VER: Release 0.70.0

See release notes.

Author: nmacholl

CHANGELOG.md

@@ -1,9 +1,23 @@
 # Changelog
 
+## 0.70.0 - 2026-01-27
+
+#### Enhancements
+- Added new off-market publisher for Cboe Futures Exchange (`XCBF_PITCH_XOFF`)
+- Upgraded `databento-dbn` to 0.48.0:
+  - Changed the `__repr__` implementation of all records in Python to be more Pythonic
+  - Added new `StatType` variants to be used by `XCBF.PITCH` dataset:
+    - `UPPER_PRICE_LIMIT`
+    - `LOWER_PRICE_LIMIT`
+    - `BLOCK_VOLUME`
+    - `VENUE_SPECIFIC_VOLUME_1`
+- Added new publisher for Blue Ocean ATS (`OCEA_MEMOIR_OCEA`)
+- Reduced the log level of end-of-interval `SystemMsg` records to the debug level
+
 ## 0.69.0 - 2026-01-13
 
 #### Enhancements
-- Upgraded `databento-dbn` to 0.46.0
+- Upgraded `databento-dbn` to 0.46.0:
   - Added `DBNRecord` union type to Python which includes all record types
   - Removed `Record` class from Python type stubs to match code: the record classes don't
     share a base class. Use `DBNRecord` instead.
@@ -28,7 +42,7 @@ This release adds support for Python 3.14.
 #### Enhancements
 - Added support for Python 3.14
 - Functions which accept a path as an argument now expand user directories
-- Upgraded `databento-dbn` to 0.45.0
+- Upgraded `databento-dbn` to 0.45.0:
   - Added support for Python 3.14
 
 ## 0.67.0 - 2025-12-02
@@ -50,7 +64,7 @@ This release adds support for Python 3.14.
 - Added a property `Live.session_id` which returns the streaming session ID when the client is connected
 - Streams added with `Live.add_stream()` which do not define an exception handler will now emit a warning if an exception is raised while executing the callback
 - Callback functions added with `Live.add_callback()` which do not define an exception handler will now emit a warning if an exception is raised while executing the callback
-- Upgraded `databento-dbn` to 0.44.0
+- Upgraded `databento-dbn` to 0.44.0:
   - Added logic to set `code` when upgrading version 1 `SystemMsg` to newer versions
 
 #### Bug fixes
@@ -63,7 +77,7 @@ This release adds support for Python 3.14.
 
 #### Enhancements
 - Added export of `CBBOMsg` and `BBOMsg` from `databento_dbn` to the root `databento` package
-- Upgraded `databento-dbn` to 0.43.0
+- Upgraded `databento-dbn` to 0.43.0:
     - Added export of `F_PUBLISHER_SPECIFIC` constant to Python
     - Added explicit `Unset` variant for `SystemCode` and `ErrorCode`
     - Changed Python getters for enum fields to return the underlying type when no known variant can be found. As a result, these getters no longer raise an exception
@@ -74,7 +88,7 @@ This release adds support for Python 3.14.
 ## 0.64.0 - 2025-09-30
 
 #### Enhancements
-- Upgraded `databento-dbn` to 0.42.0
+- Upgraded `databento-dbn` to 0.42.0:
   - Added `ts_index` and `pretty_ts_index` properties for records in Python which provides the timestamp that is most appropriate for indexing
   - Fixed type stub for `channel_id` to allow None
 
@@ -99,7 +113,7 @@ This release delivers a number of breaking changes to the Python interface for D
 
 #### Breaking changes
 - Removed `bill_id` from the response of `batch.list_jobs()` and `batch.submit_job()`
-- Upgraded `databento-dbn` to 0.40.0
+- Upgraded `databento-dbn` to 0.40.0:
   - Removed `hd` property from records in Python. Header fields are accessible
     directly from the record
   - Removed ability to directly instantiate most enums from an `int` in Python and coercion
@@ -142,7 +156,7 @@ This release delivers a number of breaking changes to the Python interface for D
 
 #### Enhancements
 - Added `parquet_schema` option to `DBNStore.to_parquet()` for overriding the pyarrow schema.
-- Upgraded `databento-dbn` to 0.39.0
+- Upgraded `databento-dbn` to 0.39.0:
   - Added `side()` and `unpaired_side()` methods to `ImbalanceMsg` that convert the fields
     of the same name to the `Side` enum
   - Added `pretty_auction_time` property in Python for `ImbalanceMsg`
@@ -163,7 +177,7 @@ Python
 ## 0.59.0 - 2025-07-15
 
 #### Enhancements
-- Upgraded `databento-dbn` to 0.37.1
+- Upgraded `databento-dbn` to 0.37.1:
   - Fix buffer growth in `DbnFsm::write_all()`, which is used by `DBNDecoder.write()`
 
 #### Breaking changes
@@ -178,7 +192,7 @@ Python
 #### Enhancements
 - Changed the `tz` parameter in `DBNStore.to_df()` to accept `datetime.tzinfo` instead of `pytz.BaseTzInfo` explicitly
 - Modified the dependency specification for `databento_dbn` to allow for compatible patch versions
-- Upgraded `databento-dbn` to 0.36.2
+- Upgraded `databento-dbn` to 0.36.2:
   - Fixed change in behavior where Python `DBNDecoder.decode()` wouldn't always decode all available data on the first call
 
 ## 0.57.1 - 2025-06-17
@@ -187,7 +201,7 @@ Python
 - Changed the following Venue, Publisher, and Dataset descriptions:
   - "ICE Futures Europe (Financials)" renamed to "ICE Europe Financials"
   - "ICE Futures Europe (Commodities)" renamed to "ICE Europe Commodities"
-- Upgraded `databento-dbn` to 0.36.1
+- Upgraded `databento-dbn` to 0.36.1:
   - Fixed setting of `ts_out` property of DbnFsm based on decoded metadata. This
 was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
   - Fixed decoding of `ts_out` with first records in DBNDecoder
@@ -198,7 +212,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 ## 0.57.0 - 2025-06-10
 
 #### Enhancements
-- Upgraded `databento-dbn` to 0.36.0
+- Upgraded `databento-dbn` to 0.36.0:
   - Added missing Python type stubs for several leg properties of `InstrumentDefMsg`
 
 #### Bug fixes
@@ -273,7 +287,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 - Added `exchanges` parameter to `Reference.corporate_actions.get_range(...)`
 - Added `is_last` field to live subscription requests which will be used to improve
   the handling of split subscription requests
-- Upgraded `databento-dbn` to 0.35.0
+- Upgraded `databento-dbn` to 0.35.0:
   - This version delivers DBN version 3 (DBNv3), which is the new default
   - Improved the performance of the Python `DBNDecoder`
 
@@ -290,7 +304,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 ## 0.53.0 - 2025-04-29
 
 #### Enhancements
-- Upgraded `databento-dbn` to 0.33.1
+- Upgraded `databento-dbn` to 0.33.1:
   - Added `SystemCode` and `ErrorCode` enums to indicate types of system and error messages
   - Added `code()` methods to SystemMsg and ErrorMsg to retrieve the enum value if one exists and equivalent properties in Python
 
@@ -301,7 +315,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 
 #### Enhancements
 - Added new optional `id` field to `SubscriptionRequest` class which will be used for improved error messages
-- Upgraded `databento-dbn` to 0.32.0
+- Upgraded `databento-dbn` to 0.32.0:
   - Fixed `RType` variant names in Python to match `Schema`
   - Added missing Python type declarations for `RType` variants
   - Fixed issue with Python `_hidden_fields` definition that caused `KeyError: _reserved1_00`
@@ -310,7 +324,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 ## 0.51.0 - 2025-04-08
 
 #### Enhancements
-- Upgraded `databento-dbn` to 0.31.0
+- Upgraded `databento-dbn` to 0.31.0:
   - Fixed Python type annotation for `SystemMsg.is_heartbeat()` method that was previously annotated as a property
 
 ## 0.50.0 - 2025-03-18
@@ -336,7 +350,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
   - `UNDEF_STAT_QUANTITY`
   - `UNDEF_TIMESTAMP`
 - Added export of `BidAskPair` and `ConsolidatedBidAskPair` from `databento_dbn` to the root `databento` package
-- Upgraded `databento-dbn` to 0.29.0
+- Upgraded `databento-dbn` to 0.29.0:
   - Added `COMMODITY_SPOT` `InstrumentClass` variant
 - Improved handling of `datetime` and `date` objects in `start` and `end` parameters
 
@@ -358,7 +372,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 - Added export of `TradingEvent` enum from `databento_dbn` to the root `databento` package
 - Added new dataset `EQUS.MINI` and new publishers `EQUS.MINI.EQUS`, `XNYS.TRADES.EQUS`
 - Removed upper bound for supported `python` versions; the constraint is now `^3.9`
-- Upgraded `databento-dbn` to 0.27.0
+- Upgraded `databento-dbn` to 0.27.0:
     - Fixed export of `InstrumentDefMsgV3` to Python
 
 #### Bug fixes
@@ -368,7 +382,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 ## 0.47.0 - 2024-12-17
 
 #### Enhancements
-- Upgraded `databento-dbn` to 0.25.0
+- Upgraded `databento-dbn` to 0.25.0:
     - Added type aliases for `TBBOMsg`, `BBO1SMsg`, `BBO1MMsg`, `TCBBOMsg`, `CBBO1SMsg`,
       `CBBO1MMsg` in Python
 - Removed exports for `CBBOMsg` and `BBOMsg` in the root `databento` package in favor of aliased versions from `databento-dbn`
@@ -377,7 +391,7 @@ was preventing `ts_out` from being correctly decoded in the Python DBNDecoder
 
 #### Enhancements
 - Removed deprecated `packaging` parameter from `Historical.batch.submit_job`. Job files can be downloaded individually or as zip files after the job completes
-- Upgraded `databento-dbn` to 0.24.0
+- Upgraded `databento-dbn` to 0.24.0:
     - Added handling for `UNDEF_TIMESTAMP` in `pretty_` timestamp getters for Python. They now return `None` in the case of `UNDEF_TIMESTAMP`
 
 ## 0.45.0 - 2024-11-12
@@ -387,7 +401,7 @@ This release adds support for Python 3.13.
 #### Enhancements
 - Added support for Python 3.13
 - Added new IntelligentCross venues `ASPN`, `ASMT`, and `ASPI`
-- Upgraded `databento-dbn` to 0.23.1
+- Upgraded `databento-dbn` to 0.23.1:
     - Fixed `pretty_activation` getter in `databento_dbn` returning `expiration` instead
     - Fixed some `pretty_` getters in `databento_dbn` didn't correctly handle `UNDEF_PRICE`
 

README.md

@@ -32,7 +32,7 @@ The library is fully compatible with distributions of Anaconda 2023.x and above.
 The minimum dependencies as found in the `pyproject.toml` are also listed below:
 - python = "^3.10"
 - aiohttp = "^3.8.3"
-- databento-dbn = "~0.46.0"
+- databento-dbn = "~0.48.0"
 - numpy = ">=1.23.5"
 - pandas = ">=1.5.3"
 - pip-system-certs = ">=4.0" (Windows only)

databento/common/dbnstore.py

@@ -1528,8 +1528,7 @@ def _format_px(
 
         if price_type == PriceType.DECIMAL:
             df[px_fields] = (
-                df[px_fields].replace(UNDEF_PRICE, np.nan).applymap(decimal.Decimal)
-                / FIXED_PRICE_SCALE
+                df[px_fields].replace(UNDEF_PRICE, np.nan).map(decimal.Decimal) / FIXED_PRICE_SCALE
             )
         elif price_type == PriceType.FLOAT:
             df[px_fields] = df[px_fields].replace(UNDEF_PRICE, np.nan) / FIXED_PRICE_SCALE

databento/common/publishers.py

@@ -120,6 +120,8 @@ class Venue(StringyMixin, str, Enum):
         European Energy Exchange.
     XCBF
         Cboe Futures Exchange.
+    OCEA
+        Blue Ocean ATS.
 
     """
 
@@ -175,6 +177,7 @@ class Venue(StringyMixin, str, Enum):
     XEUR = "XEUR"
     XEEE = "XEEE"
     XCBF = "XCBF"
+    OCEA = "OCEA"
 
     @classmethod
     def from_int(cls, value: int) -> Venue:
@@ -285,6 +288,8 @@ def from_int(cls, value: int) -> Venue:
             return Venue.XEEE
         if value == 52:
             return Venue.XCBF
+        if value == 53:
+            return Venue.OCEA
         raise ValueError(f"Integer value {value} does not correspond with any Venue variant")
 
     def to_int(self) -> int:
@@ -395,6 +400,8 @@ def to_int(self) -> int:
             return 51
         if self == Venue.XCBF:
             return 52
+        if self == Venue.OCEA:
+            return 53
         raise ValueError("Invalid Venue")
 
     @property
@@ -506,6 +513,8 @@ def description(self) -> str:
             return "European Energy Exchange"
         if self == Venue.XCBF:
             return "Cboe Futures Exchange"
+        if self == Venue.OCEA:
+            return "Blue Ocean ATS"
         raise ValueError("Unexpected Venue value")
 
 
@@ -595,6 +604,8 @@ class Dataset(StringyMixin, str, Enum):
         European Energy Exchange EOBI.
     XCBF_PITCH
         Cboe Futures Exchange PITCH.
+    OCEA_MEMOIR
+        Blue Ocean ATS MEMOIR Depth.
 
     """
 
@@ -638,6 +649,7 @@ class Dataset(StringyMixin, str, Enum):
     XEUR_EOBI = "XEUR.EOBI"
     XEEE_EOBI = "XEEE.EOBI"
     XCBF_PITCH = "XCBF.PITCH"
+    OCEA_MEMOIR = "OCEA.MEMOIR"
 
     @classmethod
     def from_int(cls, value: int) -> Dataset:
@@ -724,6 +736,8 @@ def from_int(cls, value: int) -> Dataset:
             return Dataset.XEEE_EOBI
         if value == 40:
             return Dataset.XCBF_PITCH
+        if value == 41:
+            return Dataset.OCEA_MEMOIR
         raise ValueError(f"Integer value {value} does not correspond with any Dataset variant")
 
     def to_int(self) -> int:
@@ -810,6 +824,8 @@ def to_int(self) -> int:
             return 39
         if self == Dataset.XCBF_PITCH:
             return 40
+        if self == Dataset.OCEA_MEMOIR:
+            return 41
         raise ValueError("Invalid Dataset")
 
     @property
@@ -897,6 +913,8 @@ def description(self) -> str:
             return "European Energy Exchange EOBI"
         if self == Dataset.XCBF_PITCH:
             return "Cboe Futures Exchange PITCH"
+        if self == Dataset.OCEA_MEMOIR:
+            return "Blue Ocean ATS MEMOIR Depth"
         raise ValueError("Unexpected Dataset value")
 
 
@@ -1116,6 +1134,10 @@ class Publisher(StringyMixin, str, Enum):
         European Energy Exchange EOBI - Off-Market Trades.
     XCBF_PITCH_XCBF
         Cboe Futures Exchange.
+    XCBF_PITCH_XOFF
+        Cboe Futures Exchange - Off-Market Trades.
+    OCEA_MEMOIR_OCEA
+        Blue Ocean ATS MEMOIR.
 
     """
 
@@ -1224,6 +1246,8 @@ class Publisher(StringyMixin, str, Enum):
     XEUR_EOBI_XOFF = "XEUR.EOBI.XOFF"
     XEEE_EOBI_XOFF = "XEEE.EOBI.XOFF"
     XCBF_PITCH_XCBF = "XCBF.PITCH.XCBF"
+    XCBF_PITCH_XOFF = "XCBF.PITCH.XOFF"
+    OCEA_MEMOIR_OCEA = "OCEA.MEMOIR.OCEA"
 
     @classmethod
     def from_int(cls, value: int) -> Publisher:
@@ -1440,6 +1464,10 @@ def from_int(cls, value: int) -> Publisher:
             return Publisher.XEEE_EOBI_XOFF
         if value == 105:
             return Publisher.XCBF_PITCH_XCBF
+        if value == 106:
+            return Publisher.XCBF_PITCH_XOFF
+        if value == 107:
+            return Publisher.OCEA_MEMOIR_OCEA
         raise ValueError(f"Integer value {value} does not correspond with any Publisher variant")
 
     def to_int(self) -> int:
@@ -1656,6 +1684,10 @@ def to_int(self) -> int:
             return 104
         if self == Publisher.XCBF_PITCH_XCBF:
             return 105
+        if self == Publisher.XCBF_PITCH_XOFF:
+            return 106
+        if self == Publisher.OCEA_MEMOIR_OCEA:
+            return 107
         raise ValueError("Invalid Publisher")
 
     @property
@@ -1873,6 +1905,10 @@ def venue(self) -> Venue:
             return Venue.XOFF
         if self == Publisher.XCBF_PITCH_XCBF:
             return Venue.XCBF
+        if self == Publisher.XCBF_PITCH_XOFF:
+            return Venue.XOFF
+        if self == Publisher.OCEA_MEMOIR_OCEA:
+            return Venue.OCEA
         raise ValueError("Unexpected Publisher value")
 
     @property
@@ -2090,6 +2126,10 @@ def dataset(self) -> Dataset:
             return Dataset.XEEE_EOBI
         if self == Publisher.XCBF_PITCH_XCBF:
             return Dataset.XCBF_PITCH
+        if self == Publisher.XCBF_PITCH_XOFF:
+            return Dataset.XCBF_PITCH
+        if self == Publisher.OCEA_MEMOIR_OCEA:
+            return Dataset.OCEA_MEMOIR
         raise ValueError("Unexpected Publisher value")
 
     @property
@@ -2307,4 +2347,8 @@ def description(self) -> str:
             return "European Energy Exchange EOBI - Off-Market Trades"
         if self == Publisher.XCBF_PITCH_XCBF:
             return "Cboe Futures Exchange"
+        if self == Publisher.XCBF_PITCH_XOFF:
+            return "Cboe Futures Exchange - Off-Market Trades"
+        if self == Publisher.OCEA_MEMOIR_OCEA:
+            return "Blue Ocean ATS MEMOIR"
         raise ValueError("Unexpected Publisher value")

databento/historical/api/batch.py

@@ -135,6 +135,8 @@ def submit_job(
             The input symbology type to resolve from.
         stype_out : SType or str, default 'instrument_id'
             The output symbology type to resolve to.
+            Must be a valid symbology combination with `stype_in`.
+            See `symbology combinations`. https://www.databento.com/standards-and-conventions/symbology#supported-symbology-combinations
         limit : int, optional
             The maximum number of records to return. If `None` then no limit.
 

databento/historical/api/symbology.py

@@ -50,6 +50,8 @@ def resolve(
             The input symbology type to resolve from.
         stype_out : SType or str, default 'instrument_id'
             The output symbology type to resolve to.
+            Must be a valid symbology combination with `stype_in`.
+            See `symbology combinations`. https://www.databento.com/standards-and-conventions/symbology#supported-symbology-combinations
         start_date : date or str
             The inclusive UTC start date of the request range.
         end_date : date or str, optional