databento 0.25.0

Release notes

Breaking changes

• Removed deprecated pretty_px parameter for DBNStore.to_df; price_type can be used instead

Bug fixes

• Fixed an issue where the Live client would not raise an exception when reading an incompatible DBN version
• Fixed an issue where sending lots of subscriptions could cause a BufferError
• Fixed an issue where Historical.batch.download was slow
• Fixed an issue where Historical.timeseries.get_range was slow
• Fixed an issue where reading a DBN file with non-empty metadata symbol mappings and mixed SType would cause an error when mapping symbols (credit: Jakob Lövhall)

databento 0.24.1

Release notes

Enhancements

• Added new publisher value for OPRA MIAX Sapphire

Bug fixes

• Fixed issue where a large unreadable symbol subscription message could be sent
• Fixed issue where calling Live.stop could cause a truncated DBN record to be written to a stream

databento 0.24.0

Release notes

This release adds support for DBN v2 as well as Python v3.12.

DBN v2 delivers improvements to the Metadata header symbology, new stype_in and stype_out fields for SymbolMappingMsg, and extends the symbol field length for SymbolMappingMsg and InstrumentDefMsg. The entire change notes are available here. Users who wish to convert DBN v1 files to v2 can use the dbn-cli tool available in the databento-dbn crate. On a future date, the Databento live and historical APIs will stop serving DBN v1.

This release of databento-python is fully compatible with both DBN v1 and v2, so this upgrade should be seamless for most users.

In some cases, DBN v1 records will be converted to their v2 counterparts:

• When iterating a DBNStore and with DBNStore.replay
• When iterating a Live client and records dispatched to callbacks

Enhancements

• Added support for Python 3.12
• Improved the performance for stream writes in the Live client
• Upgraded databento-dbn to 0.14.2
• Added databento.common.types module to hold common type annotations

Bug fixes

• Fixed an issue where specifying an OHLCV schema in DBNStore.to_ndarray or DBNStore.to_df would not properly filter records by their interval
• Fixed an issue where DBNStore.to_ndarray and DBNStore.to_df with a non-zero count could get stuck in a loop if the DBN data did not contain any records

Breaking Changes

• DBNStore iteration and DBNStore.replay will upgrade DBN version 1 messages to version 2
• Live client iteration and callbacks upgrade DBN version 1 messages to version 2
• Moved DBNRecord, RecordCallback, and ExceptionCallback types to them databento.common.types module
• Moved AUTH_TIMEOUT_SECONDS and CONNECT_TIMEOUT_SECONDS constants from the databento.live module to databento.live.session
• Moved INT64_NULL from the databento.common.dbnstore module to databento.common.constants
• Moved SCHEMA_STRUCT_MAP from the databento.common.data module to databento.common.constants
• Removed schema parameter from DataFrameIterator constructor, struct_type is to be used instead
• Removed NON_SCHEMA_RECORD_TYPES constant as it is no longer used
• Removed DERIV_SCHEMAS constant as it is no longer used
• Removed SCHEMA_COLUMNS constant as it is no longer used
• Removed SCHEMA_DTYPES_MAP constant as it is no longer used
• Removed empty databento.common.data module

databento 0.23.1

Release notes

Enhancements

• Added new publishers for consolidated DBEQ.BASIC and DBEQ.PLUS

Bug fixes

• Fixed an issue where Live.block_for_close and Live.wait_for_close would not flush streams if the timeout was reached
• Fixed a performance regression when reading a historical DBN file into a numpy array

databento 0.23.0

Release notes

Enhancements

• Added map_symbols_csv function to the databento module for using symbology.json files to map a symbol column onto a CSV file
• Added map_symbols_json function to the databento module for using symbology.json files to add a symbol key to a file of JSON records
• Added new publisher values in preparation for IFEU.IMPACT and NDEX.IMPACT datasets

Bug fixes

• Fixed issue where a large unreadable symbol subscription message could be sent
• Fixed an issue where DBNStore.to_df with pretty_ts=True was very slow

databento 0.22.1

Release notes

Bug fixes

• Fixed an issue where DBNStore.to_csv and DBNStore.to_json were mapping symbols even when map_symbols was set to False
• Fixed an issue where empty symbology mappings caused a ValueError when loading symbols into the DBNStore instrument map

databento 0.22.0

Release notes

Enhancements

• Added price_type argument for DBNStore.to_df to specify if price fields should be fixed, float or decimal.Decimal
• Added py.typed marker file
• Upgraded databento-dbn to 0.13.0

Breaking Changes

• Changed outputs of DBNStore.to_csv and DBNStore.to_json to match the encoding formats from the Databento API

Deprecations

• Deprecated pretty_px argument for DBNStore.to_df to be removed in a future release; the default pretty_px=True is now equivalent to price_type="float" and pretty_px=False is now equivalent to price_type="fixed"

databento 0.21.0

Release notes

Enhancements

• Added map_symbols support for DBN data generated by the Live client
• Added support for file paths in Live.add_stream
• Added new publisher values in preparation for DBEQ.PLUS
• Upgraded databento-dbn to 0.11.1

Bug fixes

• Fixed an issue where DBNStore.from_bytes did not rewind seekable buffers
• Fixed an issue where the DBNStore would not map symbols with input symbology of SType.INSTRUMENT_ID
• Fixed an issue with DBNStore.request_symbology when the DBN metadata's start date and end date were the same
• Fixed an issue where closed streams were not removed from a Live client on shutdown.

databento 0.20.0

Release notes

Enhancements

• Added ARCX.PILLAR.ARCX publisher
• Added pretty_px option for batch.submit_job, which formats prices to the correct scale using the fixed-precision scalar 1e-9 (available for CSV and JSON text encodings)
• Added pretty_ts option for batch.submit_job, which formats timestamps as ISO 8601 strings (available for CSV and JSON text encodings)
• Added map_symbols option for batch.submit_job, which appends a symbol field to each text-encoded record (available for CSV and JSON text encodings)
• Added split_symbols option for batch.submit_job, which will split files by raw symbol
• Upgraded databento-dbn to 0.10.2

Bug fixes

• Fixed an issue where no disconnection exception were raised when iterating the Live client
• Fixed an issue where calling DBNStore.to_df, DBNStore.to_json, or DBNStore.to_csv with map_symbols=True would cause a TypeError

Breaking changes

• Removed default_value parameter from Historical.symbology.resolve
• Swapped the ordering for the pretty_px and pretty_ts boolean parameters

databento 0.19.1

Release notes

Bug fixes

• Fixed an issue where the index column was not serialized with DBNStore.to_json
• Fixed an issue where timestamps serialized by DBNStore.to_json had reduced precision