Release 0.21.0

Author: threecgreen

CHANGELOG.md

@@ -1,10 +1,24 @@
 # Changelog
 
+## 0.21.0 - 2024-07-30
+
+### Enhancements
+- Added new publisher value for `DBEQ.SUMMARY`
+
+### Breaking changes
+- Renamed `SType::Nasdaq` variant to `SType::NasdaqSymbol`
+- Renamed `SType::Cms` variant to `SType::CmsSymbol`
+
+### Bug fixes
+- Added missing `ToString` and `FromString` branches for `SType::NasdaqSymbol` and
+  `SType::CmsSymbol`
+- Removed `has_header_v` variable template that broke C++11 compatibility
+
 ## 0.20.1 - 2024-07-16
 
 ### Enhancements
-- Improved installation with `CMake`: license is now installed, transitive dependencies are configured
-  when importing package
+- Improved installation with `CMake`: license is now installed, transitive dependencies
+  are configured when importing package
 
 ## 0.20.0 - 2024-07-09
 

CMakeLists.txt

@@ -4,7 +4,7 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.20.1 LANGUAGES CXX)
+project("databento" VERSION 0.21.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
 #

include/databento/dbn_encoder.hpp

@@ -18,14 +18,14 @@ class DbnEncoder {
   template <typename R>
   void EncodeRecord(const R& record) {
     static_assert(
-        has_header_v<R>,
+        has_header<R>::value,
         "must be a DBN record struct with an `hd` RecordHeader field");
     EncodeRecord(Record{&record.hd});
   }
   template <typename R>
   void EncodeRecord(const WithTsOut<R> record) {
     static_assert(
-        has_header_v<R>,
+        has_header<R>::value,
         "must be a DBN record struct with an `hd` RecordHeader field");
     EncodeRecord(Record{&record.rec.hd});
   }

include/databento/enums.hpp

@@ -4,7 +4,7 @@
 #include <iosfwd>
 #include <string>
 
-#include "databento/publishers.hpp"  // Dataset, Publisher, Venue, FromString
+#include "databento/publishers.hpp"  // FromString
 
 namespace databento {
 // Represents a historical data center gateway location.
@@ -70,9 +70,9 @@ enum SType : std::uint8_t {
   // "parent" symbol, e.g. ES.FUT to refer to all ES futures.
   Parent = 4,
   // Symbology for US equities using NASDAQ Integrated suffix conventions.
-  Nasdaq = 5,
+  NasdaqSymbol = 5,
   // Symbology for US equities using CMS suffix conventions.
-  Cms = 6,
+  CmsSymbol = 6,
 };
 }  // namespace stype
 using SType = stype::SType;

include/databento/publishers.hpp

@@ -159,6 +159,8 @@ enum class Dataset : std::uint16_t {
   DbeqMax = 30,
   // Nasdaq Basic (NLS+QBBO)
   XnasBasic = 31,
+  // Databento Equities Summary
+  DbeqSummary = 32,
 };
 
 // A specific Venue from a specific data source.
@@ -341,6 +343,8 @@ enum class Publisher : std::uint16_t {
   XnasBasicXbos = 88,
   // Nasdaq Basic - Nasdaq PSX
   XnasBasicXpsx = 89,
+  // Databento Equities Summary
+  DbeqSummaryDbeq = 90,
 };
 
 // Get a Publisher's Venue.

include/databento/record.hpp

@@ -52,8 +52,6 @@ struct has_header : std::false_type {};
 template <typename T>
 struct has_header<T, detail::void_t<decltype(std::declval<T>().hd)>>
     : std::is_same<decltype(std::declval<T>().hd), RecordHeader> {};
-template <typename T>
-constexpr bool has_header_v = has_header<T>::value;
 
 class Record {
  public:

include/databento/symbol_map.hpp

@@ -37,7 +37,7 @@ class TsSymbolMap {
   template <typename R>
   Store::const_iterator Find(const R& rec) const {
     static_assert(
-        has_header_v<R>,
+        has_header<R>::value,
         "must be a DBN record struct with an `hd` RecordHeader field");
     date::year_month_day index_date{
         date::sys_days{date::floor<date::days>(rec.IndexTs())}};
@@ -50,7 +50,7 @@ class TsSymbolMap {
   template <typename R>
   const std::string& At(const R& rec) const {
     static_assert(
-        has_header_v<R>,
+        has_header<R>::value,
         "must be a DBN record struct with an `hd` RecordHeader field");
     date::year_month_day index_date{
         date::sys_days{date::floor<date::days>(rec.IndexTs())}};
@@ -88,7 +88,7 @@ class PitSymbolMap {
   template <typename R>
   const std::string& At(const R& rec) const {
     static_assert(
-        has_header_v<R>,
+        has_header<R>::value,
         "must be a DBN record struct with an `hd` RecordHeader field");
     return map_.at(rec.hd.instrument_id);
   }

pkg/PKGBUILD

@@ -1,7 +1,7 @@
 # Maintainer: Databento <support@databento.com>
 _pkgname=databento-cpp
 pkgname=databento-cpp-git
-pkgver=0.20.1
+pkgver=0.21.0
 pkgrel=1
 pkgdesc="Official C++ client for Databento"
 arch=('any')

src/enums.cpp

@@ -53,15 +53,15 @@ const char* ToString(Schema schema) {
     case Schema::Definition: {
       return "definition";
     }
-    case Schema::Imbalance: {
-      return "imbalance";
-    }
     case Schema::Statistics: {
       return "statistics";
     }
     case Schema::Status: {
       return "status";
     }
+    case Schema::Imbalance: {
+      return "imbalance";
+    }
     case Schema::Cbbo: {
       return "cbbo";
     }
@@ -148,6 +148,12 @@ const char* ToString(SType stype) {
     case SType::Parent: {
       return "parent";
     }
+    case SType::NasdaqSymbol: {
+      return "nasdaq_symbol";
+    }
+    case SType::CmsSymbol: {
+      return "cms_symbol";
+    }
     default: {
       return "unknown";
     }
@@ -522,6 +528,9 @@ const char* ToString(StatType stat_type) {
     case StatType::Delta: {
       return "Delta";
     }
+    case StatType::UncrossingPrice: {
+      return "UncrossingPrice";
+    }
     default: {
       return "Unknown";
     }
@@ -915,15 +924,33 @@ Schema FromString(const std::string& str) {
   if (str == "definition") {
     return Schema::Definition;
   }
-  if (str == "imbalance") {
-    return Schema::Imbalance;
-  }
   if (str == "statistics") {
     return Schema::Statistics;
   }
   if (str == "status") {
     return Schema::Status;
   }
+  if (str == "imbalance") {
+    return Schema::Imbalance;
+  }
+  if (str == "cbbo") {
+    return Schema::Cbbo;
+  }
+  if (str == "cbbo-1s") {
+    return Schema::Cbbo1S;
+  }
+  if (str == "cbbo-1m") {
+    return Schema::Cbbo1M;
+  }
+  if (str == "tcbbo") {
+    return Schema::Tcbbo;
+  }
+  if (str == "bbo-1s") {
+    return Schema::Bbo1S;
+  }
+  if (str == "bbo-1m") {
+    return Schema::Bbo1M;
+  }
   throw InvalidArgumentError{"FromString<Schema>", "str",
                              "unknown value '" + str + '\''};
 }
@@ -984,6 +1011,12 @@ SType FromString(const std::string& str) {
   if (str == "parent") {
     return SType::Parent;
   }
+  if (str == "nasdaq_symbol" || str == "nasdaq") {
+    return SType::NasdaqSymbol;
+  }
+  if (str == "cms_symbol" || str == "cms") {
+    return SType::CmsSymbol;
+  }
   throw InvalidArgumentError{"FromString<SType>", "str",
                              "unknown value '" + str + '\''};
 }

src/publishers.cpp

@@ -381,6 +381,9 @@ const char* ToString(Dataset dataset) {
     case Dataset::XnasBasic: {
       return "XNAS.BASIC";
     }
+    case Dataset::DbeqSummary: {
+      return "DBEQ.SUMMARY";
+    }
     default: {
       return "Unknown";
     }
@@ -487,6 +490,9 @@ Dataset FromString(const std::string& str) {
   if (str == "XNAS.BASIC") {
     return Dataset::XnasBasic;
   }
+  if (str == "DBEQ.SUMMARY") {
+    return Dataset::DbeqSummary;
+  }
   throw InvalidArgumentError{"FromString<Dataset>", "str",
                              "unknown value '" + str + '\''};
 }
@@ -760,6 +766,9 @@ Venue PublisherVenue(Publisher publisher) {
     case Publisher::XnasBasicXpsx: {
       return Venue::Xpsx;
     }
+    case Publisher::DbeqSummaryDbeq: {
+      return Venue::Dbeq;
+    }
     default: {
       throw InvalidArgumentError{
           "PublisherVenue", "publisher",
@@ -1037,6 +1046,9 @@ Dataset PublisherDataset(Publisher publisher) {
     case Publisher::XnasBasicXpsx: {
       return Dataset::XnasBasic;
     }
+    case Publisher::DbeqSummaryDbeq: {
+      return Dataset::DbeqSummary;
+    }
     default: {
       throw InvalidArgumentError{
           "PublisherDataset", "publisher",
@@ -1315,6 +1327,9 @@ const char* ToString(Publisher publisher) {
     case Publisher::XnasBasicXpsx: {
       return "XNAS.BASIC.XPSX";
     }
+    case Publisher::DbeqSummaryDbeq: {
+      return "DBEQ.SUMMARY.DBEQ";
+    }
     default: {
       return "Unknown";
     }
@@ -1595,6 +1610,9 @@ Publisher FromString(const std::string& str) {
   if (str == "XNAS.BASIC.XPSX") {
     return Publisher::XnasBasicXpsx;
   }
+  if (str == "DBEQ.SUMMARY.DBEQ") {
+    return Publisher::DbeqSummaryDbeq;
+  }
   throw InvalidArgumentError{"FromString<Publisher>", "str",
                              "unknown value '" + str + '\''};
 }