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

0.6.0 - 2025-05-24

Enhancements

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

0.5.6 - 2025-04-06

Enhancements

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

0.5.5 - 2024-12-01

Enhancements

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

0.5.4 - 2024-10-02

Enhancements

  • Subscriptions with stype_in=instrument_id will now return SymbolMapping records

0.5.3 - 2024-10-02

Bug fixes

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

0.5.1 - 2024-07-24

Bug fixes

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

2024-07-20

Bug fixes

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

2024-06-25

Enhancements

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

0.5.0 - 2024-05-25

Enhancements

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

0.4.6 - 2024-04-13

Bug fixes

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

0.4.5 - 2024-03-25

Bug fixes

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

0.4.4 - 2024-03-23

Enhancements

  • Added functionality to send SymbolMappingMsg records when subscribing to ALL_SYMBOLS

Bug fixes

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

0.4.3 - 2024-02-13

Enhancements

  • Changed rate limiter to have more predictable behavior

0.4.2 - 2024-01-06

Enhancements

  • Improved error messages

Bug fixes

  • Fixed command truncation

0.4.0 - 2023-11-08

Breaking changes

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

0.3.0 - 2023-10-20

Enhancements

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

0.2.0 - 2023-07-23

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