ADD: Add ICE US and financials publishers

Author: threecgreen

CHANGELOG.md

@@ -1,5 +1,11 @@
 # Changelog
 
+## 0.31.0 - TBD
+
+### Enhancements
+- Added new venues, datasets, and publishers for ICE Futures US and for ICE Futures
+  Europe (Financial products)
+
 ## 0.30.0 - 2025-02-11
 
 ### Enhancements

include/databento/publishers.hpp

@@ -101,6 +101,10 @@ enum class Venue : std::uint16_t {
   Aspi = 46,
   // Databento US Equities - Consolidated
   Equs = 47,
+  // ICE Futures US
+  Ifus = 48,
+  // ICE Futures Europe (Financials)
+  Ifll = 49,
 };
 
 // A source of data.
@@ -175,6 +179,10 @@ enum class Dataset : std::uint16_t {
   XnysTradesbbo = 34,
   // Databento US Equities Mini
   EqusMini = 35,
+  // ICE Futures US iMpact
+  IfusImpact = 36,
+  // ICE Futures Europe (Financials) iMpact
+  IfllImpact = 37,
 };
 
 // A specific Venue from a specific data source.
@@ -371,6 +379,14 @@ enum class Publisher : std::uint16_t {
   EqusMiniEqus = 95,
   // NYSE Trades - Consolidated
   XnysTradesEqus = 96,
+  // ICE Futures US
+  IfusImpactIfus = 97,
+  // ICE Futures US - Off-Market Trades
+  IfusImpactXoff = 98,
+  // ICE Futures Europe (Financials)
+  IfllImpactIfll = 99,
+  // ICE Futures Europe (Financials) - Off-Market Trades
+  IfllImpactXoff = 100,
 };
 
 // Get a Publisher's Venue.

src/publishers.cpp

@@ -152,6 +152,12 @@ const char* ToString(Venue venue) {
     case Venue::Equs: {
       return "EQUS";
     }
+    case Venue::Ifus: {
+      return "IFUS";
+    }
+    case Venue::Ifll: {
+      return "IFLL";
+    }
     default: {
       return "Unknown";
     }
@@ -306,6 +312,12 @@ Venue FromString(const std::string& str) {
   if (str == "EQUS") {
     return Venue::Equs;
   }
+  if (str == "IFUS") {
+    return Venue::Ifus;
+  }
+  if (str == "IFLL") {
+    return Venue::Ifll;
+  }
   throw InvalidArgumentError{"FromString<Venue>", "str",
                              "unknown value '" + str + '\''};
 }
@@ -417,6 +429,12 @@ const char* ToString(Dataset dataset) {
     case Dataset::EqusMini: {
       return "EQUS.MINI";
     }
+    case Dataset::IfusImpact: {
+      return "IFUS.IMPACT";
+    }
+    case Dataset::IfllImpact: {
+      return "IFLL.IMPACT";
+    }
     default: {
       return "Unknown";
     }
@@ -535,6 +553,12 @@ Dataset FromString(const std::string& str) {
   if (str == "EQUS.MINI") {
     return Dataset::EqusMini;
   }
+  if (str == "IFUS.IMPACT") {
+    return Dataset::IfusImpact;
+  }
+  if (str == "IFLL.IMPACT") {
+    return Dataset::IfllImpact;
+  }
   throw InvalidArgumentError{"FromString<Dataset>", "str",
                              "unknown value '" + str + '\''};
 }
@@ -829,6 +853,18 @@ Venue PublisherVenue(Publisher publisher) {
     case Publisher::XnysTradesEqus: {
       return Venue::Equs;
     }
+    case Publisher::IfusImpactIfus: {
+      return Venue::Ifus;
+    }
+    case Publisher::IfusImpactXoff: {
+      return Venue::Xoff;
+    }
+    case Publisher::IfllImpactIfll: {
+      return Venue::Ifll;
+    }
+    case Publisher::IfllImpactXoff: {
+      return Venue::Xoff;
+    }
     default: {
       throw InvalidArgumentError{
           "PublisherVenue", "publisher",
@@ -1127,6 +1163,18 @@ Dataset PublisherDataset(Publisher publisher) {
     case Publisher::XnysTradesEqus: {
       return Dataset::XnysTrades;
     }
+    case Publisher::IfusImpactIfus: {
+      return Dataset::IfusImpact;
+    }
+    case Publisher::IfusImpactXoff: {
+      return Dataset::IfusImpact;
+    }
+    case Publisher::IfllImpactIfll: {
+      return Dataset::IfllImpact;
+    }
+    case Publisher::IfllImpactXoff: {
+      return Dataset::IfllImpact;
+    }
     default: {
       throw InvalidArgumentError{
           "PublisherDataset", "publisher",
@@ -1426,6 +1474,18 @@ const char* ToString(Publisher publisher) {
     case Publisher::XnysTradesEqus: {
       return "XNYS.TRADES.EQUS";
     }
+    case Publisher::IfusImpactIfus: {
+      return "IFUS.IMPACT.IFUS";
+    }
+    case Publisher::IfusImpactXoff: {
+      return "IFUS.IMPACT.XOFF";
+    }
+    case Publisher::IfllImpactIfll: {
+      return "IFLL.IMPACT.IFLL";
+    }
+    case Publisher::IfllImpactXoff: {
+      return "IFLL.IMPACT.XOFF";
+    }
     default: {
       return "Unknown";
     }
@@ -1727,6 +1787,18 @@ Publisher FromString(const std::string& str) {
   if (str == "XNYS.TRADES.EQUS") {
     return Publisher::XnysTradesEqus;
   }
+  if (str == "IFUS.IMPACT.IFUS") {
+    return Publisher::IfusImpactIfus;
+  }
+  if (str == "IFUS.IMPACT.XOFF") {
+    return Publisher::IfusImpactXoff;
+  }
+  if (str == "IFLL.IMPACT.IFLL") {
+    return Publisher::IfllImpactIfll;
+  }
+  if (str == "IFLL.IMPACT.XOFF") {
+    return Publisher::IfllImpactXoff;
+  }
   throw InvalidArgumentError{"FromString<Publisher>", "str",
                              "unknown value '" + str + '\''};
 }