VER: Release 0.57.1

See release notes.

Author: nmacholl

CHANGELOG.md

@@ -1,5 +1,19 @@
 # Changelog
 
+## 0.57.1 - 2025-06-17
+
+#### Enhancements
+- 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
+  - 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
+
+#### Bug fixes
+- Fixed an issue where DBN records from the Live client where not having their `ts_out` populated
+
 ## 0.57.0 - 2025-06-10
 
 #### Enhancements
@@ -121,7 +135,7 @@
 ## 0.50.0 - 2025-03-18
 
 #### Enhancements
-- Added new venues, datasets, and publishers for ICE Futures US, ICE Futures Europe (Financial products), Eurex, and European Energy Exchange (EEX)
+- Added new venues, datasets, and publishers for ICE Futures US, ICE Europe Financials products, Eurex, and European Energy Exchange (EEX)
 - Added export of the following enums from `databento_dbn` to the root `databento` package:
   - `Action`
   - `InstrumentClass`
@@ -148,8 +162,7 @@
 ## 0.49.0 - 2025-03-04
 
 #### Enhancements
-- Added new venues, datasets, and publishers for ICE Futures US and for ICE Futures
-  Europe (Financial products)
+- Added new venues, datasets, and publishers for ICE Futures US and for ICE Europe Financials products
 - Added a `keep_zip` parameter to `Historical.batch.download()`. When `True`, and downloading all files, the jobs contents will be saved as a ZIP file
 - Calling `Live.terminate()` will now attempt to write EOF before aborting the connection to help close the remote end
 

README.md

@@ -32,7 +32,7 @@ The library is fully compatible with the latest distribution of Anaconda 3.9 and
 The minimum dependencies as found in the `pyproject.toml` are also listed below:
 - python = "^3.9"
 - aiohttp = "^3.8.3"
-- databento-dbn = "0.35.1"
+- databento-dbn = "0.36.1"
 - numpy= ">=1.23.5"
 - pandas = ">=1.5.3"
 - pip-system-certs = ">=4.0" (Windows only)

databento/common/dbnstore.py

@@ -328,6 +328,8 @@ class DBNStore:
         Write the data to a file in JSON format.
     to_ndarray : np.ndarray
         The data as a numpy `ndarray`.
+    to_parquet
+        Write the data to a parquet file.
 
     Raises
     ------
@@ -662,7 +664,7 @@ def from_bytes(cls, data: BytesIO | bytes | IO[bytes]) -> DBNStore:
 
         Parameters
         ----------
-        data : BytesIO or bytes
+        data : BytesIO or bytes or IO[bytes]
             The bytes to read from.
 
         Returns
@@ -698,7 +700,7 @@ def insert_symbology_json(
             self._instrument_map.clear()
         self._instrument_map.insert_json(json_data)
 
-    def replay(self, callback: Callable[[Any], None]) -> None:
+    def replay(self, callback: Callable[[DBNRecord], None]) -> None:
         """
         Replay data by passing records sequentially to the given callback.
 
@@ -983,6 +985,8 @@ def to_parquet(
 
         Parameters
         ----------
+        path: PathLike[str] or str
+            The file path to write the data to.
         price_type : str, default "float"
             The price type to use for price fields.
             If "fixed", prices will have a type of `int` in fixed decimal format; each unit representing 1e-9 or 0.000000001.

databento/common/parsing.py

@@ -351,7 +351,7 @@ def datetime_to_unix_nanoseconds(
 
 
 def optional_datetime_to_unix_nanoseconds(
-    value: pd.Timestamp | str | int | None,
+    value: pd.Timestamp | date | str | int | None,
 ) -> int | None:
     """
     Return a valid UNIX nanosecond timestamp from the given value (if not

databento/common/publishers.py

@@ -91,7 +91,7 @@ class Venue(StringyMixin, str, Enum):
     MXOP
         MEMX Options.
     IFEU
-        ICE Futures Europe (Commodities).
+        ICE Europe Commodities.
     NDEX
         ICE Endex.
     DBEQ
@@ -113,7 +113,7 @@ class Venue(StringyMixin, str, Enum):
     IFUS
         ICE Futures US.
     IFLL
-        ICE Futures Europe (Financials).
+        ICE Europe Financials.
     XEUR
         Eurex Exchange.
     XEER
@@ -470,7 +470,7 @@ def description(self) -> str:
         if self == Venue.MXOP:
             return "MEMX Options"
         if self == Venue.IFEU:
-            return "ICE Futures Europe (Commodities)"
+            return "ICE Europe Commodities"
         if self == Venue.NDEX:
             return "ICE Endex"
         if self == Venue.DBEQ:
@@ -492,7 +492,7 @@ def description(self) -> str:
         if self == Venue.IFUS:
             return "ICE Futures US"
         if self == Venue.IFLL:
-            return "ICE Futures Europe (Financials)"
+            return "ICE Europe Financials"
         if self == Venue.XEUR:
             return "Eurex Exchange"
         if self == Venue.XEER:
@@ -561,7 +561,7 @@ class Dataset(StringyMixin, str, Enum):
     XNAS_NLS
         Nasdaq NLS.
     IFEU_IMPACT
-        ICE Futures Europe (Commodities) iMpact.
+        ICE Europe Commodities iMpact.
     NDEX_IMPACT
         ICE Endex iMpact.
     EQUS_ALL
@@ -579,7 +579,7 @@ class Dataset(StringyMixin, str, Enum):
     IFUS_IMPACT
         ICE Futures US iMpact.
     IFLL_IMPACT
-        ICE Futures Europe (Financials) iMpact.
+        ICE Europe Financials iMpact.
     XEUR_EOBI
         Eurex EOBI.
     XEER_EOBI
@@ -856,7 +856,7 @@ def description(self) -> str:
         if self == Dataset.XNAS_NLS:
             return "Nasdaq NLS"
         if self == Dataset.IFEU_IMPACT:
-            return "ICE Futures Europe (Commodities) iMpact"
+            return "ICE Europe Commodities iMpact"
         if self == Dataset.NDEX_IMPACT:
             return "ICE Endex iMpact"
         if self == Dataset.EQUS_ALL:
@@ -874,7 +874,7 @@ def description(self) -> str:
         if self == Dataset.IFUS_IMPACT:
             return "ICE Futures US iMpact"
         if self == Dataset.IFLL_IMPACT:
-            return "ICE Futures Europe (Financials) iMpact"
+            return "ICE Europe Financials iMpact"
         if self == Dataset.XEUR_EOBI:
             return "Eurex EOBI"
         if self == Dataset.XEER_EOBI:
@@ -1001,7 +1001,7 @@ class Publisher(StringyMixin, str, Enum):
     EQUS_PLUS_FINC
         Databento US Equities Plus - FINRA/Nasdaq TRF Chicago.
     IFEU_IMPACT_IFEU
-        ICE Futures Europe (Commodities).
+        ICE Europe Commodities.
     NDEX_IMPACT_NDEX
         ICE Endex.
     DBEQ_BASIC_DBEQ
@@ -1055,7 +1055,7 @@ class Publisher(StringyMixin, str, Enum):
     XNAS_BASIC_FINC
         Nasdaq Basic - FINRA/Nasdaq TRF Chicago.
     IFEU_IMPACT_XOFF
-        ICE Futures Europe - Off-Market Trades.
+        ICE Europe - Off-Market Trades.
     NDEX_IMPACT_XOFF
         ICE Endex - Off-Market Trades.
     XNAS_NLS_XBOS
@@ -1085,9 +1085,9 @@ class Publisher(StringyMixin, str, Enum):
     IFUS_IMPACT_XOFF
         ICE Futures US - Off-Market Trades.
     IFLL_IMPACT_IFLL
-        ICE Futures Europe (Financials).
+        ICE Europe Financials.
     IFLL_IMPACT_XOFF
-        ICE Futures Europe (Financials) - Off-Market Trades.
+        ICE Europe Financials - Off-Market Trades.
     XEUR_EOBI_XEUR
         Eurex EOBI.
     XEER_EOBI_XEER
@@ -2181,7 +2181,7 @@ def description(self) -> str:
         if self == Publisher.EQUS_PLUS_FINC:
             return "Databento US Equities Plus - FINRA/Nasdaq TRF Chicago"
         if self == Publisher.IFEU_IMPACT_IFEU:
-            return "ICE Futures Europe (Commodities)"
+            return "ICE Europe Commodities"
         if self == Publisher.NDEX_IMPACT_NDEX:
             return "ICE Endex"
         if self == Publisher.DBEQ_BASIC_DBEQ:
@@ -2235,7 +2235,7 @@ def description(self) -> str:
         if self == Publisher.XNAS_BASIC_FINC:
             return "Nasdaq Basic - FINRA/Nasdaq TRF Chicago"
         if self == Publisher.IFEU_IMPACT_XOFF:
-            return "ICE Futures Europe - Off-Market Trades"
+            return "ICE Europe - Off-Market Trades"
         if self == Publisher.NDEX_IMPACT_XOFF:
             return "ICE Endex - Off-Market Trades"
         if self == Publisher.XNAS_NLS_XBOS:
@@ -2265,9 +2265,9 @@ def description(self) -> str:
         if self == Publisher.IFUS_IMPACT_XOFF:
             return "ICE Futures US - Off-Market Trades"
         if self == Publisher.IFLL_IMPACT_IFLL:
-            return "ICE Futures Europe (Financials)"
+            return "ICE Europe Financials"
         if self == Publisher.IFLL_IMPACT_XOFF:
-            return "ICE Futures Europe (Financials) - Off-Market Trades"
+            return "ICE Europe Financials - Off-Market Trades"
         if self == Publisher.XEUR_EOBI_XEUR:
             return "Eurex EOBI"
         if self == Publisher.XEER_EOBI_XEER:

databento/historical/api/batch.py

@@ -184,7 +184,7 @@ def submit_job(
 
     def list_jobs(
         self,
-        states: list[str] | str = "received,queued,processing,done",
+        states: Iterable[str] | str = "received,queued,processing,done",
         since: pd.Timestamp | datetime | date | str | int | None = None,
     ) -> list[dict[str, Any]]:
         """
@@ -196,8 +196,8 @@ def list_jobs(
 
         Parameters
         ----------
-        states : list[str] or str, optional {'received', 'queued', 'processing', 'done', 'expired'}  # noqa
-            The filter for jobs states as a list of comma separated values.
+        states : Iterable[str] or str, optional {'received', 'queued', 'processing', 'done', 'expired'}  # noqa
+            The filter for jobs states as an iterable of comma separated values.
         since : pd.Timestamp, datetime, date, str, or int, optional
             The filter for timestamp submitted (will not include jobs prior to this).
 

databento/historical/api/metadata.py

@@ -32,7 +32,7 @@ def __init__(self, key: str, gateway: str) -> None:
         super().__init__(key=key, gateway=gateway)
         self._base_url = gateway + f"/v{API_VERSION}/metadata"
 
-    def list_publishers(self) -> list[dict[str, Any]]:
+    def list_publishers(self) -> list[dict[str, int | str]]:
         """
         Request all publishers from Databento.
 
@@ -42,7 +42,7 @@ def list_publishers(self) -> list[dict[str, Any]]:
 
         Returns
         -------
-        list[dict[str, Any]]
+        list[dict[str, int | str]]
 
         """
         response: Response = self._get(
@@ -121,7 +121,7 @@ def list_fields(
         self,
         schema: Schema | str,
         encoding: Encoding | str,
-    ) -> list[dict[str, Any]]:
+    ) -> list[dict[str, str]]:
         """
         List all fields for a particular schema and encoding from Databento.
 
@@ -136,7 +136,7 @@ def list_fields(
 
         Returns
         -------
-        list[dict[str, Any]]
+        list[dict[str, str]]
             A list of field details.
 
         """
@@ -189,7 +189,7 @@ def get_dataset_condition(
         dataset: Dataset | str,
         start_date: date | str | None = None,
         end_date: date | str | None = None,
-    ) -> list[dict[str, str]]:
+    ) -> list[dict[str, str | None]]:
         """
         Get the per date dataset conditions from Databento.
 
@@ -210,7 +210,7 @@ def get_dataset_condition(
 
         Returns
         -------
-        list[dict[str, str]]
+        list[dict[str, str | None]]
 
         """
         params: list[tuple[str, str | None]] = [

databento/historical/api/symbology.py

@@ -44,7 +44,7 @@ def resolve(
         ----------
         dataset : Dataset or str
             The dataset code (string identifier) for the request.
-        symbols : Iterable[str | int] or str or int, optional
+        symbols : Iterable[str | int] or str or int
             The symbols to resolve. Takes up to 2,000 symbols per request.
         stype_in : SType or str, default 'raw_symbol'
             The input symbology type to resolve from.

databento/version.py

@@ -1 +1 @@
-__version__ = "0.57.0"
+__version__ = "0.57.1"

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "databento"
-version = "0.57.0"
+version = "0.57.1"
 description = "Official Python client library for Databento"
 authors = [
     "Databento <support@databento.com>",
@@ -32,7 +32,7 @@ aiohttp = [
     {version = "^3.8.3", python = "<3.12"},
     {version = "^3.9.0", python = "^3.12"}
 ]
-databento-dbn = "0.36.0"
+databento-dbn = "0.36.1"
 numpy = [
     {version = ">=1.23.5", python = "<3.12"},
     {version = ">=1.26.0", python = "^3.12"}