CHANGELOG.md

Changelog

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<Arc<String>> 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 RecordBufs via a standard Iterator
  • Added AsyncDecodeRecordRef::decode_stream() for lazily decoding owned RecordBufs 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<T> 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<bool>
• Changed limit() setter on GetRangeParams, GetRangeToFileParams, GetQueryParams, and SubmitJobParams builders to accept NonZeroU64 instead of Option<NonZeroU64>. 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<SplitDuration> 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: @wtn)
• 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<str> 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 and hex to required dependencies

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<time::Date> 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<SplitDuration> 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<DatasetRange> 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<Date> 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 0.31.0:
  • 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
  • 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

Enhancements

• Upgraded DBN version to 0.21.0 for:
  • Changed the layout of CbboMsg to better match BboMsg
  • Renamed Schema::Cbbo to Schema::Cmbp1
• Upgraded typed-builder version to 0.20

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
• Upgraded DBN version to 0.18.2

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 provide time resolution and an exclusive end date
• 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 (credit: @yongqli)
• 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. Users who wish to convert DBN v1 files to v2 can use the dbn-cli tool available in the databento-dbn crate. On a future date, the Databento live and historical APIs will stop serving DBN v1.

This release is fully compatible with both DBN v1 and v2, and so 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! 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

Enhancemets

• 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
• Added default stype_in of RawSymbol for live subscriptions to match behavior of the historical client and the Python client

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<PublisherDetail>
• metadata::list_fields:
  • Changed return type to Vec<FieldDetail>
  • Made encoding and schema parameters required
  • Removed dataset parameter
• metadata::list_unit_prices:
  • Changed return type to Vec<UnitPricesForMode>
  • Made dataset parameter required
  • Removed mode and schema parameters

0.1.0 - 2023-08-02

• Initial release with support for historical and live data