VER: Release 0.55.0

See release notes.

Author: nmacholl

.github/workflows/test.yml

@@ -30,13 +30,13 @@ jobs:
         shell: bash
 
       - name: Test (release)
-        timeout-minutes: 3
+        timeout-minutes: 5
         if: ${{ github.ref == 'refs/heads/main' }}
         run: scripts/test.sh -vvv --release
         shell: bash
 
       - name: Test
-        timeout-minutes: 3
+        timeout-minutes: 5
         if: ${{ github.ref != 'refs/heads/main' }}
         run: scripts/test.sh -vvv
         shell: bash

CHANGELOG.md

@@ -380,7 +380,7 @@ def __init__(self, data_source: DataSource) -> None:
     def __iter__(self) -> Generator[DBNRecord, None, None]:
         reader = self.reader
         decoder = DBNDecoder(
-            upgrade_policy=VersionUpgradePolicy.UPGRADE_TO_V2,
+            upgrade_policy=VersionUpgradePolicy.UPGRADE_TO_V3,
         )
         while True:
             raw = reader.read(DBNStore.DBN_READ_SIZE)
@@ -394,6 +394,9 @@ def __iter__(self) -> Generator[DBNRecord, None, None]:
                         self._instrument_map.insert_symbol_mapping_msg(record)
                     yield record
             else:
+                # This call to decode is required to seek past the decoded records
+                # This behavior will be fixed in the next version of databento_dbn
+                _ = decoder.decode()
                 if len(decoder.buffer()) > 0:
                     warnings.warn(
                         BentoWarning("DBN file is truncated or contains an incomplete record"),

README.md

@@ -5,7 +5,6 @@
 from collections.abc import Iterable
 from collections.abc import Mapping
 from io import BytesIO
-from json.decoder import JSONDecodeError
 from os import PathLike
 from typing import IO
 from typing import Any
@@ -15,6 +14,7 @@
 import requests
 from aiohttp import ClientResponse
 from aiohttp import ContentTypeError
+from requests import JSONDecodeError
 from requests import Response
 from requests.auth import HTTPBasicAuth
 

databento/common/dbnstore.py

@@ -21,8 +21,9 @@
     databento_dbn.ImbalanceMsg,
     databento_dbn.InstrumentDefMsg,
     databento_dbn.InstrumentDefMsgV1,
-    databento_dbn.InstrumentDefMsgV3,
+    databento_dbn.InstrumentDefMsgV2,
     databento_dbn.StatMsg,
+    databento_dbn.StatMsgV1,
     databento_dbn.StatusMsg,
     databento_dbn.SymbolMappingMsg,
     databento_dbn.SymbolMappingMsgV1,

databento/common/http.py

@@ -407,7 +407,8 @@ def get_cost(
     ) -> float:
         """
         Request the cost in US dollars for historical streaming or batched
-        files from Databento.
+        files from Databento. This cost respects any discounts provided by flat
+        rate plans.
 
         Makes a `GET /metadata.get_cost` HTTP request.
 

databento/common/types.py

@@ -133,6 +133,7 @@ class SubscriptionRequest(GatewayControl):
     start: int | None = None
     snapshot: int = 0
     id: int | None = None
+    is_last: int = 1
 
 
 @dataclasses.dataclass

databento/historical/api/metadata.py

@@ -82,7 +82,7 @@ def __init__(
         self._heartbeat_interval_s = heartbeat_interval_s
 
         self._dbn_decoder = databento_dbn.DBNDecoder(
-            upgrade_policy=VersionUpgradePolicy.UPGRADE_TO_V2,
+            upgrade_policy=VersionUpgradePolicy.UPGRADE_TO_V3,
         )
         self._gateway_decoder = GatewayDecoder()
 
@@ -175,7 +175,7 @@ def connection_made(self, transport: asyncio.BaseTransport) -> None:
 
         See Also
         --------
-        asycnio.BufferedProtocol.connection_made
+        asyncio.BufferedProtocol.connection_made
 
         """
         logger.debug("established connection to gateway")
@@ -190,7 +190,7 @@ def connection_lost(self, exc: Exception | None) -> None:
 
         See Also
         --------
-        asycnio.BufferedProtocol.connection_lost
+        asyncio.BufferedProtocol.connection_lost
 
         """
         super().connection_lost(exc)
@@ -216,7 +216,7 @@ def eof_received(self) -> bool | None:
 
         See Also
         --------
-        asycnio.BufferedProtocol.eof_received
+        asyncio.BufferedProtocol.eof_received
 
         """
         logger.info("received EOF from remote")
@@ -228,7 +228,7 @@ def get_buffer(self, sizehint: int) -> bytearray:
 
         See Also
         --------
-        asycnio.BufferedProtocol.get_buffer
+        asyncio.BufferedProtocol.get_buffer
 
         """
         if len(self.__buffer) < sizehint:
@@ -241,7 +241,7 @@ def buffer_updated(self, nbytes: int) -> None:
 
         See Also
         --------
-        asycnio.BufferedProtocol.buffer_updated
+        asyncio.BufferedProtocol.buffer_updated
 
         """
         logger.debug("read %d bytes from remote gateway", nbytes)
@@ -325,7 +325,8 @@ def subscribe(
 
         subscriptions: list[SubscriptionRequest] = []
         chunked_symbols = list(chunk(symbols_list, SYMBOL_LIST_BATCH_SIZE))
-        for batch in chunked_symbols:
+        last_chunk_idx = len(chunked_symbols) - 1
+        for i, batch in enumerate(chunked_symbols):
             batch_str = ",".join(batch)
             message = SubscriptionRequest(
                 schema=validate_enum(schema, Schema, "schema"),
@@ -334,6 +335,7 @@ def subscribe(
                 start=optional_datetime_to_unix_nanoseconds(start),
                 snapshot=int(snapshot),
                 id=subscription_id,
+                is_last=int(i == last_chunk_idx),
             )
             subscriptions.append(message)
 

databento/live/gateway.py

@@ -39,6 +39,7 @@ def get_range(
         stype_in: SType | str = "raw_symbol",
         events: Iterable[str] | str | None = None,
         countries: Iterable[str] | str | None = None,
+        exchanges: Iterable[str] | str | None = None,
         security_types: Iterable[str] | str | None = None,
         flatten: bool = True,
         pit: bool = False,
@@ -84,6 +85,11 @@ def get_range(
             Takes any number of two letter ISO 3166-1 alpha-2 country codes per request.
             If not specified then will select **all** listing countries by default.
             See [CNTRY](https://databento.com/docs/standards-and-conventions/reference-data-enums#cntry) enum.
+        exchanges : Iterable[str] or str, optional
+            The (listing) exchanges to filter for.
+            Takes any number of exchanges per request.
+            If not specified then will select **all** exchanges by default.
+            See [EXCHANGE](https://databento.com/docs/standards-and-conventions/reference-data-enums#exchange) enum.
         security_types : Iterable[str] or str, optional
             The security types to filter for.
             Takes any number of security types per request.
@@ -108,6 +114,7 @@ def get_range(
         symbols_list = optional_symbols_list_to_list(symbols, SType.RAW_SYMBOL)
         events = optional_string_to_list(events)
         countries = optional_string_to_list(countries)
+        exchanges = optional_string_to_list(exchanges)
         security_types = optional_string_to_list(security_types)
 
         data: dict[str, object | None] = {
@@ -122,6 +129,10 @@ def get_range(
             "compression": str(Compression.ZSTD),  # Always request zstd
         }
 
+        # Only add the `exchanges` param if it is supplied, for compatibility
+        if exchanges:
+            data["exchanges"] = ",".join(exchanges)
+
         response = self._post(
             url=self._base_url + ".get_range",
             data=data,