ADD: Add volatility and delta stat types

Author: threecgreen

CHANGELOG.md

@@ -3,15 +3,18 @@
 ## 0.17.0 - TBD
 
 ### Enhancements
-- Add `StatusMsg` record, and `StatusAction`, `StatusReason`, `TradingEvent`, and
+- Added `StatusMsg` record, and `StatusAction`, `StatusReason`, `TradingEvent`, and
   `TriState` enums
-- Format `unit_of_measure_qty` as a fixed-precision decimal
+- Added `Volatility` and `Delta` `StatType` variants
+- Added `Undefined` and `TimeProRata` `MatchAlgorithm` variants
+- Changed format of `unit_of_measure_qty` to a fixed-precision decimal
 - Added logic to skip `find_package` call if `nlohmann_json` and `httplib` targets
   already exist (credit: @akovachev)
-- Add specific instructions for installing dependencies on Ubuntu and macOS (credit: @camrongodbout)
+- Added specific instructions for installing dependencies on Ubuntu and macOS (credit: @camrongodbout)
 
 ### Bug fixes
-- Fix out-of-order initialization in `DbnDecoder` (credit: @Hailios)
+- Fixed out-of-order initialization in `DbnDecoder` (credit: @Hailios)
+- Renamed `MatchAlgorithm::EurodollarOptions` to `MatchAlgorithm::EurodollarFutures`
 
 ## 0.16.0 - 2024-03-01
 

include/databento/enums.hpp

@@ -188,14 +188,16 @@ using instrument_class::InstrumentClass;
 
 namespace match_algorithm {
 enum MatchAlgorithm : char {
+  Undefined = ' ',
   Fifo = 'F',
   Configurable = 'K',
   ProRata = 'C',
   FifoLmm = 'T',
   ThresholdProRata = 'O',
   FifoTopLmm = 'S',
   ThresholdProRataLmm = 'Q',
-  EurodollarOptions = 'Y',
+  EurodollarFutures = 'Y',
+  TimeProRata = 'P',
 };
 }  // namespace match_algorithm
 using match_algorithm::MatchAlgorithm;
@@ -259,6 +261,12 @@ enum StatType : std::uint16_t {
   /// `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,
 };
 }  // namespace stat_type
 using stat_type::StatType;

src/enums.cpp

@@ -372,6 +372,9 @@ const char* ToString(InstrumentClass instrument_class) {
 
 const char* ToString(MatchAlgorithm match_algorithm) {
   switch (match_algorithm) {
+    case match_algorithm::Undefined: {
+      return "Undefined";
+    }
     case match_algorithm::Fifo: {
       return "Fifo";
     }
@@ -393,8 +396,11 @@ const char* ToString(MatchAlgorithm match_algorithm) {
     case match_algorithm::ThresholdProRataLmm: {
       return "ThresholdProRataLmm";
     }
-    case match_algorithm::EurodollarOptions: {
-      return "EurodollarOptions";
+    case match_algorithm::EurodollarFutures: {
+      return "EurodollarFutures";
+    }
+    case match_algorithm::TimeProRata: {
+      return "TimeProRata";
     }
     default: {
       return "Unknown";
@@ -474,6 +480,12 @@ const char* ToString(StatType stat_type) {
     case StatType::Vwap: {
       return "Vwap";
     }
+    case StatType::Volatility: {
+      return "Volatility";
+    }
+    case StatType::Delta: {
+      return "Delta";
+    }
     default: {
       return "Unknown";
     }