - 2024-05-22
 
 ### Enhancements

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.18.1 LANGUAGES CXX)
+project("databento" VERSION 0.19.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #

include/databento/enums.hpp

@@ -232,6 +232,7 @@ namespace stat_type {
 // The type of statistic contained in a StatMsg.
 enum StatType : std::uint16_t {
   // The price of the first trade of an instrument. `price` will be set.
+  // `quantity` will be set when provided by the venue.
   OpeningPrice = 1,
   // The probable price of the first trade of an instrument published during
   // pre-open. Both `price` and `quantity` will be set.
@@ -265,6 +266,7 @@ enum StatType : std::uint16_t {
   // be set.
   FixingPrice = 10,
   // The last trade price during a trading session. `price` will be set.
+  // `quantity` will be set when provided by the venue.
   ClosePrice = 11,
   // The change in price from the close price of the previous trading session to
   // the most recent trading session. `price` will be set.
@@ -279,6 +281,12 @@ enum StatType : std::uint16_t {
   // The option delta associated with the settlement price. `price` will be set
   // with the standard precision.
   Delta = 15,
+  // The auction uncrossing price. This is used for auctions that are neither
+  // the
+  // official opening auction nor the official closing auction. `price` will be
+  // set. `quantity` will be set when provided by the venue.
+  UncrossingPrice = 16,
+
 };
 }  // namespace stat_type
 using stat_type::StatType;

include/databento/live.hpp

@@ -1,10 +1,12 @@
 #pragma once
 
+#include <chrono>
 #include <string>
 
 #include "databento/enums.hpp"  // VersionUpgradePolicy
 #include "databento/live_blocking.hpp"
 #include "databento/live_threaded.hpp"
+#include "databento/publishers.hpp"
 
 namespace databento {
 class ILogReceiver;
@@ -22,13 +24,18 @@ class LiveBuilder {
   LiveBuilder& SetKeyFromEnv();
   LiveBuilder& SetKey(std::string key);
   LiveBuilder& SetDataset(std::string dataset);
+  LiveBuilder& SetDataset(Dataset dataset);
   // Whether to append the gateway send timestamp after each DBN message.
   LiveBuilder& SetSendTsOut(bool send_ts_out);
   // Set the version upgrade policy for when receiving DBN data from a prior
   // version. Defaults to upgrading to DBNv2 (if not already).
   LiveBuilder& SetUpgradePolicy(VersionUpgradePolicy upgrade_policy);
   // Sets the receiver of the logs to be used by the client.
   LiveBuilder& SetLogReceiver(ILogReceiver* log_receiver);
+  // Overrides the heartbeat interval.
+  LiveBuilder& SetHeartbeatInterval(std::chrono::seconds heartbeat_interval);
+  // Overrides the gateway and port. This is an advanced method.
+  LiveBuilder& SetAddress(std::string gateway, std::uint16_t port);
   // Attempts to construct an instance of a blocking live client or throws an
   // exception.
   LiveBlocking BuildBlocking();
@@ -40,9 +47,12 @@ class LiveBuilder {
   void Validate();
 
   ILogReceiver* log_receiver_{};
+  std::string gateway_{};
+  std::uint16_t port_{};
   std::string key_;
   std::string dataset_;
   bool send_ts_out_{false};
   VersionUpgradePolicy upgrade_policy_{VersionUpgradePolicy::Upgrade};
+  std::chrono::seconds heartbeat_interval_{};
 };
 }  // namespace databento

include/databento/live_blocking.hpp

@@ -4,6 +4,7 @@
 #include <chrono>  // milliseconds
 #include <cstdint>
 #include <string>
+#include <utility>  // pair
 #include <vector>
 
 #include "databento/datetime.hpp"           // UnixNanos
@@ -22,10 +23,12 @@ class ILogReceiver;
 class LiveBlocking {
  public:
   LiveBlocking(ILogReceiver* log_receiver, std::string key, std::string dataset,
-               bool send_ts_out, VersionUpgradePolicy upgrade_policy);
+               bool send_ts_out, VersionUpgradePolicy upgrade_policy,
+               std::chrono::seconds heartbeat_interval);
   LiveBlocking(ILogReceiver* log_receiver, std::string key, std::string dataset,
                std::string gateway, std::uint16_t port, bool send_ts_out,
-               VersionUpgradePolicy upgrade_policy);
+               VersionUpgradePolicy upgrade_policy,
+               std::chrono::seconds heartbeat_interval);
   /*
    * Getters
    */
@@ -36,6 +39,11 @@ class LiveBlocking {
   std::uint16_t Port() const { return port_; }
   bool SendTsOut() const { return send_ts_out_; }
   VersionUpgradePolicy UpgradePolicy() const { return upgrade_policy_; }
+  // The the first member of the pair will be true, when the heartbeat interval
+  // was overridden.
+  std::pair<bool, std::chrono::seconds> HeartbeatInterval() const {
+    return {heartbeat_interval_.count() > 0, heartbeat_interval_};
+  }
 
   /*
    * Methods
@@ -50,8 +58,8 @@ class LiveBlocking {
                  SType stype_in, UnixNanos start);
   void Subscribe(const std::vector<std::string>& symbols, Schema schema,
                  SType stype_in, const std::string& start);
-  void Subscribe(const std::vector<std::string>& symbols, Schema schema,
-                 SType stype_in, bool use_snapshot);
+  void SubscribeWithSnapshot(const std::vector<std::string>& symbols,
+                             Schema schema, SType stype_in);
   // Notifies the gateway to start sending messages for all subscriptions.
   //
   // This method should only be called once per instance.
@@ -95,6 +103,7 @@ class LiveBlocking {
   bool send_ts_out_;
   std::uint8_t version_{};
   VersionUpgradePolicy upgrade_policy_;
+  std::chrono::seconds heartbeat_interval_;
   detail::TcpClient client_;
   // Must be 8-byte aligned for records
   alignas(RecordHeader) std::array<char, kMaxStrLen> read_buffer_{};

include/databento/live_threaded.hpp

@@ -4,6 +4,7 @@
 #include <functional>  // function
 #include <memory>      // unique_ptr
 #include <string>
+#include <utility>  // pair
 #include <vector>
 
 #include "databento/datetime.hpp"              // UnixNanos
@@ -31,10 +32,12 @@ class LiveThreaded {
       std::function<ExceptionAction(const std::exception&)>;
 
   LiveThreaded(ILogReceiver* log_receiver, std::string key, std::string dataset,
-               bool send_ts_out, VersionUpgradePolicy upgrade_policy);
+               bool send_ts_out, VersionUpgradePolicy upgrade_policy,
+               std::chrono::seconds heartbeat_interval);
   LiveThreaded(ILogReceiver* log_receiver, std::string key, std::string dataset,
                std::string gateway, std::uint16_t port, bool send_ts_out,
-               VersionUpgradePolicy upgrade_policy);
+               VersionUpgradePolicy upgrade_policy,
+               std::chrono::seconds heartbeat_interval);
   LiveThreaded(const LiveThreaded&) = delete;
   LiveThreaded& operator=(const LiveThreaded&) = delete;
   LiveThreaded(LiveThreaded&& other) noexcept;
@@ -51,6 +54,9 @@ class LiveThreaded {
   std::uint16_t Port() const;
   bool SendTsOut() const;
   VersionUpgradePolicy UpgradePolicy() const;
+  // The the first member of the pair will be true, when the heartbeat interval
+  // was overridden.
+  std::pair<bool, std::chrono::seconds> HeartbeatInterval() const;
 
   /*
    * Methods
@@ -65,8 +71,8 @@ class LiveThreaded {
                  SType stype_in, UnixNanos start);
   void Subscribe(const std::vector<std::string>& symbols, Schema schema,
                  SType stype_in, const std::string& start);
-  void Subscribe(const std::vector<std::string>& symbols, Schema schema,
-                 SType stype_in, bool use_snapshot);
+  void SubscribeWithSnapshot(const std::vector<std::string>& symbols,
+                             Schema schema, SType stype_in);
   // Notifies the gateway to start sending messages for all subscriptions.
   // `metadata_callback` will be called exactly once, before any calls to
   // `record_callback`. `record_callback` will be called for records from all

include/databento/metadata.hpp

@@ -32,8 +32,8 @@ struct DatasetConditionDetail {
 };
 
 struct DatasetRange {
-  std::string start_date;
-  std::string end_date;
+  std::string start;
+  std::string end;
 };
 
 inline bool operator==(const PublisherDetail& lhs, const PublisherDetail& rhs) {
@@ -71,7 +71,7 @@ inline bool operator!=(const DatasetConditionDetail& lhs,
 }
 
 inline bool operator==(const DatasetRange& lhs, const DatasetRange& rhs) {
-  return lhs.start_date == rhs.start_date && lhs.end_date == rhs.end_date;
+  return lhs.start == rhs.start && lhs.end == rhs.end;
 }
 inline bool operator!=(const DatasetRange& lhs, const DatasetRange& rhs) {
   return !(lhs == rhs);

include/databento/publishers.hpp

@@ -91,6 +91,8 @@ enum class Venue : std::uint16_t {
   Sphr = 41,
   // Long-Term Stock Exchange, Inc.
   Ltse = 42,
+  // Off-Exchange Transactions - Listed Instruments
+  Xoff = 43,
 };
 
 // A source of data.
@@ -155,6 +157,8 @@ enum class Dataset : std::uint16_t {
   NdexImpact = 29,
   // Databento Equities Max
   DbeqMax = 30,
+  // Nasdaq Basic (NLS+QBBO)
+  XnasBasic = 31,
 };
 
 // A specific Venue from a specific data source.
@@ -265,9 +269,9 @@ enum class Publisher : std::uint16_t {
   DbeqPlusXnas = 52,
   // DBEQ Plus - NYSE
   DbeqPlusXnys = 53,
-  // DBEQ Plus - FINRA/NYSE TRF
-  DbeqPlusFinn = 54,
   // DBEQ Plus - FINRA/Nasdaq TRF Carteret
+  DbeqPlusFinn = 54,
+  // DBEQ Plus - FINRA/NYSE TRF
   DbeqPlusFiny = 55,
   // DBEQ Plus - FINRA/Nasdaq TRF Chicago
   DbeqPlusFinc = 56,
@@ -293,9 +297,9 @@ enum class Publisher : std::uint16_t {
   DbeqMaxXnas = 66,
   // DBEQ Max - NYSE
   DbeqMaxXnys = 67,
-  // DBEQ Max - FINRA/NYSE TRF
-  DbeqMaxFinn = 68,
   // DBEQ Max - FINRA/Nasdaq TRF Carteret
+  DbeqMaxFinn = 68,
+  // DBEQ Max - FINRA/NYSE TRF
   DbeqMaxFiny = 69,
   // DBEQ Max - FINRA/Nasdaq TRF Chicago
   DbeqMaxFinc = 70,
@@ -319,6 +323,16 @@ enum class Publisher : std::uint16_t {
   DbeqMaxArcx = 79,
   // DBEQ Max - Long-Term Stock Exchange
   DbeqMaxLtse = 80,
+  // Nasdaq Basic - Nasdaq
+  XnasBasicXnas = 81,
+  // Nasdaq Basic - FINRA/Nasdaq TRF Carteret
+  XnasBasicFinn = 82,
+  // Nasdaq Basic - FINRA/Nasdaq TRF Chicago
+  XnasBasicFinc = 83,
+  // ICE Futures Europe - Off-Market Trades
+  IfeuImpactXoff = 84,
+  // ICE Endex - Off-Market Trades
+  NdexImpactXoff = 85,
 };
 
 // Get a Publisher's Venue.

pkg/PKGBUILD

@@ -1,7 +1,7 @@
 # Maintainer: Databento <[email protected]>
 _pkgname=databento-cpp
 pkgname=databento-cpp-git
-pkgver=0.18.1
+pkgver=0.19.0
 pkgrel=1
 pkgdesc="Official C++ client for Databento"
 arch=('any')

src/historical.cpp

@@ -559,9 +559,8 @@ databento::DatasetRange Historical::MetadataGetDatasetRange(
   if (!json.is_object()) {
     throw JsonResponseError::TypeMismatch(kEndpoint, "object", json);
   }
-  return DatasetRange{
-      detail::ParseAt<std::string>(kEndpoint, json, "start_date"),
-      detail::ParseAt<std::string>(kEndpoint, json, "end_date")};
+  return DatasetRange{detail::ParseAt<std::string>(kEndpoint, json, "start"),
+                      detail::ParseAt<std::string>(kEndpoint, json, "end")};
 }
 
 static const std::string kMetadataGetRecordCountEndpoint =