VER: Release 0.16.0

.github/workflows/build.yaml

@@ -15,7 +15,7 @@ jobs:
     runs-on: ubuntu-latest
     steps:
       - name: Checkout repository
-        uses: actions/checkout@v3
+        uses: actions/checkout@v4
       - name: Install dependencies
         # pcre is a dependency of cppcheck
         run: |
@@ -27,8 +27,8 @@ jobs:
           cd cppcheck
           cmake -S. -B build \
             -DCMAKE_BUILD_TYPE=Release \
-            -DUSE_MATCHCOMPILER=1 \
-            -DHAVE_RULES=1
+            -DUSE_MATCHCOMPILER=On \
+            -DHAVE_RULES=ON
           cmake --build build --config Release
           sudo cmake --install build --prefix /usr
       - name: Install gtest
@@ -54,7 +54,7 @@ jobs:
     runs-on: macos-latest
     steps:
       - name: Checkout repository
-        uses: actions/checkout@v3
+        uses: actions/checkout@v4
       - name: Install dependencies
         run: brew install cmake cppcheck googletest openssl@3 ninja zstd
       # Don't enable clang-tidy on macOS because it's incredibly slow
@@ -77,9 +77,9 @@ jobs:
     runs-on: windows-latest
     steps:
       - name: Checkout repository
-        uses: actions/checkout@v3
+        uses: actions/checkout@v4
       - name: Cache dependencies
-        uses: actions/cache@v3
+        uses: actions/cache@v4
         env:
           cache-name: cache-vcpkg
         with:

.github/workflows/release.yaml

@@ -18,7 +18,7 @@ jobs:
 
     steps:
       - name: Checkout repository
-        uses: actions/checkout@v3
+        uses: actions/checkout@v4
         with:
           fetch-depth: 2
 

CHANGELOG.md

@@ -1,8 +1,32 @@
 # Changelog
 
-## 0.15.0 - 2023-01-16
+## 0.16.0 - 2024-03-01
+
+### Enhancements
+- Added new publisher values for consolidated DBEQ.MAX
+- Added constructor to `WithTsOut` that updates `length` to the correct value to account
+  for the extra 8 bytes
+- Upgrade default cpp-httplib version to 0.14.3 (last to still support OpenSSL 1.1)
+- Upgrade default nlohmann_json version to 3.11.3
+
+### Breaking changes
+- Changed default `upgrade_policy` to `Upgrade` so by default the primary record types
+  can always be used
+- Renamed `dummy` field in `ImbalanceMsg` and `StatMsg` to `reserved`
+
+### Bug fixes
+- Fixed handling of `ts_out` when decoding DBNv1 and upgrading to version 2
+- Fixed missing logic to upgrade `ErrorMsgV1` and `SystemMsgV1` when decoding DBN with
+  `VersionUpgradePolicy::Upgrade`
+- Added missing `StatType::Vwap` variant used in the ICE datasets
+- Added missing `ToString` and `operator<<` handling for `StatType::ClosePrice` and
+  `StatType::NetChange`
+- Fixed potential for invalid reads when decoding C strings in `DbnDecoder`
+
+## 0.15.0 - 2024-01-16
 
 ### Breaking changes
+
 - Increased size of `SystemMsg` and `ErrorMsg` to provide better messages from Live
   gateway
   - Increased length of `err` and `msg` fields for more detailed messages
@@ -16,10 +40,12 @@
 ## 0.14.1 - 2023-12-18
 
 ### Enhancements
+
 - Added `PitSymbolMap` helper for keeping track of symbology mappings in Live
 - Added new publisher value for OPRA MIAX Sapphire
 
 ### Bug fixes
+
 - Fixed misaligned read undefined behavior when decoding records
 
 ## 0.14.0 - 2023-11-23
@@ -35,6 +61,7 @@ On a future date, the Databento live and historical APIs will stop serving DBN v
 This release is fully compatible with both DBN v1 and v2, and so should be seamless for most users.
 
 ### Enhancements
+
 - Added support for DBN encoding version 2 (DBNv2), affecting `SymbolMappingMsg`,
   `InstrumentDefMsg`, and `Metadata`
   - Version 1 structs can be converted to version 2 structs with the `ToV2()` method
@@ -51,10 +78,11 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
   length of fixed-length symbol strings in different DBN versions
 - Added new publisher values in preparation for IFEU.IMPACT and NDEX.IMPACT datasets
 - Added new publisher values for consolidated DBEQ.BASIC and DBEQ.PLUS
-- Added `kMaxRecordLen` constant for the the length of the largest record type
+- Added `kMaxRecordLen` constant for the length of the largest record type
 - Added ability to convert `FlagSet` to underlying representation
 
 ### Breaking changes
+
 - The old `InstrumentDefMsg` is now `InstrumentDefMsgV1` in `compat.hpp`
 - The old `SymbolMappingMsg` is now `SymbolMappingMsgV1` in `compat.hpp`
 - Converted the following enums to enum classes to allow safely adding new variants:
@@ -65,21 +93,25 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
 - Removed deprecated `SecurityUpdateAction::Invalid` variant
 
 ## 0.13.1 - 2023-10-23
+
 ### Enhancements
+
 - Added new publisher values in preparation for DBEQ.PLUS
 - Added `ToIso8601` for `UnixNanos` for converting to human-readable ISO8601 datetime
   string
 - Added `kUndefTimestamp` and `kUndefStatQuantity` constants
 - Added flag `kTob` for top-of-book messages
 
 ## 0.13.0 - 2023-09-21
+
 ### Enhancements
+
 - Added `pretty_px` option for `BatchSubmitJob`, 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 `BatchSubmitJob`, which formats timestamps as ISO 8601
   strings (available for CSV and JSON text encodings)
-- Added `map_symbols` option to `BatchSubmitJob`, which appends appends the raw symbol
+- Added `map_symbols` option to `BatchSubmitJob`, 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 `BatchSubmitJob`, which will split files by raw symbol
@@ -90,27 +122,33 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
 - Added `ClosePrice` and `NetChange` `StatType`s used in the `OPRA.PILLAR` dataset
 
 ### Breaking changes
+
 - Remove `default_value` parameter from `Historical::SymbologyResolve`
 
 ## 0.12.1 - 2023-08-25
+
 ### Bug fixes
+
 - Fixed typo in `BATY.PITCH.BATY` publisher
 
 ## 0.12.0 - 2023-08-24
 
 ##### Enhancements
+
 - Added the `Publisher`, `Venue`, and `Dataset` enums
 - Added `Publisher` getters to `Record` and `RecordHeader` to convert the
   `publisher_id` to its enum
 
 ## 0.11.0 - 2023-08-10
 
 #### Enhancements
+
 - Added `raw_instrument_id` to definition schema
 - Added `operator==` and `operator!=` implementations for `DatasetConditionDetail` and
   `DatasetRange`
 
 #### Breaking changes
+
 - Changed `MetadataListPublishers` to return a `vector<PublisherDetail>`
 - `MetadataListFields`:
   - Changed return type to `vector<FieldDetail>`
@@ -122,13 +160,15 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
   - Removed `mode` and `schema` parameters
 
 #### Bug fixes
+
 - Fixed installation of `nlohmann_json` when using bundled version
 - Added missing `operator!=` implementations for `Metadata`, `MappingInterval`, and
   `SymbolMapping`
 
 ## 0.10.0 - 2023-07-20
 
 #### Enhancements
+
 - Added preliminary support for Windows
 - Added `LiveThreaded::BlockForStop` to make it easier to wait for one or more records
   before closing the session
@@ -139,27 +179,32 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
   length limit
 
 #### Breaking changes
+
 - Changed size-related fields and `limit` parameters to use `std::uint64_t` for consistency
   across architectures
 
 #### Bug fixes
+
 - Removed usage of non-portable `__PRETTY_FUNCTION__`
 
 ## 0.9.1 - 2023-07-11
 
 #### Enhancements
+
 - Added constants for dataset codes for Databento Equity Basic and OPRA Pillar
 - Added `const char*` getters to records for fixed-length `char` arrays
 - Added `RType` getter to `Record`
 
 #### Bug fixes
+
 - Added batching for live subscriptions to avoid hitting max message length
 - Fixed bug in Zstd decompression
 - Fixed `Historical::BatchDownload` truncating file before writing each chunk
 
 ## 0.9.0 - 2023-06-13
 
 #### Enhancements
+
 - Added `Reconnect` methods to `LiveBlocking` and `LiveThreaded`
 - Added optional `exception_callback` argument to `LiveThreaded::Start` to improve
   error handling options
@@ -168,24 +213,29 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
 - Relaxed 10 minute minimum request time range restriction
 
 #### Breaking changes
+
 - Changed `use_ts_out` default to `false`
 
 #### Bug fixes
+
 - Fixed missing definition for `operator==` for `ImbalanceMsg`
 
 ## 0.8.0 - 2023-05-16
 
 #### Enhancements
+
 - Changed `end` and `end_date` to optional to support new forward-fill behaviour
 
 #### Breaking changes
+
 - Renamed `booklevel` MBP field to `levels` for brevity and consistent naming
 - Removed `open_interest_qty` and `cleared_volume` fields from definition schema
   that were always unset
 
 ## 0.7.0 - 2023-04-28
 
 #### Enhancements
+
 - Added initial support for live data with `LiveBlocking` and `LiveThreaded` clients
 - Added support for statistics schema
 - Added `SystemMsg` and `ErrorMsg` records for use in live data
@@ -203,6 +253,7 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
 - Added optional `compression` parameter to `BatchSubmitJob`
 
 #### Breaking changes
+
 - Removed `related` and `related_security_id` from `InstrumentDefMsg`
 - Renamed `BatchJob.cost` to `cost_usd` and value now expressed as US dollars
 - Renamed `SType::ProductId` to `SType::InstrumentId` and `SType::Native` to
@@ -214,38 +265,46 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
 - Changed some fields to enums in `InstrumentDefMsg`
 
 #### Deprecations
+
 - Deprecated `SType::Smart` to split into `SType::Parent` and `SType::Continuous`
 
 #### Bug fixes
+
 - Fixed parsing of `BatchSubmitJob` response
 - Fixed invalid read in `DbnDecoder`
 - Fixed memory leak in `TryCreateDir`
 
 ## 0.6.1 - 2023-03-28
 
 #### Breaking changes
+
 - Removed usage of unreliable `std::ifstream::readsome`
 
 #### Bug fixes
+
 - Fixed Zstd decoding of files with multiple frames
 
 ## 0.6.0 - 2023-03-24
 
 #### Enhancements
+
 - Added support for imbalance schema
 - Added support for decoding `ts_out` field
 - Added flags `kSnapshot` and `kMaybeBadBook`
 
 #### Breaking changes
+
 - Removed `record_count` from `Metadata`
 - Changed `Historical::BatchDownload` to return the paths of the downloaded files
 
 ## 0.5.0 - 2023-03-13
 
 #### Enhancements
+
 - Added `Historical::MetadataGetDatasetRange`
 
 #### Breaking changes
+
 - Changed `MetadataGetDatasetCondition` to return `vector<DatasetConditionDetail>`
 - Removed `MetadataListCompressions` (redundant with docs)
 - Removed `MetadataListEncodings` (redundant with docs)
@@ -268,6 +327,7 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
 - Disabled unit testing by default
 
 #### Breaking changes
+
 - Removed `is_full_universe` and `is_example` fields from `BatchJob`
 - Refactored rtypes
   - Introduced separate rtypes for each OHLCV schema
@@ -277,34 +337,41 @@ This release is fully compatible with both DBN v1 and v2, and so should be seaml
 - Changed `kAllSymbols` representation
 
 #### Bug fixes
+
 - Fixed usage of as a system library
 
 ## 0.3.0 - 2023-01-06
 
 #### Enhancements
+
 - Added support for definition schema
 - Added option for CMake to download gtest
 - Updated `Flag` enum
 
 #### Breaking changes
+
 - Standardized getter method names to pascal case
 - Renamed `is_full_book` to `is_full_universe`
 - Renamed `TickMsg` to `MboMsg`
 - Changed `flags` fields to unsigned
 
 #### Bug fixes
+
 - Fixed cancellation in `Historical::TimeseriesStream`
 - Fixed race condition in `Historical::TimeseriesStream` exception handling
 - Fixed gtest linker error on macOS
 
 ## 0.2.0 - 2022-12-01
 
 #### Enhancements
+
 - Added `Historical::MetadataGetDatasetCondition`
 - Improved Zstd CMake integration
 
 #### Bug fixes
+
 - Fixed requesting all symbols for a dataset
 
 ## 0.1.0 - 2022-11-07
+
 - Initial release with support for historical data

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.15.0 LANGUAGES CXX)
+project("databento" VERSION 0.16.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #
@@ -121,7 +121,7 @@ include(FetchContent)
 if(${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_JSON)
   find_package(nlohmann_json REQUIRED)
 else()
-  set(json_version 3.11.2)
+  set(json_version 3.11.3)
   # Required to correctly install nlohmann_json
   set(JSON_Install ON)
   if(CMAKE_VERSION VERSION_LESS 3.24)
@@ -145,7 +145,7 @@ endif()
 if(${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_HTTPLIB)
   find_package(httplib REQUIRED)
 else()
-  set(httplib_version 0.13.1)
+  set(httplib_version 0.14.3)
   if(CMAKE_VERSION VERSION_LESS 3.24)
     FetchContent_Declare(
       httplib

example/live/simple.cpp

@@ -23,7 +23,6 @@ int main() {
                     .SetLogReceiver(log_receiver.get())
                     .SetKeyFromEnv()
                     .SetDataset(databento::dataset::kGlbxMdp3)
-                    .SetUpgradePolicy(databento::VersionUpgradePolicy::Upgrade)
                     .BuildThreaded();
 
   // Set up signal handler for Ctrl+C