VER: Release 0.37.0

See release notes.

Author: nmacholl

CHANGELOG.md

@@ -1,5 +1,11 @@
 # Changelog
 
+## 0.37.0 - 2024-07-09
+
+#### Enhancements
+- A disconnected `Live` client can now be reused with a different dataset
+- Upgraded `databento-dbn` to 0.19.0
+
 ## 0.36.3 - 2024-07-02
 
 #### Enhancements

README.md

@@ -32,7 +32,7 @@ The library is fully compatible with the latest distribution of Anaconda 3.8 and
 The minimum dependencies as found in the `pyproject.toml` are also listed below:
 - python = "^3.8"
 - aiohttp = "^3.8.3"
-- databento-dbn = "0.18.2"
+- databento-dbn = "0.19.0"
 - numpy= ">=1.23.5"
 - pandas = ">=1.5.3"
 - pip-system-certs = ">=4.0" (Windows only)

databento/common/constants.py

@@ -3,6 +3,7 @@
 from typing import Final
 
 import numpy as np
+from databento_dbn import BBOMsg
 from databento_dbn import CBBOMsg
 from databento_dbn import ImbalanceMsg
 from databento_dbn import InstrumentDefMsg
@@ -47,8 +48,8 @@
     Schema.CBBO_1S: CBBOMsg,
     Schema.CBBO_1M: CBBOMsg,
     Schema.TCBBO: CBBOMsg,
-    Schema.BBO_1S: MBP1Msg,
-    Schema.BBO_1M: MBP1Msg,
+    Schema.BBO_1S: BBOMsg,
+    Schema.BBO_1M: BBOMsg,
 }
 
 SCHEMA_STRUCT_MAP_V1: Final[dict[Schema, type[DBNRecord]]] = {
@@ -69,6 +70,6 @@
     Schema.CBBO_1S: CBBOMsg,
     Schema.CBBO_1M: CBBOMsg,
     Schema.TCBBO: CBBOMsg,
-    Schema.BBO_1S: MBP1Msg,
-    Schema.BBO_1M: MBP1Msg,
+    Schema.BBO_1S: BBOMsg,
+    Schema.BBO_1M: BBOMsg,
 }

databento/common/types.py

@@ -9,6 +9,7 @@
 
 
 DBNRecord = Union[
+    databento_dbn.BBOMsg,
     databento_dbn.CBBOMsg,
     databento_dbn.MBOMsg,
     databento_dbn.MBP1Msg,

databento/live/client.py

@@ -605,6 +605,7 @@ def _cleanup_client(self) -> None:
         Cleanup any stateful client data.
         """
         self._symbology_map.clear()
+        self._dataset = ""
 
         to_remove = []
         for stream in self._user_streams:

databento/version.py

@@ -1 +1 @@
-__version__ = "0.36.3"
+__version__ = "0.37.0"

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "databento"
-version = "0.36.3"
+version = "0.37.0"
 description = "Official Python client library for Databento"
 authors = [
     "Databento <[email protected]>",
@@ -32,7 +32,7 @@ aiohttp = [
     {version = "^3.8.3", python = "<3.12"},
     {version = "^3.9.0", python = "^3.12"}
 ]
-databento-dbn = "0.18.2"
+databento-dbn = "0.19.0"
 numpy = [
     {version = ">=1.23.5", python = "<3.12"},
     {version = "^1.26.0", python = "^3.12"}

tests/data/GLBX.MDP3/test_data.bbo-1m.dbn.zst

@@ -460,7 +460,7 @@ async def test_live_subscribe(
     mock_live_server: MockLiveServerInterface,
     schema: Schema,
     stype_in: SType,
-    symbols: str,
+    symbols: str | None,
     start: str,
 ) -> None:
     """
@@ -635,6 +635,35 @@ def cb_sub(_: DBNRecord) -> None:
     assert second_sub.symbols == "TEST1"
 
 
+async def test_live_subscribe_different_dataset(
+    live_client: client.Live,
+    mock_live_server: MockLiveServerInterface,
+) -> None:
+    """
+    Test that once a Live client is disconnected, it can be used with a
+    different subscription dataset.
+    """
+    # Arrange
+    live_client.subscribe(
+        dataset=Dataset.GLBX_MDP3,
+        schema=Schema.MBO,
+    )
+
+    # Act
+    _ = await mock_live_server.wait_for_message_of_type(
+        message_type=gateway.SubscriptionRequest,
+    )
+
+    live_client.start()
+    await live_client.wait_for_close()
+
+    # Assert
+    live_client.subscribe(
+        dataset=Dataset.XNAS_ITCH,
+        schema=Schema.MBO,
+    )
+
+
 @pytest.mark.usefixtures("mock_live_server")
 def test_live_stop(
     live_client: client.Live,
@@ -1487,18 +1516,17 @@ async def test_live_stream_with_reconnect(
 
     """
     # Arrange
-    if schema == "ohlcv-eod":
-        pytest.skip("no stub data for ohlcv-eod schema")
-    if schema == "imbalance":
-        pytest.skip("imbalance is not supported for GLBX.MDP3")
-    if schema == "cbbo":
-        pytest.skip("no stub data for cbbo schema")
-    if schema == "cbbo-1s":
-        pytest.skip("no stub data for cbbo-1s schema")
-    if schema == "cbbo-1m":
-        pytest.skip("no stub data for cbbo-1m schema")
-    if schema == "tcbbo":
-        pytest.skip("no stub data for tcbbo schema")
+    if schema in (
+        "ohlcv-eod",
+        "imbalance",
+        "cbbo",
+        "cbbo-1s",
+        "cbbo-1m",
+        "tcbbo",
+        "bbo-1s",
+        "bbo-1m",
+    ):
+        pytest.skip(f"no stub data for {schema} schema")
 
     output = tmp_path / "output.dbn"
     live_client.add_stream(output.open("wb"))