ADD: Support chained ErrorMsg in Python client

Author: nmacholl

CHANGELOG.md

@@ -3,6 +3,7 @@
 ## 0.32.0 - TBD
 
 #### Enhancements
+- Improved exception messages when multiple `ErrorMsg` are received by the `Live` client
 - Upgraded `databento-dbn` to 0.17.0
 
 #### Bug fixes

databento/live/protocol.py

@@ -82,6 +82,7 @@ def __init__(
 
         self._authenticated: asyncio.Future[str | None] = asyncio.Future()
         self._disconnected: asyncio.Future[None] = asyncio.Future()
+        self._error_msgs: list[str] = []
         self._started: bool = False
 
     @property
@@ -323,15 +324,22 @@ def _process_dbn(self, data: bytes) -> None:
                 if isinstance(record, databento_dbn.Metadata):
                     self.received_metadata(record)
                     continue
-
                 if isinstance(record, databento_dbn.ErrorMsg):
                     logger.error(
                         "gateway error: %s",
                         record.err,
                     )
-                    self.disconnected.set_exception(
-                        BentoError(record.err),
-                    )
+                    self._error_msgs.append(record.err)
+                    if record.is_last:
+                        if len(self._error_msgs) > 1:
+                            errors = ", ".join(self._error_msgs)
+                            error_msg = f"The following errors occurred: {errors}"
+                        else:
+                            error_msg = self._error_msgs[-1]
+                        self._error_msgs.clear()
+                        self.disconnected.set_exception(
+                            BentoError(error_msg),
+                        )
                 if isinstance(record, databento_dbn.SystemMsg):
                     if record.is_heartbeat:
                         logger.debug("gateway heartbeat")