MOD: Upgrade to databento_dbn to 0.17.0

Author: nmacholl

CHANGELOG.md

@@ -1,6 +1,9 @@
 # Changelog
 
-## 0.31.2 - TBD
+## 0.32.0 - TBD
+
+#### Enhancements
+- Upgraded `databento-dbn` to 0.17.0
 
 #### Bug fixes
 - Removed live session ID parsing to `int`, that could cause a session to fail when

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 = "0.16.0"
+- databento-dbn = "0.17.0"
 - numpy= ">=1.23.5"
 - pandas = ">=1.5.3"
 - pyarrow = ">=13.0.0"

databento/common/constants.py

@@ -3,6 +3,7 @@
 from typing import Final
 
 import numpy as np
+from databento_dbn import CbboMsg
 from databento_dbn import ImbalanceMsg
 from databento_dbn import InstrumentDefMsg
 from databento_dbn import InstrumentDefMsgV1
@@ -36,9 +37,16 @@
     Schema.OHLCV_1M: OHLCVMsg,
     Schema.OHLCV_1H: OHLCVMsg,
     Schema.OHLCV_1D: OHLCVMsg,
+    Schema.OHLCV_EOD: OHLCVMsg,
     Schema.STATISTICS: StatMsg,
     Schema.TBBO: MBP1Msg,
     Schema.TRADES: TradeMsg,
+    Schema.CBBO: CbboMsg,
+    Schema.CBBO_1S: CbboMsg,
+    Schema.CBBO_1M: CbboMsg,
+    Schema.TCBBO: CbboMsg,
+    Schema.BBO_1S: MBP1Msg,
+    Schema.BBO_1M: MBP1Msg,
 }
 
 SCHEMA_STRUCT_MAP_V1: Final[dict[Schema, type[DBNRecord]]] = {

databento/common/types.py

@@ -9,6 +9,7 @@
 
 
 DBNRecord = Union[
+    databento_dbn.CbboMsg,
     databento_dbn.MBOMsg,
     databento_dbn.MBP1Msg,
     databento_dbn.MBP10Msg,
@@ -18,6 +19,7 @@
     databento_dbn.InstrumentDefMsg,
     databento_dbn.InstrumentDefMsgV1,
     databento_dbn.StatMsg,
+    databento_dbn.StatusMsg,  # type: ignore [name-defined]
     databento_dbn.SymbolMappingMsg,
     databento_dbn.SymbolMappingMsgV1,
     databento_dbn.SystemMsg,

pyproject.toml

@@ -32,7 +32,7 @@ aiohttp = [
     {version = "^3.8.3", python = "<3.12"},
     {version = "^3.9.0", python = "^3.12"}
 ]
-databento-dbn = "0.16.0"
+databento-dbn = "0.17.0"
 numpy = [
     {version = ">=1.23.5", python = "<3.12"},
     {version = "^1.26.0", python = "^3.12"}

tests/test_live_client.py

@@ -1424,6 +1424,18 @@ async def test_live_stream_with_reconnect(
         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 == "bbo-1s":
+        pytest.skip("no stub data for bbo-1s schema")
+    if schema == "bbo-1m":
+        pytest.skip("no stub data for bbo-1m schema")
+    if schema == "tcbbo":
+        pytest.skip("no stub data for tcbbo schema")
 
     output = tmp_path / "output.dbn"
     live_client.add_stream(output.open("wb", buffering=0))