Release notes

0.42.0 - 2025-08-19

Enhancements

• Added EndOfInterval variant to SystemCode

Breaking changes

• Removed bill_id field from BatchJob struct

0.41.0 - 2025-08-12

Enhancements

• Added static Builder() methods to the clients
• Improved debug logging in live clients
• Added PUBLISHER_SPECIFIC flag

Breaking changes

• Removed unused Received variant from JobState enum

0.40.0 - 2025-07-29

Enhancements

• Added OhlcvEod variant to RType
• Added documentation to more enums and record structs
• Aligned string representation of RType with Rust

Breaking changes

• Switched to std::byte for most padding fields in record structs. These fields are now initialized by default
• Hidden padding fields now begin with _

Bug fixes

• Added missing IndexTs() method to v1::InstrumentDefMsg, v2::InstrumentDefMsg, and v1::SymbolMappingMsg
• Fixed error in templated overload of DbnDecoder::EncodeRecord()
• Removed unused Disk and S3 variants from Delivery enum

0.39.1 - 2025-07-22

Bug fixes

• Fixed potential corrupted data in DbnFileStore::Replay

0.39.0 - 2025-07-15

Breaking changes

• Renamed the following Venue, Dataset, and Publishers:
  • XEER to XEEE
  • XEER.EOBI to XEEE.EOBI
  • XEER.EOBI.XEER to XEEE.EOBI.XEEE
  • XEER.EOBI.XOFF to XEEE.EOBI.XOFF

Bug fixes

• Fixed potential corrupted records when upgrading DBN versions in live clients
• Removed unused Intraday variant from DatasetCondition enum

0.38.2 - 2025-07-01

Enhancements

• Added LogPlatformInfo function which logs the client version, compiler, and operating system info to aid troubleshooting
• Added compiler and operating system info to the user agent to aid troubleshooting
• Standardized client info sent by live clients to match historical
• Added methods to the client builders to extend the user agents with a custom string

Bug fixes

• Fixed missing implementation for LiveBuilder::SetBufferSize()
• Fixed checking of warnings from server in Historical API in TimeseriesGetRange() and TimeseriesGetRangeToFile()

0.38.1 - 2025-06-25

Enhancements

• Added range_by_schema field to DatasetRange struct
• Changed historical TimeseriesGetRange() and TimeseriesGetRangeToFile() methods to use a POST request to allow for requesting supported maximum of 2000 symbols
• Added logging around Historical::BatchDownload
• 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"

Bug fixes

• Fixed handling of null last_modified_date in MetadataGetDatasetCondition response
• Fixed default ShouldLog implementation

0.38.0 - 2025-06-10

Enhancements

• Made the buffer size used by the live clients when reading from the TCP socket configurable through the LiveBuilder::SetBufferSize() method
• Added log level prefix to ConsoleLogReceiver output
• Added iomanip compatibility: fill, precision, and width to pretty::Px (formerly FixPx)
• Added new pretty::Ts helper type for human-readable formatting of UnixNanos

Breaking changes

• Live client instances can only be created through the LiveBuilder class
• Changed HeartbeatInterval() getters on LiveBlocking and LiveThreaded to return an std::optional
• Added new optional ShouldLog virtual method to ILogReceiver to filter the levels of log messages that will be sent to the receiver

Deprecations

• Deprecated FixPx in favor of pretty::Px which has consistent naming with the API and the Python and Rust client libraries

Bug fixes

• Ensure CPPHTTPLIB_OPENSSL_SUPPORT is defined at all locations where cpp-httplib is included

0.37.1 - 2025-06-03

Bug fixes

• Fixed issue where not all data was processed in Historical::TimeseriesGetRange()
• Fixed issue with pointer arithmetic in Buffer::Write()
• Fixed issue where more data than necessary was copied in Buffer::Shift()

0.37.0 - 2025-06-03

Breaking changes

• Changed the type of the output_dir parameter in HistoricalClient::BatchDownload() to a std::filesystem::path and the return type to std::filesystem::path
• Changed the type of the file_path parameter in HistoricalClient::TimeseriesGetRangeToFile() to a std::filesystem::path
• Changed the type of the file_path parameter in the DbnFileStore, InFileStream, and OutFileStream constructors to a std::filesystem::path
• Made stype_in and schema optionals in Metadata to align with how Metadata is represented in other languages and removed the boolean has_mixed_stype_in and has_mixed_schema fields

Bug fixes

• Fixed behavior where encoding metadata could lower the version

0.36.0 - 2025-05-27

This version marks the release of DBN version 3 (DBNv3), which is the new default. API methods and DbnDecoder support decoding all versions of DBN, but now default to upgrading data to version 3.

Enhancements

• Added UpgradeToV3 variant to VersionUpgradePolicy enum
• Version 1 and 2 structs can be converted to version 3 structs with templated Upgrade method
• Metadata will now always be encoded with a length divisible by 8 bytes for better alignment
• Added is_last field to live subscription requests which will be used to improve the handling of split subscription requests

Breaking changes

• Release of DBN version 3:
  • Definition schema:
    • Updated InstrumentDefMsg with new leg_ fields to support multi-leg strategy definitions.
    • Expanded raw_instrument_id to 64 bits to support more venues. Like other 64-bit integer fields, its value will now be quoted in JSON
    • Removed trading_reference_date, trading_reference_price, and settl_price_type fields which will be normalized in the statistics schema
    • Removed md_security_trading_status better served by the status schema
    • Updated asset to 11 bytes and kAssetCstrLen to match
  • Statistics schema:
    • Updated StatMsg has an expanded 64-bit quantity field. kUndefStatQuantity has been updated to match
    • The previous StatMsg has been moved to v2::StatMsg or StatMsgV2

Bug fixes

• Fixed "Zstd error decompressing: Operation made no progress over multiple calls, due to output buffer being full" error with TimeseriesGetRange
• Fixed missing implementation of HistoricalBuilder::SetLogReceiver

0.35.1 - 2025-05-20

Bug fixes

• Added missing operator<< and ToString implementations for Cmbp1Msg

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

• Fixed potential for unaligned records in live and historical streaming requests

0.34.1 - 2025-04-29

Enhancements

• Added InstitutionalPrioritization variant to MatchingAlgorithm

Bug fixes

• Improved memory usage of historical streaming requests (TimeseriesGetRange)

0.34.0 - 2025-04-22

Enhancements

• Added SystemCode and ErrorCode enums to indicate types of system and error messages
• Converting a v1::SystemMsg to a v2::SystemMsg now sets to code to the heartbeat value
• Introduced kAssetCstrLen constant containing the size of asset field in InstrumentDefMsg

Breaking changes

• Increased the size of asset field in v3::InstrumentDefMsg from 7 to 11. The v3::InstrumentDefMsg message size remains 520 bytes.
• Set minimum CMake version to 3.24
• Changed type of code field in SystemMsg to SystemCode
• Changed type of code field in ErrorMsg to ErrorCode

Bug fixes

• Changed TriState to a regular enum to handle unexpected values
• Fixed ccache support
• Changed to explicitly only support being built as a static library

0.33.0 - 2025-04-15

Enhancements

• Added id field to LiveSubscription requests, which will be used for improved error messages
• Removed Windows-only dirent dependency

Breaking changes

• Changed DbnDecoder, FileStream, IReadable, IWritable to work on bytes

0.32.1 - 2025-04-07

Bug fixes

• Fixed CMake error when zstdTargets.cmake exists
• Reverted vcpkg baseline change

0.32.0 - 2025-04-02

Enhancements

• Upgraded default date version to 3.0.3
• Updated vcpkg baseline

Breaking changes

• Upgraded default cpp-httplib version to 0.20.0 which requires OpenSSL >= 3.0

0.31.0 - 2025-03-18

Enhancements

• Added new venues, datasets, and publishers for ICE Futures US, ICE Europe Financial products, Eurex, and European Energy Exchange (EEX).

0.30.0 - 2025-02-11

Enhancements

• Added Resubscribe() methods to LiveBlocking and LiveThreaded to make it easier to resume a live session after losing the connection to the live gateway
• Added Subscriptions() getter methods to LiveBlocking and LiveThreaded for getting all active subscriptions
• Added CommoditySpot InstrumentClass variant

0.29.0 - 2025-02-04

Enhancements

• Fixed documentation for using external versions of libraries (credit: ElBellaCiao)

Breaking changes

• Updated the minimum supported C++ standard to C++17

0.28.0 - 2025-01-21

Breaking changes

• Updated enumerations for unreleased datasets and publishers.

Enhancements

• Added new dataset EQUS.MINI and new publishers EQUS.MINI.EQUS, XNYS.TRADES.EQUS

Bug fixes

• Changed historical metadata methods with symbols parameter to use a POST request to allow for requesting supported maximum of 2000 symbols

0.27.0 - 2025-01-07

Breaking changes

• Converted the UserDefinedInstrument enum class to an enum to safely allow handling invalid data and adding future variants
• Updated the value of the kMaxRecordLen constant for the changes to InstrumentDefMsg in version 3

Enhancements

• Added v3 namespace in preparation for future DBN version 3 release. DBN version 2 remains the current and default version
• Added v3::InstrumentDefMsg record with new fields to support normalizing multi-leg strategy definitions
  • Removal of statistics-schema related fields trading_reference_price, trading_reference_date, and settl_price_type
  • Removal of the status-schema related field md_security_trading_status

0.26.0 - 2024-12-17

Breaking changes

• Removed deprecated Packaging enum and packaging field that's no longer supported by the API
• Renamed VersionUpgradePolicy::Upgrade to UpgradeToV2 in preparation for a future DBN version 3

Enhancements

• Created separate namespaces for each DBN version to create a consistent way to refer to record types from a particular DBN version regardless of whether the record changed between versions

0.25.0 - 2024-11-12

Enhancements

• Added new IntelligentCross venues ASPN, ASMT, and ASPI

Deprecations

• Deprecated Packaging enum and packaging field on BatchJob. These will be removed in a future version. All files from a batch job can be downloaded with the BatchDownload method on the historical client

0.24.0 - 2024-10-22

Enhancements

• Added new None Action variant that will be gradually rolled out to historical and live GLBX.MDP3 data

0.23.0 - 2024-09-25

Enhancements

• Added new Cmbp1Msg
• Added new consolidated publisher values for XNAS.BASIC and DBEQ.MAX

Breaking changes

• Changed the layout of CbboMsg to better match BboMsg
• Renamed Schema::Cbbo to Schema::Cmbp1

Deprecations

• Deprecated Packing::Tar and renamed it to TarDeprecated. This variant will be removed in a future version when it is no longer supported by the API

0.22.0 - 2024-08-27

Enhancements

• Added Intraday variant to DatasetCondition in preparation for intraday data being available from the historical API
• Added new publisher values for XCIS.BBOTRADES and XNYS.BBOTRADES

Breaking changes

• Removed previously deprecated DatasetCondition::Bad variant

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

0.20.0 - 2024-07-09

This release adds support for encoding DBN within the C++ client. It also improves historical symbology support with the new TsSymbolMap class that handles mapping historical records to a text symbol. To support this class, several types for date fields were changed from strings or ints to date::year_month_day.

Enhancements

• Added TsSymbolMap to support historical symbology where mappings change between days
• Added DbnEncoder class for encoding DBN data
• Added blocking API similar to LiveBlocking to DbnFileStore with new GetMetadata and NextRecord methods
• Added BboMsg record struct for future bbo-1m and bbo-1s schemas
• Added PitSymbol map constructor from Metadata and a date::year_month_day
• Added Metadata::CreateSymbolMap and Metadata::CreateSymbolMapForDate methods for creating symbology maps from historical metadata
• Added blocking API similar to LiveBlocking to DbnFileStore
• Added SymbologyResolution::CreateSymbolMap method for creating a symbology map from a symbology resolution response
• Added InFileStream and OutFileStream helper classes for reading and writing binary output respectively

Breaking changes

• Added new dependency on Howard Hinnant's date library
• Added ILogReceiver* parameter to all DbnDecoder constructors and one DbnFileStore constructor
• Removed type StrMappingInterval. MappingInterval is now also used in SymbologyResolution.
• Changed Bbo1sMsg and Bbo1mMsg to be aliases for BboMsg
• Changed type of start_date and end_date in MappingInterval to date::year_month_day
• Added stype_in and stype_out fields to SymbologyResolution to support creating a TsSymbolMap

0.19.1 - 2024-06-25

Enhancements

• Added Upgrade() method to Metadata to update the metadata fields according to a VersionUpgradePolicy
• Added new publisher values for XNAS.BASIC and XNAS.NLS

Bug fixes

• Fixed issue where Metadata wasn't upgraded when passing VersionUpgradePolicy::Upgrade

0.19.0 - 2024-06-04

Enhancements

• Added configurable heartbeat_interval parameter for live clients that determines the timeout before heartbeat SystemMsg records will be sent. It can be configured via the SetHeartbeatInterval method of the LiveBuilder
• Added SetAddress method to LiveBuilder for configuring a custom gateway address without using the constructor directly
• Added new UncrossingPrice StatType variant
• Added new publisher values for XNAS.BASIC
• Added SetDataset(Dataset) overload to LiveBuilder
• Added new off-market publisher values for IFEU.IMPACT and NDEX.IMPACT

Breaking changes

• Added heartbeat_interval parameter to the Live constructors
• Removed start_date and end_date fields from DatasetRange struct in favor of start and end
• Removed live Subscribe method overloads with use_snapshot parameter in favor of separate SubscribeWithSnapshot method

Bug fixes

• Fixed overloading of live Subscribe methods
• Fixed live subscribing with default-constructed UnixNanos
• Fixed descriptions for FINN and FINY publishers

0.18.1 - 2024-05-22

Enhancements

• Added live Subscribe function overload with use_snapshot parameter
• Added GetIf method to Record that allows if chaining for handling multiple record types
• Added record type checking to Record::Get method to catch programming errors and prevent reading invalid data
• Added ToString for Record

Bug fixes

• Added missing symbol chunking for live Subscribe overloads with const std::string& start parameter

0.18.0 - 2024-05-14

Breaking changes

• Changed FlagSet to be more class-like:
  • Added predicate methods and setters for each bit flag
  • Improved string formatting
  • Removed bitwise operators. Bitwise operations can be performed by first casting to a std::uint8_t or calling the Raw() method
• Changed format of display_factor and price_ratio to a fixed-precision decimal for InstrumentDefMsg and InstrumentDefMsgV1 to match existing values and DBN crate
• Changed format of unit_of_measure_qty to a fixed-precision decimal for InstrumentDefMsgV1 to match InstrumentDefMsg

0.17.1 - 2024-04-08

Enhancements

• Added support for Conan-installed zstd (credit: Jakob Lövhall)

Bug fixes

• Added missing copying of ts_event when upgrading structs from DBNv1 to DBNv2
• Fixed setting of compiler warnings and warnings that had accumulated

0.17.0 - 2024-04-01

Enhancements

• Added StatusMsg record, and StatusAction, StatusReason, TradingEvent, and TriState enums
• Added CbboMsg record and corresponding ConsolidatedBidAskPair structure
• Added new enum values for Schema and RType corresponding to new schemas cbbo, cbbo-1s, cbbo-1m, tcbbo, bbo-1s, bbo-1m
• Changed format unit_of_measure_qty to a fixed-precision decimal
• Added logic to skip find_package call if nlohmann_json and httplib targets already exist (credit: Asen Kovachev)
• Add specific instructions for installing dependencies on Ubuntu and macOS (credit: Camron Godbout)

Bug fixes

• Fixed out-of-order initialization in DbnDecoder (credit: Jakob Lövhall)

Breaking changes

• Renamed publishers from deprecated datasets to their respective sources (XNAS.NLS and XNYS.TRADES respectively)

Deprecations

• Deprecated dataset values FINN.NLS and FINY.TRADES

0.16.0 - 2024-03-01

Enhancements

• Added new publisher values for consolidated DBEQ.MAX
• Added constructor to WithTsOut that updates length to the correct value to account for the extra 8 bytes
• Upgraded default cpp-httplib version to 0.14.3 (last to still support OpenSSL 1.1)
• Upgraded default nlohmann_json version to 3.11.3

Breaking changes

• Changed default upgrade_policy to Upgrade so by default the primary record types can always be used
• Renamed dummy field in ImbalanceMsg and StatMsg to reserved

Bug fixes

• Fixed handling of ts_out when decoding DBNv1 and upgrading to version 2
• Fixed missing logic to upgrade ErrorMsgV1 and SystemMsgV1 when decoding DBN with VersionUpgradePolicy::Upgrade
• Added missing StatType::Vwap variant used in the ICE datasets
• Added missing ToString and operator<< handling for StatType::ClosePrice and StatType::NetChange
• Fixed potential for invalid reads when decoding C strings in DbnDecoder

0.15.0 - 2024-01-16

Breaking changes

• Increased size of SystemMsg and ErrorMsg to provide better messages from Live gateway
  • Increased length of err and msg fields for more detailed messages
  • Added is_last field to ErrorMsg to indicate the last error in a chain
  • Added code field to SystemMsg and ErrorMsg, although currently unused
  • Added new is_last parameter to ErrorMsg::new
  • Decoding these is backwards-compatible and records with longer messages won't be sent during the DBN version 2 migration period
  • Renamed previous records to ErrorMsgV1 and SystemMsgV1

0.14.1 - 2023-12-18

Enhancements

• Added PitSymbolMap helper for keeping track of symbology mappings in Live
• Added new publisher value for OPRA MIAX Sapphire

Bug fixes

• Fixed misaligned read undefined behavior when decoding records

0.14.0 - 2023-11-23

This release adds support for DBN v2.

DBN v2 delivers improvements to the Metadata header symbology, new stype_in and stype_out fields for SymbolMappingMsg, and extends the symbol field length for SymbolMappingMsg and InstrumentDefMsg. The entire change notes are available here. Users who wish to convert DBN v1 files to v2 can use the dbn-cli tool available in the databento-dbn crate. On a future date, the Databento live and historical APIs will stop serving DBN v1.

This release is fully compatible with both DBN v1 and v2, and so the change should be seamless for most users.

Enhancements

• Added support for DBN encoding version 2 (DBNv2), affecting SymbolMappingMsg, InstrumentDefMsg, and Metadata
  • Version 1 structs can be converted to version 2 structs with the ToV2() method
• Added symbol_cstr_len field to Metadata to indicate the length of fixed symbol strings
• Added stype_in and stype_out fields to SymbolMappingMsg to provide more context with live symbology updates
• Added IndexTs methods to every record type which returns the primary timestamp
• Added VersionUpgradePolicy enum to allow specifying how to handle decoding records from prior DBN versions
• Added InstrumentDefMsgV2 and SymbolMappingMsgV2 type aliases
• Added kDbnVersion constant for current DBN version
• Added kSymbolCstrLen, kSymbolCstrLenV1, and kSymbolCstrLenV2 constants for the length of fixed-length symbol strings in different DBN versions
• Added new publisher values in preparation for IFEU.IMPACT and NDEX.IMPACT datasets
• Added new publisher values for consolidated DBEQ.BASIC and DBEQ.PLUS
• Added kMaxRecordLen constant for the length of the largest record type
• Added ability to convert FlagSet to underlying representation

Breaking changes

• The old InstrumentDefMsg is now InstrumentDefMsgV1 in compat.hpp
• The old SymbolMappingMsg is now SymbolMappingMsgV1 in compat.hpp
• Converted the following enum classes to enums to allow safely adding new variants: SecurityUpdateAction and SType
• Renamed dummy to reserved in InstrumentDefMsg
• Removed reserved2, reserved3, reserved4, and reserved5 from InstrumentDefMsg
• Moved position of strike_price within InstrumentDefMsg
• Removed deprecated SecurityUpdateAction::Invalid variant

0.13.1 - 2023-10-23

Enhancements

• Added new publisher values in preparation for DBEQ.PLUS
• Added ToIso8601 for UnixNanos for converting to human-readable ISO8601 datetime string
• Added kUndefTimestamp and kUndefStatQuantity constants
• Added flag kTob for top-of-book messages

0.13.0 - 2023-09-21

Enhancements

• Added pretty_px option for BatchSubmitJob, which formats prices to the correct scale using the fixed-precision scalar 1e-9 (available for CSV and JSON text encodings)
• Added pretty_ts option for BatchSubmitJob, which formats timestamps as ISO 8601 strings (available for CSV and JSON text encodings)
• Added map_symbols option to BatchSubmitJob, which appends the raw symbol to every record (available for CSV and JSON text encodings) reducing the need to look at the symbology.json file
• Added split_symbols option for BatchSubmitJob, which will split files by raw symbol
• Added encoding option to BatchSubmitJob to allow requesting non-DBN encoded data through the client
• Added map_symbols, pretty_px, and pretty_ts to BatchJob response
• Added ARCX.PILLAR.ARCX publisher
• Added ClosePrice and NetChange StatTypes used in the OPRA.PILLAR dataset

Breaking changes

• Remove default_value parameter from Historical::SymbologyResolve

0.12.0 - 2023-08-24

Enhancements

• Added the Publisher, Venue, and Dataset enums
• Added Publisher getters to Record and RecordHeader to convert the publisher_id to its enum

0.11.0 - 2023-08-10

Enhancements

• Added raw_instrument_id to definition schema
• Added operator== and operator!= implementations for DatasetConditionDetail and DatasetRange

Breaking changes

• Changed MetadataListPublishers to return a vector<PublisherDetail>
• MetadataListFields:
  • Changed return type to vector<FieldDetail>
  • Made encoding and schema parameters required
  • Removed dataset parameter
• MetadataListUnitPrices:
  • Changed return type to vector<UnitPricesForMode>
  • Made dataset parameter required
  • Removed mode and schema parameters

Bug fixes

• Fixed installation of nlohmann_json when using bundled version
• Added missing operator!= implementations for Metadata, MappingInterval, and SymbolMapping

0.10.0 - 2023-07-20

Enhancements

• Added preliminary support for Windows
• Added LiveThreaded::BlockForStop to make it easier to wait for one or more records before closing the session
• Changed TimeseriesGetRange to request a Zstd-compressed result for more efficient data transfer
• Switched BatchSubmitJob to use form data to avoid query param length limit
• Switched SymbologyResolve to use POST request with form data to avoid query param length limit

Breaking changes

• Changed size-related fields and limit parameters to use std::uint64_t for consistency across architectures

Bug fixes

• Remove usage of non-portable __PRETTY_FUNCTION__

0.9.1 - 2023-07-11

Enhancements

• Added constants for dataset IDs for Databento Equity Basic and OPRA Pillar
• Added const char* getters to records for fixed-length char arrays
• Added RType getter to Record

Bug fixes

• Added batching for live subscriptions to avoid hitting max message length
• Fixed bug in Zstd decompression
• Fixed Historical::BatchDownload truncating file before writing each chunk

0.9.0 - 2023-06-13

Enhancements

• Added Reconnect methods to LiveBlocking and LiveThreaded
• Added optional exception_callback argument to LiveThreaded::Start to improve error handling options
• Added batch download support data files (condition.json and symbology.json)
• Added support for logging warnings from Historical API
• Relaxed 10 minute minimum request time range restriction

Breaking changes

• Changed use_ts_out default to false

Bug fixes

• Fixed missing definition for operator== for ImbalanceMsg

0.8.0 - 2023-05-16

Enhancements

• Changed end and end_date to optional to support new forward-fill behaviour

Breaking changes

• Renamed booklevel MBP field to levels for brevity and consistent naming
• Removed open_interest_qty and cleared_volume fields from definitions schema that were always unset

0.7.0 - 2023-04-28

Enhancements

• Added initial support for live data with LiveBlocking and LiveThreaded clients
• Added support for statistics schema
• Added SystemMsg and ErrorMsg records for use in live data
• Added strike_price, strike_price_currency, and instrument_class to InstrumentDefMsg
• Added FixedPx helper class for formatting fixed prices
• Added configurable log receiver ILogReceiver
• Added instrument_class, strike_price, and strike_price_currency to definition schema
• Added additional condition variants for DatasetConditionDetail (degraded, pending, missing)
• Added additional member last_modified_date to DatasetConditionDetail
• Added has_mixed_schema, has_mixed_stype_in, and ts_out to Metadata to support live data
• Added optional compression parameter to BatchSubmitJob

Breaking changes

• Removed related and related_security_id from InstrumentDefMsg
• Renamed BatchJob.cost to cost_usd and value now expressed as US dollars
• Renamed SType::ProductId to SType::InstrumentId and SType::Native to SType::RawSymbol
• Renamed RecordHeader::product_id to instrument_id
• Renamed InstrumentDefMsg::symbol to raw_symbol
• Renamed SymbolMapping::native_symbol to raw_symbol
• Changed expiration and action type to UnixNanos
• Changed some fields to enums in InstrumentDefMsg

Deprecations

• Deprecated SType::Smart to split into SType::Parent and SType::Continuous

Bug fixes

• Fixed parsing of BatchSubmitJob response
• Fixed invalid read in DbnDecoder
• Fixed memory leak in TryCreateDir

0.6.1 - 2023-03-28

Breaking changes

• Removed usage of unreliable std::ifstream::readsome

Bug fixes

• Fixed Zstd decoding of files with multiple frames

0.6.0 - 2023-03-24

Enhancements

• Added support for imbalance schema
• Added support for decoding ts_out field
• Added flags kSnapshot and kMaybeBadBook

Breaking changes

• Removed record_count from Metadata
• Changed Historical::BatchDownload to return the paths of the downloaded files

0.5.0 - 2023-03-13

Enhancements

• Added Historical::MetadataGetDatasetRange

Breaking changes

• Changed MetadataGetDatasetCondition to return vector<DatasetConditionDetail>
• Removed MetadataListCompressions (redundant with docs)
• Removed MetadataListEncodings (redundant with docs)
• Removed optional start and end params from MetadataListSchemas (redundant)
• Renamed FileBento to DbnFileStore

0.4.0 - 2023-03-02

Enhancements

• Added live gateway resolution
• Added SymbolMappingMsg and ErrorMsg records
• Added Action and Side enums
• Added available_start_date and available_end_date to DatasetConditionInfo
• Made start_date and end_date optional for Historical::MetadataGetDatasetCondition
• Improved API for flags record fields
• Added PKGBUILD to demonstrate installation
• Disabled unit testing by default

Breaking changes

• Removed is_full_universe and is_example fields from BatchJob
• Refactored rtypes
  • Introduced separate rtypes for each OHLCV schema
• Renamed DBZ to DBN
  • Renamed DbzParser to DbnDecoder
• Renamed TimeseriesStream to TimeseriesGetRange
• Changed kAllSymbols representation

Bug fixes

• Fixed usage of as a system library

0.3.0 - 2023-01-06

Enhancements

• Added support for definition schema
• Added option for CMake to download gtest
• Updated Flag enum

Breaking changes

• Standardized getter method names to pascal case
• Renamed is_full_book to is_full_universe
• Renamed TickMsg to MboMsg
• Changed flags fields to unsigned

Bug fixes

• Fixed cancellation in Historical::TimeseriesStream
• Fixed race condition in Historical::TimeseriesStream exception handling
• Fixed gtest linker error on macOS

0.2.0 - 2022-12-01

Enhancements

• Added Historical::MetadataGetDatasetCondition
• Improved Zstd CMake integration

Bug fixes

• Fixed requesting all symbols for a dataset

0.1.0 - 2022-11-07

• Initial release with support for historical data

0.63.1 - TBD

Bug fixes

• Fixed type hint for start parameter in Live.subscribe()

0.63.0 - 2025-09-02

Enhancements

• Upgraded databento-dbn to 0.41.0

Bug fixes

• Fixed an issue where calling Live.stop() would not clean up the client state once the socket is closed

0.62.0 - 2025-08-19

This release delivers a number of breaking changes to the Python interface for DBN records to provide a cleaner and more consistent API.

Breaking changes

• Removed bill_id from the response of batch.list_jobs() and batch.submit_job()
• 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 from int in __eq__. They can still be instantitated with the from_int class method. Write Side.from_int(66) instead of Side(66) and Side.BID == Side.from_int(66) instead of Side.BID == 66. Affected enums:
    • Side
    • Action
    • InstrumentClass
    • MatchAlgorithm
    • UserDefinedInstrument
    • SecurityUpdateAction
    • SType
    • Schema
    • Encoding
    • Compression
    • TriState
  • Removed string coercion in __init__ and __eq__ for RType, SystemCode, and ErrorCode enums in Python. It can still be instantiated from a str with the from_str class method. Write RType.from_str("mbo") instead of RType("mbo") and RType.TRADES == RType.from_str("trades") instead of RType.TRADES == "trades"

Enhancements

• Added END_OF_INTERVAL variant to SystemCode enum

0.61.0 - 2025-08-12

Breaking changes

• Modified the states parameter in batch.list_jobs()

Enhancements

• Added JobState enum
• Added export of SystemCode and ErrorCode from databento_dbn to the root databento package
• Added F_PUBLISHER_SPECIFIC flag to RecordFlags enum

Bug fixes

• Bumped the minimum version requirement for requests to 0.27.0

0.60.0 - 2025-08-05

Enhancements

• Added parquet_schema option to DBNStore.to_parquet() for overriding the pyarrow schema
• 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
  • Added action and ts_in_delta getters to BboMsg
  • Added ts_recv getter to StatusMsg
  • Added missing floating-point price getters to InstrumentDefMsg record types from all DBN versions
  • Added more floating-point price getters to ImbalanceMsg
  • Added floating-point price getter to StatMsg
  • Standardize Python __init__ type signatures
  • Changed auction_time field in ImbalanceMsg to be formatted as a timestamp
  • Fixed a regression where some enum constructors no longer raised a DBNError in Python

Bug fixes

• Removed unused S3 and Disk variants from Delivery enum

0.59.0 - 2025-07-15

Enhancements

• Upgraded databento-dbn to 0.37.1
  • Fix buffer growth in DbnFsm::write_all(), which is used by DBNDecoder.write()

Breaking changes

• Renamed the following Venue, Dataset, and Publishers:
  • XEER to XEEE
  • XEER.EOBI to XEEE.EOBI
  • XEER.EOBI.XEER to XEEE.EOBI.XEEE
  • XEER.EOBI.XOFF to XEEE.EOBI.XOFF

0.58.0 - 2025-07-08

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
  • 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

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

• Upgraded databento-dbn to 0.36.0
  • Added missing Python type stubs for several leg properties of InstrumentDefMsg

Bug fixes

• Fixed an issue where the zstandard frame size could limit the size of DataFrame objects returned by DBNStore.to_df() when a count was specified

Deprecations

• Deprecated int and pd.Timestamp types for start_date and end_date parameters which will be removed in a future release

0.56.0 - 2025-06-03

Breaking changes

• Updated the names of several subfields in the Reference.corporate_actions.get_range(...) response, under the date_info, event_info, and rate_info fields. The following subfields were renamed:
  • decl_currency renamed to declared_currency
  • decl_gross_amount renamed to declared_gross_amount
  • f_x_rate renamed to fx_rate
  • iss_new_name renamed to issuer_new_name
  • iss_old_name renamed to issuer_old_name
  • new_bbg_company_id renamed to new_bbg_comp_id
  • new_bbg_company_tk renamed to new_bbg_comp_ticker
  • new_bbg_exh_id renamed to new_figi
  • new_bbg_exh_tk renamed to new_figi_ticker
  • new_min_tra_qty renamed to new_min_trading_qty
  • new_mktsg_id renamed to new_market_segment_id
  • new_reg_s144_a renamed to new_reg_s144a
  • new_unit_sec_id renamed to new_unit_security_id
  • offeree_iss_id renamed to offeree_issuer_id
  • offeror_iss_id renamed to offeror_issuer_id
  • old_bbg_company_id renamed to old_bbg_comp_id
  • old_bbg_company_tk renamed to old_bbg_comp_ticker
  • old_bbg_exh_id renamed to old_figi
  • old_bbg_exh_tk renamed to old_figi_ticker
  • old_min_tra_qty renamed to old_min_trading_qty
  • old_mktsg_id renamed to old_market_segment_id
  • old_reg_s144_a renamed to old_reg_s144a
  • old_unit_sec_id renamed to old_unit_security_id
  • pp_sec_id renamed to pp_security_id
  • poolfactor renamed to pool_factor
  • pre_offer_q_ty renamed to pre_offer_qty
  • qual_st_cap_gains renamed to qual_short_term_cap_gains
  • redem_percentage renamed to redemption_percentage
  • st_cap_gains renamed to short_term_cap_gains
  • sec_new_name renamed to security_new_name
  • sec_old_name renamed to security_old_name
  • section199_a_foreign_tax_paid renamed to section199a_foreign_tax_paid
  • section199_a_inc_div renamed to section199a_inc_div
  • section199_a_st_cap_gain renamed to section199a_short_term_cap_gain
  • tra_isin renamed to trading_isin
  • tra_sec_id renamed to trading_security_id
  • us_deposit_receiptateto_currency renamed to usd_rate_to_currency
  • cashbak renamed to cash_back
  • companyulsory_acq_date renamed to compulsory_acq_date
  • frankdiv renamed to franked_div
  • lead_plntiff_deadline_date renamed to lead_plaintiff_deadline_date
  • maxprice renamed to max_price
  • minprice renamed to min_price
  • redem_premium renamed to redemption_premium
  • redem_price renamed to redemption_price
  • unit_frankdiv renamed to unfranked_div

Enhancements

• Upgraded databento-dbn to 0.35.1

0.55.1 - 2025-06-02

Bug fixes

• Fixed decoding of DBN versions 1 and 2 statistics in DBNStore.to_df()

0.55.0 - 2025-05-29

Enhancements

• 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
  • This version delivers DBN version 3 (DBNv3), which is the new default
  • Improved the performance of the Python DBNDecoder

Bug fixes

• Fixed an issue where JSONDecodeError would not be caught when using simplejson with requests (credit: @xuanqing94)

0.54.0 - 2025-05-13

Enhancements

• Added new off-market publishers for Eurex, and European Energy Exchange (EEX)
• Increased live subscription symbol chunking size
• Upgraded databento-dbn to 0.34.0

0.53.0 - 2025-04-29

Enhancements

• 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

Bug fixes

• Fixed issue where all SystemMsg records were logged as gateway heartbeats

0.52.0 - 2025-04-15

Enhancements

• Added new optional id field to SubscriptionRequest class which will be used for improved error messages
• 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 with CMBP1Msg and other records with ConsolidatedBidAskPair

0.51.0 - 2025-04-08

Enhancements

• 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

Enhancements

• Added new venues, datasets, and publishers for ICE Futures US, ICE Europe Financials, Eurex, and European Energy Exchange (EEX)
• Added export of the following enums from databento_dbn to the root databento package:
  • Action
  • InstrumentClass
  • MatchAlgorithm
  • RType
  • SecurityUpdateAction
  • Side
  • StatUpdateAction
  • TriState
  • UserDefinedInstrument
  • VersionUpgradePolicy
• Added export of the following constants from databento_dbn to the root databento package:
  • DBN_VERSION
  • FIXED_PRICE_SCALE
  • UNDEF_ORDER_SIZE
  • UNDEF_PRICE
  • 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
  • Added COMMODITY_SPOT InstrumentClass variant
• Improved handling of datetime and date objects in start and end parameters

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 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

0.48.0 - 2025-01-21

Breaking changes

• Updated enumerations for unreleased datasets and publishers.

Enhancements

• Added export of StatusAction enum from databento_dbn to the root databento package
• Added export of StatusReason enum from databento_dbn to the root databento package
• 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
  • Fixed export of InstrumentDefMsgV3 to Python

Bug fixes

• Fixed an issue where sending a KeyboardInterrupt during iteration of the Live client could block execution waiting for the connection to close
• Fixed an issue with submitting historical metadata requests for a large number of symbols.

0.47.0 - 2024-12-17

Enhancements

• 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

0.46.0 - 2024-12-10

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
  • 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

This release adds support for Python v3.13.

Enhancements

• Added support for Python 3.13
• Added new IntelligentCross venues ASPN, ASMT, and ASPI
• 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

Deprecations

• Deprecated packaging parameter for Historical.batch.submit_job which will be removed in a future release

0.44.1 - 2024-10-29

Enhancements

• Improved exception messages emitted by the Live client to always include contents of any ErrorMsg sent by the gateway

Bug fixes

• Fixed an issue where calling Live.stop would not close the connection within a reasonable time

0.44.0 - 2024-10-22

Enhancements

• Removed deprecated databento.from_dbn; databento.read_dbn can be used instead
• Upgraded databento-dbn to 0.23.0

Bug fixes

• Fixed an issue where DBNStore.request_symbology could request the wrong end date

0.43.1 - 2024-10-15

Enhancements

• Keyword arguments to DBNStore.to_parquet will now allow where and schema to be specified
• Improved record processing time for the Live client

Bug fixes

• Fixed an issue where validating the checksum of a batch file loaded the entire file into memory

0.43.0 - 2024-10-09

This release drops support for Python 3.8 which has reached end-of-life.

Enhancements

• Added PriceType enum for validation of price_type parameter in DBNStore.to_df
• Upgraded databento-dbn to 0.22.1

Bug fixes

• Fixed return type hint for metadata.get_dataset_condition

Breaking changes

• Removed support for Python 3.8 due to end of life

0.42.0 - 2024-09-23

Enhancements

• Added mode parameter to DBNStore.to_csv to control the file writing mode
• Added mode parameter to DBNStore.to_json to control the file writing mode
• Added mode parameter to DBNStore.to_parquet to control the file writing mode
• Added compression parameter to DBNStore.to_file which controls the output compression format
• Added new consolidated publisher values for XNAS.BASIC and DBEQ.MAX
• Changed DBNStore to be more tolerant of truncated DBN streams

Breaking changes

• Changed default write mode for DBNStore.to_csv to overwrite ("w")
• Changed default write mode for DBNStore.to_json to overwrite ("w")
• Changed default write mode for DBNStore.to_parquet to overwrite ("w")

0.41.0 - 2024-09-03

Enhancements

• Added databento.read_dbn alias
• Added mode parameter to DBNStore.to_file to control the file writing mode

Breaking changes

• Changed default write mode for DBNStore.to_file to overwrite ("w")

Deprecations

• Deprecated databento.from_dbn and will be removed in a future release, use databento.read_dbn instead

0.40.0 - 2024-08-27

Enhancements

• Added adjustment_factors.get_range(...) method for Reference client
• Added security_master.get_range(...) method for Reference client
• Added security_master.get_last(...) method for Reference client
• Upgraded databento-dbn to 0.20.1

0.39.3 - 2024-08-20

Enhancements

• Added new publisher values for XCIS.BBOTRADES and XNYS.BBOTRADES

Bug fixes

• Fixed an issue receiving multiple DBN v1 ErrorMsg in the Live client would cause an InvalidState error
• Fixed an issue where creating Live clients in multiple threads could cause a RuntimeError upon initialization

0.39.2 - 2024-08-13

Enhancements

• Changed corporate_actions.get_range(...) to stream compressed zstd data

0.39.1 - 2024-08-13

Enhancements

• Added new publisher values for XCIS.BBOTRADES and XNYS.BBOTRADES

Bug fixes

• Fixed an issue where a symbol list which contained a None would produce a convoluted exception

0.39.0 - 2024-07-30

Enhancements

• Added new publisher value for DBEQ.SUMMARY
• Upgraded databento-dbn to 0.20.0

0.38.0 - 2024-07-23

This release adds a new feature to the Live client for automatically reconnecting when an unexpected disconnection occurs.

Enhancements

• Added Reference data client with corporate_actions.get_range(...) method
• Added ReconnectPolicy enumeration
• Added reconnect_policy parameter to the Live client to specify client reconnection behavior
• Added Live.add_reconnect_callback method for specifying a callback to handle client reconnections
• Added platform information to the user agent reported by the Historical and Live clients
• Upgraded databento-dbn to 0.19.1
• Added BBOMsg, CBBOMsg, and StatusMsg exports to the root databento package

Breaking changes

• Calling Live.stop will now clear all user streams and callbacks
• Renamed Session to LiveSession in the databento.live.session module

0.37.0 - 2024-07-09

Enhancements

• A disconnected Live client can now be reused with a different dataset
• Upgraded databento-dbn to 0.19.0

0.36.3 - 2024-07-02

Enhancements

• Added export of StatType enum from databento_dbn to the root databento package

0.36.2 - 2024-06-25

Enhancements

• Upgraded databento-dbn to 0.18.2

0.36.1 - 2024-06-18

Enhancements

• Added type alias TBBOMsg for MBP1Msg
• Added support for bbo-1s, bbo-1m, and status schemas
• Instances of the Live client will now call Live.stop when garbage collected
• Added new publisher values for XNAS.BASIC and XNAS.NLS

0.36.0 - 2024-06-11

Enhancements

• Upgraded databento-dbn to 0.18.1

Bug fixes

• Fixed an issue where heartbeat_interval_s was not being sent to the gateway
• Fixed an issue where a truncated DBN stream could be written by the Live client in the event of an ungraceful disconnect

Breaking changes

• Output streams of the Live client added with Live.add_stream will now upgrade to the latest DBN version before being written

0.35.0 - 2024-06-04

Enhancements

• Added optional heartbeat_interval_s parameter to Live client for configuring the interval at which the gateway will send heartbeat records
• Upgraded databento-dbn to 0.18.0
• Added new off-market publisher values for IFEU.IMPACT and NDEX.IMPACT

Breaking changes

• Renamed CbboMsg to CBBOMsg
• Renamed use_snapshot parameter in Live.subscribe function to snapshot
• All Python exceptions raised by databento-dbn have been changed to use the DBNError type

0.34.1 - 2024-05-21

Enhancements

• Added use_snapshot parameter to Live.subscribe, defaults to False

0.34.0 - 2024-05-14

Enhancements

• Added pip-system-certs dependency for Windows platforms to prevent a connection issue in requests when behind a proxy
• Iteration of the Live client will now automatically call Live.stop when the iterator is destroyed, such as when a for loop is escaped with an exception or break statement

Bug fixes

• Fixed an issue where batch.download and batch.download_async would fail if requested files already existed in the output directory
• Fixed an issue where batch.download, batch.download_async, and timeseries.get_range could use a lot of memory while streaming data
• Fixed an issue where reusing a Live client with an open output stream would drop DBN records when received at the same time as the Metadata header

Deprecations

• The start_date and end_date keys in the response from Historical.metadata.get_dataset_range will be removed in a future release. Use the new start and end keys instead, which include time resolution

0.33.0 - 2024-04-16

Enhancements

• The Historical.batch.download and Historical.batch.download_async methods will now automatically retry the download if a rate limit (HTTP 429) error is received
• The Historical.batch.download and Historical.batch.download_async methods will now retry failed downloads automatically
• The Historical.batch.download and Historical.batch.download_async methods will now download files concurrently
• The output_dir parameter for Historical.batch.download and Historical.batch.download_async is now optional and will default to the current working directory if unspecified
• Added pip-system-certs dependency for Windows platforms to prevent a connection issue in requests when behind a VPN

Breaking changes

• The enable_partial_downloads parameter for Historical.batch.download and Historical.batch.download_async has been removed, partial files will always be resumed which was the default behavior
• The parameters for Historical.batch.download and Historical.batch.download_async have been reordered because output_dir is now optional, job_id now comes first

0.32.0 - 2024-04-04

Enhancements

• Improved exception messages when multiple ErrorMsg are received by the Live client
• Upgraded databento-dbn to 0.17.1

Bug fixes

• Removed live session ID parsing to int, that could cause a session to fail when nothing was wrong

Breaking changes

• Renamed publishers from deprecated datasets to their respective sources (XNAS.NLS and XNYS.TRADES respectively)

Deprecations

• Deprecated dataset values FINN.NLS and FINY.TRADES

0.31.1 - 2024-03-20

Enhancements

• Increase Live session connection and authentication timeouts
• Added new F_TOB and F_MAYBE_BAD_BOOK variants to RecordFlags

Bug fixes

• Fixed an issue where calling Live.subscribe from a Live client callback would cause a deadlock

0.31.0 - 2024-03-05

Enhancements

• Added DBNStore.insert_symbology_json convenience method for adding symbology JSON data
• Upgraded databento-dbn to 0.16.0

0.30.0 - 2024-02-22

Enhancements

• Changed how SymbolMappingMsg objects are ingested by InstrumentMap to single source the timestamp parsing from the databento-dbn package

Bug fixes

• Fixed an issue where setting a timezone in DBNStore.to_df could cause invalid symbol mappings

Breaking changes

• Changed Live.add_stream to use the exclusive write mode when handling file paths so existing files won't be overwritten

0.29.0 - 2024-02-13

Enhancements

• Added tz parameter to DBNStore.to_df which will convert all timestamp fields from UTC to a specified timezone when used with pretty_ts
• Added new publisher values for consolidated DBEQ.MAX

Bug fixes

• Live.block_for_close and Live.wait_for_close will now call Live.stop when a timeout is reached instead of Live.terminate to close the stream more gracefully

0.28.0 - 2024-02-01

Enhancements

• Substantially increased iteration queue size
• Added methods DBNQueue.enable and DBNQueue.disable for controlling queue consumption
• Added method DBNQueue.is_enabled to signal the queue can accept records
• Added method DBNQueue.is_full to signal the queue has reached capacity
• Added enabled checks to DBNQueue.put and DBNQueue.put_nowait

Breaking changes

• Iterating a Live client after the streaming session has started will now raise a ValueError. Calling Live.start is not necessary when iterating the Live client
• Moved constant databento.live.client.DEFAULT_QUEUE_SIZE to databento.live.session.DBN_QUEUE_CAPACITY
• Removed maxsize parameter from DBNQueue constructor. DBNQueue now subclasses SimpleQueue instead
• Removed property DBNQueue.enabled, use DBNQueue.is_enabled instead
• Removed method DBNQueue.is_half_full, use DBNQueue.is_full instead

Bug fixes

• Fixed an issue where DBN records could be dropped while iterating
• Fixed an issue where async iteration would block the event loop

0.27.0 - 2024-01-23

Enhancements

• Added Session.session_id property which will contain the numerical session ID once a live session has been authenticated
• Upgraded databento-dbn to 0.15.1

Breaking changes

• Renamed DatabentoLiveProtocol.started to DatabentoLiveProtocol.is_started which now returns a bool instead of an asyncio.Event

Bug fixes

• Fixed an issue where an error message from the live gateway would not properly raise an exception if the connection closed before Live.start was called

0.26.0 - 2024-01-16

This release adds support for transcoding DBN data into Apache parquet.

Enhancements

• Added DBNStore.to_parquet for transcoding DBN data into Apache parquet using pyarrow
• Upgraded databento-dbn to 0.15.0

0.25.0 - 2024-01-09

Breaking changes

• Removed deprecated pretty_px parameter for DBNStore.to_df; price_type can be used instead

Bug fixes

• Fixed an issue where the Live client would not raise an exception when reading an incompatible DBN version
• Fixed an issue where sending lots of subscriptions could cause a BufferError
• Fixed an issue where Historical.batch.download was slow
• Fixed an issue where Historical.timeseries.get_range was slow
• Fixed an issue where reading a DBN file with non-empty metadata symbol mappings and mixed SType would cause an error when mapping symbols (credit: Jakob Lövhall)

0.24.1 - 2023-12-15

Enhancements

• Added new publisher value for OPRA MIAX Sapphire

Bug fixes

• Fixed issue where a large unreadable symbol subscription message could be sent
• Fixed issue where calling Live.stop could cause a truncated DBN record to be written to a stream

0.24.0 - 2023-11-23

This release adds support for DBN v2 as well as Python v3.12.

DBN v2 delivers improvements to the Metadata header symbology, new stype_in and stype_out fields for SymbolMappingMsg, and extends the symbol field length for SymbolMappingMsg and InstrumentDefMsg. The entire change notes are available here. Users who wish to convert DBN v1 files to v2 can use the dbn-cli tool available in the databento-dbn create. On a future date, the Databento live and historical APIs will stop serving DBN v1.

This release of databento-python is fully compatible with both DBN v1 and v2, so this upgrade should be seamless for most users.

In some cases, DBN v1 records will be converted to their v2 counterparts:

• When iterating a DBNStore and with DBNStore.replay
• When iterating a Live client and records dispatched to callbacks

Enhancements

• Added support for Python 3.12
• Improved the performance for stream writes in the Live client
• Upgraded databento-dbn to 0.14.2
• Added databento.common.types module to hold common type annotations

Bug fixes

• Fixed an issue where specifying an OHLCV schema in DBNStore.to_ndarray or DBNStore.to_df would not properly filter records by their interval
• Fixed an issue where DBNStore.to_ndarray and DBNStore.to_df with a non-zero count could get stuck in a loop if the DBN data did not contain any records

Breaking Changes

• DBNStore iteration and DBNStore.replay will upgrade DBN version 1 messages to version 2
• Live client iteration and callbacks upgrade DBN version 1 messages to version 2
• Moved DBNRecord, RecordCallback, and ExceptionCallback types to them databento.common.types module
• Moved AUTH_TIMEOUT_SECONDS and CONNECT_TIMEOUT_SECONDS constants from the databento.live module to databento.live.session
• Moved INT64_NULL from the databento.common.dbnstore module to databento.common.constants
• Moved SCHEMA_STRUCT_MAP from the databento.common.data module to databento.common.constants
• Removed schema parameter from DataFrameIterator constructor, struct_type is to be used instead
• Removed NON_SCHEMA_RECORD_TYPES constant as it is no longer used
• Removed DERIV_SCHEMAS constant as it is no longer used
• Removed SCHEMA_COLUMNS constant as it is no longer used
• Removed SCHEMA_DTYPES_MAP constant as it is no longer used
• Removed empty databento.common.data module

0.23.1 - 2023-11-10

Enhancements

• Added new publishers for consolidated DBEQ.BASIC and DBEQ.PLUS

Bug fixes

• Fixed an issue where Live.block_for_close and Live.wait_for_close would not flush streams if the timeout was reached
• Fixed a performance regression when reading a historical DBN file into a numpy array

0.23.0 - 2023-10-26

Enhancements

• Added map_symbols_csv function to the databento module for using symbology.json files to map a symbol column onto a CSV file
• Added map_symbols_json function to the databento module for using symbology.json files to add a symbol key to a file of JSON records
• Added new publisher values in preparation for IFEU.IMPACT and NDEX.IMPACT datasets

Bug fixes

• Fixed issue where a large unreadable symbol subscription message could be sent
• Fixed an issue where DBNStore.to_df with pretty_ts=True was very slow

0.22.1 - 2023-10-24

Bug fixes

• Fixed an issue where DBNStore.to_csv and DBNStore.to_json were mapping symbols even when map_symbols was set to False
• Fixed an issue where empty symbology mappings caused a ValueError when loading symbols into the DBNStore instrument map

0.22.0 - 2023-10-23

Enhancements

• Added price_type argument for DBNStore.to_df to specify if price fields should be fixed, float or decimal.Decimal
• Added py.typed marker file
• Upgraded databento-dbn to 0.13.0

Breaking Changes

• Changed outputs of DBNStore.to_csv and DBNStore.to_json to match the encoding formats from the Databento API

Deprecations

• Deprecated pretty_px argument for DBNStore.to_df to be removed in a future release; the default pretty_px=True is now equivalent to price_type="float" and pretty_px=False is now equivalent to price_type="fixed"

0.21.0 - 2023-10-11

Enhancements

• Added map_symbols support for DBN data generated by the Live client
• Added support for file paths in Live.add_stream
• Added new publisher values in preparation for DBEQ.PLUS
• Upgraded databento-dbn to 0.11.1

Bug fixes

• Fixed an issue where DBNStore.from_bytes did not rewind seekable buffers
• Fixed an issue where the DBNStore would not map symbols with input symbology of SType.INSTRUMENT_ID
• Fixed an issue with DBNStore.request_symbology when the DBN metadata's start date and end date were the same
• Fixed an issue where closed streams were not removed from a Live client on shutdown

0.20.0 - 2023-09-21

This release includes batch customization options which improve data usability for CSV and JSON text encodings, as well as providing a way to split files by raw symbols.

Enhancements

• Added ARCX.PILLAR.ARCX publisher
• Added pretty_px option for batch.submit_job, which formats prices to the correct scale using the fixed-precision scalar 1e-9 (available for CSV and JSON text encodings)
• Added pretty_ts option for batch.submit_job, which formats timestamps as ISO 8601 strings (available for CSV and JSON text encodings)
• Added map_symbols option for batch.submit_job, which appends a symbol field to each text-encoded record (available for CSV and JSON text encodings)
• Added split_symbols option for batch.submit_job, which will split files by raw symbol
• Upgraded databento-dbn to 0.10.2

Bug fixes

• Fixed an issue where no disconnection exception were raised when iterating the Live client.
• Fixed an issue where calling DBNStore.to_df, DBNStore.to_json, or DBNStore.to_csv with map_symbols=True would cause a TypeError

Breaking changes

• Removed default_value parameter from Historical.symbology.resolve
• Swapped the ordering for the pretty_px and pretty_ts boolean parameters

0.19.1 - 2023-09-08

Bug fixes

• Fixed an issue where the index column was not serialized with DBNStore.to_json
• Fixed an issue where timestamps serialized by DBNStore.to_json had reduced precision

0.19.0 - 2023-08-25

This release includes improvements to handling large DBN data and adds support for future datasets.

Enhancements

• Added count parameter to DBNStore.to_df and DBNStore.to_ndarray to help process large files incrementally
• Improved memory usage of DBNStore.to_csv and DBNStore.to_json
• Added the Publisher, Venue, and Dataset enums
• Replace null prices with NaN when pretty_px=True in DBNStore.to_df()
• Upgraded databento-dbn to 0.8.3

Bug fixes

• Fixed issue where exception messages were displaying JSON encoded data
• Fixed typo in BATY.PITCH.BATY publisher
• Reduced floating error when converting prices to floats with pretty_px=True

Breaking changes

• DBNStore.to_df now always utf-8 decodes string fields

0.18.1 - 2023-08-16

Bug fixes

• Fixed issue where extra python key was sent by the Live client

0.18.0 - 2023-08-14

Breaking changes

• Renamed the TimeSeriesHttpAPI class to TimeseriesHttpAPI

Bug fixes

• Fixed an issue where DBNStore.to_csv(), DBNStore.to_df(), DBNStore.to_json(), and DBNStore.to_ndarray() would consume large amounts of memory

0.17.0 - 2023-08-10

This release includes improvements to the ergonomics of the clients metadata API, you can read more about the changes here.

Enhancements

• Upgraded databento-dbn to 0.8.2

Breaking changes

• Changed metadata.list_publishers() to return a list of publisher details objects
• Changed metadata.list_fields(...) to return a list of field detail objects for a particular schema and encoding
• Changed metadata.list_fields(...) to require the schema and encoding parameters
• Changed metadata.list_unit_prices(...) to return a list of unit prices for each feed mode and data schema
• Changed metadata.list_unit_prices(...) to require the dataset parameter
• Removed metadata.list_unit_prices(...) mode and schema parameters
• Removed metadata.list_fields(...) dataset parameter

0.16.1 - 2023-08-03

Bug fixes

• Fixed an issue where starting a Live client before subscribing gave an incorrect error message
• Fixed an issue where a Live client exception callback would fail when the callback function does not have a __name__ attribute

0.16.0 - 2023-07-25

This release includes updates to the fields in text encodings (CSV and JSON), you can read more about the changes here.

Enhancements

• Added rtype field to all schemas that was previously excluded

Breaking changes

• Reordered fields of DataFrame and CSV encoded records to match historical API

0.15.2 - 2023-07-19

Bug fixes

• Fixed an issue where the end parameter in timeseries.get_range_async did not support a value of None
• Fixed an issue where timeseries.get_range requests would begin with an invalid path parameter

0.15.1 - 2023-07-06

Bug fixes

• Fixed an issue with release tests
• Fixed an issue with release workflow

0.15.0 - 2023-07-05

Enhancements

• Added symbology_map property to Live client
• Added optional_symbols_list_to_list parsing function
• Changed Live.add_callback and Live.add_stream to accept an exception callback
• Changed Live.__iter__() and Live.__aiter__() to send the session start message if the session is connected but not started
• Upgraded databento-dbn to 0.7.1
• Removed exception chaining from exceptions emitted by the library

Bug fixes

• Fixed issue where a large unreadable symbol subscription message could be sent
• Fixed an ImportError observed in Python 3.8

Breaking changes

• Removed Encoding, Compression, Schema, and SType enums as they are now exposed by databento-dbn
• Renamed func parameter to record_callback for Live.add_callback and Live.add_stream
• Removed optional_symbols_list_to_string parsing function

0.14.1 - 2023-06-16

Bug fixes

• Fixed issue where DBNStore.to_df() would raise an exception if no records were present
• Fixed exception message when creating a DBNStore from an empty data source

0.14.0 - 2023-06-14

Enhancements

• Added DatabentoLiveProtocol class
• Added metadata property to Live
• Added support for emitting warnings in API response headers
• Added support for reusing a Live client to reconnect
• Relaxed 10 minute minimum request time range restriction
• Upgraded aiohttp to 3.8.3
• Upgraded numpy to 1.23.5
• Upgraded pandas to 1.5.3
• Upgraded requests to 2.28.1
• Upgraded zstandard to 0.21.0

Breaking changes

• Removed support for Python 3.7
• Renamed symbol to raw_symbol in definition schema when converting to a DataFrame
• Changed iteration of Live to no longer yield DBN metadata
• Changed Live callbacks to no longer yield DBN metadata

Bug fixes

• Fixed optional end parameter for batch.submit_job(...)

0.13.0 - 2023-06-02

Enhancements

• Added support for statistics schema
• Added batch download support data files (condition.json and symbology.json)
• Renamed booklevel MBP field to levels for brevity and consistent naming
• Upgraded databento-dbn to 0.6.0

Breaking changes

• Changed flags field to an unsigned int
• Changed default of ts_out to False for Live client
• Changed instrument_class DataFrame representation to be consistent with other char types
• Removed open_interest_qty and cleared_volume fields that were always unset from definition schema
• Removed sunset timeseries.stream method
• Removed support for legacy stypes

0.12.0 - 2023-05-01

Enhancements

• Added Live client for connecting to Databento's live service
• Added degraded, pending and missing condition variants for batch.get_dataset_condition
• Added last_modified_date field to batch.get_dataset_condition response
• Upgraded DBNStore to support mixed schema types to support live data
• Upgraded databento-dbn to 0.5.0

Breaking changes

• Changed iteration DBNStore to return record types from databento-dbn instead of numpy arrays
• Renamed the cost field to cost_usd for batch.submit_job and batch.list_jobs (value now expressed as US dollars)
• Renamed product_id field to instrument_id
• Renamed symbol field in definitions to raw_symbol
• Removed dtype property from DBNStore
• Removed record_size property from DBNStore
• Removed bad condition variant from batch.get_dataset_condition
• Removed unused LiveGateway enum
• Removed STATISTICS from Schema enum
• Removed STATUS from Schema enum
• Removed GATEWAY_ERROR from Schema enum
• Removed SYMBOL_MAPPING from Schema enum

Deprecations

• Deprecated SType.PRODUCT_ID to SType.INSTRUMENT_ID
• Deprecated SType.NATIVE to SType.RAW_SYMBOL
• Deprecated SType.SMART to SType.PARENT and SType.CONTINUOUS

0.11.0 - 2023-04-13

Bug fixes

• Changed end and end_date to optional to support new forward-fill behaviour
• Upgraded zstandard to 0.20.0

0.10.0 - 2023-04-07

Enhancements

• Added support for imbalance schema
• Added instrument_class, strike_price, and strike_price_currency to definition schema
• Changed parsing of end and end_date params throughout the API
• Improved exception messages for server and client timeouts
• Upgraded databento-dbn to 0.4.3

Breaking changes

• Renamed Bento class to DBNStore
• Removed metadata.list_compressions (redundant with docs)
• Removed metadata.list_encodings (redundant with docs)
• Removed optional start and end params from metadata.list_schemas (redundant)
• Removed related and related_security_id from definition schema

0.9.0 - 2023-03-10

Enhancements

• Improved use of the logging module

Breaking changes

• Removed record_count property from Bento class
• Changed metadata.get_dataset_condition response to a list of condition per date

Bug fixes

• Fixed bug in Bento where invalid metadata would prevent iteration

0.8.1 - 2023-03-05

Enhancements

• Added from_dbn convenience alias for loading DBN files

Bug fixes

• Fixed bug in Bento iteration where multiple readers were created

0.8.0 - 2023-03-03

Enhancements

• Added batch.list_files(...) method
• Added batch.download(...) method
• Added batch.download_async(...) method
• Integrated DBN encoding 0.3.2

Breaking changes

• Dropped support for DBZ encoding
• Renamed timeseries.stream to timeseries.get_range
• Renamed timeseries.stream_async to timeseries.get_range_async
• Changed .to_df(...) pretty_ts default argument to True
• Changed .to_df(...) pretty_px default argument to True
• Changed .to_df(...) map_symbols default argument to True

Deprecations

• Deprecated timeseries.stream(...) method
• Deprecated timeseries.stream_async(...) method

0.7.0 - 2023-01-10

• Added support for definition schema
• Updated Flags enum
• Upgraded dbz-python to 0.2.1
• Upgraded zstandard to 0.19.0

0.6.0 - 2022-12-02

• Added metadata.get_dataset_condition method to Historical client
• Upgraded dbz-python to 0.2.0

0.5.0 - 2022-11-07

Enhancements

• Updated quickstart.ipynb jupyter notebook

Bug fixes

• Fixed dataframe columns for derived data schemas (dropped channel_id)
• Fixed batch.submit_job requests for dbz encoding
• Updated quickstart.ipynb jupyter notebook

0.4.0 - 2022-09-14

• Added map_symbols option for .to_df() (experimental)
• Upgraded dbz-python to 0.1.5

0.3.0 - 2022-08-30

• Initial release

0.35.0 - TBD

Breaking changes

• Removed bill_id field from the response of /batch.submit_job and /batch.list_jobs endpoints

Enhancements

• Added per-schema availability ranges to the response of the /metadata.get_dataset_range endpoint

0.34.1 - 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"

0.34.0 - 2025-06-09

Breaking changes

• Updated the names of several subfields in the /corporate_actions.get_range response, under the date_info, event_info, and rate_info fields. The following subfields were renamed:
  • decl_currency renamed to declared_currency
  • decl_gross_amount renamed to declared_gross_amount
  • f_x_rate renamed to fx_rate
  • iss_new_name renamed to issuer_new_name
  • iss_old_name renamed to issuer_old_name
  • new_bbg_company_id renamed to new_bbg_comp_id
  • new_bbg_company_tk renamed to new_bbg_comp_ticker
  • new_bbg_exh_id renamed to new_figi
  • new_bbg_exh_tk renamed to new_figi_ticker
  • new_min_tra_qty renamed to new_min_trading_qty
  • new_mktsg_id renamed to new_market_segment_id
  • new_reg_s144_a renamed to new_reg_s144a
  • new_unit_sec_id renamed to new_unit_security_id
  • offeree_iss_id renamed to offeree_issuer_id
  • offeror_iss_id renamed to offeror_issuer_id
  • old_bbg_company_id renamed to old_bbg_comp_id
  • old_bbg_company_tk renamed to old_bbg_comp_ticker
  • old_bbg_exh_id renamed to old_figi
  • old_bbg_exh_tk renamed to old_figi_ticker
  • old_min_tra_qty renamed to old_min_trading_qty
  • old_mktsg_id renamed to old_market_segment_id
  • old_reg_s144_a renamed to old_reg_s144a
  • old_unit_sec_id renamed to old_unit_security_id
  • pp_sec_id renamed to pp_security_id
  • poolfactor renamed to pool_factor
  • pre_offer_q_ty renamed to pre_offer_qty
  • qual_st_cap_gains renamed to qual_short_term_cap_gains
  • redem_percentage renamed to redemption_percentage
  • st_cap_gains renamed to short_term_cap_gains
  • sec_new_name renamed to security_new_name
  • sec_old_name renamed to security_old_name
  • section199_a_foreign_tax_paid renamed to section199a_foreign_tax_paid
  • section199_a_inc_div renamed to section199a_inc_div
  • section199_a_st_cap_gain renamed to section199a_short_term_cap_gain
  • tra_isin renamed to trading_isin
  • tra_sec_id renamed to trading_security_id
  • us_deposit_receiptateto_currency renamed to usd_rate_to_currency
  • cashbak renamed to cash_back
  • companyulsory_acq_date renamed to compulsory_acq_date
  • frankdiv renamed to franked_div
  • lead_plntiff_deadline_date renamed to lead_plaintiff_deadline_date
  • maxprice renamed to max_price
  • minprice renamed to min_price
  • redem_premium renamed to redemption_premium
  • redem_price renamed to redemption_price
  • unit_frankdiv renamed to unfranked_div

0.33.0 - 2024-12-10

Enhancements

• Removed deprecated packaging parameter from batch.submit_job. Job files can be downloaded individually or as zip files after the job completes

0.32.0 - 2024-11-26

Enhancements

• Introduced POST variants of the following endpoints to complement their existing GET versions:
  • POST /metadata.get_record_count(...)
  • POST /metadata.get_billable_size(...)
  • POST /metadata.get_cost(...)

0.31.0 - 2024-11-12

Deprecations

• The packaging parameter for batch.submit_job is deprecated and will be removed on 2024-12-10. To download all batched files as a dynamic ZIP from the batch/download endpoint, use '{job_id}.zip' as the filename instead.

0.30.0 - 2024-09-24

This release introduces the corporate actions and adjustment factors datasets for the reference data API, both with global coverage. The corporate actions dataset provides point-in-time (PIT) corporate action events, while the adjustment factors dataset provides end-of-day price adjustments for capital events, supporting multiple currencies for the same event. You can read more about the release here.

Enhancements

• Added corporate_actions.get_range(...) endpoint
• Added adjustment_factors.get_range(...) endpoint

0.29.0 - 2024-09-03

Deprecations

• The TAR packaging option (tar) for batch.submit_job is deprecated and will be removed at a future date. We recommend you switch to the ZIP packaging option (zip), which will remain available.

0.28.0 - 2024-06-25

Enhancements

• Added support for the status schema for the GLBX.MDP3 dataset

0.27.0 - 2024-06-04

Breaking changes

• Removed the start_date and end_date keys in the response from /metadata.get_dataset_range

0.26.0 - 2024-05-14

Enhancements

• Added start and end keys to the response from /metadata.get_dataset_range to provide time resolution and an exclusive end time

Deprecations

• The start_date and end_date keys in the response from /metadata.get_dataset_range will be removed in a future release. Use the new start and end keys instead, which include time resolution

0.25.0 - 2024-03-26

Breaking changes

• Removed the forward-fill behavior of end parameters with unspecified months, days, hours, minutes, or seconds

0.24.0 - 2024-03-06

Deprecations

• The forward-fill behavior of end parameters with unspecified months, days, hours, minutes, or seconds will be removed. To ensure consistent time ranges between old and new behavior: specify an explicit end as an ISO 8601 string up to seconds resolution, or a UNIX nanoseconds integer. See https://to.dbn.to/api-change-2024-03-27

0.23.0 - 2024-02-15

Enhancements

• A /timeseries.get_range request which contains one or more unresolved symbols will return a warning message in the response's warnings header
• A /timeseries.get_range request will now return a 206 Partial Content status code if one or more symbols were not resolved

0.22.0 - 2024-02-06

Enhancements

• A /timeseries.get_range request with a date range that contains one or more days with a condition other than available will return a warning message in the response's warnings header

0.21.0 - 2024-01-30

Breaking changes

• Reduced /batch.submit_job rate limit down from 20/second to 20/minute

0.20.0 - 2024-01-18

This release introduces live and historical ICE Europe Commodities iMpact (IFEU.IMPACT) and ICE Endex iMpact (NDEX.IMPACT) data. The datasets cover European futures and options for all energy and commodities products, including all listed outrights, spreads, and options combinations. You can read more about the release here.

Enhancements

• Added the IFEU.IMPACT and NDEX.IMPACT datasets, does not yet include our mbo, mbp-10, mbp-1, and tbbo schemas

0.19.0 - 2023-10-17

Breaking changes

• Standardized timestamps in responses to ISO 8601 format with a T separator and Z suffix for UTC
• Renamed mappings field in the symbology.json to result to match the /symbology.resolve endpoint response

0.18.0 - 2023-10-11

Bug fixes

• Fixed an issue where /timeseries.get_range requests for OHLCV schemas and stype_in=parent with an intraday start would always return no data

0.17.0 - 2023-10-04

This release introduces the Databento Equities Basic dataset (DBEQ.BASIC), our first bundle of live and historical US equities data. The bundle includes five proprietary feeds—NYSE Chicago Integrated, IEX TOPS, NYSE National Trades, NYSE National BBO, and MIAX Pearl Equities Depth of Market—that can be licensed for distribution, display, and non-display applications at no cost. You can read more about the release here.

Enhancements

• Added the DBEQ.BASIC dataset

0.16.0 - 2023-09-26

Breaking changes

• Symbology mappings no longer include unresolved symbols, this change affects DBN metadata and /symbology.resolve responses
• Changed batch job symbology.csv schema (now a row per date)

Bug fixes

• Fixed symbology resolution on weekends (now uses mappings from previous Friday)
• Fixed consistent streaming of CSV header when no data is found for a request

0.15.0 - 2023-09-19

This release includes customization options which improve data usability for CSV and JSON text encodings, as well as providing a way to split files by raw symbols for batch jobs.

Enhancements

• Added pretty_px option for /timeseries.get_range and /batch.submit_job, which formats prices to the correct scale using the fixed-precision scalar 1e-9 (available for CSV and JSON text encodings)
• Added pretty_ts option for /timeseries.get_range and /batch.submit_job, which formats timestamps as ISO 8601 strings (available for CSV and JSON text encodings)
• Added map_symbols option for /timeseries.get_range and /batch.submit_job, which appends a symbol field to each text-encoded record (available for CSV and JSON text encodings)
• Added split_symbols option for /batch.submit_job, which will split files by raw symbol

0.14.0 - 2023-08-29

This release introduces the OPRA (Options Price Reporting Authority) dataset (OPRA.PILLAR) for the historical and live APIs, covering all 16 national exchanges. This not only includes options on single name equities, but also on indices, e.g., Cboe VIX options, SPX options, and certain volatility benchmark indices like SPIKE and VSPKE. You can read more about the release here.

Enhancements

• Added the OPRA.PILLAR dataset, does not yet include Global Trading Hours (GTH)

0.13.0 - 2023-08-23

Enhancements

• Added a symbology.csv to batch download support files for the csv encoding
• Changed /symbology.resolve to support input symbology of instrument_id and output of raw_symbol

0.12.0 - 2023-08-10

This release includes improvements to the ergonomics of our metadata API, you can read more about the changes here. Note that the /timeseries.get_range and /symbology.resolve endpoints both accept POST and GET requests, with POST being the primary and recommended method.

Breaking changes

• Changed /batch.submit_job to now require form-encoded data
• Changed /metadata.list_publishers response to an ordered list of publisher details objects
• Changed /metadata.list_fields response to an ordered list of field detail objects for a particular schema and encoding
• Changed /metadata.list_fields to now require the schema and encoding query parameters
• Changed /metadata.list_unit_prices response to a list of unit prices for each feed mode and data schema
• Changed /metadata.list_unit_prices to now require the dataset query parameter
• Removed /metadata.list_unit_prices mode and schema query parameters
• Removed /metadata.list_field dataset query parameter

0.11.0 - 2023-07-25

This release includes updates to the fields in text encodings (CSV and JSON), you can read more about the changes here.

Breaking changes

• Changed CSV encoding column ordering for most schemas
• Changed JSON encoding to serialize header fields in nested hd object (consistency with how levels are serialized)
• Changed JSON encoding to encode all 64-bit integers as strings to avoid loss of precision when converting to double-precision floating point
• Added rtype field/column to MBP schemas that was previously excluded
• Added depth field/column to MBP schemas that was previously excluded
• Renamed JSON fields bid_oq_* and ask_oq_* to bid_ct_* and ask_ct_* respectively
• Renamed security_group to group for the definition schema

0.10.0 - 2023-07-06

Enhancements

• Added warnings header for API responses
• Added POST request support for timeseries.get_range and symbology.resolve endpoints
• Improved behavioral consistency of query params start, end, start_date and end_date across the API (exclusive end)
• Relaxed 10 minute minimum request time range restriction
• Added rtype to encoded CSV and JSON

Deprecations

• Deprecated symbology section in the metadata.json for batch downloads (will be removed in a future version after July 3rd)

Bug fixes

• Fixed handling of certain errors involving invalid parent or continuous symbols (no longer a HTTP 500 error)

0.9.0 - 2023-06-01

Enhancements

• Added additional batch download support data files (condition.json and symbology.json)

Breaking changes

• Removed support for sunset /timeseries.stream endpoint
• Removed support for legacy stypes

0.8.0 - 2023-05-01

Enhancements

• Added additional field last_modified_date to /metadata.get_dataset_condition response
• Added degraded, pending and missing condition variants for /metadata.get_dataset_condition
• Added last_modified_date field to batch.get_dataset_condition response

Breaking changes

• Renamed product_id field to instrument_id
• Renamed symbol field in definitions to raw_symbol
• Renamed the cost field to cost_usd for /batch.submit_job and /batch.list_jobs (value now expressed as US dollars)
• Removed bad condition variant from batch.get_dataset_condition

Deprecations

• Deprecated stype product_id in favor of instrument_id
• Deprecated stype native in favor of raw_symbol
• Deprecated stype smart in favor of separate parent and continuous stypes

0.7.0 - 2023-04-07

Breaking changes

• Removed /metadata.list_compressions endpoint (redundant with docs)
• Removed /metadata.list_encodings endpoint (redundant with docs)
• Removed optional start and end params from /metadata.list_schemas endpoint (redundant)
• Changed parsing of end and end_date params throughout the API

0.6.0 - 2023-03-10

Breaking changes

• Changed metadata.get_dataset_condition response to an array of conditions per date

0.5.0 - 2023-03-03

Enhancements

• Added /batch.list_files endpoint for listing batch job file details
• Integrated DBN encoding 0.3.2

Breaking changes

• Renamed /timeseries.stream to /timeseries.get_range

0.4.0 - 2022-12-02

• Added /metadata.get_dataset_condition endpoint to discover availability and quality
• Improved smart symbology resolution

0.3.0 - 2022-08-30

• Added Databento Binary Encoding (DBZ) streaming and batch downloads
• Added initial smart symbology support
• Further improved consistency of parameter and field names

0.2.0 - 2021-12-10

• Added historical APIs for metadata, time series and symbology
• Added streaming and batch download support
• Added native product ID and symbol support
• Added sizing and pricing functionality
• Improved error handling, size limits and rate limits
• Improved consistency of field names between schemas

0.1.0 - 2021-08-30

• Added support for server-streaming RPC over HTTP
• Added basic schemas and encoding (binary, CSV, JSON) support
• Added new datasets: CME Globex MDP 3.0

0.6.4 - TBD

Enhancements

• Improved error message for sending empty command message
• Added end-of-interval notification SystemMsg records

0.6.3 - 2025-09-07

Enhancements

• Improved the error message for sending a command message with a byte order mark (BOM)

0.6.2 - 2025-08-02

Bug fixes

• Fixed issue where subscriptions with more than 1000 symbols were only partially handled
• Updated continuous symbology logic for open interest and volume ranking to fall back on expiration to match the behavior of the historical API

0.6.1 - 2025-06-29

Enhancements

• Added replay completed notification SystemMsg records
• Added throttling to subscription handling so one client sending lots of subscriptions can't degrade other users' sessions

0.6.0 - 2025-05-24

Enhancements

• Added subscription acknowledgement SystemMsg records
• Added a new optional is_last field to subscription requests to indicate the request is part of a larger subscription
• Began setting code field in DBN version 2+ ErrorMsg and SystemMsg records
• Added slow reader warnings in the form of SystemMsg records

0.5.6 - 2025-04-06

Enhancements

• Added support for continuous open interest (.n.) and volume (.v.) symbology for ICE Europe Commodities and ICE Endex

0.5.5 - 2024-12-01

Enhancements

• Added support for continuous calendar symbology for ICE Europe Commodities and ICE Endex

0.5.4 - 2024-10-02

Enhancements

• Subscriptions with stype_in=instrument_id will now return SymbolMapping records

0.5.3 - 2024-10-02

Bug fixes

• Fixed issue where an instrument definition with security_update_action Delete could cause ALL_SYMBOLS subscriptions to drop records
• Subscription with stype_in=instrument_id will now fail on unknown instrument ids

0.5.1 - 2024-07-24

Bug fixes

• Fixed issue where start times falling between trading sessions could be rejected

2024-07-20

Bug fixes

• Fixed bug where sessions could be closed with "Internal error"

2024-06-25

Enhancements

• Added subscription option snapshot=... to start live MBO data with an order book snapshot

0.5.0 - 2024-05-25

Enhancements

• Added support for optional snapshot field in subscription control message to request a snapshot of stateful schemas like MBO
• Added support for optional heartbeat_interval_s field in authentication control message to configure the interval when heartbeat messages will be sent
• Added support for optional id field in subscription control message

0.4.6 - 2024-04-13

Bug fixes

• Disabled continuous symbology for ICE Endex and ICE Europe Commodities until it can be implemented correctly

0.4.5 - 2024-03-25

Bug fixes

• Fixed inadvertent change to session ID format after successfully authenticating with live gateway

0.4.4 - 2024-03-23

Enhancements

• Added functionality to send SymbolMappingMsg records when subscribing to ALL_SYMBOLS

Bug fixes

• Fixed sending SymbolMappingMsg for all instruments in parent symbol when subscribing to a continuous symbol

0.4.3 - 2024-02-13

Enhancements

• Changed rate limiter to have more predictable behavior

0.4.2 - 2024-01-06

Enhancements

• Improved error messages

Bug fixes

• Fixed command truncation

0.4.0 - 2023-11-08

Breaking changes

• Added support to respond with DBNv2. DBN version is indicated in the metadata header

0.3.0 - 2023-10-20

Enhancements

• When a subscription has symbols that fail to resolve, a separate ErrorMsg record will be sent for each symbol
• Added pretty_px session parameter which formats prices to the correct scale using the fixed-precision scalar 1e-9 (available for JSON encoding)
• Added pretty_ts session parameter which formats timestamps as ISO 8601 strings (available for JSON encoding)

0.2.0 - 2023-07-23