ADD: Python client basic reconnection

Author: nmacholl

CHANGELOG.md

@@ -1,6 +1,11 @@
 # Changelog
 
 ## 0.14.0 - TBD
+- Added support for reusing a `Live` client to reconnect
+- Changed iteration of `Live` to no longer yield DBN metadata
+- Changed `Live` callbacks to no longer yield DBN metadata
+- Added `metadata` property to `Live`
+- Added `DatatbentoLiveProtocol` class
 - Upgraded `aiohttp` to 3.8.3
 - Upgraded `numpy` to to 1.23.5
 - Upgraded `pandas` to to 1.5.3

databento/__init__.py

@@ -26,8 +26,8 @@
 )
 from databento.historical.api import API_VERSION
 from databento.historical.client import Historical
+from databento.live import DBNRecord
 from databento.live.client import Live
-from databento.live.dbn import DBNRecord, DBNStruct
 from databento.version import __version__  # noqa
 from databento_dbn import (
     ErrorMsg,
@@ -38,6 +38,7 @@
     MBP10Msg,
     Metadata,
     OHLCVMsg,
+    StatMsg,
     SymbolMappingMsg,
     SystemMsg,
     TradeMsg,
@@ -48,7 +49,6 @@
     "API_VERSION",
     "DBNStore",
     "DBNRecord",
-    "DBNStruct",
     "BentoClientError",
     "BentoError",
     "BentoHttpError",
@@ -75,6 +75,7 @@
     "MBP10Msg",
     "TradeMsg",
     "OHLCVMsg",
+    "StatMsg",
     "InstrumentDefMsg",
     "ImbalanceMsg",
     "ErrorMsg",

databento/common/dbnstore.py

@@ -18,6 +18,7 @@
     Union,
 )
 
+import databento_dbn
 import numpy as np
 import pandas as pd
 import zstandard
@@ -39,7 +40,7 @@
 from databento.common.error import BentoError
 from databento.common.symbology import InstrumentIdMappingInterval
 from databento.common.validation import validate_maybe_enum
-from databento.live.data import DBNStruct
+from databento.live import DBNRecord
 
 
 NON_SCHEMA_RECORD_TYPES = [
@@ -357,7 +358,7 @@ def __init__(self, data_source: DataSource) -> None:
             Dict[int, str],
         ] = {}
 
-    def __iter__(self) -> Generator[DBNStruct, None, None]:
+    def __iter__(self) -> Generator[DBNRecord, None, None]:
         reader = self.reader
         decoder = DBNDecoder()
         while True:
@@ -369,6 +370,8 @@ def __iter__(self) -> Generator[DBNStruct, None, None]:
                 except ValueError:
                     continue
                 for record in records:
+                    if isinstance(record, databento_dbn.Metadata):
+                        continue
                     yield record
             else:
                 if len(decoder.buffer()) > 0:

databento/common/enums.py

@@ -13,7 +13,7 @@
 from databento_dbn import StatMsg
 from databento_dbn import TradeMsg
 
-from databento.live.dbn import DBNRecord
+from databento.live import DBNRecord
 
 
 M = TypeVar("M", bound=Enum)

databento/live/__init__.py

@@ -0,0 +1,21 @@
+from typing import Union
+
+import databento_dbn
+
+
+AUTH_TIMEOUT_SECONDS: float = 2
+CONNECT_TIMEOUT_SECONDS: float = 5
+
+DBNRecord = Union[
+    databento_dbn.MBOMsg,
+    databento_dbn.MBP1Msg,
+    databento_dbn.MBP10Msg,
+    databento_dbn.TradeMsg,
+    databento_dbn.OHLCVMsg,
+    databento_dbn.ImbalanceMsg,
+    databento_dbn.InstrumentDefMsg,
+    databento_dbn.StatMsg,
+    databento_dbn.SymbolMappingMsg,
+    databento_dbn.SystemMsg,
+    databento_dbn.ErrorMsg,
+]