VER: Release 0.50.0

.github/workflows/test.yml

@@ -30,13 +30,13 @@ jobs:
         shell: bash
 
       - name: Test (release)
-        timeout-minutes: 2
+        timeout-minutes: 3
         if: ${{ github.ref == 'refs/heads/main' }}
         run: scripts/test.sh --release
         shell: bash
 
       - name: Test
-        timeout-minutes: 2
+        timeout-minutes: 3
         if: ${{ github.ref != 'refs/heads/main' }}
         run: scripts/test.sh
         shell: bash

CHANGELOG.md

@@ -1,5 +1,32 @@
 # Changelog
 
+## 0.50.0 - 2025-03-18
+
+#### Enhancements
+- Added new venues, datasets, and publishers for ICE Futures US, ICE Futures Europe (Financial products), Eurex, and European Energy Exchange (EEX)
+- Added 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

README.md

@@ -32,7 +32,7 @@ The library is fully compatible with the latest distribution of Anaconda 3.9 and
 The minimum dependencies as found in the `pyproject.toml` are also listed below:
 - python = "^3.9"
 - aiohttp = "^3.8.3"
-- databento-dbn = "0.27.0"
+- databento-dbn = "0.29.0"
 - numpy= ">=1.23.5"
 - pandas = ">=1.5.3"
 - pip-system-certs = ">=4.0" (Windows only)

databento/__init__.py

@@ -1,20 +1,35 @@
 import logging
 import warnings
 
+from databento_dbn import DBN_VERSION
+from databento_dbn import FIXED_PRICE_SCALE
+from databento_dbn import UNDEF_ORDER_SIZE
+from databento_dbn import UNDEF_PRICE
+from databento_dbn import UNDEF_STAT_QUANTITY
+from databento_dbn import UNDEF_TIMESTAMP
+from databento_dbn import Action
+from databento_dbn import BidAskPair
 from databento_dbn import CMBP1Msg
 from databento_dbn import Compression
+from databento_dbn import ConsolidatedBidAskPair
 from databento_dbn import Encoding
 from databento_dbn import ErrorMsg
 from databento_dbn import ImbalanceMsg
+from databento_dbn import InstrumentClass
 from databento_dbn import InstrumentDefMsg
+from databento_dbn import MatchAlgorithm
 from databento_dbn import MBOMsg
 from databento_dbn import MBP1Msg
 from databento_dbn import MBP10Msg
 from databento_dbn import Metadata
 from databento_dbn import OHLCVMsg
+from databento_dbn import RType
 from databento_dbn import Schema
+from databento_dbn import SecurityUpdateAction
+from databento_dbn import Side
 from databento_dbn import StatMsg
 from databento_dbn import StatType
+from databento_dbn import StatUpdateAction
 from databento_dbn import StatusAction
 from databento_dbn import StatusMsg
 from databento_dbn import StatusReason
@@ -23,6 +38,9 @@
 from databento_dbn import SystemMsg
 from databento_dbn import TradeMsg
 from databento_dbn import TradingEvent
+from databento_dbn import TriState
+from databento_dbn import UserDefinedInstrument
+from databento_dbn import VersionUpgradePolicy
 from databento_dbn.v2 import BBO1MMsg
 from databento_dbn.v2 import BBO1SMsg
 from databento_dbn.v2 import CBBO1MMsg
@@ -60,16 +78,25 @@
 
 __all__ = [
     "API_VERSION",
+    "DBN_VERSION",
+    "FIXED_PRICE_SCALE",
+    "UNDEF_ORDER_SIZE",
+    "UNDEF_PRICE",
+    "UNDEF_STAT_QUANTITY",
+    "UNDEF_TIMESTAMP",
+    "Action",
     "BBO1MMsg",
     "BBO1SMsg",
     "BentoClientError",
     "BentoError",
     "BentoHttpError",
     "BentoServerError",
+    "BidAskPair",
     "CBBO1MMsg",
     "CBBO1SMsg",
     "CMBP1Msg",
     "Compression",
+    "ConsolidatedBidAskPair",
     "DBNRecord",
     "DBNStore",
     "Dataset",
@@ -80,25 +107,31 @@
     "Historical",
     "HistoricalGateway",
     "ImbalanceMsg",
+    "InstrumentClass",
     "InstrumentDefMsg",
     "InstrumentMap",
     "Live",
     "MBOMsg",
     "MBP1Msg",
     "MBP10Msg",
+    "MatchAlgorithm",
     "Metadata",
     "OHLCVMsg",
     "Packaging",
     "Publisher",
+    "RType",
     "ReconnectPolicy",
     "RecordFlags",
     "Reference",
     "RollRule",
     "SType",
     "Schema",
+    "SecurityUpdateAction",
+    "Side",
     "SplitDuration",
     "StatMsg",
     "StatType",
+    "StatUpdateAction",
     "StatusAction",
     "StatusMsg",
     "StatusReason",
@@ -110,7 +143,10 @@
     "TCBBOMsg",
     "TradeMsg",
     "TradingEvent",
+    "TriState",
+    "UserDefinedInstrument",
     "Venue",
+    "VersionUpgradePolicy",
 ]
 
 # Setup logging

databento/common/parsing.py

@@ -2,6 +2,7 @@
 
 from collections.abc import Iterable
 from datetime import date
+from datetime import datetime
 from functools import partial
 from functools import singledispatch
 from io import BytesIO
@@ -222,13 +223,13 @@ def optional_date_to_string(value: date | str | None) -> str | None:
     return datetime_to_date_string(value)
 
 
-def datetime_to_string(value: pd.Timestamp | date | str | int) -> str:
+def datetime_to_string(value: pd.Timestamp | datetime | date | str | int) -> str:
     """
     Return a valid datetime string from the given value.
 
     Parameters
     ----------
-    value : pd.Timestamp or date or str
+    value : pd.Timestamp, datetime, date, str, or int
         The value to parse.
 
     Returns
@@ -240,6 +241,10 @@ def datetime_to_string(value: pd.Timestamp | date | str | int) -> str:
         return value
     elif isinstance(value, int):
         return str(value)
+    elif isinstance(value, date):
+        return value.isoformat()
+    elif isinstance(value, datetime):
+        return value.isoformat()
     else:
         return pd.to_datetime(value).isoformat()
 
@@ -250,7 +255,7 @@ def datetime_to_date_string(value: pd.Timestamp | date | str | int) -> str:
 
     Parameters
     ----------
-    value : pd.Timestamp or date or str
+    value : pd.Timestamp, date, str, or int
         The value to parse.
 
     Returns
@@ -262,19 +267,21 @@ def datetime_to_date_string(value: pd.Timestamp | date | str | int) -> str:
         return value
     elif isinstance(value, int):
         return str(value)
+    elif isinstance(value, date):
+        return value.isoformat()
     else:
         return pd.to_datetime(value).date().isoformat()
 
 
 def optional_datetime_to_string(
-    value: pd.Timestamp | date | str | int | None,
+    value: pd.Timestamp | datetime | date | str | int | None,
 ) -> str | None:
     """
     Return a valid datetime string from the given value (if not None).
 
     Parameters
     ----------
-    value : pd.Timestamp or date or str, optional
+    value : pd.Timestamp, datetime, date, str, or int, optional
         The value to parse.
 
     Returns
@@ -296,7 +303,7 @@ def datetime_to_unix_nanoseconds(
 
     Parameters
     ----------
-    value : pd.Timestamp or date or str or int
+    value : pd.Timestamp, date, str, or int
         The value to parse.
 
     Returns
@@ -306,22 +313,20 @@ def datetime_to_unix_nanoseconds(
     """
     if isinstance(value, int):
         return value  # no checking on integer values
-
-    if isinstance(value, date):
+    elif isinstance(value, date):
         return pd.to_datetime(value, utc=True).value
-
-    if isinstance(value, pd.Timestamp):
+    elif isinstance(value, pd.Timestamp):
         return value.value
+    else:
+        try:
+            nanoseconds = pd.to_datetime(value, utc=True).value
+        except Exception:  # different versions of pandas raise different exceptions
+            nanoseconds = pd.to_datetime(
+                int(value),
+                utc=True,
+            ).value
 
-    try:
-        nanoseconds = pd.to_datetime(value, utc=True).value
-    except Exception:  # different versions of pandas raise different exceptions
-        nanoseconds = pd.to_datetime(
-            int(value),
-            utc=True,
-        ).value
-
-    return nanoseconds
+        return nanoseconds
 
 
 def optional_datetime_to_unix_nanoseconds(
@@ -333,7 +338,7 @@ def optional_datetime_to_unix_nanoseconds(
 
     Parameters
     ----------
-    value : pd.Timestamp or date or str or int
+    value : pd.Timestamp, date, str, or int
         The value to parse.
 
     Returns