VER: Release 0.36.1

See release notes.

CHANGELOG.md

@@ -1,5 +1,13 @@
 # Changelog
 
+## 0.36.1 - 2024-06-18
+
+#### Enhancements
+- Added type alias `TBBOMsg` for `MBP1Msg`
+- Added support for `BBO-1s`, `BBO-1m`, and `Status` schemas
+- Instances of the `Live` client will now call `Live.stop` when garbage collected
+- Added new publisher values for `XNAS.BASIC` and `XNAS.NLS`
+
 ## 0.36.0 - 2024-06-11
 
 #### Enhancements

databento/__init__.py

@@ -44,6 +44,10 @@
 from databento.version import __version__  # noqa
 
 
+# Alias for convenience
+TBBOMsg = MBP1Msg
+
+
 __all__ = [
     "API_VERSION",
     "DBNStore",

databento/common/constants.py

@@ -13,6 +13,7 @@
 from databento_dbn import OHLCVMsg
 from databento_dbn import Schema
 from databento_dbn import StatMsg
+from databento_dbn import StatusMsg
 from databento_dbn import TradeMsg
 
 from databento.common.types import DBNRecord
@@ -39,6 +40,7 @@
     Schema.OHLCV_1D: OHLCVMsg,
     Schema.OHLCV_EOD: OHLCVMsg,
     Schema.STATISTICS: StatMsg,
+    Schema.STATUS: StatusMsg,
     Schema.TBBO: MBP1Msg,
     Schema.TRADES: TradeMsg,
     Schema.CBBO: CBBOMsg,
@@ -60,6 +62,13 @@
     Schema.OHLCV_1H: OHLCVMsg,
     Schema.OHLCV_1D: OHLCVMsg,
     Schema.STATISTICS: StatMsg,
+    Schema.STATUS: StatusMsg,
     Schema.TBBO: MBP1Msg,
     Schema.TRADES: TradeMsg,
+    Schema.CBBO: CBBOMsg,
+    Schema.CBBO_1S: CBBOMsg,
+    Schema.CBBO_1M: CBBOMsg,
+    Schema.TCBBO: CBBOMsg,
+    Schema.BBO_1S: MBP1Msg,
+    Schema.BBO_1M: MBP1Msg,
 }

databento/common/publishers.py

@@ -914,6 +914,14 @@ class Publisher(StringyMixin, str, Enum):
         ICE Futures Europe - Off-Market Trades.
     NDEX_IMPACT_XOFF
         ICE Endex - Off-Market Trades.
+    XNAS_NLS_XBOS
+        Nasdaq NLS - Nasdaq BX.
+    XNAS_NLS_XPSX
+        Nasdaq NLS - Nasdaq PSX.
+    XNAS_BASIC_XBOS
+        Nasdaq Basic - Nasdaq BX.
+    XNAS_BASIC_XPSX
+        Nasdaq Basic - Nasdaq PSX.
 
     """
 
@@ -1002,6 +1010,10 @@ class Publisher(StringyMixin, str, Enum):
     XNAS_BASIC_FINC = "XNAS.BASIC.FINC"
     IFEU_IMPACT_XOFF = "IFEU.IMPACT.XOFF"
     NDEX_IMPACT_XOFF = "NDEX.IMPACT.XOFF"
+    XNAS_NLS_XBOS = "XNAS.NLS.XBOS"
+    XNAS_NLS_XPSX = "XNAS.NLS.XPSX"
+    XNAS_BASIC_XBOS = "XNAS.BASIC.XBOS"
+    XNAS_BASIC_XPSX = "XNAS.BASIC.XPSX"
 
     @classmethod
     def from_int(cls, value: int) -> Publisher:
@@ -1178,6 +1190,14 @@ def from_int(cls, value: int) -> Publisher:
             return Publisher.IFEU_IMPACT_XOFF
         if value == 85:
             return Publisher.NDEX_IMPACT_XOFF
+        if value == 86:
+            return Publisher.XNAS_NLS_XBOS
+        if value == 87:
+            return Publisher.XNAS_NLS_XPSX
+        if value == 88:
+            return Publisher.XNAS_BASIC_XBOS
+        if value == 89:
+            return Publisher.XNAS_BASIC_XPSX
         raise ValueError(f"Integer value {value} does not correspond with any Publisher variant")
 
     def to_int(self) -> int:
@@ -1354,6 +1374,14 @@ def to_int(self) -> int:
             return 84
         if self == Publisher.NDEX_IMPACT_XOFF:
             return 85
+        if self == Publisher.XNAS_NLS_XBOS:
+            return 86
+        if self == Publisher.XNAS_NLS_XPSX:
+            return 87
+        if self == Publisher.XNAS_BASIC_XBOS:
+            return 88
+        if self == Publisher.XNAS_BASIC_XPSX:
+            return 89
         raise ValueError("Invalid Publisher")
 
     @property
@@ -1531,6 +1559,14 @@ def venue(self) -> Venue:
             return Venue.XOFF
         if self == Publisher.NDEX_IMPACT_XOFF:
             return Venue.XOFF
+        if self == Publisher.XNAS_NLS_XBOS:
+            return Venue.XBOS
+        if self == Publisher.XNAS_NLS_XPSX:
+            return Venue.XPSX
+        if self == Publisher.XNAS_BASIC_XBOS:
+            return Venue.XBOS
+        if self == Publisher.XNAS_BASIC_XPSX:
+            return Venue.XPSX
         raise ValueError("Unexpected Publisher value")
 
     @property
@@ -1708,6 +1744,14 @@ def dataset(self) -> Dataset:
             return Dataset.IFEU_IMPACT
         if self == Publisher.NDEX_IMPACT_XOFF:
             return Dataset.NDEX_IMPACT
+        if self == Publisher.XNAS_NLS_XBOS:
+            return Dataset.XNAS_NLS
+        if self == Publisher.XNAS_NLS_XPSX:
+            return Dataset.XNAS_NLS
+        if self == Publisher.XNAS_BASIC_XBOS:
+            return Dataset.XNAS_BASIC
+        if self == Publisher.XNAS_BASIC_XPSX:
+            return Dataset.XNAS_BASIC
         raise ValueError("Unexpected Publisher value")
 
     @property
@@ -1885,4 +1929,12 @@ def description(self) -> str:
             return "ICE Futures Europe - Off-Market Trades"
         if self == Publisher.NDEX_IMPACT_XOFF:
             return "ICE Endex - Off-Market Trades"
+        if self == Publisher.XNAS_NLS_XBOS:
+            return "Nasdaq NLS - Nasdaq BX"
+        if self == Publisher.XNAS_NLS_XPSX:
+            return "Nasdaq NLS - Nasdaq PSX"
+        if self == Publisher.XNAS_BASIC_XBOS:
+            return "Nasdaq Basic - Nasdaq BX"
+        if self == Publisher.XNAS_BASIC_XPSX:
+            return "Nasdaq Basic - Nasdaq PSX"
         raise ValueError("Unexpected Publisher value")

databento/live/client.py

@@ -121,6 +121,12 @@ def factory() -> _SessionProtocol:
         if not Live._thread.is_alive():
             Live._thread.start()
 
+    def __del__(self) -> None:
+        try:
+            self.stop()
+        except (AttributeError, ValueError):
+            pass
+
     def __aiter__(self) -> LiveIterator:
         return iter(self)
 

databento/version.py

@@ -1 +1 @@
-__version__ = "0.36.0"
+__version__ = "0.36.1"

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "databento"
-version = "0.36.0"
+version = "0.36.1"
 description = "Official Python client library for Databento"
 authors = [
     "Databento <[email protected]>",

tests/data/generator.py

@@ -29,6 +29,8 @@
         (Schema.MBO, ["ESH1"], "2020-12-28"),
         (Schema.MBP_1, ["ESH1"], "2020-12-28"),
         (Schema.MBP_10, ["ESH1"], "2020-12-28"),
+        (Schema.BBO_1S, ["ESH1"], "2020-12-28"),
+        (Schema.BBO_1M, ["ESH1"], "2020-12-28"),
         (Schema.TBBO, ["ESH1"], "2020-12-28"),
         (Schema.TRADES, ["ESH1"], "2020-12-28"),
         (Schema.OHLCV_1S, ["ESH1"], "2020-12-28"),
@@ -37,6 +39,7 @@
         (Schema.OHLCV_1D, ["ESH1"], "2020-12-28"),
         (Schema.DEFINITION, ["ESH1"], "2020-12-28"),
         (Schema.STATISTICS, ["ESH1"], "2020-12-28"),
+        (Schema.STATUS, ["ESH1"], "2020-12-28"),
     ],
     Dataset.XNAS_ITCH: [
         (Schema.MBO, ["NVDA"], "2020-12-28"),

tests/test_live_client.py

@@ -1487,9 +1487,6 @@ async def test_live_stream_with_reconnect(
 
     """
     # Arrange
-    # TODO: Remove when status schema is available
-    if schema == "status":
-        pytest.skip("no stub data for status schema")
     if schema == "ohlcv-eod":
         pytest.skip("no stub data for ohlcv-eod schema")
     if schema == "imbalance":
@@ -1500,10 +1497,6 @@ async def test_live_stream_with_reconnect(
         pytest.skip("no stub data for cbbo-1s schema")
     if schema == "cbbo-1m":
         pytest.skip("no stub data for cbbo-1m schema")
-    if schema == "bbo-1s":
-        pytest.skip("no stub data for bbo-1s schema")
-    if schema == "bbo-1m":
-        pytest.skip("no stub data for bbo-1m schema")
     if schema == "tcbbo":
         pytest.skip("no stub data for tcbbo schema")