MOD: Improve unit_of_measure_qty docs and fmtting

databento · Feb 15, 2024 · 284ac10 · 284ac10
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commit 284ac10
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Showing 4 changed files with 8 additions and 3 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -11,6 +11,8 @@
 - Changed default for `VersionUpgradePolicy` to `Upgrade`
 - Changed default `upgrade_policy` for `DbnDecoder`, `AsyncDbnDecoder`, and Python
   `DBNDecoder` to `Upgrade` so by default the primary record types can always be used
+- Changed text serialization `unit_of_measure_qty` to be affected by `pretty_px`. While
+  it's not a price, it uses the same fixed-price decimal format as other prices
 - Made `StatType` and  `VersionUpgradePolicy` non-exhaustive to allow future additions
   without breaking changes
 

diff --git a/rust/dbn/src/encode/json/sync.rs b/rust/dbn/src/encode/json/sync.rs
@@ -451,7 +451,7 @@ mod tests {
             low_limit_price: -1_000_000,
             max_price_variation: 0,
             trading_reference_price: 500_000,
-            unit_of_measure_qty: 5,
+            unit_of_measure_qty: 5_000_000_000,
             min_price_increment_amount: 5,
             price_ratio: 10,
             inst_attrib_value: 10,
@@ -516,7 +516,7 @@ mod tests {
                 r#""hd":{"ts_event":"2022-07-21T22:17:31.000000000Z","rtype":4,"publisher_id":1,"instrument_id":323}"#,
                 concat!(
                     r#""raw_symbol":"ESZ4 C4100","security_update_action":"A","instrument_class":"C","min_price_increment":"0.000000100","display_factor":"1000","expiration":"2023-10-27T23:40:00.000000000Z","activation":"2023-10-15T06:06:40.000000000Z","#,
-                    r#""high_limit_price":"0.001000000","low_limit_price":"-0.001000000","max_price_variation":"0.000000000","trading_reference_price":"0.000500000","unit_of_measure_qty":"5","#,
+                    r#""high_limit_price":"0.001000000","low_limit_price":"-0.001000000","max_price_variation":"0.000000000","trading_reference_price":"0.000500000","unit_of_measure_qty":"5.000000000","#,
                     r#""min_price_increment_amount":"0.000000005","price_ratio":"0.000000010","inst_attrib_value":10,"underlying_id":256785,"raw_instrument_id":323,"market_depth_implied":0,"#,
                     r#""market_depth":13,"market_segment_id":0,"max_trade_vol":10000,"min_lot_size":1,"min_lot_size_block":1000,"min_lot_size_round_lot":100,"min_trade_vol":1,"#,
                     r#""contract_multiplier":0,"decay_quantity":0,"original_contract_size":0,"trading_reference_date":0,"appl_id":0,"#,

diff --git a/rust/dbn/src/python.rs b/rust/dbn/src/python.rs
@@ -359,6 +359,7 @@ mod tests {
                 "low_limit_price".to_owned(),
                 "max_price_variation".to_owned(),
                 "trading_reference_price".to_owned(),
+                "unit_of_measure_qty".to_owned(),
                 "min_price_increment_amount".to_owned(),
                 "price_ratio".to_owned(),
                 "strike_price".to_owned(),

diff --git a/rust/dbn/src/record.rs b/rust/dbn/src/record.rs
@@ -459,7 +459,9 @@ pub struct InstrumentDefMsg {
     #[dbn(fixed_price)]
     #[pyo3(get, set)]
     pub trading_reference_price: i64,
-    /// The contract size for each instrument, in combination with `unit_of_measure`.
+    /// The contract size for each instrument, in combination with `unit_of_measure`, in units
+    /// of 1e-9, i.e. 1/1,000,000,000 or 0.000000001.
+    #[dbn(fixed_price)]
     #[pyo3(get, set)]
     pub unit_of_measure_qty: i64,
     /// The value currently under development by the venue. Converted to units of 1e-9, i.e.