VER: Release 0.17.0

.github/pull_request_template.md

@@ -1,6 +1,10 @@
-# Pull Request
+# Pull request
 
 Please include a summary of the changes.
+Please also include relevant motivation and context.
+List any dependencies that are required for this change.
+
+Fixes # (issue)
 
 ## Type of change
 
@@ -13,4 +17,22 @@ Please delete options that are not relevant.
 
 ## How has this change been tested?
 
-Please describe how this code was/is tested.
+Please describe the tests that you ran to verify your changes.
+Provide instructions so we can reproduce.
+Please also list any relevant details for your test configuration.
+
+- [ ] Test A
+- [ ] Test B
+
+## Checklist
+
+- [ ] My code builds locally with no new warnings (`scripts/build.sh`)
+- [ ] My code follows the [style guidelines](https://google.github.io/styleguide/cppguide.html)
+- [ ] New and existing unit tests pass locally with my changes (`scripts/test.sh`)
+- [ ] I have made corresponding changes to the documentation
+- [ ] I have added tests that prove my fix is effective or that my feature works
+
+## Declaration
+
+I confirm this contribution is made under an Apache 2.0 license and that I have the authority
+necessary to make this contribution on behalf of its copyright owner.

.github/workflows/build.yaml

@@ -3,6 +3,7 @@ name: build
 # Build and test databento-cpp
 
 on:
+  pull_request:
   push:
 
 jobs:
@@ -42,7 +43,6 @@ jobs:
             -DDATABENTO_ENABLE_EXAMPLES=1 \
             -DDATABENTO_ENABLE_CLANG_TIDY=1 \
             -DDATABENTO_ENABLE_CPPCHECK=1 \
-            -DDATABENTO_ENABLE_ASAN=1 \
             -DDATABENTO_ENABLE_UBSAN=1
       - name: CMake build
         run: cmake --build build

CHANGELOG.md

@@ -1,5 +1,31 @@
 # Changelog
 
+## 0.17.0 - 2024-04-01
+
+### Enhancements
+- Added `StatusMsg` record, and `StatusAction`, `StatusReason`, `TradingEvent`, and
+  `TriState` enums
+- Added `CbboMsg` record and corresponding `ConsolidatedBidAskPair` structure
+- Added new enum values for `Schema` and `RType` corresponding to new schemas
+  `cbbo`, `cbbo-1s`, `cbbo-1m`, `tcbbo`, `bbo-1s`, `bbo-1m`
+- Added `Volatility` and `Delta` `StatType` variants
+- Added `Undefined` and `TimeProRata` `MatchAlgorithm` variants
+- Changed format of `unit_of_measure_qty` to a fixed-precision decimal
+- Added logic to skip `find_package` call if `nlohmann_json` and `httplib` targets
+  already exist (credit: @akovachev)
+- Added specific instructions for installing dependencies on Ubuntu and macOS (credit: @camrongodbout)
+
+### Breaking changes
+- Renamed publishers from deprecated datasets to their respective sources (`XNAS.NLS`
+  and `XNYS.TRADES` respectively)
+
+### Deprecations
+- Deprecated dataset values `FINN.NLS` and `FINY.TRADES`
+
+### Bug fixes
+- Fixed out-of-order initialization in `DbnDecoder` (credit: @Hailios)
+- Renamed `MatchAlgorithm::EurodollarOptions` to `MatchAlgorithm::EurodollarFutures`
+
 ## 0.16.0 - 2024-03-01
 
 ### Enhancements

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.16.0 LANGUAGES CXX)
+project("databento" VERSION 0.17.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #
@@ -119,7 +119,17 @@ verbose_message("Applied compiler warnings.")
 include(FetchContent)
 # JSON
 if(${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_JSON)
-  find_package(nlohmann_json REQUIRED)
+  # Check if json target already exists
+  if(TARGET nlohmann_json::nlohmann_json)
+    get_target_property(NLOHMANN_JSON_SOURCE_DIR nlohmann_json::nlohmann_json SOURCE_DIR)
+    message(STATUS "nlohmann_json::nlohmann_json already available as a target at ${NLOHMANN_JSON_SOURCE_DIR}")
+    get_target_property(NLOHMANN_JSON_INCLUDE_DIRS nlohmann_json::nlohmann_json INTERFACE_INCLUDE_DIRECTORIES)
+    if(NLOHMANN_JSON_INCLUDE_DIRS)
+      message(STATUS "nlohmann_json::nlohmann_json include directories: ${NLOHMANN_JSON_INCLUDE_DIRS}")
+    endif()
+  else()
+    find_package(nlohmann_json REQUIRED)
+  endif()
 else()
   set(json_version 3.11.3)
   # Required to correctly install nlohmann_json
@@ -143,7 +153,17 @@ else()
 endif()
 # cpp-httplib
 if(${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_HTTPLIB)
-  find_package(httplib REQUIRED)
+  # Check if httplib target already exists
+  if(TARGET httplib::httplib)
+    get_target_property(HTTPLIB_SOURCE_DIR httplib::httplib SOURCE_DIR)
+    message(STATUS "httplib::httplib already available as a target at ${HTTPLIB_SOURCE_DIR}")
+    get_target_property(HTTPLIB_INCLUDE_DIRS httplib::httplib INTERFACE_INCLUDE_DIRECTORIES)
+    if(HTTPLIB_INCLUDE_DIRS)
+      message(STATUS "httplib::httplib include directories: ${HTTPLIB_INCLUDE_DIRS}")
+    endif()
+  else()
+    find_package(httplib REQUIRED)
+  endif()
 else()
   set(httplib_version 0.14.3)
   if(CMAKE_VERSION VERSION_LESS 3.24)

CONTRIBUTING.md

@@ -1,3 +1,4 @@
-We welcome feedback through discussions and issues on GitHub, however we don't currently accept pull requests due to the open-source repository being a downstream mirror of our internal codebase.
-
-Please direct email feedback to [email protected] or [email protected].
+Thank you for taking the time to contribute to our project.
+We welcome feedback through discussions and issues on GitHub, as well as our [community Slack](https://databento.com/support).
+While we don't merge pull requests directly due to the open-source repository being a downstream
+mirror of our internal codebase, we can commit the changes upstream with the original author.

README.md

@@ -70,6 +70,21 @@ By default, cpp-httplib and nlohmann\_json are downloaded by CMake as part of th
 If you would like to use a local version of these libraries, enable the CMake flag
 `DATABENTO_ENABLE_EXTERNAL_HTTPLIB` or `DATABENTO_ENABLE_EXTERNAL_JSON`.
 
+#### Ubuntu
+
+Run the following commands to install the dependencies on Ubuntu:
+```sh
+$ sudo apt update
+$ sudo apt install libssl-dev libzstd-dev
+```
+
+#### macOS
+
+On macOS, you can install the dependencies with [Homebrew](https://brew.sh/) by running the following:
+```sh
+$ brew install openssl@3 zstd
+```
+
 ### Live
 
 Real-time and intraday replay is provided through the Live clients.
@@ -137,7 +152,7 @@ int main() {
 
 To run this program, set the `DATABENTO_API_KEY` environment variable with an actual API key.
 
-Additional example standalone executables are provided in the [examples](./examples) directory.
+Additional example standalone executables are provided in the [`example`](./example) directory.
 These examples can be compiled by enabling the cmake option `DATABENTO_ENABLE_EXAMPLES` with `-DDATABENTO_ENABLE_EXAMPLES=1` during the configure step.
 
 ## Documentation

example/live/simple.cpp

@@ -21,6 +21,7 @@ int main() {
 
   auto client = databento::LiveBuilder{}
                     .SetLogReceiver(log_receiver.get())
+                    .SetSendTsOut(true)
                     .SetKeyFromEnv()
                     .SetDataset(databento::dataset::kGlbxMdp3)
                     .BuildThreaded();