ADD: Add new stat type for auction uncrossing

databento · May 23, 2024 · 45d6f8d · 45d6f8d
1 parent bfb97c0
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -1,5 +1,10 @@
 # Changelog
 
+## 0.19.0 - TBD
+
+### Enhancements
+- Added new `stat_type` for UncrossingPrice.
+
 ## 0.18.0 - 2024-05-21
 
 ### Enhancements

diff --git a/python/python/databento_dbn/_lib.pyi b/python/python/databento_dbn/_lib.pyi
@@ -451,6 +451,7 @@ class StatType(Enum):
 
     OPENING_PRICE
         The price of the first trade of an instrument. `price` will be set.
+        `quantity` will be set when provided by the venue.
     INDICATIVE_OPENING_PRICE
         The probable price of the first trade of an instrument published during pre- open. Both
         `price` and `quantity` will be set.
@@ -476,6 +477,7 @@ class StatType(Enum):
         The volume-weighted average price (VWAP) for a fixing period. `price` will be set.
     CLOSE_PRICE
         The last trade price during a trading session. `price` will be set.
+        `quantity` will be set when provided by the venue.
     NET_CHANGE
         The change in price from the close price of the previous trading session to the most recent
         trading session. `price` will be set.
@@ -486,6 +488,10 @@ class StatType(Enum):
         The implied volatility associated with the settlement price.
     DELTA
         The option delta associated with the settlement price.
+    UNCROSSING_PRICE
+        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.
 
     """
 
@@ -504,6 +510,7 @@ class StatType(Enum):
     VWAP: int
     VOLATILITY: int
     DELTA: int
+    UNCROSSING_PRICE: int
 
     @classmethod
     def variants(cls) -> Iterable[StatType]: ...

diff --git a/rust/dbn/src/enums.rs b/rust/dbn/src/enums.rs
@@ -853,6 +853,7 @@ pub enum SecurityUpdateAction {
 #[repr(u16)]
 pub enum StatType {
     /// 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.
@@ -884,6 +885,7 @@ pub enum StatType {
     /// 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.
@@ -898,6 +900,10 @@ pub enum StatType {
     /// 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,
 }
 
 /// The type of [`StatMsg`](crate::record::StatMsg) update.