ADD: Add volatility and delta stat types

CHANGELOG.md

@@ -5,6 +5,8 @@
 ### Enhancements
 - Added new record type `CbboMsg`, new rtypes and schema types for `Cbbo`, `Cbbo1s`,
   `Cbbo1m`, `Tcbbo`, `Bbo1s`, and `Bbo1m`
+- Added `Volatility` and `Delta` `StatType` variants
+- Added `Undefined` and `TimeProRata` `MatchAlgorithm` variants
 - Exported more enums to Python:
   - `Action`
   - `InstrumentClass`
@@ -22,6 +24,8 @@
 ### Breaking changes
 - Removed `Default` trait implementation for `Mbp1Msg` due to it now having multiple
   permissible `rtype` values. Users should use `default_for_schema` instead
+- Changed the default `match_algorithm` for `InstrumentDefMsg` and `InstrumentDefMsgV1`
+  from `Fifo` to `Undefined`
 
 ### Bug fixes
 - Fixed an issue where the Python `MappingIntervalDict` was not exported

python/python/databento_dbn/_lib.pyi

@@ -141,6 +141,8 @@ class MatchAlgorithm(Enum):
     The type of matching algorithm used for the instrument at the exchange.
 
 
+    UNDEFINED
+        No matching algorithm was specified.
     FIFO
         First-in-first-out matching.
     CONFIGURABLE
@@ -157,9 +159,12 @@ class MatchAlgorithm(Enum):
         Like `THRESHOLD_PRO_RATA` but includes a special priority to LMMs.
     EURODOLLAR_FUTURES
         Special variant used only for Eurodollar futures on CME.
-
+    TIME_PRO_RATA
+        Trade quantity is shared between all orders at the best price. Orders with the
+        highest time priority receive a higher matched quantity.
     """
 
+    UNDEFINED: str
     FIFO: str
     CONFIGURABLE: str
     PRO_RATA: str
@@ -168,6 +173,7 @@ class MatchAlgorithm(Enum):
     FIFO_TOP_LMM: str
     THRESHOLD_PRO_RATA_LMM: str
     EURODOLLAR_FUTURES: str
+    TIME_PRO_RATA: str
 
     @classmethod
     def from_str(cls, value: str) -> MatchAlgorithm: ...
@@ -470,6 +476,10 @@ class StatType(Enum):
     VWAP
         The volume-weighted average price (VWAP) during the trading session. `price` will be set to
         the VWAP while `quantity` will be the traded volume.
+    VOLATILITY
+        The implied volatility associated with the settlement price.
+    DELTA
+        The option delta associated with the settlement price.
 
     """
 
@@ -486,6 +496,8 @@ class StatType(Enum):
     CLOSE_PRICE: int
     NET_CHANGE: int
     VWAP: int
+    VOLATILITY: int
+    DELTA: int
 
     @classmethod
     def variants(cls) -> Iterable[StatType]: ...

rust/dbn/src/enums.rs

@@ -101,7 +101,7 @@ impl From<InstrumentClass> for char {
 }
 
 /// The type of matching algorithm used for the instrument at the exchange.
-#[derive(Debug, Clone, Copy, PartialEq, Eq, Hash, TryFromPrimitive, IntoPrimitive)]
+#[derive(Debug, Clone, Copy, Default, PartialEq, Eq, Hash, TryFromPrimitive, IntoPrimitive)]
 #[cfg_attr(
     feature = "python",
     derive(strum::EnumIter),
@@ -110,6 +110,9 @@ impl From<InstrumentClass> for char {
 #[cfg_attr(feature = "serde", derive(serde::Serialize, serde::Deserialize))]
 #[repr(u8)]
 pub enum MatchAlgorithm {
+    /// No matching algorithm was specified.
+    #[default]
+    Undefined = b' ',
     /// First-in-first-out matching.
     Fifo = b'F',
     /// A configurable match algorithm.
@@ -130,6 +133,9 @@ pub enum MatchAlgorithm {
     /// Special variant used only for Eurodollar futures on CME. See
     /// [CME documentation](https://www.cmegroup.com/confluence/display/EPICSANDBOX/Supported+Matching+Algorithms#SupportedMatchingAlgorithms-Pro-RataAllocationforEurodollarFutures).
     EurodollarFutures = b'Y',
+    /// Trade quantity is shared between all orders at the best price. Orders with the
+    /// highest time priority receive a higher matched quantity.
+    TimeProRata = b'P',
 }
 
 impl From<MatchAlgorithm> for char {
@@ -833,6 +839,12 @@ pub enum StatType {
     /// `price` will be set to the VWAP while `quantity` will be the traded
     /// volume.
     Vwap = 13,
+    /// The implied volatility associated with the settlement price. `price` will be set
+    /// with the standard precision.
+    Volatility = 14,
+    /// The option delta associated with the settlement price. `price` will be set with
+    /// the standard precision.
+    Delta = 15,
 }
 
 /// The type of [`StatMsg`](crate::record::StatMsg) update.

rust/dbn/src/record/impl_default.rs

@@ -214,7 +214,7 @@ impl Default for InstrumentDefMsg {
             strike_price_currency: Default::default(),
             instrument_class: 0,
             strike_price: UNDEF_PRICE,
-            match_algorithm: MatchAlgorithm::Fifo as c_char,
+            match_algorithm: MatchAlgorithm::Undefined as c_char,
             md_security_trading_status: u8::MAX,
             main_fraction: u8::MAX,
             price_display_format: u8::MAX,
@@ -283,7 +283,7 @@ impl Default for InstrumentDefMsgV1 {
             strike_price_currency: Default::default(),
             instrument_class: 0,
             strike_price: UNDEF_PRICE,
-            match_algorithm: MatchAlgorithm::Fifo as c_char,
+            match_algorithm: MatchAlgorithm::Undefined as c_char,
             md_security_trading_status: u8::MAX,
             main_fraction: u8::MAX,
             price_display_format: u8::MAX,