VER: Release 0.24.1

See release notes.

Author: nmacholl

CHANGELOG.md

@@ -1,5 +1,14 @@
 # Changelog
 
+## 0.24.1 - 2023-12-15
+
+##### Enhancements
+- Added new publisher value for OPRA MIAX Sapphire
+
+#### Bug fixes
+- Fixed issue where a large unreadable symbol subscription message could be sent
+- Fixed issue where calling `Live.stop` could cause a truncated DBN record to be written to a stream
+
 ## 0.24.0 - 2023-11-23
 
 This release adds support for DBN v2 as well as Python v3.12.

databento/common/publishers.py

@@ -97,6 +97,8 @@ class Venue(StringyMixin, str, Enum):
         ICE Endex.
     DBEQ
         Databento Equities - Consolidated.
+    SPHR
+        MIAX Sapphire.
 
     """
 
@@ -140,6 +142,7 @@ class Venue(StringyMixin, str, Enum):
     IFEU = "IFEU"
     NDEX = "NDEX"
     DBEQ = "DBEQ"
+    SPHR = "SPHR"
 
     @classmethod
     def from_int(cls, value: int) -> Venue:
@@ -226,6 +229,8 @@ def from_int(cls, value: int) -> Venue:
             return Venue.NDEX
         if value == 40:
             return Venue.DBEQ
+        if value == 41:
+            return Venue.SPHR
         raise ValueError(f"Integer value {value} does not correspond with any Venue variant")
 
     def to_int(self) -> int:
@@ -312,6 +317,8 @@ def to_int(self) -> int:
             return 39
         if self == Venue.DBEQ:
             return 40
+        if self == Venue.SPHR:
+            return 41
         raise ValueError("Invalid Venue")
 
     @property
@@ -399,6 +406,8 @@ def description(self) -> str:
             return "ICE Endex"
         if self == Venue.DBEQ:
             return "Databento Equities - Consolidated"
+        if self == Venue.SPHR:
+            return "MIAX Sapphire"
         raise ValueError("Unexpected Venue value")
 
 @unique
@@ -818,6 +827,8 @@ class Publisher(StringyMixin, str, Enum):
         DBEQ Basic - Consolidated.
     DBEQ_PLUS_DBEQ
         DBEQ Plus - Consolidated.
+    OPRA_PILLAR_SPHR
+        OPRA - MIAX Sapphire.
 
     """
 
@@ -881,6 +892,7 @@ class Publisher(StringyMixin, str, Enum):
     NDEX_IMPACT_NDEX = "NDEX.IMPACT.NDEX"
     DBEQ_BASIC_DBEQ = "DBEQ.BASIC.DBEQ"
     DBEQ_PLUS_DBEQ = "DBEQ.PLUS.DBEQ"
+    OPRA_PILLAR_SPHR = "OPRA.PILLAR.SPHR"
 
     @classmethod
     def from_int(cls, value: int) -> Publisher:
@@ -1007,6 +1019,8 @@ def from_int(cls, value: int) -> Publisher:
             return Publisher.DBEQ_BASIC_DBEQ
         if value == 60:
             return Publisher.DBEQ_PLUS_DBEQ
+        if value == 61:
+            return Publisher.OPRA_PILLAR_SPHR
         raise ValueError(f"Integer value {value} does not correspond with any Publisher variant")
 
     def to_int(self) -> int:
@@ -1133,6 +1147,8 @@ def to_int(self) -> int:
             return 59
         if self == Publisher.DBEQ_PLUS_DBEQ:
             return 60
+        if self == Publisher.OPRA_PILLAR_SPHR:
+            return 61
         raise ValueError("Invalid Publisher")
     @property
     def venue(self) -> Venue:
@@ -1259,6 +1275,8 @@ def venue(self) -> Venue:
             return Venue.DBEQ
         if self == Publisher.DBEQ_PLUS_DBEQ:
             return Venue.DBEQ
+        if self == Publisher.OPRA_PILLAR_SPHR:
+            return Venue.SPHR
         raise ValueError("Unexpected Publisher value")
     @property
     def dataset(self) -> Dataset:
@@ -1385,6 +1403,8 @@ def dataset(self) -> Dataset:
             return Dataset.DBEQ_BASIC
         if self == Publisher.DBEQ_PLUS_DBEQ:
             return Dataset.DBEQ_PLUS
+        if self == Publisher.OPRA_PILLAR_SPHR:
+            return Dataset.OPRA_PILLAR
         raise ValueError("Unexpected Publisher value")
 
     @property
@@ -1512,4 +1532,6 @@ def description(self) -> str:
             return "DBEQ Basic - Consolidated"
         if self == Publisher.DBEQ_PLUS_DBEQ:
             return "DBEQ Plus - Consolidated"
+        if self == Publisher.OPRA_PILLAR_SPHR:
+            return "OPRA - MIAX Sapphire"
         raise ValueError("Unexpected Publisher value")

databento/live/protocol.py

@@ -33,7 +33,7 @@
 
 
 RECV_BUFFER_SIZE: Final = 64 * 2**10  # 64kb
-SYMBOL_LIST_BATCH_SIZE: Final = 64
+SYMBOL_LIST_BATCH_SIZE: Final = 32
 
 logger = logging.getLogger(__name__)
 

databento/live/session.py

@@ -328,7 +328,8 @@ def close(self) -> None:
                 return
             if self._transport.can_write_eof():
                 self._loop.call_soon_threadsafe(self._transport.write_eof)
-            self._loop.call_soon_threadsafe(self._transport.close)
+            else:
+                self._loop.call_soon_threadsafe(self._transport.close)
 
     def subscribe(
         self,

databento/version.py

@@ -1 +1 @@
-__version__ = "0.24.0"
+__version__ = "0.24.1"

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "databento"
-version = "0.24.0"
+version = "0.24.1"
 description = "Official Python client library for Databento"
 authors = [
     "Databento <[email protected]>",

tests/test_live_client.py

@@ -427,27 +427,13 @@ async def test_live_subscribe_large_symbol_list(
         symbols=large_symbol_list,
     )
 
-    first_message = mock_live_server.get_message_of_type(
-        gateway.SubscriptionRequest,
-        timeout=1,
-    ).symbols.split(",")
-
-    second_message = mock_live_server.get_message_of_type(
-        gateway.SubscriptionRequest,
-        timeout=1,
-    ).symbols.split(",")
-
-    third_message = mock_live_server.get_message_of_type(
-        gateway.SubscriptionRequest,
-        timeout=1,
-    ).symbols.split(",")
-
-    fourth_message = mock_live_server.get_message_of_type(
-        gateway.SubscriptionRequest,
-        timeout=1,
-    ).symbols.split(",")
-
-    reconstructed = first_message + second_message + third_message + fourth_message
+    reconstructed: list[str] = []
+    for _ in range(8):
+        message = mock_live_server.get_message_of_type(
+            gateway.SubscriptionRequest,
+            timeout=1,
+        ).symbols.split(",")
+        reconstructed.extend(message)
 
     # Assert
     assert reconstructed == large_symbol_list