VER: Release 0.4.0

Author: threecgreen

.github/workflows/build.yaml

@@ -30,6 +30,7 @@ jobs:
           cmake -S . -B build \
             -GNinja \
             -DCMAKE_CXX_COMPILER=${{ matrix.compiler }} \
+            -DDATABENTO_ENABLE_UNIT_TESTING=1 \
             -DDATABENTO_ENABLE_EXAMPLES=1 \
             -DDATABENTO_ENABLE_CLANG_TIDY=1
       - name: CMake build
@@ -51,6 +52,7 @@ jobs:
         run: |
           cmake -S . -B build \
             -GNinja \
+            -DDATABENTO_ENABLE_UNIT_TESTING=1 \
             -DDATABENTO_ENABLE_EXAMPLES=1 \
             -DOPENSSL_ROOT_DIR=$(brew --prefix openssl@3)
       - name: CMake build

CHANGELOG.md

@@ -1,21 +1,41 @@
 # Changelog
 
+## 0.4.0 - 2023-03-02
+- Renamed DBZ to DBN
+  - Renamed `DbzParser` to `DbnDecoder`
+- Renamed `TimeseriesStream` to `TimeseriesGetRange`
+- Refactored rtypes
+  - Introduced separate rtypes for each OHLCV schema
+- Added live gateway resolution
+- Added `SymbolMappingMsg` and `ErrorMsg` records
+- Improved API for `flags` record fields
+- Added `Action` and `Side` enums
+- Changed `kAllSymbols` representation
+- Fixed usage of as a system library
+- Removed `is_full_universe` and `is_example` fields from `BatchJob`
+- Disabled unit testing by default
+- Added `PKGBUILD` to demonstrate installation
+- Made `start_date` and `end_date` optional for
+  `Historical::MetadataGetDatasetCondition`
+- Added `available_start_date` and `available_end_date` to
+  `DatasetConditionInfo`
+
 ## 0.3.0 - 2023-01-06
-- Add support for definition schema
-- Fix cancellation in `Historical::TimeseriesStream`
-- Fix race condition in `Historical::TimeseriesStream` exception handling
-- Fix gtest linker error on macOS
-- Add option for CMake to download gtest
-- Rename `TickMsg` to `MboMsg`
-- Change `flags` fields to unsigned
-- Update `Flag` enum
-- Standardize getter method names to pascal case
-- Rename `is_full_book` to `is_full_universe`
+- Added support for definition schema
+- Fixed cancellation in `Historical::TimeseriesStream`
+- Fixed race condition in `Historical::TimeseriesStream` exception handling
+- Fixed gtest linker error on macOS
+- Added option for CMake to download gtest
+- Renamed `TickMsg` to `MboMsg`
+- Changed `flags` fields to unsigned
+- Updated `Flag` enum
+- Standardized getter method names to pascal case
+- Renamed `is_full_book` to `is_full_universe`
 
 ## 0.2.0 - 2022-12-01
-- Add dataset condition endpoint
-- Improve Zstd CMake integration
-- Fix requesting all symbols for a dataset
+- Added dataset condition endpoint
+- Improved Zstd CMake integration
+- Fixed requesting all symbols for a dataset
 
 ## 0.1.0 - 2022-11-07
 - Initial release with support for historical data

CMakeLists.txt

@@ -4,9 +4,18 @@ cmake_minimum_required(VERSION 3.14)
 # Project details
 #
 
-project("databento" VERSION 0.3.0 LANGUAGES CXX)
+project("databento" VERSION 0.4.0 LANGUAGES CXX)
 string(TOUPPER ${PROJECT_NAME} PROJECT_NAME_UPPERCASE)
 
+#
+# Main project check
+#
+
+set(IS_MAIN_PROJECT OFF)
+if(CMAKE_CURRENT_SOURCE_DIR STREQUAL CMAKE_SOURCE_DIR)
+  set(IS_MAIN_PROJECT ON)
+endif()
+
 #
 # Set project options
 #
@@ -18,8 +27,13 @@ include(cmake/Utils.cmake)
 message(STATUS "Started CMake for ${PROJECT_NAME} v${PROJECT_VERSION}...\n")
 
 if(NOT CMAKE_BUILD_TYPE)
-  message(STATUS "Defaulting to Debug build")
-  set(CMAKE_BUILD_TYPE "Debug")
+  if(IS_MAIN_PROJECT)
+    message(STATUS "Defaulting to Debug build")
+    set(CMAKE_BUILD_TYPE "Debug")
+  else()
+    message(STATUS "Defaulting to RelWithDebInfo build")
+    set(CMAKE_BUILD_TYPE "RelWithDebInfo")
+  endif()
 endif()
 
 #
@@ -37,7 +51,7 @@ endif()
 include(TestBigEndian)
 test_big_endian(IS_BIG_ENDIAN)
 if(IS_BIG_ENDIAN)
-  message(FATAL_ERROR "Big-endian platforms aren't supported because DBZ parsing assumes the data is little-endian and in native byte order.\n")
+  message(FATAL_ERROR "Big-endian platforms aren't supported because DBN parsing assumes the data is little-endian and in native byte order.\n")
 endif()
 
 #
@@ -203,12 +217,15 @@ add_clang_format_target()
 # Install library for easy downstream inclusion
 #
 
+set(targets ${PROJECT_NAME})
+if(NOT ${PROJECT_NAME_UPPERCASE}_USE_EXTERNAL_JSON)
+  list(APPEND targets nlohmann_json)
+endif()
+
 include(GNUInstallDirs)
 install(
   TARGETS
-    ${PROJECT_NAME}
-    # public dependency
-    nlohmann_json
+    ${targets}
   EXPORT
     ${PROJECT_NAME}Targets
   LIBRARY DESTINATION

README.md

@@ -22,7 +22,7 @@ static constexpr auto kApiKey = "YOUR_API_KEY";
 
 int main() {
   auto client = HistoricalBuilder{}.SetKey(kApiKey).Build();
-  client.TimeseriesStream("GLBX.MDP3", "2022-06-10", "2022-06-11", {"ES"},
+  client.TimeseriesGetRange("GLBX.MDP3", "2022-06-10", "2022-06-11", {"ES"},
                           Schema::Trades, SType::Smart, SType::ProductId, {},
                           {}, [](const Record& record) {
                             const auto& trade_msg = record.Get<TradeMsg>();
@@ -71,14 +71,16 @@ git clone https://github.com/databento/databento-cpp
 cd databento-cpp
 cmake -S . -B build \
   -DCMAKE_BUILD_TYPE=RelWithDebInfo \
-  -DCMAKE_INSTALL_PREFIX='/usr'
+  -DCMAKE_INSTALL_PREFIX='/usr' \
+  -DDATABENTO_USE_EXTERNAL_JSON=ON \
+  -DDATABENTO_USE_EXTERNAL_HTTPLIB=ON
 cmake --build build --target databento
 cmake --install build
 ```
 
 Then in your project's `CMakeLists.txt`, add the following:
 ```cmake
-find_package(databento 0.1.0 REQUIRED)
+find_package(databento 0.4.0 REQUIRED)
 add_library(my_library)
 target_link_libraries(my_library PRIVATE databento::databento)
 ```
@@ -87,10 +89,11 @@ target_link_libraries(my_library PRIVATE databento::databento)
 
 The minimum C++ standard is C++11 and CMake 3.14.
 The library has the following dependencies:
-- [cpp-httplib (header only)](https://github.com/yhirose/cpp-httplib)
 - [OpenSSL](https://www.openssl.org/)
-- [nlohmann_json (header only)](https://github.com/nlohmann/json)
+- [Libcrypto](https://www.openssl.org/docs/man3.0/man7/crypto.html)
 - [Zstandard (zstd)](https://github.com/facebook/zstd)
+- [nlohmann_json (header-only)](https://github.com/nlohmann/json)
+- [cpp-httplib (header-only)](https://github.com/yhirose/cpp-httplib)
 
 By default, cpp-httplib and nlohmann_json are downloaded by CMake as part of the build process.
 If you would like to use a local version of these libraries, enable the CMake flag
@@ -117,11 +120,19 @@ Tests are located in the `test` directory.
 They're written using [GoogleTest (gtest)](https://github.com/google/googletest).
 The test target is `databentoTests` and can be build and run with the following commands:
 ```sh
-cmake -S . -B build  # configure
+cmake -S . -B build -DDATABENTO_ENABLE_UNIT_TESTING=1  # configure
 cmake --build build --target databentoTests  # build
 build/test/databentoTests  # run
 ```
 
+By default, it's assumed google test is installed already, if instead you'd like CMake to
+download it for you, disable the `DATABENTO_USE_EXTERNAL_GTEST` flag:
+```sh
+cmake -S . -B build \
+  -DDATABENTO_ENABLE_UNIT_TESTING=1 \
+  -DDATABENTO_USE_EXTERNAL_GTEST=0
+```
+
 ### Formatting
 
 databento-cpp uses [`clang-format`](https://clang.llvm.org/docs/ClangFormat.html) with Google's style.

cmake/SourcesAndHeaders.cmake

@@ -2,12 +2,14 @@ set(headers
   include/databento/batch.hpp
   include/databento/constants.hpp
   include/databento/datetime.hpp
-  include/databento/dbz.hpp
-  include/databento/dbz_parser.hpp
+  include/databento/dbn.hpp
+  include/databento/dbn_decoder.hpp
   include/databento/file_bento.hpp
   include/databento/enums.hpp
   include/databento/exceptions.hpp
+  include/databento/flag_set.hpp
   include/databento/historical.hpp
+  include/databento/ireadable.hpp
   include/databento/live.hpp
   include/databento/live_blocking.hpp
   include/databento/live_threaded.hpp
@@ -21,14 +23,15 @@ set(headers
   include/databento/detail/scoped_thread.hpp
   include/databento/detail/shared_channel.hpp
   include/databento/detail/tcp_client.hpp
+  include/databento/detail/zstd_stream.hpp
   src/stream_op_helper.hpp
 )
 
 set(sources
   src/batch.cpp
   src/datetime.cpp
-  src/dbz.cpp
-  src/dbz_parser.cpp
+  src/dbn.cpp
+  src/dbn_decoder.cpp
   src/enums.cpp
   src/exceptions.cpp
   src/file_bento.cpp
@@ -44,4 +47,5 @@ set(sources
   src/detail/scoped_fd.cpp
   src/detail/shared_channel.cpp
   src/detail/tcp_client.cpp
+  src/detail/zstd_stream.cpp
 )

cmake/StandardSettings.cmake

@@ -27,7 +27,8 @@ endif()
 # Unit testing
 #
 
-option(${PROJECT_NAME_UPPERCASE}_ENABLE_UNIT_TESTING "Enable unit tests for the projects (from the `test` subfolder)." ON)
+# Default to ON if main project, otherwise OFF
+option(${PROJECT_NAME_UPPERCASE}_ENABLE_UNIT_TESTING "Enable unit tests for the projects (from the `test` subfolder)." OFF)
 option(${PROJECT_NAME_UPPERCASE}_ENABLE_EXAMPLES "Enable building examples for the project." OFF)
 
 #
@@ -49,9 +50,9 @@ option(${PROJECT_NAME_UPPERCASE}_ENABLE_CODE_COVERAGE "Enable code coverage thro
 #
 
 # Generate compile_commands.json for clang based tools
-set(CMAKE_EXPORT_COMPILE_COMMANDS ON)
+set(CMAKE_EXPORT_COMPILE_COMMANDS ${IS_MAIN_PROJECT})
 
-option(${PROJECT_NAME_UPPERCASE}_VERBOSE_OUTPUT "Enable verbose output, allowing for a better understanding of each step taken." ON)
+option(${PROJECT_NAME_UPPERCASE}_VERBOSE_OUTPUT "Enable verbose output, allowing for a better understanding of each step taken." ${IS_MAIN_PROJECT})
 option(${PROJECT_NAME_UPPERCASE}_GENERATE_EXPORT_HEADER "Create a `project_export.h` file containing all exported symbols." OFF)
 
 # Export all symbols when building a shared library

example/historical/CMakeLists.txt

@@ -4,5 +4,5 @@ add_example_target(batch batch.cpp)
 add_example_target(metadata metadata.cpp)
 add_example_target(readme readme.cpp)
 add_example_target(symbology-resolve symbology_resolve.cpp)
-add_example_target(timeseries-stream timeseries_stream.cpp)
-add_example_target(timeseries-stream-to-file timeseries_stream_to_file.cpp)
+add_example_target(timeseries-get-range timeseries_get_range.cpp)
+add_example_target(timeseries-get-range-to-file timeseries_get_range_to_file.cpp)

example/historical/metadata.cpp

@@ -32,12 +32,12 @@ int main() {
   std::cout << '\n';
 
   const auto fields = client.MetadataListFields(
-      kGlbxMdp3, databento::Encoding::Dbz, databento::Schema::Trades);
+      kGlbxMdp3, databento::Encoding::Dbn, databento::Schema::Trades);
   std::cout << "Fields:\n";
-  const auto& dbz_trades_fields = fields.at("GLBX.MDP3")
-                                      .at(databento::Encoding::Dbz)
+  const auto& dbn_trades_fields = fields.at("GLBX.MDP3")
+                                      .at(databento::Encoding::Dbn)
                                       .at(databento::Schema::Trades);
-  for (const auto& field_and_type : dbz_trades_fields) {
+  for (const auto& field_and_type : dbn_trades_fields) {
     std::cout << "- " << field_and_type.first << ": " << field_and_type.second
               << '\n';
   }

example/historical/readme.cpp

@@ -10,12 +10,12 @@ static constexpr auto kApiKey = "YOUR_API_KEY";
 
 int main() {
   auto client = HistoricalBuilder{}.SetKey(kApiKey).Build();
-  client.TimeseriesStream("GLBX.MDP3", "2022-06-10", "2022-06-11", {"ES"},
-                          Schema::Trades, SType::Smart, SType::ProductId, {},
-                          {}, [](const Record& record) {
-                            const auto& trade_msg = record.Get<TradeMsg>();
-                            std::cout << trade_msg << '\n';
-                            return KeepGoing::Continue;
-                          });
+  client.TimeseriesGetRange("GLBX.MDP3", "2022-06-10", "2022-06-11", {"ES"},
+                            Schema::Trades, SType::Smart, SType::ProductId, {},
+                            {}, [](const Record& record) {
+                              const auto& trade_msg = record.Get<TradeMsg>();
+                              std::cout << trade_msg << '\n';
+                              return KeepGoing::Continue;
+                            });
 }
 // NOLINTEND(google-build-using-namespace)

example/historical/timeseries_stream.cpp …mple/historical/timeseries_get_range.cppexample/historical/timeseries_stream.cpp renamed to example/historical/timeseries_get_range.cpp example/historical/timeseries_stream.cpp renamed to example/historical/timeseries_get_range.cpp

@@ -23,7 +23,7 @@ int main() {
   const databento::UnixNanos start = DateToUnixNanos(2022, 10, 3);
   const databento::UnixNanos end = DateToUnixNanos(2022, 10, 4);
   const auto limit = 1000;
-  client.TimeseriesStream(
+  client.TimeseriesGetRange(
       databento::dataset::kGlbxMdp3, start, end, {"ESZ2"},
       databento::Schema::Trades, databento::SType::Native,
       databento::SType::ProductId, limit,