Source: https://databento.com/docs/release-notes # Release notes # C++ ## 0.69.0 - Upcoming #### Enhancements - Added `Tbbo` variant to `RType` for TBBO records in DBN version 4 - Added `Unsubscribe()` to `LiveBlocking` and `LiveThreaded` for removing symbols from a live session's subscriptions - Added `Unsubscriptions()` to `LiveBlocking` and `LiveThreaded` - Modified `Resubscribe()` to resubscribe only to active subscriptions #### Breaking changes - Added `sent_at` field to `LiveSubscription` ## 0.68.1 - 2026-09-30 #### Enhancements - Optimized DBN decoding to decode records in batches through libdbn_c - Upgraded libdbn_c version to 0.71.0 - Upgraded default cpp-httplib version to 0.57.1 #### Bug fixes - Removed clang-format target creation when not the main project ## 0.68.0 - 2026-09-18 #### Enhancements - Added new venue, dataset, and publishers for Databento Core Indices - Upgraded libdbn_c version to 0.70.0 - Upgraded default cpp-httplib version to 0.54.1 ## 0.67.0 - 2026-09-01 #### Enhancements - Added `UnsubscribeAck` to the `SystemCode` enum for acknowledging unsubscribe requests - Added support for building against cpp-httplib 0.52.0 and newer, which changed the underlying container of `httplib::Params` and `httplib::Headers` - Removed the `httplib.h` include from the public headers, cutting about a third of the preprocessed size of `record.hpp`, `historical.hpp`, and `live.hpp` - Upgraded libdbn_c version to 0.69.0 - Upgraded default cpp-httplib version to 0.53.1 #### Bug fixes - Fixed incorrect count in DBN metadata causing decoding to read into the start of records - Fixed CMake error when the consuming project already defines a `zstd::libzstd` target (credit: Mamadou Babaei) ## 0.66.0 - 2026-08-25 #### Enhancements - Added a dependency on libdbn_c, the C interface to the [DBN library](https://github.com/databento/dbn), which CMake downloads as a prebuilt library or can be built from source with Cargo - Decoding DBN is now done via the C interface of the DBN library rather than a separate C++ implementation - Added CMake configurations `DATABENTO_BUILD_DBN_FROM_SOURCE` for always building libdbn_c from source and `DATABENTO_DBN_SOURCE_DIR` for building it from a local DBN checkout - Added an overload of `Historical::MetadataListFields` that accepts a `dataset` parameter. Without it, the returned fields are for the latest DBN encoding version, which may not match a specific dataset's schema - Changed `LiveBlocking::Reconnect` to reuse its DBN decoder rather than rebuilding it, so the read buffer keeps the capacity it grew #### Breaking changes - Changed `Historical::BatchListJobs` to request the new short response format of the `batch.list_jobs` endpoint and return `std::vector`, which contains only the `id`, `state`, and `ts_received` fields for each job. Use `Historical::BatchGetJobDetails` to fetch the complete details of an individual job - Removed `DbnDecoder::DecodeMetadataVersionAndSize`, `DbnDecoder::DecodeMetadataFields`, `DbnDecoder::DecodeRecordCompat`, and `DbnDecoder::NeedsUpgrade`, which the DBN library now handles #### Bug fixes - Changed decoding DBN version 3 data with `VersionUpgradePolicy::UpgradeToV2` to throw a `DbnResponseError`, which the policy was already documented to do, instead of decoding the data as-is #### Deprecations - Deprecated `Historical::BatchListJobsFull`, which returns the full job details like `BatchListJobs` did previously. The `batch.list_jobs` endpoint will stop returning full job details at a future date, at which point this method will be removed ## 0.65.0 - 2026-08-18 #### Enhancements - Added `SType` variants `ListingId`, `IssuerId`, and `SecurityId` for the reference data API ## 0.64.0 - 2026-08-11 #### Breaking changes - Changed `LiveBlocking` to throw a `LiveApiError` instead of an `InvalidArgumentError` when the gateway rejects authentication, so the reason is no longer mislabeled as an invalid `key` argument #### Bug fixes - Fixed Live connect timeouts being reported as `Operation now in progress`, and added the gateway, port, and timeout to the error message - Fixed a Live connect interrupted by a signal failing instead of continuing to wait for the connection - Fixed only the first address being tried when a Live gateway hostname resolves to more than one ## 0.63.0 - 2026-08-04 #### Enhancements - Added `ReplayDataAgedOut` variant to `ErrorCode` - Added new venues, datasets, and publishers for JPX - Upgraded default date version to 3.0.5 ## 0.62.1 - 2026-07-28 #### Enhancements - Upgraded default cpp-httplib version to 0.51.0 #### Bug fixes - Fixed `DbnEncoder::EncodeRecord` overload for `WithTsOut` failing to compile ## 0.62.0 - 2026-07-14 #### Enhancements - Changed `VersionUpgradePolicy` to be backed by `std::uint8_t` with explicit values starting at 1 - Added `HistoricalBuilder::SetHttpClientConfig` for customizing the underlying HTTP client ## 0.61.0 - 2026-07-07 #### Enhancements - Added new publisher values for Cboe Titanium Cboe Global Indices Feed - Added `StatType` variants `MwcbLevel1`, `MwcbLevel2`, and `MwcbLevel3` - Added `StatType` variants `AuctionCollarReferencePrice`, `AuctionCollarUpperPrice`, and `AuctionCollarLowerPrice` - Upgraded default cpp-httplib version to 0.49.0 #### Breaking changes - Renamed the following Venue, Dataset, and Publisher: - `CGIF` to `MAIN` - `CGIF.TITANIUM` to `MAIN.CGIF` - `CGIF.TITANIUM.CGIF` to `MAIN.CGIF.MAIN` ## 0.60.0 - 2026-06-16 #### Enhancements - Added `MatchAlgorithm` variant `Allocation` ## 0.59.0 - 2026-06-02 #### Enhancements - Added `Historical::BatchGetJobDetails` for querying the details for a single batch job - Added new venues, datasets, and publishers for US Equities Securities Information Processors #### Bug fixes - Fixed `HistoricalBuilder::SetAddress` not working with HTTPS ## 0.58.0 - 2026-05-26 - Added logging for gateway `ErrorMsg` and `SystemMsg` records in `LiveBlocking`. Suppress by raising the minimum level or by passing a `NullLogReceiver` - Upgraded default cpp-httplib version to 0.46.0 ## 0.57.0 - 2026-05-12 #### Enhancements - Added `Case()`, `DetailMessage()`, and `DocsUrl()` getters on `HttpResponseError`. These parse the JSON error envelope returned by the historical API and expose its fields directly - Included the error `case` (when present) in the message returned by `HttpResponseError::what()` #### Breaking changes - Removed `HttpResponseError::ResponseBody()`. The raw body is still embedded in the message returned by `what()`; use the new `Case()`, `DetailMessage()`, and `DocsUrl()` getters for structured access ## 0.56.0 - 2026-05-05 #### Enhancements - Added `Index` `InstrumentClass` variant - Added `StatType` variants `IndicativeClosePrice` and `VenueSpecificPrice1` ## 0.55.0 - 2026-04-28 #### Enhancements - Improved `DbnDecoder` throughput on current-version data and `AsIs` workloads by caching whether the upgrade policy-version combination requires upgrading, skipping the per-record `DecodeRecordCompat` dispatch on the fast path - Made `detail::Buffer` shifts explicit to avoid redundant moves during record decoding - Added new publisher values for Cboe Titanium Cboe Global Indices Feed - Added `Year` to `SplitDuration` enum for yearly historical batch job submissions - Upgraded default cpp-httplib version to 0.43.1 - Upgraded default nlohmann/json version to 3.12.0 ## 0.54.0 - 2026-04-21 #### Enhancements - Added new publisher values for OPRA MEMX MX2 Options and IEX Options ## 0.53.0 - 2026-04-08 #### Enhancements - Added `TryNextRecord` and `FillBuffer` to `LiveBlocking` for more fine-grained control around I/O - Added `TimeoutConf` struct and `SetTimeoutConf()` builder method for configuring connect and auth timeouts on the Live client (defaults to 10s and 30s) - Added `SessionId()` and `Timeouts()` getters to `LiveBlocking` and `LiveThreaded` ## 0.52.0 - 2026-03-31 #### Enhancements - Added client-side heartbeat timeout detection: `NextRecord` throws `HeartbeatTimeoutError` if no data is received for `heartbeat_interval` + 5 seconds (defaults to 35 seconds) - Changed `SlowReaderBehavior::Skip` to send "skip" instead of "drop" to the gateway #### Breaking changes - `NextRecord` now throws `LiveApiError` instead of `DbnResponseError` when the gateway closes the session. Code catching `DbnResponseError` for this case should be updated ## 0.51.0 - 2026-03-17 #### Enhancements - Added support for `progress` field in `BatchJob` response - Added blocking (pull-based) `TimeseriesGetRange` overloads that return a `DbnStore` with `GetMetadata()` and `NextRecord()` methods, unifying the consumption pattern across historical, live, and file sources - Generalized `DbnFileStore` into `DbnStore` which accepts any `IReadable` source. `DbnFileStore` is retained as a type alias for backwards compatibility - Upgraded default `httplib` version to 0.37.2 ## 0.50.0 - 2026-03-03 #### Enhancements - Added logic to set `code` when upgrading version 1 `ErrorMsg` to newer versions ## 0.49.0 - 2026-02-24 #### Enhancements - Added `SkippedRecordsAfterSlowReading` to the `ErrorCode` enum for gateway errors originating from slow client catch-up ## 0.48.0 - 2026-02-18 #### Enhancements - Added `SlowReaderBehavior` enum and `LiveBuilder::SetSlowReaderBehavior()` to configure gateway behavior when client falls behind - Added `SlowReaderBehavior()` getter to `LiveBlocking` and `LiveThreaded` #### Bug fixes - Added conversion for missing schemas for function `RTypeFromSchema` - Added explicit optional construction in `json_helpers.hpp` (credit: Enrico Detoma) ## 0.47.0 - 2026-02-04 #### Enhancements - Added Zstd compression support to live clients which can be enabled with `LiveBuilder::SetCompression()`. It's disabled by default - Added `Compression()` getter to `LiveBlocking` and `LiveThreaded` - Upgraded default `httplib` version to 0.30.1 #### Breaking changes - Added an overload to the `ReadSome` method on `IReadable` for timeout support ## 0.46.1 - 2026-01-27 #### Enhancements - Added new publisher for Blue Ocean ATS (`OCEA_MEMOIR_OCEA`) ## 0.46.0 - 2026-01-20 #### Enhancements - Added new off-market publisher for Cboe Futures Exchange (`XCBF_PITCH_XOFF`) - Added new `StatType` variants to be used by `XCBF.PITCH` dataset: - `UpperPriceLimit` - `LowerPriceLimit` - `BlockVolume` - `VenueSpecificVolume1` ## 0.45.0 - 2025-12-10 #### Enhancements - Added download retry, resumption, and checksum verification to `Historical::BatchDownload` - Added new venue, dataset, and publisher for Cboe Futures Exchange (`XCBF.PITCH`) - Upgraded default `httplib` version to 0.28.0 ## 0.44.0 - 2025-11-18 #### Enhancements - Added logic to set `code` when upgrading version 1 `SystemMsg` to newer versions #### Bug fixes - Added missing `` include to `constants.hpp` (credit: Ognian Milanov) ## 0.43.0 - 2025-10-22 #### Enhancements - Made `Unset` a fully-supported variant of `SystemCode` and `ErrorCode` #### Breaking changes - Removed `mode` parameter in `Historical::MetadataGetCost()` ## 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 `byte`s ## 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](https://howardhinnant.github.io/date/date.html) - 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](https://github.com/databento/dbn/releases/tag/v0.14.0). Users who wish to convert DBN v1 files to v2 can use the `dbn-cli` tool available in the [databento-dbn](https://github.com/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` `StatType`s 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` - `MetadataListFields`: - Changed return type to `vector` - Made `encoding` and `schema` parameters required - Removed `dataset` parameter - `MetadataListUnitPrices`: - Changed return type to `vector` - 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` - 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 # Python ## 0.88.0 - 2026-10-21 #### Enhancements - `zstandard` is now only a dependency on Python versions below 3.14; on Python 3.14 and later the standard library `compression.zstd` module is used instead - Added a direct dependency on `certifi` 2026.10.19 or later so that HTTPS connections no longer trust the compromised eMudhra intermediate CAs (emSign ECC Root CA - G3) #### Bug fixes - Fixed the return type annotation of `metadata.get_dataset_range()` to include the per-schema ranges under the `schema` key ## 0.87.0 - 2026-09-22 #### Enhancements - Added new venue, dataset, and publishers for Databento Core Indices - Asynchronous iteration of `Live` no longer waits for records on a thread pool executor, reducing per-record overhead - Upgraded `databento-dbn` to 0.70.0 #### Bug fixes - Fixed an issue where cancelling asynchronous iteration of `Live` could drop a record ## 0.86.0 - 2026-09-01 #### Enhancements - Added `UNSUBSCRIBE_ACK` to the `SystemCode` enum for acknowledging unsubscribe requests - Upgraded `databento-dbn` to 0.69.0 - Fixed incorrect count in DBN metadata causing decoding to read into the start of records #### Bug fixes - Fixed an issue where `InstrumentMap.clear()` didn't clear the LRU cache for `InstrumentMap.resolve()` (credit: @Tomperez98) ## 0.85.0 - 2026-08-25 #### Enhancements - Added support for the `short` parameter of `batch.list_jobs`. When set to `True`, the response will contain only the `id`, `state`, and `ts_received` fields for each job - Upgraded `databento-dbn` to 0.68.0 ## 0.84.0 - 2026-08-18 #### Enhancements - Added support for `listing_id`, `issuer_id`, and `security_id` as `stype_in` values for the security master and corporate actions reference data endpoints, and `security_id` for the adjustment factors endpoint - Added a `dataset` parameter to `MetadataHttpAPI.list_fields()`. If not provided, the returned fields are for the latest DBN encoding version, which may not match a specific dataset's schema - Upgraded `databento-dbn` to 0.67.0: - Improved performance of record field accessors that convert a raw value to an enum, such as `side()`, `action()` and `rtype()`, by no longer copying the description when constructing the conversion error ## 0.83.0 - 2026-08-04 #### Enhancements - Added `CorporateActionsHttpAPI.list_events()` and `list_enums()` for fetching documentation on supported corporate action event types and enum values - Added `REPLAY_DATA_AGED_OUT` variant to `ErrorCode` enum - Added new publisher values for JPX - Added an `allocate_isins` parameter to `AdjustmentFactorsHttpAPI.get_range()`, `CorporateActionsHttpAPI.get_range()`, `SecurityMasterHttpAPI.get_range()`, and `SecurityMasterHttpAPI.get_last()` to control whether new ISINs are allocated for plans that are ISIN-limited - Upgraded `databento-dbn` to 0.65.0: - Added `finish()` method to the Python Transcoder and a context manager to call this method on exit. This will ensure compressed output contains the end-of-frame block #### Bug fixes - Fixed an issue where the `Live` client's monitor task would not get recreated for the new session after a reconnection ## 0.82.0 - 2026-07-21 #### Enhancements - Added a `loop` parameter to the `Live` client to provide user level control of which event loop the client's connection uses - The `Live` class will no longer create a background thread and event loop upon import - Upgraded `databento-dbn` to 0.63.0: - Added an integer representation for `VersionUpgradePolicy`: the enum is now has a value property, a from_int, and comparison against integers ## 0.81.0 - 2026-07-07 #### Enhancements - Upgraded `databento-dbn` to 0.62.0: - Added `StatType` variants `MwcbLevel1`, `MwcbLevel2`, and `MwcbLevel3` - Added `StatType` variants `AuctionCollarReferencePrice`, `AuctionCollarUpperPrice`, and `AuctionCollarLowerPrice` - Changed the default `size` field to 0 in `MboMsg`, `TradeMsg`, `Mbp1Msg`, `Mbp10Msg`, `BboMsg`, `Cmbp1Msg`, and `CbboMsg` ## 0.80.0 - 2026-06-16 #### Enhancements - Upgraded `databento-dbn` to 0.61.0: - Added `MatchAlgorithm` variant `Allocation` - Added new publisher values for Cboe Titanium Cboe Global Indices Feed #### Bug fixes - Fixed an issue where the `Live` client would throw a `TypeError` when connecting using `uvloop` #### Breaking changes - Renamed the following Venue, Dataset, and Publisher: - `CGIF` to `MAIN` - `CGIF.TITANIUM` to `MAIN.CGIF` - `CGIF.TITANIUM.CGIF` to `MAIN.CGIF.MAIN` ## 0.79.0 - 2026-06-02 #### Enhancements - Added new venues, datasets, and publishers for US Equities Securities Information Processors - Changed the `batch.download` method to use the API's `batch.download` endpoint for downloading a batch job as a ZIP archive - Added method for `batch.get_job_details` to access the full details of a batch job - Upgraded `databento-dbn` to 0.59.0: - Improvements to `ts_out` decoding and serialization #### Bug fixes - Fixed some thread-unsafe behavior in `Live.start()` and `Live.terminate()` which would call methods from the client's event loop in the main thread ## 0.78.0 - 2026-05-12 #### Enhancements - Added time-based backpressure to the live client: pauses reading records from the live gateway when the internal queue spans more than 1 second of data by `ts_index` (`ts_recv` when present, otherwise `ts_event`) - Upgraded `databento-dbn` to 0.58.0: - Added flat per-level properties (`bid_px_00`, `pretty_ask_px_03`, etc.) to the Python `MBP1Msg`, `MBP10Msg`, `BBOMsg`, `CMBP1Msg`, and `CBBOMsg` record classes for parity with the DataFrame layout - Added `INDEX` `InstrumentClass` variant - Added `StatType` variants `INDICATIVE_CLOSE_PRICE` and `VENUE_SPECIFIC_PRICE_1` ## 0.77.0 - 2026-04-28 #### Enhancements - Added new publisher values for Cboe Titanium Cboe Global Indices Feed - Added `YEAR` to `SplitDuration` enum to support yearly historical batch job submission - Upgraded `databento-dbn` to 0.56.0: - Improved Python `DBNDecoder.decode()` performance with pre-allocated output buffers - Added `DBNDecoder.write_and_decode()` to combine write and decode in a single call ## 0.76.0 - 2026-04-21 #### Enhancements - Added new publisher values for OPRA MEMX MX2 Options and IEX Options - Upgraded `databento-dbn` to 0.55.0: - Performance improvements to `DBNDecoder` ## 0.75.0 - 2026-04-07 #### Enhancements - Upgraded `databento-dbn` to 0.53.0: - Made `ts_out` a permanent field on all Python record types, replacing the dynamic `__dict__` attribute. `ts_out` returns an `int` (`UNDEF_TIMESTAMP` when not set) - Removed `__dict__` from all Python record classes, eliminating a separate per-instance allocation ## 0.74.1 - 2026-03-31 #### Enhancements - Upgraded `databento-dbn` to 0.52.1: - Added `__index__` to all int-representable and char-backed Python enums, enabling use with `int()`, `hex()`, and as sequence indices - Fixed memory leak in Python bindings where every record object leaked ~64 bytes due to a `pyo3` 0.28 regression in `#[pyclass(dict)]` deallocation. Downgraded `pyo3` to 0.27.2 - Removed unnecessary `dict` from `BidAskPair` and `ConsolidatedBidAskPair` Python classes - Fixed Python type stubs to reflect that `record_size()` is a method, not a property - Fixed Python type stubs for record fields to indicate which fields are writable (e.g. `publisher_id`, `instrument_id`, `price`, `size`) and added `@setter` stubs for enum fields (e.g. `action`, `side`) ## 0.74.0 - 2026-03-24 #### Enhancements - Changed `SlowReaderBehavior.SKIP` to send "skip" instead of "drop" to the gateway - Upgraded `databento-dbn` to 0.52.0: - Added `SYMBOL_CSTR_LEN` constant and versioned variants (`SYMBOL_CSTR_LEN_V1`, `SYMBOL_CSTR_LEN_V2`, `SYMBOL_CSTR_LEN_V3`) to Python, including in each versioned module (`v1`, `v2`, `v3`) as `SYMBOL_CSTR_LEN` - Added `v1`, `v2`, and `v3` submodule imports to `databento_dbn.__init__` so they are accessible as attributes (e.g. `databento_dbn.v1`) ## 0.73.0 - 2026-03-10 #### Enhancements - Upgraded `databento-dbn` to 0.51.0: - Added logic to set `code` when upgrading version 1 `ErrorMsg` to newer versions ## 0.72.0 - 2026-02-26 #### Enhancements - Upgraded `databento-dbn` to 0.50.0: - Added `SkippedRecordsAfterSlowReading` to the `ErrorCode` enum for gateway errors originating from slow client catch-up. ## 0.71.0 - 2026-02-17 #### Enhancements - Added `slow_reader_behavior` field to `AuthenticationRequest` message - Added `SlowReaderBehavior` enum - Added support for using compression in the live API: - Added `compression` parameter to the `Live` client constructor - Added `compression` property to the `Live` client - Added `compression` field to `AuthenticationRequest` - Upgraded `databento-dbn` to 0.49.0: - Added support for decompressing Zstd in the Python `DBNDecoder` and new optional `compression` parameter ## 0.70.0 - 2026-01-27 #### Enhancements - Added new off-market publisher for Cboe Futures Exchange (`XCBF_PITCH_XOFF`) - Upgraded `databento-dbn` to 0.48.0: - Changed the `__repr__` implementation of all records in Python to be more Pythonic - Added new `StatType` variants to be used by `XCBF.PITCH` dataset: - `UPPER_PRICE_LIMIT` - `LOWER_PRICE_LIMIT` - `BLOCK_VOLUME` - `VENUE_SPECIFIC_VOLUME_1` - Added new publisher for Blue Ocean ATS (`OCEA_MEMOIR_OCEA`) - Reduced the log level of end-of-interval `SystemMsg` records to the debug level ## 0.69.0 - 2026-01-13 #### Enhancements - Upgraded `databento-dbn` to 0.46.0: - Added `DBNRecord` union type to Python which includes all record types - Removed `Record` class from Python type stubs to match code: the record classes don't share a base class. Use `DBNRecord` instead. #### Breaking changes - Removed `DBNRecord` union type from `databento.common.types`, use `databento_dbn.DBNRecord` instead ## 0.68.2 - 2026-01-06 #### Bug fixes - Fix use of `Self` in `GatewayControl.parse()` ## 0.68.1 - 2025-12-16 #### Enhancements - Improved the performance of `DBNStore.to_df()` symbol mapping ## 0.68.0 - 2025-12-09 This release adds support for Python 3.14. #### Enhancements - Added support for Python 3.14 - Functions which accept a path as an argument now expand user directories - Upgraded `databento-dbn` to 0.45.0: - Added support for Python 3.14 ## 0.67.0 - 2025-12-02 #### Enhancements - Added a property `Live.subscription_requests` which returns a list of tuples containing every `SubscriptionRequest` for the live session - Changed the return value of `Live.subscribe()` to `int`, the value of the subscription ID, which can be used to index into the `Live.subscription_requests` property - Added feature to automatically monitor for hung connections in the `Live` client - Hung connections will be disconnected client side with a `BentoError` - Added new venue, dataset, and publisher for Cboe Futures Exchange (`XCBF.PITCH`) #### Breaking changes - Several log messages have been reformatted to improve clarity and reduce redundancy, especially at debug levels - The `map_symbols` parameter for `Historical.batch.submit_job()` now defaults to `True` for JSON and CSV encodings ## 0.66.0 - 2025-11-18 #### Enhancements - Added a property `Live.session_id` which returns the streaming session ID when the client is connected - Streams added with `Live.add_stream()` which do not define an exception handler will now emit a warning if an exception is raised while executing the callback - Callback functions added with `Live.add_callback()` which do not define an exception handler will now emit a warning if an exception is raised while executing the callback - Upgraded `databento-dbn` to 0.44.0: - Added logic to set `code` when upgrading version 1 `SystemMsg` to newer versions #### Bug fixes - Streams opened by `Live.add_stream()` will now close properly when the streaming session is closed ## 0.65.0 - 2025-11-11 #### Deprecations - Deprecated `mode` parameter in `metadata.get_cost`, which will be removed in a future release #### Enhancements - Added export of `CBBOMsg` and `BBOMsg` from `databento_dbn` to the root `databento` package - Upgraded `databento-dbn` to 0.43.0: - Added export of `F_PUBLISHER_SPECIFIC` constant to Python - Added explicit `Unset` variant for `SystemCode` and `ErrorCode` - Changed Python getters for enum fields to return the underlying type when no known variant can be found. As a result, these getters no longer raise an exception #### Breaking changes - Removed support for Python 3.9 due to end of life ## 0.64.0 - 2025-09-30 #### Enhancements - Upgraded `databento-dbn` to 0.42.0: - Added `ts_index` and `pretty_ts_index` properties for records in Python which provides the timestamp that is most appropriate for indexing - Fixed type stub for `channel_id` to allow None #### Enhancements - Reduced the log level of `SystemMsg` records in the `Live` client to debug - Increased the log level of `SystemMsg` records with the code `SystemCode.SLOW_READER_WARNING` to warning #### 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 3.13. #### 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 3.12. 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](https://github.com/databento/dbn/releases/tag/v0.14.0). Users who wish to convert DBN v1 files to v2 can use the `dbn-cli` tool available in the [databento-dbn](https://github.com/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](https://databento.com/blog/api-improvements-august-2023). #### 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](https://databento.com/blog/CSV-JSON-updates-july-2023). #### 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 # HTTP API ## 0.36.0 - TBD #### Enhancements - Added support for `year` split_duration for batch job file splitting - Added new venues, datasets, and publishers for US Equities Securities Information Processors - Added a new endpoint `/batch.get_job_details` which returns the full details for a specified batch job - Added `short` parameter to `/batch.list_jobs` to allow early migration to the upcoming short response format - Added an `allocate_isins` parameter to `/adjustment_factors.get_range`, `/corporate_actions.get_range`, `/security_master.get_range`, and `/security_master.get_last` to control whether new ISINs are allocated for plans that are ISIN-limited - Added an optional `dataset` parameter to `/metadata.list_fields`. If not provided, the returned fields are for the latest DBN encoding version, which may not match a specific dataset's schema ## 0.35.0 - 2025-08-19 #### 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](https://databento.com/blog/corporate-actions). #### 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](https://databento.com/blog/ice-futures-market-data). #### 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](https://databento.com/blog/dbeq-basic). #### 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](https://databento.com/blog/opra-data). #### 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](https://databento.com/blog/api-improvements-august-2023). 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](https://databento.com/blog/CSV-JSON-updates-july-2023). #### 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 # Raw API ## 0.9.4 - Upcoming #### Bug fixes - Fixed an unclear error when the data for a replay subscription was no longer retained - Sessions configured to skip records now resume from the earliest retained records; other sessions receive a fatal `ErrorMsg` with the new `ReplayDataAgedOut` code and the earliest available `start` time ## 0.9.3 - 2026-08-01 #### Bug fixes - Fixed an issue where heartbeats could be suppressed while buffered data had not yet reached the client ## 0.9.2 - 2026-07-18 #### Bug fixes - Fixed an issue with delayed delivery of imbalance for some US equities datasets - Fixed missing incremental symbol mappings for mapping changes inside the replay window of subscriptions with a non-zero `start` time ## 0.9.1 - 2026-06-27 #### Enhancements - Improved time to first record when subscribing with a non-zero `start` time - Added new venues, datasets, and publishers for US Equities Securities Information Processors - Added `StatType` variants `MwcbLevel1`, `MwcbLevel2`, and `MwcbLevel3` ## 0.9.0 - 2026-04-26 #### Enhancements - Made symbol resolution failures non-fatal: unresolved symbols now result in `ErrorMsg` records with `code=SymbolResolutionFailed` instead of terminating the session, while successfully resolved symbols in the same subscription continue to stream normally #### Breaking changes - Changed the default `slow_reader_behavior` from `warn` to `skip` for sessions that don't set it explicitly #### Bug fixes - Fixed symbol resolution for instruments using valid historical timestamp for `start_ts` ## 0.7.5 - 2026-02-28 #### Bug fixes - Stopped accepting subscriptions with `start` time in the future ## 0.7.4 - 2026-02-15 #### Enhancements - Added support for new `slow_reader_behavior` session parameter ## 0.7.3 - 2026-02-10 #### Enhancements - Started setting `start_ts` from source definition and `end_ts` for replay subscriptions to when the mapping ended - Improved reliability of sending error records before tearing down socket #### Bug fixes - Fixed end-of-interval notifications sent for timestamps before subscription `start` ## 0.7.2 - 2025-12-14 #### Enhancements - Improved the performance of symbol resolution and raised the subscription rate limit ## 0.7.1 - 2025-11-09 #### Enhancements - Included `security_type=IRS` (interest rate swaps) under `FUT` parent symbology ## 0.7.0 - 2025-10-26 #### Enhancements - Improved symbology resolution before the publisher has sent all definitions: this primarily affects CME Globex MDP 3.0 on Sundays and OPRA Pillar on weekday mornings - Changed `OPT` parent symbology to include `MLEG` instruments - Added `.SPOT` parent symbology for spot instruments #### Breaking changes - Removed support for deprecated `stype_in=smart` ## 0.6.4 - 2025-09-28 #### 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](https://roadmap.databento.com/b/n0o5prm6/feature-ideas/add-replay-finished-notification-to-live-api) - 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](https://roadmap.databento.com/b/n0o5prm6/feature-ideas/add-a-subscription-acknowledgement-to-the-live-api) - 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 #### Breaking changes - Updated JSON encoding: - Moved header fields (`rtype`, `publisher_id`, `instrument_id`, and `ts_event`) to nested object under the key `hd` in JSON encoding to match structure definitions - Added `channel_id` to MBO schema - Changed to always include `rtype` to differentiate between schemas, making `details` session parameter redundant - Rename `security_group` in definitions schema to `group` to match struct definitions - All 64-bit integers are now serialized as strings to avoid loss of precision #### Deprecations - Deprecated `details` session parameter ## 0.1.0 - 2023-05-01 - Initial support for real-time and intraday data # Rust ## 0.64.0 - Upcoming #### Enhancements - Added `LiveClient::unsubscribe()` and the `Unsubscription` type for removing symbols from a live session's subscriptions - Added `LiveClient::unsubscriptions()` and `LiveClient::unsubscriptions_mut()` - Added `Subscription::to_unsubscription()` and `From<&Subscription>` for `Unsubscription` for reversing a subscription - Modified `LiveClient::resubscribe()` to resubscribe only to active subscriptions #### Breaking changes - Added `sent_at` field to `Subscription` ## 0.63.0 - 2026-09-29 #### Enhancements - Optimized `LiveClient::next_record()` and `LiveClient::try_next_record()` to decode records in batches - Upgraded DBN version to 0.71.0 - Upgraded zstd to 0.14 #### Deprecations - From DBN: - Deprecated `dbn::decode::dbn::async_decode_record_ref_with_fsm`; `DbnFsm` can be used directly ## 0.62.0 - 2026-09-21 #### Enhancements - Upgraded DBN version to 0.70.0: - Sped up `decode_ref()` and `decode_record_ref()` on the sync and async record decoders, which now decode records in batches - Added `DbnFsm::process_batch()` for decoding a batch of records in a single call, along with `has_buffered_record()` and `next_buffered_record()` for draining the batch - Added new venue, dataset, and publishers for Databento Core Indices #### Breaking changes - From DBN: - Replaced `Record::header()` with a method per header field: `raw_rtype()`, `publisher_id()`, `instrument_id()`, and `raw_ts_event()`, joining the existing `record_size()`, `rtype()`, and `publisher()`. `RecordRef`, `RecordRefMut`, `RecordBuf`, `RecordEnum`, and `RecordRefEnum` keep a `header()` method of their own, and concrete record types keep their `hd` field - `Record::raw_rtype()` returns `u16` and `Record::instrument_id()` returns `u64`, wider than the corresponding `RecordHeader` fields, which are unchanged - `RType::try_into_schema()` takes a `u16` and returns `None` for values outside the range of the `RecordHeader` `rtype` field #### Bug fixes - From DBN: - Fixed `DbnFsm::process_all()` and `DbnFsm::process_many()` returning `Record` with no records instead of `ReadMore` when the buffer held no complete record - Fixed unsound `RecordRefMut` accessors, which returned references outliving the borrow of `self` and let safe code hold two mutable references to the same record, or a shared reference aliasing a mutable one. `get_mut()` and `get_mut_unchecked()` now take `&mut self`, and `header()` returns a reference borrowing `self` - Fixed undefined behavior when mutating a record through a `RecordRefMut`, where the write went through a pointer that permitted only reads, or that did not span the whole record - Fixed `DbnFsm::process_all()` and `DbnFsm::process_many()` discarding the records decoded before an invalid record. They now return those records and the error on the following call, matching `DbnFsm::process()` ## 0.61.0 - 2026-09-01 #### Enhancements - Upgraded DBN version to 0.69.0: - Added `UnsubscribeAck` to the `SystemCode` enum for acknowledging unsubscribe requests #### Bug fixes - From DBN: - Fixed unsound `AsRef<[u8]>` for `RecordBuf`, which produced a slice longer than the buffer when the header `length` written through `raw_buf_mut()` exceeded the capacity - Fixed incorrect count in DBN metadata causing decoding to read into the start of records ## 0.60.0 - 2026-08-25 #### Enhancements - Upgraded DBN version to 0.68.0: - Added `MetadataEncoder::encoded_len()` for the number of bytes `encode()` will write - Improved documentation for the `min_price_increment_amount` and `inst_attrib_value` fields #### Breaking changes - Changed `BatchClient::list_jobs()` to request the new short response format of the `batch.list_jobs` endpoint and return `Vec`, which contains only the `id`, `state`, and `ts_received` fields for each job. Use `BatchClient::get_job_details()` to fetch the complete details of an individual job #### Deprecations - Deprecated `BatchClient::list_jobs_full()`, which returns the full job details like `list_jobs()` did previously. The `batch.list_jobs` endpoint will stop returning full job details at a future date, at which point this method will be removed ## 0.59.0 - 2026-08-18 #### Enhancements - Added a `dataset` field to `ListFieldsParams` for `MetadataClient::list_fields()`. If not provided, the returned fields are for the latest DBN encoding version, which may not match a specific dataset's schema - Upgraded DBN version to 0.67.0: - Added `SType::ListingId`, `SType::IssuerId`, and `SType::SecurityId` variants, for use with the reference data API - Upgraded `sha2` version to 0.11 #### Breaking changes - Updated the minimum supported `tokio` version to 1.47, which was released one year ago ## 0.58.0 - 2026-08-11 #### Enhancements - Upgraded DBN version to 0.66.0: - Improved performance of record field accessors that convert a raw value to an enum, such as `side()`, `action()` and `rtype()`, by no longer copying the description when constructing the conversion error - Improved performance of `Record::raw_index_ts()` for records with an unrecognized `rtype` - Relaxed the bound on `From<&R> for RecordRef` from `R: HasRType` to `R: Record`, so a `RecordRef` can be constructed from any record type, including `RecordRef` itself ## 0.57.0 - 2026-08-04 #### Enhancements - Added an `allocate_isins` field to `GetRangeParams` and `GetLastParams` for `AdjustmentFactorsClient`, `CorporateActionsClient`, and `SecurityMasterClient` to control whether new ISINs are allocated for plans that are ISIN-limited - Upgraded DBN version to 0.65.0: - Added a `ReplayDataAgedOut` variant to `ErrorCode` for when the data for a replay subscription is no longer retained and the schema is incompatible with skipping records - Added new publisher values for JPX - Upgraded `time` version to 0.3.55 ## 0.56.0 - 2026-07-28 #### Enhancements - Added `CorporateActionsClient::list_events()` and `list_enums()` for fetching documentation on supported corporate action event types and enum values - Upgraded DBN version to 0.64.0: - Added a `finish()` method to `DynWriter` to flush data and finalize the output stream. For compressed data this will write the zstandard end-of-frame block - Upgraded `time` version to 0.3.54 #### Bug fixes - From DBN: - Fixed `AsRef<[u8]>` for concrete record types encoding only `size_of::()` bytes instead of the full `record_size()` from the header length, which dropped appended `ts_out` bytes and corrupted output when re-encoding a typed record decoded from a stream with `ts_out` ## 0.55.0 - 2026-07-14 #### Enhancements - Upgraded DBN version to 0.63.0: - Added an integer representation for `VersionUpgradePolicy` ## 0.54.0 - 2026-07-07 #### Enhancements - Upgraded DBN version to 0.62.0: - Added `RecordDecoder::seek_to` for absolute byte-offset seeking - Added `is_compressed` helpers for dynamic DBN readers - Added `MatchAlgorithm` variant `Allocation` - Added new publisher values for Cboe Titanium Cboe Global Indices Feed - Added `StatType` variants `MwcbLevel1`, `MwcbLevel2`, and `MwcbLevel3` - Added `StatType` variants `AuctionCollarReferencePrice`, `AuctionCollarUpperPrice`, and `AuctionCollarLowerPrice` - Upgraded `time` version to 0.3.53 #### Breaking changes - Breaking changes from DBN: - Renamed the following Venue, Dataset, and Publisher: - `CGIF` to `MAIN` - `CGIF.TITANIUM` to `MAIN.CGIF` - `CGIF.TITANIUM.CGIF` to `MAIN.CGIF.MAIN` - Changed the default `size` field to 0 in `MboMsg`, `TradeMsg`, `Mbp1Msg`, `Mbp10Msg`, `BboMsg`, `Cmbp1Msg`, and `CbboMsg` ## 0.53.0 - 2026-06-02 #### Enhancements - Added `BatchClient::get_job_details()` to access the full details of a batch job - Upgraded DBN version to 0.59.0: - Added `encode_record_ref_with_ts_out` and `encode_record_refs_with_ts_out` methods to the `EncodeRecordRef` and `AsyncEncodeRecordRef` traits. The DBN encoder uses vectored I/O to append the `ts_out` timestamp without copying the record body, while CSV and JSON encoders serialize from a cloned struct as usual - Added new venues, datasets, and publishers for US Equities Securities Information Processors ## 0.52.0 - 2026-05-26 #### Enhancements - Added logging for gateway `ErrorMsg` and `SystemMsg` records in the live `Client`. Suppress via the `tracing` subscriber's level filter ## 0.51.0 - 2026-05-12 #### Enhancements - Added `case` and `payload` fields to `ApiError` to expose the machine-readable error identifier and structured context (dataset, requested range, available range, etc.) returned by the historical API - Included the error `case` in `ApiError`'s `Display` output - Upgraded DBN version to 0.58.0: - Relaxed `TsSymbolMap::insert` to accept `impl Into>` for the `symbol` parameter ## 0.50.0 - 2026-05-05 #### Enhancements - Upgraded DBN version to 0.57.0: - Added `INDEX` `InstrumentClass` variant - Added `StatType` variants `INDICATIVE_CLOSE_PRICE` and `VENUE_SPECIFIC_PRICE_1` ## 0.49.0 - 2026-04-29 #### Enhancements - Added `SplitDuration::Year` for historical batch job submission - Upgraded DBN version to 0.56.0: - Added `DecodeRecordRef::decode_buf_iter()` for lazily iterating owned `RecordBuf`s via a standard `Iterator` - Added `AsyncDecodeRecordRef::decode_stream()` for lazily decoding owned `RecordBuf`s via a `futures::Stream` - Improved `DbnFsm` decode throughput by making `AlignedBuffer` shifts lazy, deferring the internal move to buffer refill boundaries - Added new publisher values for Cboe Titanium Cboe Global Indices Feed - Added support for splitting files by year to `TimeSplitter` ## 0.48.0 - 2026-04-21 #### Enhancements - Upgraded DBN version to 0.55.0: - Added new publisher values for OPRA MEMX MX2 Options and IEX Options - Improved `DbnFsm` decode throughput on current-version data and `AsIs` workloads #### Bug fixes - Removed unsound `Copy` and `Clone` implementations for `RecordRefMut` ## 0.47.0 - 2026-04-15 #### Enhancements - Replaced `typed-builder` dependency with `bon` for all parameter builder structs - Added `maybe_` prefixed setters for all `Option` fields on parameter builders, allowing callers to pass `Option` directly (e.g. `maybe_start(Some(datetime))` or `maybe_start(None)`) - Upgraded DBN version to 0.54.0: - Added `RecordBuf`, an owned stack-allocated buffer for holding a DBN record of dynamic type. Complements `RecordRef` (borrowed, dynamic) and concrete types (owned, static). Supports `get()`, `try_get()`, `set()`, `upgrade()`, and cross-capacity `PartialEq` - Added `RecordRefMut` for mutable non-owning references to DBN records - Added `RecordRef::to_owned()` and `RecordRefMut::to_owned()` for converting borrowed records to an owned `RecordBuf` - Added `Hash`, `PartialEq`, and `Eq` for `RecordRef`, including cross-type equality between `RecordBuf` and `RecordRef` - Changed `RecordHeader` to be `Copy` #### Breaking changes - Changed `use_snapshot()` setter on `Subscription` builder to require an explicit `bool` argument: `.use_snapshot()` becomes `.use_snapshot(true)` - Changed `map_symbols` field in `SubmitJobParams` from `bool` to `Option` - Changed `limit()` setter on `GetRangeParams`, `GetRangeToFileParams`, `GetQueryParams`, and `SubmitJobParams` builders to accept `NonZeroU64` instead of `Option`. Use `maybe_limit()` for the previous behavior of passing an `Option` directly #### Bug fixes - Removed `#[doc(hidden)]` from `Subscription::use_snapshot` ## 0.46.0 - 2026-04-07 #### Enhancements - Added `TimeoutConf` struct and `timeout_conf()` builder method for configuring connect and auth timeouts on the Live client (defaults to 10s and 30s) - Added `ConnectTimeout` and `AuthTimeout` error variants - Upgraded DBN version to 0.53.0: - `FlagSet` setter methods are now `const`, making it easier to define constants #### Breaking changes - Changed `split_duration` field in `SubmitJobParams` and `BatchJob` from `Option` to `SplitDuration`. Use `SplitDuration::None` instead of `None` #### Bug fixes - Added missing `None` variant to `SplitDuration` enum for explicitly requesting no time-based splitting ## 0.45.0 - 2026-03-31 #### Enhancements - Upgraded DBN version to 0.52.0 - Added `HeartbeatTimeout` error variant: `next_record` and `fill_buf` return `Error::HeartbeatTimeout` if no data is received for `heartbeat_interval` + 5 seconds (defaults to 35 seconds) - Changed `SlowReaderBehavior::Skip` to send "skip" instead of "drop" to the gateway ## 0.44.0 - 2026-03-17 #### Enhancements - Added support for `progress` field in `BatchJob` response ## 0.43.0 - 2026-03-04 #### Enhancements - Upgraded DBN version to 0.51.0: - Added logic to set `code` when upgrading version 1 `ErrorMsg` to newer versions - Upgraded `async-compression` dependency version to 0.4.41 - Upgraded `time` version to 0.3.47 - Fixed miri issue with potential for unaligned data when decoding DBN through `DbnFsm` ## 0.42.0 - 2026-02-24 #### Enhancements - Upgraded DBN version to 0.50.0: - Added `SkippedRecordsAfterSlowReading` to the `ErrorCode` enum for gateway errors originating from slow client catch-up - Upgraded reqwest version to 0.13 ## 0.41.0 - 2026-02-18 #### Enhancements - Added three new methods to the Live client for more control over when I/O occurs. Together they provide an alternative to `next_record()`: - `fill_buf()`: reads available data from the socket into the internal buffer without processing records - `try_next_record()`: returns the next record from the internal buffer without performing any I/O. Returns `Ok(None)` if no complete records are available in the buffer. - `is_closed()`: returns whether the connection has been closed - Added `SlowReaderBehavior` enum and `slow_reader_behavior()` setter on the live client builder to configure gateway behavior when client falls behind - Added `slow_reader_behavior()` getter to `LiveClient` - Upgraded DBN version to 0.49.0: - Added `encode_records` to `EncodeRecord` and `AsyncEncodeRecord` traits for more efficient batch encoding - Added `encode_record_refs` to `EncodeRecordRef` and `AsyncEncodeRecordRef` traits with more efficient vectored I/O implementation for DBN #### Breaking changes - From DBN: - Moved `encode_records` method from the `EncodeDbn` trait to `EncodeRecord` ## 0.40.0 - 2026-01-27 #### Enhancements - Added support for using compression in the live API: - Added `compression()` setter on the live client builder - Added `compression()` getter on the live client - A new `Unknown(String)` variant was added to the reference data enums `Country`, `Currency`, `Event`, and `EventSubType`. This allows for forward compatibility when new variants are added - Upgraded DBN version to 0.48.0: - Added initial support for splitting DBN files - Added new publisher for Blue Ocean ATS (`OCEA_MEMOIR_OCEA`) - Added `http_client_builder` method to the reference and historical client builders to allow more customization over the HTTP client used - Improved logging in Historical and Reference APIs - The following reference data enums now implement `Display`: - `Country` - `Currency` - `Event` - `EventSubType` - `Frequency` - `OutturnStyle` - `SecurityType` #### Breaking changes - Refactor `live::protocol` messages to implement a new `RawApiMsg` trait - Move optional session parameters into `SessionOptions` struct which implements `Default` - As part of adding the new variant to the four reference data enums: - `Country`, `Currency`, `Event`, and `EventSubType` are no longer `Copy` - The `Error` type of the `FromStr` implementation was changed to `Infallible`: any unknown string will be parsed to the `Unknown` variant - The `as_str` method on these enums was removed: use `as_ref` instead - `Event` has been marked non-exhaustive - `historical::ClientBuilder` and `reference::ClientBuilder` are no longer `Clone` #### Bug fixes - From DBN: - Fixed issue where `AsyncDynReader` instances created from `with_buffer()` would only decode the first frame of multi-frame Zstandard files ## 0.39.0 - 2026-01-20 #### Enhancements - Upgraded DBN version to 0.47.0: - Added new off-market publisher for Cboe Futures Exchange (`XCBF_PITCH_XOFF`) - Added new `StatType` variants to be used by `XCBF.PITCH` dataset: - `UpperPriceLimit` - `LowerPriceLimit` - `BlockVolume` - `VenueSpecificVolume1` - Upgraded `time` version to 0.3.45 - Improved documentation of heartbeat intervals ## 0.38.0 - 2025-12-16 #### Breaking changes - Changed `Error::BadArgument::param_name` from a `String` to a `&'static str` #### Bug fixes - Fixed panic on failed write during authentication ## 0.37.0 - 2025-12-09 #### Enhancements - Added optional `chrono` feature for converting `chrono` date and datetime types to `DateRange`, `DateTimeRange`, and `Subscription::start` (credit: William Nelson) - Upgraded DBN version to 0.45.0: - Added new venue, dataset, and publisher for Cboe Futures Exchange (`XCBF.PITCH`) #### Breaking changes - Changed the default to `true` for the `map_symbols` parameter in `SubmitJobParams::builder()` for JSON and CSV encodings - Moved `DateTimeLike` trait to top level #### Bug fixes - Fixed checksum verification for resumed downloads in `batch().download()`. Previously, it would erroneously fail ## 0.36.0 - 2025-11-19 #### Enhancements - Added support for using built-in range syntax for specifying date and datetime ranges in the historical API, e.g. `date!(2020-01-01)..=date!(2020-12-31)` - Changed `metadata().get_dataset_range()`, `metadata().list_schemas()`, and `metadata().list_unit_prices()` to accept any `impl AsRef` as the dataset parameter - Upgraded DBN version to 0.44.0: - Added logic to set `code` when upgrading version 1 `SystemMsg` to newer versions - Added `Dataset::publishers()` method to retrieve all `Publisher` values for a dataset #### Breaking changes - Updated the minimum supported `tokio` version to 1.41, which was released one year ago - Made reference enums `Country`, `Currency`, and `EventSubType` non-exhaustive - Removed variants from `Country` and `Currency` that were not present in any data - Added more variants to `EventSubType` ## 0.35.0 - 2025-10-22 #### Enhancements - Initial release with Reference API support - Upgraded DBN version to 0.43.0: - Added explicit `Unset` variant for `SystemCode` and `ErrorCode` - Added `Default` implementation for `SystemCode` and `ErrorCode` ## 0.34.1 - 2025-09-30 #### Enhancements - Upgraded DBN version to 0.42.0 #### Bug fixes - Fixed visibility of fields in `DateRange` and `DateTimeRange` ## 0.34.0 - 2025-09-23 #### Enhancements - Added batch download retry, resumption, and checksum verification - Changed setter for `batch::DownloadParams` to accept any `impl ToString` for `filename_to_download` #### Breaking changes - Changed `sha2` to a required dependency ## 0.33.1 - 2025-08-26 #### Enhancements - Upgraded DBN version to 0.41.0: - Added `interval` method to `RType` and `Schema` to get the duration for subsampled schemas like `Ohlcv1H` and `Cbbo1S` - Changed the default value for `channel_id` to be `u8::MAX` in `MboMsg` and `u16::MAX` elsewhere since 0 is a valid channel ID ## 0.33.0 - 2025-08-19 #### Enhancements - Upgraded DBN version to 0.40.0: - Added `DbnVersion` new type #### Breaking changes - Removed `bill_id` field from `BatchJob` struct - Breaking changes from DBN: - Marked `ErrorCode` and `SystemCode` non-exhaustive to allow adding future variants without a breaking change - Added `EndOfInterval` variant to `SystemCode` to notify when all OHLCV bars and subsampled BBO records have been published for a time interval ## 0.32.0 - 2025-08-12 #### Enhancements - Upgraded DBN version to 0.39.1: - Added `PUBLISHER_SPECIFIC` flag - Improved JSON encoding performance - Added a `Default` implementation for `SecurityUpdateAction` #### Breaking changes - Removed unused `Received` variant from `JobState` enum ## 0.31.0 - 2025-07-30 #### Enhancements - Changed `timeseries.get_range_to_file()` to return a concrete type instead of an impl trait type - Upgraded DBN version 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 `Default` implementation for `StatUpdateAction` - Added warnings to the floating-point getter methods' docstrings - 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` and `v1::StatMsg` #### Breaking changes - Breaking changes from DBN: - Changed `SystemMsg::code()` and `ErrorMsg::code()` methods to return a `Result` instead of an `Option` to be consistent with other enum conversion methods - Changed `auction_time` field in `ImbalanceMsg` to be formatted as a timestamp #### Bug fixes - Removed unused `S3` and `Disk` variants from `Delivery` enum ## 0.30.0 - 2025-07-22 #### Breaking changes - Upgraded DBN version to 0.38.0: - Renamed `Compression::ZStd` to `Zstd` for consistency ## 0.29.0 - 2025-07-15 #### Breaking changes - Upgraded DBN version to 0.37.0: - 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` - Renamed `CMBP1` constant to `CMBP_1` for consistency with `MBP_1` and `MBP_10` #### Bug fixes - Removed `Intraday` variant from `DatasetCondition` enum ## 0.28.0 - 2025-07-01 #### Enhancements - Added 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 #### Deprecations - Deprecated `Historical::with_url()`: use the builder to override the base URL - Deprecated the `upgrade_policy` parameters for `timseries().get_range()` and `timeseries().get_range_to_file()`: use the `Historical` client parameter instead ## 0.27.1 - 2025-06-25 #### Enhancements - Added `range_by_schema` field to `DatasetRange` struct #### Bug fixes - Changed type of `last_modified_date` in `DatasetConditionDetail` to `Option` to support missing dates ## 0.27.0 - 2025-06-10 #### Enhancements - Made the buffer size used by the live client when reading from the TCP socket configurable through the `LiveBuilder::buffer_size()` method - Added support for using `rustls` without pulling in OpenSSL. `reqwest` with OpenSSL is still the default - Upgraded DBN version to 0.36.0: - Added support for width, fill, and padding when formatting `pretty::Ts` - Added support for sign, precision, width, fill, and padding when formatting `pretty::Px` - Optimized pretty formatting of prices and timestamps #### Breaking changes - Changed type of `split_duration` to `Option` to support setting no split duration - Breaking changes from DBN: - Moved core async decoding and encoding functionality to new traits to match the sync interface and present a standardized interface - Decoding: `AsyncDecodeRecordRef` and `AsyncDecodeRecord` - Encoding: `AsyncEncodeRecord`, `AsyncEncodeRecordRef`, and `AsyncEncodeRecordTextExt` #### Deprecations - Deprecated `LiveClient::connect` and `LiveClient::connect_with_addr` methods in favor of using the builder so additional optional parameters can be added without a breaking change #### Bug fixes - Fixed bug with deserializing `null` `split_duration` in historical `batch().list_jobs()` ## 0.26.2 - 2025-06-03 #### Enhancements - Improved performance of live client by removing redundant state - Upgraded DBN version to 0.35.1 #### Bug fixes - Fixed handling of `VersionUpgradePolicy` in `timeseries().get_range()` and `get_range_to_file()` - Bug fixes from DBN: - Fixed behavior where encoding metadata could lower the `version` - Changed `DbnFsm::data()` to exclude all processed data - Fixed `Metadata::upgrade()` behavior with `UpgradeToV2` ## 0.26.1 - 2025-05-30 #### Bug fixes - Fixed handling of `VersionUpgradePolicy` in live client - Fixed default upgrade policies to `UpgradeToV3` to match announcement for version 0.26.0 ## 0.26.0 - 2025-05-28 This version marks the release of DBN version 3 (DBNv3), which is the new default. API methods and decoders support decoding all versions of DBN, but now default to upgrading data to version 3. #### Enhancements - Added `From` conversion for `DateTimeRange` - Added `is_last` field to live subscription requests which will be used to improve the handling of split subscription requests - Upgraded DBN version to 0.35.0: - Version 1 and 2 structs can be converted to version 3 structs with the `From` trait - Implemented conversion from `RecordRef` to `IoSlice` for use with `Write::write_vectored` #### Breaking changes - Breaking changes from DBN: - Definition schema: - Updated `InstrumentDefMsg` with new `leg_` fields to support multi-leg strategy definitions. - Expanded `asset` to 11 bytes and `ASSET_CSTR_LEN` to match - 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 - Statistics schema: - Updated `StatMsg` has an expanded 64-bit `quantity` field. Like other 64-bit integer fields, its value will now be quoted in JSON - The previous `StatMsg` has been moved to `v2::StatMsg` or `StatMsgV2` - Changed the default `VersionUpgradePolicy` to `UpgradeToV3` - Updated the minimum supported `tokio` version to 1.38, which was released one year ago ## 0.25.0 - 2025-05-13 #### Enhancements - Increased live subscription symbol chunking size - Upgraded DBN version to 0.34.0: - Added a `v3::StatMsg` record with an expanded 64-bit `quantity` field - Added `with_compression_level` methods to `DynWriter`, `AsyncDynWriter`, and `AsyncDynBufWriter` - Added `DBN_VERSION` constants to each version module: `v1`, `v2`, and `v3` - Added `UNDEF_STAT_QUANTITY` constants to each version module - Added statistics compatibility trait `StatRec` for generalizing across different versions of the statistics record - Added `AsRef<[u8]>` implementations for `RecordEnum` and `RecordRefEnum` - Added new off-market publishers for Eurex, and European Energy Exchange (EEX) #### Breaking changes - From DBN: - Made `Record` a subtrait of `AsRef<[u8]>` as all records should be convertible to bytes ## 0.24.0 - 2025-04-22 #### Enhancements - Upgraded DBN version to 0.33.0: - 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 - Converting a `v1::SystemMsg` to a `v2::SystemMsg` now sets to `code` to the heartbeat value - Added `ASSET_CSTR_LEN` constants for the size of `asset` field in `InstrumentDefMsg` in different DBN versions - Added `encode_record_with_sym()` method to `AsyncJsonEncoder` which encodes a record along with its text symbol to match the sync encoder #### Breaking changes - Breaking changes from DBN: - Added `code` parameter to `SystemCode::new()` and `ErrorMsg::new()` - Updated the `rtype_dispatch` and `schema_dispatch` macro invocations to look more like function invocation - Increased the size of `asset` field in `v3::InstrumentDefMsg` from 7 to 11. The `InstrumentDefMsgV3` message size remains 520 bytes. ## 0.23.0 - 2025-04-15 #### Enhancements - Added `subscriptions` to `LiveClient` `Debug` implementation - Upgraded DBN version to 0.32.0: - 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 - Converting a `v1::SystemMsg` to a `v2::SystemMsg` now sets to `code` to the heartbeat value - Added `Ord` and `PartialOrd` implementations for all enums and `FlagSet` to allow for use in ordered containers like `BTreeMap` - Added `decode_records()` method to `AsyncDbnDecoder` and `AsyncDbnRecordDecoder` which is similar to the sync decoder methods of the same name - Upgraded `pyo3` version to 0.24.1 - Upgraded `time` version to 0.3.41 #### Breaking changes - Added new `id` field to live `Subscription`, which will be used for improved error messages - Added new `id` parameter to `live::protocol::SubRequest::new()` method - Breaking changes from DBN: - Added `code` parameter to `SystemCode::new()` and `ErrorMsg::new()` - Updated the `rtype_dispatch` and `schema_dispatch` macro invocations to look more like function invocation - Removed deprecated `dataset` module. The top-level `Dataset` enum and its `const` `as_str()` method provide the same functionality for all datasets - Removed deprecated `SymbolIndex::get_for_rec_ref()` method ## 0.22.0 - 2025-04-01 #### Enhancements - Added an implementation `From` for `DateRange` and `DateTimeRange` to make it simpler to request a single full day's worth of data - Added conversions between `DateRange` and `DateTimeRange` - Added conversions from `timeseries::GetRangeParams`, `timeseries::GetRangeToFileParams`, and `dbn::Metadata` to `symbology::ResolveParams` - Upgraded DBN version to 0.30.0: - Added support for mapping symbols from instrument definitions to `PitSymbolMap` with a new `on_instrument_def()` method - Added instrument definition compatibility trait `InstrumentDefRec` for generalizing across different versions of the instrument definition record - Added `Ord` and `PartialOrd` implementations for all enums and `FlagSet` to allow for use in ordered containers like `BTreeMap` - Added `decode_records()` method to `AsyncDbnDecoder` and `AsyncDbnRecordDecoder` which is similar to the sync decoder methods of the same name - Removed deprecated `dataset` module. The top-level `Dataset` enum and its `const` `as_str()` method provide the same functionality for all datasets - Removed deprecated `SymbolIndex::get_for_rec_ref()` method ## 0.21.0 - 2025-03-18 #### Enhancements - Improved error when calling `LiveClient::next_record()` on an instance that hasn't been started - Improved error when calling `LiveClient::start()` on an instance that has already been started - Upgraded DBN version to 0.29.0: - Added new venues, datasets, and publishers for ICE Futures US, ICE Europe Financials products, Eurex, and European Energy Exchange (EEX) - Added new `SkipBytes` and `AsyncSkipBytes` traits which are a subset of the `Seek` and `AsyncSeek` traits respectively, only supporting seeking forward from the current position - Deprecated `AsyncRecordDecoder::get_mut()` and `AsyncDecoder::get_mut()` as modifying the inner reader after decoding any records could lead to a corrupted stream and decoding errors ## 0.20.0 - 2025-02-12 #### Enhancements - Added `LiveClient::reconnect()` and `LiveClient::resubscribe()` methods to make it easier to resume a live session after losing the connection to the live gateway - Added `subscriptions()` and `subscriptions_mut()` getters to `LiveClient` for getting all active subscriptions - Added `shutdown()` method to `live::protocol` to clean up the active session - Downgraded to tracing span level on `LiveClient::next_record()` to "debug" to reduce performance impact - Added `From<&[&str]>` and `From<[str; N]>` implementations for `Symbols` #### Breaking changes - Changed `LiveClient::close()` to take `&mut self` rather than an owned value to `self` now that clients can be reused through the `reconnect()` method - Changed `LiveClient::subscribe()` to take a `Subscription` parameter rather than a `&Subscription` because it will now store the `Subscription` struct internally - Upgraded DBN version to 0.28.0: - Added `CommoditySpot` `InstrumentClass` variant and made `InstrumentClass` non-exhaustive to allow future additions without breaking changes ## 0.19.0 - 2025-01-21 #### Enhancements - Upgraded DBN version to 0.27.0: - Updated enumerations for unreleased US equities datasets and publishers - Added new venue `EQUS` for consolidated US equities - Added new dataset `EQUS.MINI` and new publishers `EQUS.MINI.EQUS` and `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 ## 0.18.0 - 2025-01-08 #### Enhancements - Upgraded DBN version to 0.26.0: - 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` - Added initial support for merging DBN: - Decoding streams: `MergeDecoder` and `MergeRecordDecoder` structs - Metadata: `MergeDecoder` struct and `Metadata::merge()` method - In the CLI: specify more than one input file to initiate a merge - Eliminated `unsafe` in `From` implementations for record structs from different versions ## 0.17.0 - 2024-12-17 #### Enhancements - Upgraded DBN version to 0.25.0: - Added `v1` and `v2` namespaces in DBN to allow unambiguously referring to the record types for a given DBN version regardless of whether the record type has changed - Changed `dataset()` method on `MetadataBuilder` to accept an `impl ToString` so now `Dataset` and `&str` can be passed directly - Changed async DBN decoding to return `Ok(None)` when an incomplete record remains in the stream. This matches the existing behavior of sync DBN decoding - Upgraded `thiserror` version to 2.0 #### Breaking changes - Removed deprecated `Packaging` enum and `packaging` field that's no longer supported by the API - As part of the DBN version upgrade: - `VersionUpgradePolicy::Upgrade` was renamed to `UpgradeToV2` - Changed async DBN decoding to return `Ok(None)` when an incomplete record remains in the stream ## 0.16.0 - 2024-11-12 #### Enhancements - Upgraded DBN version to 0.23.1: - Added floating-point getters for price fields - Added new IntelligentCross venues `ASPN`, `ASMT`, and `ASPI` - Upgraded `thiserror` version to 2.0 #### Deprecations - Deprecated `Packaging` enum and `packaging` field on `SubmitJobParams` and `BatchJob`. These will be removed in a future version. All files from a batch job can be downloaded with the `batch().download()` method on the historical client ## 0.15.0 - 2024-10-22 #### Enhancements - Upgraded DBN version to 0.23.0: - Added new `None` `Action` variant that will be gradually rolled out to historical and live `GLBX.MDP3` data - Added consistent escaping of non-printable and non-ASCII values when text encoding `c_char` fields - Implemented `Default` for `Action` and `Side` - Implemented missing `Serialize` for (with `serde` feature enabled) for `Venue`, `Dataset`, `Publisher`, `Compression`, `SType`, `Schema`, and `Encoding` ## 0.14.1 - 2024-10-08 #### Enhancements - Upgraded DBN version to 0.22.1: - Fixed buffer overrun in `c_chars_to_str` on non-null terminated input - Combined `_reserved3` and `reserved4` fields in `CbboMsg` ## 0.14.0 - 2024-10-01 #### Enhancements - Made several previously internal functions public to allow advanced users more customization and piecemeal usage of the live API: - `ApiKey` - `Symbols::to_chunked_api_string()` - `live::protocol` module containing implementations of the raw API messages - Changed from `log` crate to `tracing` for better diagnostics ## 0.13.0 - 2024-09-25 #### Deprecations - Deprecated `Packaging::Tar`. Users should switch to `Packaging::Zip`. This variant will be removed in a future version when it is no longer supported by the API ## 0.12.1 - 2024-08-27 #### Enhancements - Added `Intraday` variant to `DatasetCondition` in preparation for intraday data being available from the historical API - Upgraded DBN version to 0.20.1 for new publisher values for `XCIS.BBOTRADES` and `XNYS.BBOTRADES` ## 0.12.0 - 2024-07-30 #### Breaking changes - Upgraded DBN version to 0.20.0: - Renamed `SType::Nasdaq` variant to `SType::NasdaqSymbol` - Renamed `SType::Cms` variant to `SType::CmsSymbol` ## 0.11.4 - 2024-07-16 #### Enhancements - Upgraded DBN version to 0.19.1 with fixes for `BBOMsg` record struct ## 0.11.3 - 2024-07-09 #### Enhancements - Upgraded DBN version to 0.19.0 with new `BBOMsg` record struct ## 0.11.2 - 2024-06-25 #### Enhancements - Added `historical::timeseries::get_range_to_file` method to persist the data stream to a given path before returning an `AsyncDbnDecoder` ## 0.11.1 - 2024-06-11 #### Enhancements - Added getter for `heartbeat_interval` to `LiveClient` #### Bug fixes - Fixed potential incorrect DNS resolution when overriding the live gateway address with `live::Builder::addr` ## 0.11.0 - 2024-06-04 #### Enhancements - Added configurable `heartbeat_interval` parameter for live client that determines the timeout before heartbeat `SystemMsg` records will be sent. It can be configured via the `heartbeat_interval` and `heartbeat_interval_s` methods of the `live::ClientBuilder` - Added `addr` function to `live::ClientBuilder` for configuring a custom gateway address without using `LiveClient::connect_with_addr` directly - Upgraded DBN version to 0.18.1 #### Breaking changes - Added `heartbeat_interval` parameter to `LiveClient::connect` and `LiveClient::connect_with_addr` - Removed deprecated `start_date` and `end_date` fields from `DatasetRange` struct ## 0.10.0 - 2024-05-22 #### Enhancements - Added `use_snapshot` attribute to `Subscription`, defaults to false - Upgraded reqwest version to 0.12 #### Breaking changes - Upgraded DBN version to 0.18.0 - Changed type of `flags` in `MboMsg`, `TradeMsg`, `Mbp1Msg`, `Mbp10Msg`, and `CbboMsg` from `u8` to a new `FlagSet` type with predicate methods for the various bit flags as well as setters. The `u8` value can still be obtained by calling the `raw()` method - Improved `Debug` formatting - Switched `DecodeStream` from `streaming_iterator` crate to `fallible_streaming_iterator` to allow better notification of errors - Changed default value for `stype_in` and `stype_out` in `SymbolMappingMsg` to `u8::MAX` to match C++ client and to reflect an unknown value. This also changes the value of these fields when upgrading a `SymbolMappingMsgV1` to DBNv2 ## 0.9.1 - 2024-05-15 #### Bug fixes - Fixed build when only `live` feature is enabled ## 0.9.0 - 2024-05-14 #### Enhancements - Added `start` and `end` fields to the `DatasetRange` struct which are instances of `OffsetDateTime` and provide time resolution and an exclusive end - Upgraded DBN version to 0.17.1 #### Deprecations - The `start_date` and `end_date` fields of the `DatasetRange` struct are deprecated and will be removed in a future release ## 0.8.0 - 2024-04-01 #### Enhancements - Upgraded DBN version to 0.17.0 - Added new record types and schema variants for consolidated BBO and subsampled BBO - Added `Volatility` and `Delta` `StatType` variants #### Breaking changes - Removed previously-deprecated `live::SymbolMap`. Please use `databento::dbn::PitSymbolMap` instead ## 0.7.1 - 2024-03-05 #### Enhancements - Improve error handling when a historical HTTP error response is not in the expected JSON format ## 0.7.0 - 2024-03-01 #### Enhancements - Documented cancellation safety of `LiveClient` methods - Documented `live::Subscription::start` is based on `ts_event` - Allow constructing a `DateRange` and `DateTimeRange` with an `end` based on a `time::Duration` - Implemented `Debug` for `LiveClient`, `live::ClientBuilder`, `HistoricalClient`, `historical::ClientBuilder`, `BatchClient`, `MetadataClient`, `SymbologyClient`, and `TimeseriesClient` - Derived `Clone` for `live::ClientBuilder` and `historical::ClientBuilder` - Added `ApiKey` type for safely deriving `Debug` for types containing an API key #### Breaking changes - Changed default `upgrade_policy` in `LiveBuilder` and `GetRangeParams` to `Upgrade` so by default the primary record types can always be used - Simplified `DateRange` and `DateTimeRange` by removing `FwdFill` variant that didn't work correctly - Upgraded DBN version to 0.16.0 - Updated `StatusMsg` in preparation for status schema release - Fixed handling of `ts_out` when upgrading DBNv1 records to version 2 - Fixed handling of `ErrorMsgV1` and `SystemMsgV1` in `rtype` dispatch macros ## 0.6.0 - 2024-01-16 #### Enhancements - Relaxed version requirements for `tokio`, `tokio-util`, and `thiserror` #### Breaking changes - Upgraded DBN version to 0.15.0 - Added support for larger `SystemMsg` and `ErrorMsg` records - Improved `Debug` implementations for records and `RecordRef` - Improved panic messages for `RecordRef::get` - Upgraded `typed-builder` to 0.18 #### Bug fixes - Fixed documentation for `end` in `DateRange::Closed` and `DateTimeRange::Closed` ## 0.5.0 - 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](https://github.com/databento/dbn/releases/tag/v0.14.0). Users who wish to convert DBN v1 files to v2 can use the `dbn-cli` tool available in the [databento-dbn](https://github.com/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 should be seamless for most users. #### Enhancements - Made `LiveClient::next_record`, `dbn::decode::AsyncDbnDecoder::decode_record` and `decode_record_ref`, and `dbn::decode::AsyncRecordDecoder::decode` and `decode_ref` cancel safe. This makes them safe to use within a [`tokio::select!`](https://docs.rs/tokio/latest/tokio/macro.select.html) statement - Improved error reporting for `HistoricalClient` when receiving an error from Databento's API - Improved error messages around API keys - Improved performance of CSV and JSON encoding - Added support for emitting warnings from historical API response headers, such as for future deprecations - Added `symbol_map` method to the `Resolution` struct returned by `symbology::resolve` that returns a `TsSymbolMap` - Added `PartialEq` and `Eq` implementations for parameter builder classes - Added `upgrade_policy` setter to the `LiveClient` builder and a getter to the `LiveClient` - Added `upgrade_policy` optional setter to the `timeseries::GetRangeParams` builder #### Breaking changes - Upgraded `dbn` to 0.14.2. There are several breaking changes in this release as we begin migrating to DBN encoding version 2 (DBNv2) in order to support the ICE exchange: - Renamed `dbn::InstrumentDefMsg` to `dbn::compat::InstrumentDefMsgV1` and added a new `dbn::InstrumentDefMsg` with a longer `raw_symbol` field - Renamed `dbn::SymbolMappingMsg` to `dbn::compat::SymbolMappingMsgV1` and added a new `dbn::SymbolMappingMsg` with longer symbol fields and new `stype_in` and `stype_out` fields - Added `symbol_cstr_len` field to `dbn::Metadata` - Made `Error` non-exhaustive, meaning it no longer be exhaustively matched against, and new variants can be added in the future without a breaking change - Added an `upgrade_policy` parameter to `LiveClient::connect` and `connect_with_addr`. The builder provides a more stable API since new parameters are usually introduced as optional #### Deprecations - Deprecated `live::SymbolMap` in favor of `databento::dbn::PitSymbolMap` ## 0.4.2 - 2023-10-23 #### Enhancements - Upgraded `dbn` to 0.13.0 for improvements to symbology helpers - Upgraded `tokio` to 1.33 - Upgraded `typed-builder` to 0.17 #### Bug fixes - Fixed panic in `LiveClient` when gateway returned an auth response without the `success` key ## 0.4.1 - 2023-10-06 #### Enhancements - Added support for changing datetime format used in batch job responses - Upgraded `dbn` to 0.11.1 ## 0.4.0 - 2023-09-21 #### Enhancements - 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 to `batch::submit_job`, 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 `batch::submit_job`, which will split files by raw symbol - Added `encoding` option to `batch::submit_job` to allow requesting non-DBN encoded data through the client - Added `map_symbols`, `pretty_px`, and `pretty_ts` to `BatchJob` response ## 0.3.0 - 2023-09-13 #### Enhancements - Added `SymbolMap` type to help maintain up-to-date symbol mappings with live data - Added chunking to handle subscribing to many symbols for the Live client - Upgraded DBN version to 0.10.2 for easier historical symbology ## 0.2.1 - 2023-08-25 #### Enhancements - Upgraded DBN version to 0.9.0 for publisher improvements to support OPRA ## 0.2.0 - 2023-08-10 #### Breaking changes - Changed `metadata::list_publishers` to return a `Vec` - `metadata::list_fields`: - Changed return type to `Vec` - Made `encoding` and `schema` parameters required - Removed `dataset` parameter - `metadata::list_unit_prices`: - Changed return type to `Vec` - Made `dataset` parameter required - Removed `mode` and `schema` parameters ## 0.1.0 - 2023-08-02 - Initial release with support for historical and live data # Data ## 2026-10-13 Fixed an issue where NDEX.IMPACT had no options data through 2023-03-17. ## 2026-09-15 The latest regeneration of CME Globex data prior to May 2017 includes several data quality fixes. #### Bug fixes - Fixed [missing final settlement prices on 2016-03-18](https://issues.databento.com/b/6vrl98vl/feature-ideas/cme-globex-mdp2-missing-final-settlement-prices-on-2016-03-18) by normalizing settlement prices from MDP2 security definitions into the statistics schema - Fixed [CME Globex MDP2 requests for part of a UTC date returning truncated or empty data](https://issues.databento.com/b/6vrl98vl/feature-ideas/cme-globex-mdp2-requests-for-part-of-a-utc-date-return-truncated-or-empty) - Fixed [incomplete OHLCV bars in CME Globex MDP2 data](https://issues.databento.com/b/6vrl98vl/feature-ideas/cme-globex-mdp2-data-has-incomplete-bars-for-many-days) where most of a day consolidated into a single bar - Fixed `min_price_increment_amount` in MDP2 definitions, which incorrectly held the `min_price_increment` value ## 2026-08-08 #### Enhancements - Upgraded GLBX.MDP3 to DBN version 3: - [Definition schema now includes one record per strategy leg](https://roadmap.databento.com/b/n0o5prm6/feature-ideas/expose-metadata-of-every-underlying-leg-in-multi-leg-futures-and-options) - Added `N` (None) `action`, which can carry `F_LAST` flag - Settlement prices from security definitions move to the statistics schema - Price limits are added to the statistics schema #### Bug fixes - GLBX.MDP3 fixes: - Fixed [issue where legacy CME data is missing `side` for trades](https://issues.databento.com/roadmap/legacy-cme-fixfast-mdp2-data-is-missing-trade-side) - Fixed [incorrect mapping of instrument security trading status for Pre-Cross](https://issues.databento.com/b/6vrl98vl/feature-ideas/glbxmdp3-incorrect-mapping-of-instrument-security-trading-status-for-pre-cross) - Fixed issue where publication of a Status record could cause MBO records to incorrectly have `F_LAST` set, and also trigger a premature MBP record before the end of the CME event ## 2026-07-19 #### Bug fixes - Fixed [issue with `ts_recv` jitter in `EQUS.MINI` where timestamps could be non-monotonic](https://issues.databento.com/roadmap/equsmini-live-data-occasional-out-of-order-ts-recv-within-the-same-instrument) This fix will be propagated to already-generated historical data at a later date. ## 2026-05-31 #### Bug fixes - Fixed [issue with incorrect off-market publisher attribution for trades](https://issues.databento.com/b/6vrl98vl/feature-ideas/ifeuifusifllndeximpact-some-off-market-trades-marked-as-on-exchange) for live and historical data starting on 2026-05-31. - Fixed [issue with truncated contract symbols](https://issues.databento.com/b/6vrl98vl/feature-ideas/fix-contractsymbolextra-normalization-for-ice-option-strategies) for live and historical data starting on 2026-05-31 These fixes will be propagated to already-generated historical data at a later date. ## 2026-05-09 #### Enhancements - Added channel 333 (Event Contracts II) to `GLBX.MDP3` data - Moved the weekly gateway restart from Sunday 09:30 UTC to Saturday 02:15 CT ## 2026-04-22 #### Bug fixes - Fixed `instrument_id` inconsistency in Blue Ocean ATS historical data from 2026-03-22 through 2026-04-21 ## 2026-04-15 This release introduces live and historical CFE (`XCBF.PITCH`) data. CFE is the exclusive venue for futures on the Cboe Volatility Index (VIX), a widely used benchmark for expected U.S. equity market volatility. Its coverage also extends to corporate bond index, equity index and cryptocurrency contracts. You can read more about the release [here](https://databento.com/blog/introducing-cboe-futures-exchange-cfe). ## 2026-04-13 #### Bug fixes - Fixed Blue Ocean ATS historical data from 2026-02-10 through 2026-02-13 that was degraded by a packet handling bug following a network gap affecting 2026-02-08 through 2026-02-09. Data from 2026-02-08 through 2026-02-09 remains degraded. ## 2026-04-08 This release introduces live and historical Blue Ocean ATS MEMOIR Depth (`OCEA.MEMOIR`) data. Blue Ocean ATS is a leading venue for after-hours US equities trading, supporting 24-hour access to US equity markets. You can read more about the release [here](https://databento.com/blog/blue-ocean-ats-now-available). #### Enhancements - Added support for the `OCEA.MEMOIR` dataset ## 2025-11-09 #### Bug fixes - Fixed default values for new imbalance data to match other schemas - Fixed `auction_time` to be in UTC for NYSE datasets ## 2025-11-04 This release introduces live and historical Eurex EOBI (`XEUR.EOBI`) data. Eurex is Europe's largest derivatives exchange and a major trading venue for equity index and fixed income derivatives, as well as single stock options. You can read more about the release [here](https://databento.com/blog/eurex-now-available). #### Enhancements - Added support for the `XEUR.EOBI` dataset ## 2025-09-23 #### Bug fixes - Fixed [missing `ts_ref` in CME Globex settlement price statistics prior to 2015](https://issues.databento.com/roadmap/mdp2-statistics-missing-ts-ref-for-settlement-prices) - Fixed a symbology issue in the `XCIS.TRADESBBO` dataset starting on 2025-02-21. ## 2025-08-26 #### Enhancements - Added preliminary end-of-day statistics to EQUS.SUMMARY. More details available on the [dataset supplement](https://databento.com/docs/datasets/equs-summary.md#end-of-day-summary). ## 2025-08-05 #### Enhancements - Added historical data for delisted market types in ICE datasets, including [EUA futures when they traded on IFEU prior to 2021](https://roadmap.databento.com/roadmap/extend-coverage-for-ice-eua-futures) #### Bug fixes - Fixed [missing options book updates for ICE datasets](https://issues.databento.com/b/6vrl98vl/feature-ideas/ifeuifllifusndeximpact-book-updates-missing-for-options) ## 2025-07-25 The latest regeneration of CME Globex data prior to May 2017 includes several data quality fixes and improvements. #### Enhancements - Added [`status` schema data for CME Globex prior to May 2017](https://issues.databento.com/b/6vrl98vl/feature-ideas/glbxmdp3-status-schema-unavilabile-for-extended-mdp2-history) #### Bug fixes - Fixed [incorrect `activation` and `expiration` from 2015-11-22 to 2017-05-21](https://issues.databento.com/b/6vrl98vl/feature-ideas/glbxmdp3-incorrect-activationexpiration-from-2015-11-22-to-2017-05-21) - Fixed [incorrect price levels in the MBP-10 schema for products with reduced `market_depth` and implied books on MDP2 CME Globex data](https://issues.databento.com/b/6vrl98vl/feature-ideas/incorrect-price-levels-on-mbp-10-for-products-with-reduced-market-depth-or-implied-books-on-mdp2-cme-data) - Fixed [missing `ts_ref` in CME Globex data from 2015-11-20 to 2017-05-21](https://issues.databento.com/b/6vrl98vl/feature-ideas/missing-ts-ref-in-cme-mdp2-after-2015-11-20) - Fixed [empty CME Globex data for 2010-09-13, 2010-11-17, 2012-07-19, and 2017-03-13](https://issues.databento.com/b/6vrl98vl/feature-ideas/glbxmdp3-empty-data-for-2010-09-13-2010-11-17-2012-07-19-and-2017-03-13) - Fixed [out-of-order statistics records in pre-2017 CME Globex data](https://issues.databento.com/b/6vrl98vl/feature-ideas/records-with-unordered-ts-recv-in-pre-2017-glbxmdp3-data) - Fixed [missing `SettlPriceType` normalization in MDP2 CME Globex data](https://issues.databento.com/b/6vrl98vl/feature-ideas/missing-settlpricetype-normalization-for-mdp2-cme-data) ## 2025-07-06 #### Bug fixes - Fixed [missing symbol mappings in live EQUS.MINI when subscribing between 09:30Z on Sunday and 06:00Z on Monday](https://issues.databento.com/b/6vrl98vl/feature-ideas/equsmini-live-data-symbol-mappings-are-not-relayed-to-the-client-when-starting-the-connection-between-930z-on-sunday-and-0600z-on-monday) ## 2025-07-01 #### Bug fixes - Fixed [incomplete ICE Futures US data prior to 2023-03-19](https://issues.databento.com/b/6vrl98vl/feature-ideas/incomplete-ice-futures-us-prior-to-2023-03-19) - Fixed [broken symbology for `BRN` futures and options in ICE Europe Commodities data on 2024-01-01 and 2024-01-02](https://issues.databento.com/b/6vrl98vl/feature-ideas/broken-symbology-for-some-brn-futures-and-options-on-2024-01-01-and-2024-01-02) ## 2025-06-27 #### Bug fixes - Fixed [misaligned and incorrect values for some instruments in CME Globex from 2012-02-05 through 2012-02-10](https://issues.databento.com/b/6vrl98vl/feature-ideas/instrument-definition-issues-on-glbxmdp3-from-2012-02-05-to-2012-02-10) ## 2025-06-17 This release introduces live and historical ICE Futures US iMpact (`IFUS.IMPACT`) and ICE Europe Financials iMpact (`IFLL.IMPACT`) data. The datasets cover US futures and options for all softs, metals, and financial products, as well as European equity and interest rate derivatives. You can read more about the release [here](https://databento.com/blog/introducing-ice-futures-us). #### 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" ## 2025-06-10 #### Enhancements - Extended [OPRA Pillar history back to 2013](https://roadmap.databento.com/b/n0o5prm6/feature-ideas/extend-opra-dataset-history). You can read more about the release [here](https://databento.com/blog/opra-improvements-coming-soon). ## 2025-05-20 #### Bug fixes - Fixed [degraded dates in CME Globex prior to 2024-12-09 could have stuck orders](https://issues.databento.com/b/6vrl98vl/feature-ideas/glbxmdp3-degraded-dates-prior-to-2024-12-09-can-have-stuck-orders) - Fixed [incorrect `underlying` for options created mid-week in CME Globex prior to 2017-05-21](https://issues.databento.com/b/6vrl98vl/feature-ideas/glbxmdp3-options-created-mid-week-have-incorrect-underlying-in-pre-2017-glbxmdp3-data) ## 2025-05-07 #### Enhancements - Extended US equities coverage to Cboe EDGX Depth, Cboe EDGA Depth, Cboe BZX Depth, and Cboe BYX Depth. You can read more about the release [here](https://databento.com/blog/cboe-us-equities-depth-now-available). - Added [normalization for the official opening and closing cross prices in Nasdaq data](https://roadmap.databento.com/b/n0o5prm6/feature-ideas/official-opening-and-closing-cross-prices) ## 2025-04-05 #### Enhancements - Added support for [open interest and volume-based continuous symbology in the live API](https://roadmap.databento.com/b/n0o5prm6/feature-ideas/support-full-continuous-symbology-for-live-data) ## 2025-04-01 #### Bug fixes - Fixed [incorrect strike prices for some options in CME Globex definitions prior to 2017-05-21](https://issues.databento.com/b/6vrl98vl/feature-ideas/incorrect-strike-prices-for-some-options-on-cme-mdp2-data) ## 2025-03-13 #### Enhancements - Extended US equities coverage to MEMX MEMOIR Depth. You can read more about the release [here](https://databento.com/blog/memx-memoir-depth-now-available). ## 2025-02-26 #### Bug fixes - Regenerated [degraded EPRL.DOM historical data from 2025-02-03 through 2025-02-19 (inclusive)](https://issues.databento.com/b/6vrl98vl/feature-ideas/eprldom-historical-data-degraded-from-2025-02-03-to-2025-02-19-inclusive) ## 2025-02-01 #### Enhancements - Added the Databento US Equities Mini dataset, which provides cost-effective real-time US equities data. You can read more about this release [here](https://databento.com/blog/databento-us-equities-mini-now-available). ## 2025-01-15 #### Breaking changes - Rolled out [changes to live connection limits](https://databento.com/blog/changes-to-live-connection-limits) ## 2024-12-14 #### Bug fixes - Fixed [degraded CME Globex data for 2024-11-08](https://issues.databento.com/b/6vrl98vl/feature-ideas/glbxmdp3-historical-data-is-degraded-for-2024-11-08) ## 2024-12-03 #### Enhancements - Extended [CME Globex history back to 2010](https://databento.com/blog/CME-history-extended-to-2010) ## 2024-12-02 This release features several normalization and data quality improvements to ICE Europe Commodities and ICE Endex. #### Enhancements - Improved ICE normalization to use `ContractSymbol` for `raw_symbol` when available. `ContractSymbol` provides more human-readable symbols than the `StrategySymbol` fallback. - Updated ICE normalization to normalize off-market trades under a separate publisher #### Bug fixes - Fixed [an issue](https://issues.databento.com/b/6vrl98vl/feature-ideas/ifeundex-system-priced-leg-trades-are-being-counted-towards-ohlcv-bars) with ICE Europe Commodities and ICE Endex where System Priced leg trades were counted towards OHLCV bars ## 2024-10-22 #### Bug fixes - Fixed [an issue](https://issues.databento.com/b/6vrl98vl/feature-ideas/incomplete-and-missing-data-on-some-fridays-in-2020-in-ice-endex-and-ice-futures-europe) where several Fridays in 2020 had no data for ICE Europe Commodities and ICE Endex ## 2024-10-24 #### Enhancements - Added adjustment factors to our reference data API. You can read about this release [here](https://databento.com/blog/adjustment-factors). ## 2024-07-05 #### Enhancements - Added an MBP snapshot record at 00:00 UTC for historical data. This is generated along with the existing MBO snapshot and will have the `F_SNAPSHOT` flag set. The MBP snapshot will only be sent for instruments that actually have a quote. ## 2024-06-25 #### Enhancements - Added the `status` schema for the `GLBX.MDP3` dataset ## 2024-06-18 #### Bug fixes - Changed normalization for CME Globex MDP 3.0 statistics to use tag 34-MsgSeqNum for `sequence` to match other schemas instead of tag 83-RptSeq - Fixed scaling of `strike_price` for metal options for CME Globex MDP 3.0 - Added [truncated digit](https://www.cmegroup.com/confluence/display/EPICSANDBOX/Options+with+Truncated+Strike+Prices) of `strike_price` for MDP 3.0 2-Year T-Note options (OZT) for CME Globex MDP 3.0. `strike_price` now includes the full strike price - Fixed scaling of `unit_of_measure_qty` in older CME Globex MDP 3.0. Previously, the newer 9-digit precision scaling was erroneously applied to pre-late 2018 data when CME used 7-digit precision - Changed `stat_flags` to always be 0 when it is unused or there is no source field to normalize to it ## 2024-05-07 #### Bug fixes - Changed normalization for ICE Europe Commodities iMpact and ICE Endex iMpact to no longer set `ts_ref` when a valuation date time or trading date isn't specified - Added missing normalization to statistics schema for Option Open Interest Message and Option Settlement Price Message in ICE Europe Commodities iMpact and ICE Endex iMpact ## 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](https://databento.com/blog/ice-futures-market-data). #### Enhancements - Added the `IFEU.IMPACT` and `NDEX.IMPACT` datasets, does not yet include our `mbo`, `mbp-10`, `mbp-1`, and `tbbo` schemas ## 2023-11-17 #### Enhancements This release adds support for Nasdaq TotalView-ITCH (`XNAS.ITCH`) live data. This includes detailed information on every order in the book, captured and distributed from our Equinix NY4 colo, offering more insights into Nasdaq market activity than data sourced from the SIPs. You can read more about this release [here](https://databento.com/blog/nasdaq-totalview-live). ## 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](https://databento.com/blog/dbeq-basic). #### Enhancements - Added the `DBEQ.BASIC` dataset, does not include live data for the `mbo` schema #### Breaking changes - Changed `XNAS.ITCH` Cross Trade messages when no cross occurred to have a price of `UNDEF_PRICE` instead of the previous price of 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](https://databento.com/blog/opra-data). #### Enhancements - Added the `OPRA.PILLAR` dataset, does not yet include live data for the `mbp-1` schema, or Global Trading Hours (GTH) ## 2023-07-23 - Updated CSV encoding: - Reordered columns in every schema to better reflect relative importance - Added `channel_id` to MBO schema - Always include `rtype` to differentiate between schemas - Rename `security_group` in definitions schema to `group` to match struct definitions - Updated JSON encoding: - Moved header fields (`rtype`, `publisher_id`, `instrument_id`, and `ts_event`) to - Added `channel_id` to MBO schema - Changed to always include `rtype` to differentiate between schemas nested object under the key `hd` in JSON encoding to match structure definitions - Rename `security_group` in definitions schema to `group` to match struct definitions - All 64-bit integers are now serialized as strings to avoid loss of precision ## 2023-05-01 - Renamed `product_id` to `instrument_id` in common header - Renamed `symbol` to `raw_symbol` in definitions schema ## 2023-04-28 - Added `strike_price` field to definitions schema - Added `strike_price_currency` field to definitions schema - Added `instrument_class` field to definitions schema - Deprecated `related` and `related_security_id` from definitions schema ## 2023-03-07 - Fixed an [issue](https://issues.databento.com/roadmap/duplicate-order-ids-at-start-of-day-affecting-cme-globex-mdp-30) causing duplicate add order snapshots on CME Globex MDP 3.0.