ADD: Add synthetic publisher for off-market trades

Author: renan-databento

CHANGELOG.md

@@ -11,6 +11,7 @@
 - Added new `UncrossingPrice` `StatType` variant
 - Added new publisher values for `XNAS.BASIC`
 - Added `SetDataset(Dataset)` overload to `LiveBuilder`
+- Added new off-market publisher values for `IFEU.IMPACT` and `NDEX.IMPACT`
 
 ### Breaking changes
 - Added `heartbeat_interval` parameter to the `Live` constructors

include/databento/publishers.hpp

@@ -91,6 +91,8 @@ enum class Venue : std::uint16_t {
   Sphr = 41,
   // Long-Term Stock Exchange, Inc.
   Ltse = 42,
+  // Off-Exchange Transactions - Listed Instruments
+  Xoff = 43,
 };
 
 // A source of data.
@@ -327,6 +329,10 @@ enum class Publisher : std::uint16_t {
   XnasBasicFinn = 82,
   // Nasdaq Basic - FINRA/Nasdaq TRF Chicago
   XnasBasicFinc = 83,
+  // ICE Futures Europe - Off-Market Trades
+  IfeuImpactXoff = 84,
+  // ICE Endex - Off-Market Trades
+  NdexImpactXoff = 85,
 };
 
 // Get a Publisher's Venue.

src/publishers.cpp

@@ -137,6 +137,9 @@ const char* ToString(Venue venue) {
     case Venue::Ltse: {
       return "LTSE";
     }
+    case Venue::Xoff: {
+      return "XOFF";
+    }
     default: {
       return "Unknown";
     }
@@ -276,6 +279,9 @@ Venue FromString(const std::string& str) {
   if (str == "LTSE") {
     return Venue::Ltse;
   }
+  if (str == "XOFF") {
+    return Venue::Xoff;
+  }
   throw InvalidArgumentError{"FromString<Venue>", "str",
                              "unknown value '" + str + '\''};
 }
@@ -736,6 +742,12 @@ Venue PublisherVenue(Publisher publisher) {
     case Publisher::XnasBasicFinc: {
       return Venue::Finc;
     }
+    case Publisher::IfeuImpactXoff: {
+      return Venue::Xoff;
+    }
+    case Publisher::NdexImpactXoff: {
+      return Venue::Xoff;
+    }
     default: {
       throw InvalidArgumentError{
           "PublisherVenue", "publisher",
@@ -995,6 +1007,12 @@ Dataset PublisherDataset(Publisher publisher) {
     case Publisher::XnasBasicFinc: {
       return Dataset::XnasBasic;
     }
+    case Publisher::IfeuImpactXoff: {
+      return Dataset::IfeuImpact;
+    }
+    case Publisher::NdexImpactXoff: {
+      return Dataset::NdexImpact;
+    }
     default: {
       throw InvalidArgumentError{
           "PublisherDataset", "publisher",
@@ -1255,6 +1273,12 @@ const char* ToString(Publisher publisher) {
     case Publisher::XnasBasicFinc: {
       return "XNAS.BASIC.FINC";
     }
+    case Publisher::IfeuImpactXoff: {
+      return "IFEU.IMPACT.XOFF";
+    }
+    case Publisher::NdexImpactXoff: {
+      return "NDEX.IMPACT.XOFF";
+    }
     default: {
       return "Unknown";
     }
@@ -1517,6 +1541,12 @@ Publisher FromString(const std::string& str) {
   if (str == "XNAS.BASIC.FINC") {
     return Publisher::XnasBasicFinc;
   }
+  if (str == "IFEU.IMPACT.XOFF") {
+    return Publisher::IfeuImpactXoff;
+  }
+  if (str == "NDEX.IMPACT.XOFF") {
+    return Publisher::NdexImpactXoff;
+  }
   throw InvalidArgumentError{"FromString<Publisher>", "str",
                              "unknown value '" + str + '\''};
 }