VER: Release 0.35.0

CHANGELOG.md

@@ -1,8 +1,17 @@
 # Changelog
 
+## 0.35.0 - 2025-05-13
+
+### Enhancements
+- Added a `v3::StatMsg` record with an expanded 64-bit `quantity` field
+- Added `kDbnVersion` constants to each version namespace: `v1`, `v2`, and `v3`
+- Added `kUndefStatQuantity` constants to each version namespace
+- Added new off-market publishers for Eurex, and European Energy Exchange (EEX)
+- Increased live subscription symbol chunking size
+
 ## 0.34.2 - 2025-05-06
 
-#### Bug fixes
+### Bug fixes
 - Fixed potential for unaligned records in live and historical streaming requests
 
 ## 0.34.1 - 2025-04-29

CMakeLists.txt

@@ -6,7 +6,7 @@ cmake_minimum_required(VERSION 3.24..4.0)
 
 project(
   databento
-  VERSION 0.34.2
+  VERSION 0.35.0
   LANGUAGES CXX
   DESCRIPTION "Official Databento client library"
 )

include/databento/publishers.hpp

@@ -31,7 +31,7 @@ enum class Venue : std::uint16_t {
   Xase = 11,
   // NYSE Arca
   Arcx = 12,
-  // NYSE Chicago, Inc.
+  // NYSE Texas, Inc.
   Xchi = 13,
   // Investors Exchange
   Iexg = 14,
@@ -47,39 +47,39 @@ enum class Venue : std::uint16_t {
   Eprl = 19,
   // NYSE American Options
   Amxo = 20,
-  // BOX Options Exchange
+  // BOX Options
   Xbox = 21,
-  // Cboe Options Exchange
+  // Cboe Options
   Xcbo = 22,
   // MIAX Emerald
   Emld = 23,
-  // Cboe EDGX Options Exchange
+  // Cboe EDGX Options
   Edgo = 24,
-  // ISE Gemini Exchange
+  // Nasdaq GEMX
   Gmni = 25,
-  // International Securities Exchange, LLC
+  // Nasdaq ISE
   Xisx = 26,
-  // ISE Mercury, LLC
+  // Nasdaq MRX
   Mcry = 27,
-  // Miami International Securities Exchange
+  // MIAX Options
   Xmio = 28,
   // NYSE Arca Options
   Arco = 29,
   // Options Price Reporting Authority
   Opra = 30,
   // MIAX Pearl
   Mprl = 31,
-  // Nasdaq Options Market
+  // Nasdaq Options
   Xndq = 32,
-  // Nasdaq OMX BX Options
+  // Nasdaq BX Options
   Xbxo = 33,
-  // Cboe C2 Options Exchange
+  // Cboe C2 Options
   C2Ox = 34,
-  // Nasdaq OMX PHLX
+  // Nasdaq PHLX
   Xphl = 35,
-  // Cboe BZX Options Exchange
+  // Cboe BZX Options
   Bato = 36,
-  // MEMX LLC Options
+  // MEMX Options
   Mxop = 37,
   // ICE Futures Europe (Commodities)
   Ifeu = 38,
@@ -135,7 +135,7 @@ enum class Dataset : std::uint16_t {
   XcisPillar = 10,
   // NYSE American Integrated
   XasePillar = 11,
-  // NYSE Chicago Integrated
+  // NYSE Texas Integrated
   XchiPillar = 12,
   // NYSE National BBO
   XcisBbo = 13,
@@ -217,7 +217,7 @@ enum class Publisher : std::uint16_t {
   XcisPillarXcis = 10,
   // NYSE American Integrated
   XasePillarXase = 11,
-  // NYSE Chicago Integrated
+  // NYSE Texas Integrated
   XchiPillarXchi = 12,
   // NYSE National BBO
   XcisBboXcis = 13,
@@ -233,45 +233,45 @@ enum class Publisher : std::uint16_t {
   XnasNlsFinc = 18,
   // FINRA/NYSE TRF
   XnysTradesFiny = 19,
-  // OPRA - NYSE American
+  // OPRA - NYSE American Options
   OpraPillarAmxo = 20,
-  // OPRA - Boston Options Exchange
+  // OPRA - BOX Options
   OpraPillarXbox = 21,
-  // OPRA - Cboe Options Exchange
+  // OPRA - Cboe Options
   OpraPillarXcbo = 22,
   // OPRA - MIAX Emerald
   OpraPillarEmld = 23,
-  // OPRA - Cboe EDGX Options Exchange
+  // OPRA - Cboe EDGX Options
   OpraPillarEdgo = 24,
   // OPRA - Nasdaq GEMX
   OpraPillarGmni = 25,
   // OPRA - Nasdaq ISE
   OpraPillarXisx = 26,
   // OPRA - Nasdaq MRX
   OpraPillarMcry = 27,
-  // OPRA - Miami International Securities
+  // OPRA - MIAX Options
   OpraPillarXmio = 28,
-  // OPRA - NYSE Arca
+  // OPRA - NYSE Arca Options
   OpraPillarArco = 29,
   // OPRA - Options Price Reporting Authority
   OpraPillarOpra = 30,
   // OPRA - MIAX Pearl
   OpraPillarMprl = 31,
-  // OPRA - Nasdaq Options Market
+  // OPRA - Nasdaq Options
   OpraPillarXndq = 32,
   // OPRA - Nasdaq BX Options
   OpraPillarXbxo = 33,
-  // OPRA - Cboe C2 Options Exchange
+  // OPRA - Cboe C2 Options
   OpraPillarC2Ox = 34,
   // OPRA - Nasdaq PHLX
   OpraPillarXphl = 35,
   // OPRA - Cboe BZX Options
   OpraPillarBato = 36,
-  // OPRA - MEMX Options Exchange
+  // OPRA - MEMX Options
   OpraPillarMxop = 37,
   // IEX TOPS
   IexgTopsIexg = 38,
-  // DBEQ Basic - NYSE Chicago
+  // DBEQ Basic - NYSE Texas
   DbeqBasicXchi = 39,
   // DBEQ Basic - NYSE National
   DbeqBasicXcis = 40,
@@ -289,7 +289,7 @@ enum class Publisher : std::uint16_t {
   XnasQbboXnas = 46,
   // Nasdaq Trades
   XnasNlsXnas = 47,
-  // Databento US Equities Plus - NYSE Chicago
+  // Databento US Equities Plus - NYSE Texas
   EqusPlusXchi = 48,
   // Databento US Equities Plus - NYSE National
   EqusPlusXcis = 49,
@@ -317,7 +317,7 @@ enum class Publisher : std::uint16_t {
   EqusPlusEqus = 60,
   // OPRA - MIAX Sapphire
   OpraPillarSphr = 61,
-  // Databento US Equities (All Feeds) - NYSE Chicago
+  // Databento US Equities (All Feeds) - NYSE Texas
   EqusAllXchi = 62,
   // Databento US Equities (All Feeds) - NYSE National
   EqusAllXcis = 63,
@@ -399,6 +399,10 @@ enum class Publisher : std::uint16_t {
   XeurEobiXeur = 101,
   // European Energy Exchange EOBI
   XeerEobiXeer = 102,
+  // Eurex EOBI - Off-Market Trades
+  XeurEobiXoff = 103,
+  // European Energy Exchange EOBI - Off-Market Trades
+  XeerEobiXoff = 104,
 };
 
 // Get a Publisher's Venue.

include/databento/record.hpp

@@ -20,7 +20,8 @@ namespace databento {
 // Forward declare
 namespace v3 {
 struct InstrumentDefMsg;
-}
+struct StatMsg;
+}  // namespace v3
 
 // Common data for all Databento Records.
 struct RecordHeader {
@@ -501,6 +502,7 @@ static_assert(alignof(ImbalanceMsg) == 8, "Must have 8-byte alignment");
 struct StatMsg {
   static bool HasRType(RType rtype) { return rtype == RType::Statistics; }
 
+  v3::StatMsg ToV3() const;
   UnixNanos IndexTs() const { return ts_recv; }
 
   RecordHeader hd;

include/databento/v1.hpp

@@ -1,7 +1,7 @@
 #pragma once
 
-#include "databento/constants.hpp"  // kSymbolCstrLen
-#include "databento/datetime.hpp"   // UnixNanos
+#include "databento/constants.hpp"  // kAssetCstrLen, kSymbolCstrLen, kUndefStatQuantity
+#include "databento/datetime.hpp"  // UnixNanos
 #include "databento/enums.hpp"
 #include "databento/record.hpp"
 #include "databento/v2.hpp"
@@ -13,8 +13,11 @@ struct InstrumentDefMsg;
 }
 
 namespace v1 {
+static constexpr std::uint8_t kDbnVersion = 1;
 static constexpr std::size_t kSymbolCstrLen = 22;
 static constexpr std::size_t kAssetCstrLen = databento::kAssetCstrLen;
+static constexpr std::int32_t kUndefStatQuantity =
+    databento::kUndefStatQuantity;
 
 using MboMsg = databento::MboMsg;
 using TradeMsg = databento::TradeMsg;

include/databento/v2.hpp

@@ -1,11 +1,14 @@
 #pragma once
 
-#include "databento/constants.hpp"  // kSymbolCstrLen
+#include "databento/constants.hpp"  // kAssetCstrLen, kSymbolCstrLen, kUndefStatQuantity
 #include "databento/record.hpp"
 
 namespace databento::v2 {
+static constexpr std::uint8_t kDbnVersion = 2;
 static constexpr std::size_t kSymbolCstrLen = databento::kSymbolCstrLen;
 static constexpr std::size_t kAssetCstrLen = databento::kAssetCstrLen;
+static constexpr std::int32_t kUndefStatQuantity =
+    databento::kUndefStatQuantity;
 
 using MboMsg = databento::MboMsg;
 using TradeMsg = databento::TradeMsg;

include/databento/v3.hpp

@@ -2,15 +2,19 @@
 
 #include <cstddef>
 #include <cstdint>
+#include <limits>
 
 #include "databento/constants.hpp"  // kSymbolCstrLen
 #include "databento/datetime.hpp"   // UnixNanos
 #include "databento/enums.hpp"  // InstrumentClass, MatchingAlgorithm, RType, SecurityUpdateAction, Side, UserDefinedInstrument
 #include "databento/record.hpp"  // RecordHeader
 
 namespace databento::v3 {
+static constexpr std::uint8_t kDbnVersion = 3;
 static constexpr std::size_t kSymbolCstrLen = databento::kSymbolCstrLen;
 static constexpr std::size_t kAssetCstrLen = 11;
+static constexpr std::int64_t kUndefStatQuantity =
+    std::numeric_limits<int64_t>::max();
 
 using MboMsg = databento::MboMsg;
 using TradeMsg = databento::TradeMsg;
@@ -28,7 +32,6 @@ using Cbbo1MMsg = databento::Cbbo1MMsg;
 using OhlcvMsg = databento::OhlcvMsg;
 using StatusMsg = databento::StatusMsg;
 using ImbalanceMsg = databento::ImbalanceMsg;
-using StatMsg = databento::StatMsg;
 using ErrorMsg = databento::ErrorMsg;
 using SymbolMappingMsg = databento::SymbolMappingMsg;
 using SystemMsg = databento::SystemMsg;
@@ -133,13 +136,50 @@ static_assert(alignof(InstrumentDefMsg) == 8, "Must have 8-byte alignment");
 static_assert(kMaxRecordLen == sizeof(InstrumentDefMsg) + sizeof(UnixNanos),
               "v3 definition with ts_out should be the largest record");
 
+/// A statistics message. A catchall for various data disseminated by
+/// publishers. The `stat_type` indicates the statistic contained in the
+/// message.
+struct StatMsg {
+  static bool HasRType(RType rtype) { return rtype == RType::Statistics; }
+
+  UnixNanos IndexTs() const { return ts_recv; }
+
+  RecordHeader hd;
+  UnixNanos ts_recv;
+  UnixNanos ts_ref;
+  std::int64_t price;
+  std::int64_t quantity;
+  std::uint32_t sequence;
+  TimeDeltaNanos ts_in_delta;
+  StatType stat_type;
+  std::uint16_t channel_id;
+  StatUpdateAction update_action;
+  std::uint8_t stat_flags;
+  std::array<char, 18> reserved;
+};
+static_assert(sizeof(StatMsg) == 80, "StatMsg size must match Rust");
+static_assert(alignof(StatMsg) == 8, "Must have 8-byte alignment");
+
 bool operator==(const InstrumentDefMsg& lhs, const InstrumentDefMsg& rhs);
 inline bool operator!=(const InstrumentDefMsg& lhs,
                        const InstrumentDefMsg& rhs) {
   return !(lhs == rhs);
 }
+inline bool operator==(const StatMsg& lhs, const StatMsg& rhs) {
+  return std::tie(lhs.hd, lhs.ts_recv, lhs.ts_ref, lhs.price, lhs.quantity,
+                  lhs.sequence, lhs.ts_in_delta, lhs.stat_type, lhs.channel_id,
+                  lhs.update_action, lhs.stat_flags) ==
+         std::tie(rhs.hd, rhs.ts_recv, rhs.ts_ref, rhs.price, rhs.quantity,
+                  rhs.sequence, rhs.ts_in_delta, rhs.stat_type, rhs.channel_id,
+                  rhs.update_action, rhs.stat_flags);
+}
+inline bool operator!=(const StatMsg& lhs, const StatMsg& rhs) {
+  return !(lhs == rhs);
+}
 
 std::string ToString(const InstrumentDefMsg& instr_def_msg);
 std::ostream& operator<<(std::ostream& stream,
                          const InstrumentDefMsg& instr_def_msg);
+std::string ToString(const StatMsg& stat_msg);
+std::ostream& operator<<(std::ostream& stream, const StatMsg& stat_msg);
 }  // namespace databento::v3

pkg/PKGBUILD

@@ -1,7 +1,7 @@
 # Maintainer: Databento <support@databento.com>
 _pkgname=databento-cpp
 pkgname=databento-cpp-git
-pkgver=0.34.2
+pkgver=0.35.0
 pkgrel=1
 pkgdesc="Official C++ client for Databento"
 arch=('any')

scripts/get_version.sh

@@ -2,4 +2,6 @@
 
 SCRIPTS_DIR="$(cd "$(dirname "$0")" || exit; pwd -P)"
 PROJECT_ROOT_DIR="$(dirname "${SCRIPTS_DIR}")"
-grep '^project("databento" VERSION' "${PROJECT_ROOT_DIR}/CMakeLists.txt" | cut -d' ' -f3
+grep --after-context=2 '^project($' "${PROJECT_ROOT_DIR}/CMakeLists.txt" \
+  | grep --perl-regexp --only-matching 'VERSION \d+\.\d+\.\d+' \
+  | cut --delimiter=' ' --fields=2

src/live_blocking.cpp

@@ -113,16 +113,16 @@ void LiveBlocking::Subscribe(std::string_view sub_msg,
                              const std::vector<std::string>& symbols,
                              bool use_snapshot) {
   static constexpr auto kMethodName = "Live::Subscribe";
-  constexpr std::ptrdiff_t kSymbolMaxChunkSize = 128;
+  constexpr std::ptrdiff_t kSymbolMaxChunkSize = 500;
 
   if (symbols.empty()) {
     throw InvalidArgumentError{kMethodName, "symbols",
                                "must contain at least one symbol"};
   }
   auto symbols_it = symbols.begin();
   while (symbols_it != symbols.end()) {
-    const auto chunk_size =
-        std::min(kSymbolMaxChunkSize, std::distance(symbols_it, symbols.end()));
+    const auto distance_from_end = std::distance(symbols_it, symbols.end());
+    const auto chunk_size = std::min(kSymbolMaxChunkSize, distance_from_end);
 
     std::ostringstream chunked_sub_msg;
     chunked_sub_msg << sub_msg << "|symbols="